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Indicators and strategies

Custom Session Tracker (KN)**Custom Session Tracker (KN)** Visually highlight any intraday session’s high, low, and midpoint on your chart with full styling control. **Description** Custom Session Tracker (KN) lets you define any trading session (e.g. 09:30–16:00 NY time) and automatically draws: * A translucent box spanning the session’s High and Low * A horizontal line marking the session midpoint All elements update in real time and persist after session close. **Features** * **Session Range Box**: Plots from session open through close * **Mid-Price Line**: Marks the exact midpoint of High/Low * **Timezone Input**: Aligns session to any GMT offset * **Custom Colors**: Fill, border, and mid-line colors * **Line & Border Styles**: Choose solid or dashed **Inputs** * **Timezone** – GMT offset for your market * **Session** – Hours in `HHMM-HHMM` format * **Fill Color** – Box interior transparency * **Border Color** – Box outline * **Box Border Style** – Solid or dashed * **Midline Color** – Mid-price line color * **Mid Price Line Style** – Solid or dashed **How to Use** 1. Add the script to your chart. 2. Set your session hours and timezone. 3. Customize colors and styles. 4. Watch each session’s high, low, and midpoint appear automatically. Perfect for session-overlap strategies, mean-reversion signals, or simply keeping key levels in view.
Pine Script® indicator
by KatherinaNote
50-Week High Entry / 40-Week Low Exit StrategyThis is a simple long term strategy Entry condition : You will enter the market when the stock’s current high exceeds its 50-week high. This condition enables you to identify upward momentum and capitalize on potential price surges. Exit condition Conversely, you will exit the market when the stock’s current low drops below its 40-week low. This exit strategy helps protect your capital by ensuring you withdraw from losing positions before further declines in price occur. This trading strategy relies on the Donchian Channel indicator to monitor the relevant 50-week high and 40-week low levels. Given that this is a weekly trading strategy, all backtesting will be conducted using weekly timeframes.
Pine Script® strategy
by sinan751cf
Multi Moving Average with CustomizationCore Functionality
 The indicator allows you to display up to 5 different moving averages on your chart simultaneously. 
Each moving average can be fully customized with its own settings.
 You can choose between 
 1. Simple Moving Average (SMA), 
 2. Exponential Moving Average (EMA) 3. Weighted Moving Average (WMA) types
 Multi-Timeframe Support One standout feature is the ability to display higher timeframe moving averages on lower timeframe charts. 
For example, you can show a 200 EMA from the daily chart while viewing a 15-minute chart. Advanced Visualization Features The indicator includes several visualization enhancements: 1. MA Cloud - Creates a filled area between any two selected moving averages. The cloud automatically changes color based on which MA is on top - typically green when the faster MA is above (bullish) and red when below (bearish). 2. Golden/Death Cross Detection - Automatically detects and marks important MA crossover events: * Golden Cross: When a shorter-term MA crosses above a longer-term MA (bullish signal) * Death Cross: When a shorter-term MA crosses below a longer-term MA (bearish signal) 3. Trend Background - Colors the entire chart background based on whether price is above or below a specified MA, giving a clear visual indicator of the overall trend.
 Alert System The indicator can generate alerts when price crosses above or below any selected moving average. This feature is useful for automated trading signals or notifications, and can be configured to trigger once per bar.
 Flexible Architecture The code uses several programming techniques to maximize flexibility: * Switch statements for selecting MA types and cloud values * Conditional logic throughout the code * Function abstraction for calculating MAs and handling multi-timeframe display * String identifiers to select which MAs to use for cloud visualization
 Unique Technical Aspects 1. The multi-timeframe plotting function solves the common problem of higher timeframe MAs looking distorted on lower timeframe charts. 2. The cloud feature uses string identifiers to select which MAs to use, allowing for any combination. 3. The indicator employs smart conditional logic to handle complex decision trees efficiently. 4. Every visual aspect (colors, line widths, display conditions) is customizable through the settings.
 This indicator combines multiple technical analysis tools into a single, highly configurable package that can adapt to different trading styles and timeframes. 
Its ability to correctly display higher timeframe MAs on lower timeframe charts makes it particularly valuable for traders who analyze multiple timeframes simultaneously.
Pine Script® indicator
by SexyRexy69
Opening Range Breakout Detector📈 Opening Range Breakout Detector (TF-Independent) Tracks breakouts with precision. No matter the chart, no matter the timeframe. This indicator monitors whether price breaks above or below the Opening Range across multiple key durations — 1m, 5m, 10m, 15m, 30m, 45m, and 60m — using 1-minute data under the hood, while you can work on higher timeframe charts (daily, etc.). Highlights: ✅ Status table shows which ORs broke UP or DOWN ⏱ Control which timeframes to track 🖼 Customizable table position, size and colors Crafted by @FunkyQuokka
Pine Script® indicator
by FunkyQuokka
UT Bot + Hull MA Confirmed Signal DelayOverview This indicator is designed to detect high-probability reversal entry signals by combining "UT Bot Alerts" (UT Bot Alerts script adapted from QuantNomad - Originally developed by Yo_adriiiiaan and idea of original code for "UT Bot Alerts" from HPotter ) with confirmation from a Hull Moving Average (HMA) Developed by Alan Hull . It focuses on capturing momentum shifts that often precede trend reversals, helping traders identify potential entry points while filtering out false signals. 🔍 How It Works This strategy operates in two stages: 1. UT Bot Momentum Trigger The foundation of this script is the "UT Bot Alerts" , which uses an ATR-based trailing stop to detect momentum changes. Specifically: The script calculates a dynamic stop level based on the Average True Range (ATR) multiplied by a user-defined sensitivity factor (Key Value). When price closes above this trailing stop and the short-term EMA crosses above the stop, a potential buy setup is triggered. Conversely, when price closes below the trailing stop and the short-term EMA crosses below, a potential sell setup is triggered. These UT Bot alerts are designed to identify the initial shift in market direction, acting as the first filter in the signal process. 2. Hull MA Confirmation To reduce noise and false triggers from the UT Bot alone, this script delays the entry signal until price confirms the move by crossing the Hull Moving Average (or its variants: HMA, THMA, EHMA) in the same direction as the UT Bot trigger: A Buy Signal is generated only when: A UT Bot Buy condition is active, and The price closes above the Hull MA. Or, if a UT Bot Buy condition was recently triggered but price hadn’t yet crossed above the Hull MA, a delayed buy is signaled when price finally breaks above it. A Sell Signal is generated only when: A UT Bot Sell condition is active, and The price closes below the Hull MA. Similarly, a delayed sell signal can occur if price breaks below the Hull MA shortly after a UT Bot Sell trigger. This dual-confirmation process helps traders avoid premature entries and improves the reliability of reversal signals. 📈 Best Use Cases Reversal Trading: This strategy is particularly well-suited for catching early trend reversals rather than trend continuations. It excels at identifying momentum pivots that occur after pullbacks or exhaustion moves. Heikin Ashi Charts Recommended: The script offers a Heikin Ashi mode for smoothing out noise and enhancing visual clarity. Using Heikin Ashi candles can further reduce whipsaws and highlight cleaner shifts in trend direction. MACD Alignment: For best results, trade in the direction of the MACD trend or use it as a filter to avoid counter-trend trades. ⚠️ Important Notes Entry Signals Only: This indicator only plots entry points (Buy and Sell signals). It does not define exit strategies, so users should manage trades manually using trailing stops, profit targets, or other exit indicators. No Signal = No Confirmation: You may see a UT Bot trigger without a corresponding Buy/Sell signal. This means the price did not confirm the move by crossing the Hull MA, and therefore the setup was considered too weak or incomplete. ⚙️ Customization UT Bot Sensitivity: Adjust the “Key Value” and “ATR Period” to make the UT Bot more or less reactive to price action. Use Heikin Ashi: Toggle between standard candles or Heikin Ashi in the indicator settings for a smoother trading experience. The HMA length may also be modified in the indicator settings from its standard 55 length to increase or decrease the sensitivity of signal. This strategy is best used by traders looking for a structured, logic-based way to enter early into reversals with added confirmation to reduce risk. By combining two independent systems—momentum detection (UT Bot) and trend confirmation (Hull MA)—it aims to provide high-confidence entries without overwhelming complexity. Let the indicator guide your entries—you manage the exits. Examples of use: Futures: Stock: Crypto: As shown in the snapshots this strategy, like most, works the best when price action has a sizeable ATR and works the least when price is choppy. Therefore it is always best to use this system when price is coming off known support or resistance levels and when it is seen to respect short term EMA's like the 9 or 15. My personal preference to use this system is for day trading on a 3 or 5 minute chart. But it is valid for all timeframes and simply marks a high probability for a new trend to form. Sources: Quant Nomad - www.tradingview.com Yo_adriiiiaan - www.tradingview.com HPotter - www.tradingview.com Hull Moving Average - alanhull.com
Pine Script® indicator
by not_a_mad_scientist
Supply & Demand (MTF) | Picaspec Picaspec Supply and Demand Zone Indicator *A multi-timeframe supply & demand zone detection tool for TradingView* ### 🧠 **Overview** This indicator is designed to automatically identify and plot **supply and demand zones** across multiple timeframes on any TradingView chart. These zones are key areas where price has previously shown significant buying (demand) or selling (supply) interest — and where future price reactions are highly probable. It simplifies the application of supply and demand trading concepts by visually marking potential reversal or continuation zones, helping traders spot high-probability trade opportunities with minimal effort. --- ### 🔍 **Key Features** #### ✅ **Automatic Supply and Demand Zone Detection** * The indicator identifies **strong price imbalances** based on previous price action. * It plots **demand zones** where price moved away strongly after a base, indicating buying pressure. * It plots **supply zones** where price dropped sharply after a base, indicating selling pressure. * Zones are drawn based on classic supply/demand criteria (drop-base-rally, rally-base-drop, etc.). #### 🕰️ **Multi-Timeframe Analysis** * Detects zones from higher timeframes like **1H, 4H, Daily**, etc., and overlays them on lower timeframes. * This helps traders combine intraday entries with broader context from higher timeframe zones. #### 🎯 **Refinement and Filtering Options** * **Mitigated zones** can be hidden or shown — once price revisits a zone, it’s marked as "used." * **Zone strength** filters allow traders to focus only on the most relevant supply/demand areas. * Traders can toggle visibility for each timeframe zone to reduce chart clutter. #### 🎨 **Visual Clarity** * **Color-coded zones**: * Green for demand * Red for supply * Adjustable transparency and zone thickness. * Labels for timeframes (e.g., "4H Supply") to clearly show origin. #### 📐 **Dynamic Updates** * Zones update in real-time as new supply/demand formations are detected. * Outdated or invalid zones are removed, keeping charts clean and actionable. --- ### ⚙️ **Customization Options** * Enable/disable zones by timeframe (e.g., only show Daily + 4H). * Adjust zone style: color, line style, label visibility. * Control how long zones remain on the chart after being mitigated. * Turn on/off alerts when price enters a zone (optional). --- ### 💡 **Use Cases** * **Swing Trading**: Use Daily and 4H zones for identifying macro-level turning points. * **Intraday Trading**: Drop to 15m or 1H zones for scalping precise entries inside higher timeframe zones. * **Confluence Trading**: Combine S\&D zones with price action, break of structure, or candlestick patterns for higher probability trades. --- ### 🧑‍💼 **Who Is This For?** * Traders who follow **Supply & Demand** methodology. * Price action traders looking to automate zone plotting. * Beginners who want to visually learn how S\&D zones work. * Advanced traders who need efficient multi-timeframe zone overlays.
Pine Script® indicator
by picaspec1
Regression Slope ShiftNormalized Regression Slope Shift + Dynamic Histogram This indicator detects subtle shifts in price momentum using a rolling linear regression approach. It calculates the slope of a linear regression line for each bar over a specified lookback period, then measures how that slope changes from bar to bar. Both the slope and its change (delta) are normalized to a -1 to 1 scale for consistent visual interpretation across assets and timeframes. A signal line (EMA) is applied to the slope delta to help identify turning points and crossovers. Key features: - Normalized slope and slope change lines - Dynamic histogram of slope delta with transparency based on magnitude - Customizable colors for all visual elements - Signal line for crossover-based momentum shifts This tool helps traders anticipate trend acceleration or weakening before traditional momentum indicators react, making it useful for early trend detection, divergence spotting, and confirmation signals.
Pine Script® indicator
by Tradenometry
مؤشر ICT متعدد الوظائفوصف المؤشر بالعربية: مؤشر ICT متعدد الوظائف هو أداة تداول متكاملة مصممة وفقًا لمبادئ مدرسة ICT للتداول. يجمع المؤشر بين عدة أدوات أساسية في واجهة واحدة، بما في ذلك مناطق العرض والطلب على الفريمات المختلفة، اكتشاف الفجوات السعرية، متوسطات متحركة متعددة، تحديد شموع الزخم بناءً على أحجام التداول، وحساب أهداف فيبوناتشي. يوفر المؤشر أيضًا نظام تنبيهات متقدم يشمل "التنبيه الذهبي" الذي يظهر عند استيفاء شروط دخول متعددة، مما يساعد المتداولين على اتخاذ قرارات تداول أكثر دقة وفعالية. وصف المؤشر بالإنجليزية: "The ICT Multi-Function Trading Suite is a comprehensive trading tool designed according to the principles of the Inner Circle Trader (ICT) methodology. This indicator combines several essential tools in one interface, including supply and demand zones across different timeframes, price gap detection, multiple moving averages, momentum candle identification based on trading volumes, and Fibonacci target calculations. The indicator also provides an advanced alert system featuring a 'Golden Alert' that triggers when multiple entry conditions are met, helping traders make more precise and effective trading decisions. With multi-timeframe analysis capabilities, this suite offers a complete solution for both strategic market analysis and tactical entry timing."
Pine Script® indicator
by alialhazmi
2
Range Progress TrackerRANGE PROGRESS TRACKER(RPT) PURPOSE This indicator helps traders visually and statistically understand how much of the typical price range (measured by ATR) has already been covered in the current period (Daily, Weekly, or Monthly). It includes key features to assist in trend exhaustion analysis, reversal spotting, and smart alerting. CORE LOGIC The indicator calculates the current range of the selected time frame (e.g., Daily), which is: Current Range = High - Low This is then compared to the ATR (Average True Range) of the same time frame, which represents the average price movement range over a defined period (default is 14). The comparison is expressed as a percentage, calculated with this formula: Range % = (Current Range / ATR) × 100 This percentage shows how much of the “average expected move” has already occurred. WHY IT MATTERS When the current range approaches or exceeds 100% of ATR, it means the price has already moved as much as it typically does in a full session. This indicates a lower probability of continuing the trend with a new high or low, especially when the price is already near the session's high or low. This setup can signal: A possible consolidation phase A reversal in trend The market entering a corrective phase SMART ALERTS The indicator can alert you when: A new high is made after the range percentage exceeds your set threshold. A new low is made after the range percentage exceeds your set threshold. You can adjust the Range % Alert Threshold in the settings to tailor it to your trading style.
Pine Script® indicator
by ebecihalil
Real-Time Open Levels with Labels + Info TableReal-Time Multi-Timeframe Open Levels with Labels & Info Panel Overview This indicator displays real-time opening price levels across multiple timeframes (Monthly, Weekly, Daily, 4H) directly on your chart. It features: • Dynamic horizontal lines extending through each timeframe period • Customizable labels with text/colors • Special 4H line treatment for the last hour (5-min charts only) • Integrated information panel showing symbol, timeframe, and price changes ! (www.tradingview.com) *Example showing multiple timeframe levels with labels and info panel* --- Features & Configuration 1. Monthly Settings ! (www.tradingview.com) Show Monthly: Toggle visibility of monthly opening price Color: Semi-transparent blue (#2196F3 at 70% opacity) Width: 2px line thickness Style: Solid/Dotted/Dashed Label: Display "M-Open" text with white text on blue background 2. Weekly Settings ! (www.tradingview.com) Show Weekly: Toggle weekly opening price visibility Color: Semi-transparent red (#FF5252 at 70% opacity) Width: 1px thickness Style: Dotted by default Label: "W-Open" text in white on red background 3. Daily Settings ! (www.tradingview.com) Show Daily: Toggle daily opening price Color: Amber (#FFA000 at 70% opacity) Width: 2px thickness Style: Solid Label: "D-Open" in white on orange background --- 4. 4-Hour Settings (5-Minute Charts Only) Special Features for 5-Min Timeframe: 1. Standard 4H Line • First 3 hours: Green (#4CAF50) dashed line • Last hour: Bright red solid line (configurable) • Vertical divider between 3rd/4th hours 2. Configuration Options • Main 4H Line: ◦ Color/Width/Style for initial 3 hours ◦ Toggle label ("H4-Open") visibility and styling • Final Hour Enhancement: *Last Hour Line* ◦ Unique red color and line style ◦ Separate width (1px) and style (Solid) *Divider Line* ◦ Vertical red dotted line marking last hour ◦ Adjustable position/width/transparency ! (www.tradingview.com) *4H levels showing 3-hour segment and final hour treatment* --- 5. Info Panel Settings Positioning: • Anchor to any chart corner (Top/Bottom + Left/Right combinations) • Three text sizes: Title (Huge), Change % (Large), Signature (Small) Display Elements: • Symbol: Show exchange prefix (e.g., "NASDAQ:") • Timeframe: Current chart period (e.g., "5m") • Change %: 24-hour price movement ▲/▼ percentage • Custom Signature: Add text/username in footer Styling: • Semi-transparent white text (#ffffff77) • Currency pair formatting (e.g., BTC/USD vs BTC-USD) ! (www.tradingview.com) *Sample info panel with all elements enabled* --- Usage Tips 1. Multi-Timeframe Context: Use levels to identify key daily/weekly support/resistance 2. 4H Trading: On 5-min charts, watch for price reactions near final hour transition 3. Customization: • Match line colors to your chart theme • Use different labels for clarity (e.g., "Weekly Open") • Disable unused elements to reduce clutter 4. Divider Lines: Helps identify institutional trading periods (hour closes) --- *Created using Pine Script v6. For optimal performance, use on charts <1H timeframe. ()*
Pine Script® indicator
by trader-KK
VWAP Breakout Strategy + EMAs + Clean Cycle/TP/SL PlotsHere’s a quick user-guide to get you up and running with your “VWAP Breakout Strategy + EMAs + Clean Cycle/TP/SL Plots” script in TradingView: ⸻ 1. Installing the Script 1. Open TradingView, go to Pine Editor (bottom panel). 2. Paste in your full Pine-v6 code and hit Add to chart. 3. Save it (“Save as…”): give it a memorable name (e.g. “VWAP Breakout+EMAs”). ⸻ 2. Configuring Your Inputs Once it’s on the chart, click the ⚙️ Settings icon to tune: Setting Default What it does ATR Length 14 Period for average true range (volatility measure) ATR Multiplier for Stop 1.5 How many ATRs away your stop-loss sits TP1 / TP2 Multipliers (ATR) 1.0 / 2.0 Distance of TP1 and TP2 in ATR multiples Show VWAP / EMAs On Toggles the blue VWAP line & EMAs (100/34/5) Full Cycle Range Points 200 Height of the shaded “cycle zone” Pivot Lookback 5 How many bars back to detect a pivot low Round Number Step 500 Spacing of your dotted horizontal lines Show TP/SL Labels On Toggles all the “ENTRY”, “TP1”, “TP2”, “STOP” tags Feel free to adjust ATR multipliers and cycle-zone size based on the instrument’s typical range. ⸻ 3. Reading the Signals • Long Entry: • Trigger: price crosses above VWAP • You’ll see a green “Buy” tag at the low of the signal bar, plus an “ENTRY (Long)” label at the close. • Stop is plotted as a red dashed line below (ATR × 1.5), and TP1/TP2 as teal and purple lines above. • Short Entry: • Trigger: price crosses below VWAP • A red “Sell” tag appears at the high, with “ENTRY (Short)” at the close. • Stop is the green line above; TP1/TP2 are dashed teal/purple lines below. ⸻ 4. Full Cycle Zone Whenever a new pivot low is detected (using your Pivot Lookback), the script deletes the old box and draws a shaded yellow rectangle from that low up by “Full Cycle Range Points.” • Use this to visualize the “maximum expected swing” from your pivot. • You can quickly see whether price is still traveling within a normal cycle or has overstretched. ⸻ 5. Round-Number Levels With Show Round Number Levels enabled, you’ll always get horizontal dotted lines at the nearest multiples of your “Round Number Step” (e.g. every 500 points). • These often act as psychological support/resistance. • Handy to see confluence with VWAP or cycle-zone edges. ⸻ 6. Tips & Best-Practices • Timeframes: Apply on any intraday chart (5 min, 15 min, H1…), but match your ATR length & cycle-points to the timeframe’s typical range. • Backtest first: Use the Strategy Tester tab to review performance, tweak ATR multipliers or cycle size, then optimize. • Combine with context: Don’t trade VWAP breakouts blindly—look for confluence (e.g. support/resistance zones, higher-timeframe trend). • Label clutter: If too many labels build up, you can toggle Show TP/SL Labels off and rely just on the lines. ⸻ That’s it! Once you’ve added it to your chart and dialed in the inputs, your entries, exits, cycle ranges, and key levels will all be plotted automatically. Feel free to experiment with the ATR multipliers and cycle-zone size until it fits your instrument’s personality. Happy trading!
Pine Script® strategy
by CatalystNKD
Bollinger Band StrategyDescription of the Bollinger Band Breakout Strategy This trading strategy, credited to Siddhart Bhanushali, is a momentum-based approach that uses Bollinger Bands and a 22-period Simple Moving Average (SMA) to identify high-probability breakout trades. It focuses on detecting periods of low volatility (contraction) followed by high volatility (expansion) to enter trades with a favorable risk-reward ratio. The strategy is designed to capture significant price movements in trending markets, with clear rules for entry, stop loss, and profit targets. Strategy Overview The strategy generates buy and sell signals based on specific conditions involving the 22-period SMA and Bollinger Bands. It aims to enter trades when the price breaks out of a consolidation phase, confirmed by the direction of the SMA and the behavior of a green or red candle relative to the Bollinger Bands. The minimum target for each trade is a 1:2 risk-reward ratio. Credit This strategy is credited to Siddhart Bhanushali, who designed it to leverage Bollinger Band breakouts in trending markets, providing a clear and systematic approach to trading with defined risk-reward parameters.
Pine Script® indicator
by vvtradingss
Circuit % Marker w/ Mirrored Arrows📈 Indian Market Circuit Limit Change Tracker This indicator automatically tracks circuit limit changes (price bands) as applied in NSE/BSE stocks. 🧠 How It Works: Start from a user-defined initial circuit limit (e.g. 10%) If the upper or lower limit is hit, the script waits for a user-defined cooling period (e.g. 5 trading days) After that, it automatically adjusts to the next lower or higher band (e.g. from 10% to 5%) Shows a visual label with the current circuit % right on the chart — placed above or below candles for better visibility 🔧 Custom Inputs: Starting Circuit % — choose between standard NSE/BSE values (20%, 10%, 5%, 2%) Cooling Days — how many days must pass after a circuit hit before it’s allowed to change again Label Positioning, Color, and Size — fully customizable to suit your chart style 🚫 No Clutter: Doesn’t draw circuit limit lines Just clean, small labels at key turning points — as seen in real trading dashboards 🔍 Notes: NSE and BSE manually assign circuit bands — this script does not fetch live exchange data Use it as a visual tracker and simulator of how circuit behavior would evolve under fixed rules
Pine Script® indicator
by bupumol
JPMorgan G7 Volatility IndexThe JPMorgan G7 Volatility Index: Scientific Analysis and Professional Applications Introduction The JPMorgan G7 Volatility Index (G7VOL) represents a sophisticated metric for monitoring currency market volatility across major developed economies. This indicator functions as an approximation of JPMorgan's proprietary volatility indices, providing traders and investors with a normalized measurement of cross-currency volatility conditions (Clark, 2019). Theoretical Foundation Currency volatility is fundamentally defined as "the statistical measure of the dispersion of returns for a given security or market index" (Hull, 2018, p.127). In the context of G7 currencies, this volatility measurement becomes particularly significant due to the economic importance of these nations, which collectively represent more than 50% of global nominal GDP (IMF, 2022). According to Menkhoff et al. (2012, p.685), "currency volatility serves as a global risk factor that affects expected returns across different asset classes." This finding underscores the importance of monitoring G7 currency volatility as a proxy for global financial conditions. Methodology The G7VOL indicator employs a multi-step calculation process: Individual volatility calculation for seven major currency pairs using standard deviation normalized by price (Lo, 2002) - Weighted-average combination of these volatilities to form a composite index - Normalization against historical bands to create a standardized scale - Visual representation through dynamic coloring that reflects current market conditions The mathematical foundation follows the volatility calculation methodology proposed by Bollerslev et al. (2018): Volatility = σ(returns) / price × 100 Where σ represents standard deviation calculated over a specified timeframe, typically 20 periods as recommended by the Bank for International Settlements (BIS, 2020). Professional Applications Professional traders and institutional investors employ the G7VOL indicator in several key ways: 1. Risk Management Signaling According to research by Adrian and Brunnermeier (2016), elevated currency volatility often precedes broader market stress. When the G7VOL breaches its high volatility threshold (typically 1.5 times the 100-period average), portfolio managers frequently reduce risk exposure across asset classes. As noted by Borio (2019, p.17), "currency volatility spikes have historically preceded equity market corrections by 2-7 trading days." 2. Counter-Cyclical Investment Strategy Low G7 volatility periods (readings below the lower band) tend to coincide with what Shin (2017) describes as "risk-on" environments. Professional investors often use these signals to increase allocations to higher-beta assets and emerging markets. Campbell et al. (2021) found that G7 volatility in the lowest quintile historically preceded emerging market outperformance by an average of 3.7% over subsequent quarters. 3. Regime Identification The normalized volatility framework enables identification of distinct market regimes: - Readings above 1.0: Crisis/high volatility regime - Readings between -0.5 and 0.5: Normal volatility regime - Readings below -1.0: Unusually calm markets According to Rey (2015), these regimes have significant implications for global monetary policy transmission mechanisms and cross-border capital flows. Interpretation and Trading Applications G7 currency volatility serves as a barometer for global financial conditions due to these currencies' centrality in international trade and reserve status. As noted by Gagnon and Ihrig (2021, p.423), "G7 currency volatility captures both trade-related uncertainty and broader financial market risk appetites." Professional traders apply this indicator in multiple contexts: - Leading indicator: Research from the Federal Reserve Board (Powell, 2020) suggests G7 volatility often leads VIX movements by 1-3 days, providing advance warning of broader market volatility. - Correlation shifts: During periods of elevated G7 volatility, cross-asset correlations typically increase what Brunnermeier and Pedersen (2009) term "correlation breakdown during stress periods." This phenomenon informs portfolio diversification strategies. - Carry trade timing: Currency carry strategies perform best during low volatility regimes as documented by Lustig et al. (2011). The G7VOL indicator provides objective thresholds for initiating or exiting such positions. References Adrian, T. and Brunnermeier, M.K. (2016) 'CoVaR', American Economic Review, 106(7), pp.1705-1741. Bank for International Settlements (2020) Monitoring Volatility in Foreign Exchange Markets. BIS Quarterly Review, December 2020. Bollerslev, T., Patton, A.J. and Quaedvlieg, R. (2018) 'Modeling and forecasting (un)reliable realized volatilities', Journal of Econometrics, 204(1), pp.112-130. Borio, C. (2019) 'Monetary policy in the grip of a pincer movement', BIS Working Papers, No. 706. Brunnermeier, M.K. and Pedersen, L.H. (2009) 'Market liquidity and funding liquidity', Review of Financial Studies, 22(6), pp.2201-2238. Campbell, J.Y., Sunderam, A. and Viceira, L.M. (2021) 'Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds', Critical Finance Review, 10(2), pp.303-336. Clark, J. (2019) 'Currency Volatility and Macro Fundamentals', JPMorgan Global FX Research Quarterly, Fall 2019. Gagnon, J.E. and Ihrig, J. (2021) 'What drives foreign exchange markets?', International Finance, 24(3), pp.414-428. Hull, J.C. (2018) Options, Futures, and Other Derivatives. 10th edn. London: Pearson. International Monetary Fund (2022) World Economic Outlook Database. Washington, DC: IMF. Lo, A.W. (2002) 'The statistics of Sharpe ratios', Financial Analysts Journal, 58(4), pp.36-52. Lustig, H., Roussanov, N. and Verdelhan, A. (2011) 'Common risk factors in currency markets', Review of Financial Studies, 24(11), pp.3731-3777. Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012) 'Carry trades and global foreign exchange volatility', Journal of Finance, 67(2), pp.681-718. Powell, J. (2020) Monetary Policy and Price Stability. Speech at Jackson Hole Economic Symposium, August 27, 2020. Rey, H. (2015) 'Dilemma not trilemma: The global financial cycle and monetary policy independence', NBER Working Paper No. 21162. Shin, H.S. (2017) 'The bank/capital markets nexus goes global', Bank for International Settlements Speech, January 15, 2017.
Pine Script® indicator
by EdgeTools