Linear Regress on Price And VolumeLinear regression is a statistical method used to model the relationship between a dependent variable and one or more independent variables. It assumes a linear relationship between the dependent variable and the independent variable(s) and attempts to fit a straight line that best describes the relationship.
In the context of predicting the price of a stock based on the volume, we can use linear regression to build a model that relates the price of the stock (dependent variable) to the volume (independent variable). The idea is to use lookback period to predict future prices based on the volume.
To build this indicator, we start by collecting data on the price of the stock and the volume over a selected of time or by default 21 days. We then plot the data on a scatter plot with the volume on the x-axis and the price on the y-axis. If there is a clear pattern in the data, we can fit a straight line to the data using a method called least squares regression. The line represents the best linear approximation of the relationship between the price and the volume.
Once we have the line, we can use it to make predictions. For example, if we observe a certain volume, we can use the line to estimate the corresponding price.
It's worth noting that linear regression assumes a linear relationship between the variables. In reality, the relationship between the price and the volume may be more complex, and other factors may also influence the price of the stock. Therefore, while linear regression can be a useful tool, it should be used in conjunction with other methods and should be interpreted with caution.
Statistics
Spot vs Derivative PremiumDifference between spot and derivative prices. With this indicator you can get an idea on how strong the market is.
Turtle Trading Risk Adjusted Position Size CalculatorTurtle Trading Risk Adjusted Position Size Calculator
Hello Traders !
Turtle Trading Risk Adjustment Calculator (inspired by the Turtle Traders Position sizing methods) aims to objectively help day traders allocate the appropriate position size per trade by scaling different instruments by their risk, as measured by their volatility via the ATR (default - Average of 14 period True Range). By doing so This volatility-based position sizing method normalizes risk across different asset classes.
Understanding The formula
Formula U normalizes positions sizes among any non FX asset, by representing a standard unit of risk as a fraction of volatility adjusted by a risk coefficient (note higher risk coeff values (high uncertainty) will lead to lower trade capital allocation i.e lower position size - Varying the risk coefficient is relevant in expressing uncertainty) and scaled to ones trading account size relative to 1 contract of the asset to be traded, This is referred to as the Dollar volatility, formula D.
Dollar volatility is a bit confusing but in essence it is simply a factor of the asset price such that quantity sums to ones Trading account balance or how many times larger ones trading account is than the assets current market price, or more formally The amount of value a $1 change in the contract would impact your trading account given you are current trading all you account equity.
Formula TVPP is my own adaptation of the Turtle Trading Position Sizing formulas and the standard value per pip formula adjusted for volatility, this iteration has the same logic as stated above although the formulas vary.
Hope this is Useful, Wishing you Luck in your Trading Journey - u got this !!
Futures/Spot Ratiowhat is Futures /Spot Ratio?
Although futures and spot markets are separate markets, they are correlated. arbitrage bots allow this gap to be closed. But arbitrage bots also have their limits. so there are always slight differences between futures and spot markets. By analyzing these differences, the movements of the players in the market can be interpreted and important information about the price can be obtained. Futures /Spot Ratio is a tool that facilitates this analysis.
what it does?
it compresses the ratio between two selected spot and futures trading pairs between 0 and 100. its purpose is to facilitate use and interpretation. it also passes a regression (Colorful Regression) through the middle of the data for the same purpose.
about Colorful Regression:
how it does it?
it uses this formula:
how to use it?
use it to understand whether the market is priced with spot trades or leveraged positions. A value of 50 is the breakeven point where the ratio of the spot and leveraged markets are equal. Values above 50 indicate excess of long positions in the market, values below 50 indicate excess of short positions. I have explained how to interpret these ratios with examples below.
RS Stage AnalysisThis script trying to detect different lifecycle of stock / Stages.
There is mainly 4 stages of stocks.
1) stage 1 - Accumulation = color = aqua
2) stage 2 - Advancing = color = green
3) stage 3 - Distribution = color = yellow
4) stage 4 - Declining = color = red
At some point the condition i wrote wont detect any stage.
XLY/XLP RatioThe XLY/XLP ratio is a financial indicator that measures the ratio between the two ETFs (Exchange Traded Funds) Consumer Discretionary Select Sector SPDR Fund (XLY) and Consumer Staples Select Sector SPDR Fund (XLP). This ratio is often used by traders and investors as a measure of the relative success of companies in the consumer goods and consumer services sectors.
A higher XLY/XLP ratio indicates that consumer confidence is higher and people are more willing to spend their money on non-essential items, such as entertainment or luxury goods (discretionary spending). A lower XLY/XLP ratio, on the other hand, indicates that consumer confidence is lower and people are more willing to spend their money on essential items like food and household items (staple spending).
The interpretation of the XLY/XLP ratio depends on the current market situation and the analysis of the economic and political factors that may influence consumption. If the XLY/XLP ratio rises, it could be an indication of a growing economy and increasing consumer sentiment. However, if it falls, it could be an indication of a weakening economy or declining consumer confidence.
It is important to note that the XLY/XLP indicator should not be used as the sole indicator to make trading decisions. It is advisable to also consider other indicators, such as technical and fundamental analysis, before making a decision.
Gaps [Kioseff Trading]Hello!
This script "Gaps" is a continuation and improvement on a subset indicator included in the "Quartile Volume; Volume Aggregation; US Range Bars; Gaps)" script!
As advised by @thebearfib, the "Gaps" indicator is now standalone!
Features
Stat: Avg. Bars to Fill Up Gap
Stat: Avg. Bars to Fill Down Gap
Stat: Cumulative Up Gap % Increase
Stat: Cumulative Down Gap % Increase
Stat: Avg Up Gap % Increase
Stat: Avg Down Gap % Decrease
Nearest Unfilled Up Gaps and Down Gaps Displayed in Table
% Price Move Requirement, Including Dollar Amount, for Nearest Unfilled Gaps to Fill
Gaps Marked on Chart, Including Partially Filled Gaps and The % Amount a Partially Filled Gap Has Been Violated
Gaps Chart
The image above shows the data tables included in the indicator!
Settings
The image above shows various settings for the indicator!
The image above shows how partially filled gaps are marked using the default settings.
Exceeded price areas are shaded darker; however, by selecting the "No Partially Filled Gaps" option, the indicator will treat partially filled gaps differently.
The image above shows alternative behavior! Instead of the gap changing color it narrows in size.
The image above shows the indicator's behavior when selecting to show gap data in labels.
Therefore, when a gap is small and the box text is imperceptible, you can select to show the data in a label.
Additionally, you can select to display a "Gaps Chart".
The image above shows this feature enabled. The gaps chart shows the sequence of price gaps for the asset as candlesticks.
Thank you for checking this out; if you'd like other features included please let me know!
Highest/Lowest value since X time ago, various indicatorsThis script will count the bars back since the last time the current bar indicator value was either this low or this high.
It will provide the time in either, seconds, minutes, hours, days, weeks, months, or years.
please note:
There are currently no alerts setup for this script.
the length options only apply to the sources that have the "(MA)" in their name.
There is a horizontal line display issue which corrects once you adjust the amount of sources you want to use.
Once you select the amount of sources you would like to use, align the indicator so the horizontal lines match up with the table lines.
If find any bugs in the script, let me know.
Price Data LabelThis indicator gives you the ability to see historical data for each bar on the chart by simply hovering over the high of the bar, similar to the functionality of MarketSmith.
Data for each bar includes:
Open
High
Low
Close + Change
Percentage Change
Closing Range
Volume
Volume Percent based on 50 day average
Distance to 4 selectable moving averages
Example of stats on a historical bar:
* Note this only works on the last 500 historical bars. If you use bar replay it will work with 500 historical bars from the last bar.
* If you have multiple indicators on your chart, in order to see the data you will need to use visual order to bring to front. This can be done by clicking the three dots next to the indicator name and selecting visual order.
Correlation Coefficient TableThis is a sample PineSript code implementation using Correlation Coefficient. It uses the ta.correlation library of Pinescript and calculates the correlation based on user input length. The results are then plotted on a table. The corr value displays the actual correlation coefficient value while the Corr Status displays the interpretation of the correlation coefficient values.
The script takes the following input
Source Symbol - This is the base symbol which will be used in calculating correlation coefficient. In my case, since i am looking more often on crypto. I defaulted it to BTCUSDT
Symbol 1 - Symbol 5 - These are the coins that will be compared to our base symbol for correlation.
Source - You can select on which price source you want to be calculated. By default this is set to candle close price.
Length - The number of price bar to look back and retrieve correlation coefficient. Set to 20 bars by default.
Table Settings - Since the correlation coefficient are displayed on a table. An option to customize the table settings are presented.
The Correlation Status column was based on this Interpretation:
For more information, read this article www.tradingview.com
Global (World) Monetary Supply M2 (measured in USD)This is the Global Monetary Supply M2 of the richest and most populous countries that have info from at least 2008
It is measured in USD (converting the M2 of each of the countries respective currencies and virtually converting them into USD)
This is less than the global liquidity as it does not include the countries' assets in other currencies (on their balance sheets), it only focuses on the monetary supply of each of the countries own currencies.
Global Monetary Supply M2 Vs the Global GDP This indicator compares the Global (world) Monetary Supply (measured in USD) compared to the Global GDP.
This can be useful to measure the "money printing speed" of the world compare to the "world gdp growth", the higher the slope (angle of growth) the more money printing.
It includes the exact same countries of the Global M2 indicator (done by me), to make fair the comparison, which has the richest and most populous countries so to have a clear overview.
There tough a few very populated countries excluded, the details can be found on the Global M2 indicator script and reason for exclusion.
Enjoy!
Hurst Exponent Trend filterHello Traders !!
Hurst Exponent Trend filter utalises the Hurst Exponent and VAWMA (one of my other unique indicators - check my script publishings to use) to categorise the market and decide whether its Trending, H > 0.5, In random Geometric Brownian Motion (GBM) H = 0.5 or Mean reverting (Contrarian), H < 0.5, When Trending a Trend following indicator -The VAWMA- is color highlighted, By doing so, theoreticaly price noise is eleimnated leaving statsitcaly true zones of price action Trend.
What is The Hurst Exponent ?
Developed by The Hydrologist Edwin Harlod Hurst, The Hurst Exponent measures auto correlation in time series sets, Its first applicartions were in the natural world, e.g. in measureing the volume of water in a river.
Although since then it has had applications in Finance, this may be largly due to autocorrelation functions being usefull tools in univaritae time series anaylyis.
The Hurst Exponent (H) aims to segment the market into three differnet states, Trending (H > 0.5), Random Geometric Brownian Motion (H = 0.5) and Mean Reverting / Contrarian (H < 0.5). In my interpritation this can be used as a trend filter that iliminates market noise, which may be achived by only focusing on trending zones.
How to Interprit the Indicator :
Focusing on the Above image, When H > 0.5 A trend is presnet, to decide the directional bias, both VAWMA`s position is checked, given the fast VAWMA > slow VAWMA and the current close > the fast VAWMA a bulish bias is present, signafied by a vibrant green fill between the fast VAWMA and price action. note the exact opposite logic for a bearish bias and H > 0.5 (signafied by a vibrant red fill). .
I will continue to update this Trading Indicator.
PS : Thats given I can hopfully remmember
Happy Trading !!
Multi-Asset Month/Month % change 10yr Averages10 Year Averages of Month-on-Month % change: Shows current asset, and 3x user input assets
-For comparing seasonal tendencies among different assets.
-Choose from a variety of monthly average measures as source: sma(close, length), sma(ohlc4, length); as well as sma's of vwap, vwma, volume, volatility. (sma = simple moving average).
-Averages based on month cf previous month: i.e. Feb % = Feb compared to Jan; Jan % = Jan compared to prev year's Dec. Average of the last 10yrs of these values is the printed value.
-Plot on current year (2023), or previous year (2022). If Plotting on current year, and a month of year has not yet occured, a 9yr average will be printed.
/// notes ///
-daily bars in month is a global setting; so choose assets which have similar trading days per month. i.e. Crypto: length = 30 (days per month); Stocks/FX/Indices: length = 21 (days per month).
-only plots on Daily timeframe.
10yr Avgs; Plotting with Year = 2022; using sma(close, 21) as source for average M/M change
CBDE OscillatorWhat makes The Universe grow at an accelerating pace?
Dark Energy.
What makes The Economy grow at an accelerating pace?
Debt.
Debt is the Dark Energy of The Economy.
The Central Bank Dark Energy Oscillator (CBDEO) is a companion to the popular CBDET (Central Bank Dark Energy Tracer) script.
CBDEO is an oscillator that shows up in a separate TradingView pane in order to provide a relative change signal. It uses the same equations to aggregate central bank liquidity that are used in CBDET, and adds unique analysis tools that provide rate of change data.
There are 2 signals in the chart. First is the change/delta on a per bar basis, based on the chart time frame. The default style for this plot is "columns". This style parameter can be changed in the settings, along with each plot's visibility.
The second plot is a divergence signal that tests the change vs a simple moving average of the CBDET signal (central bank liquidity). The SMA length is customizable in the Input tab within the settings for the indicator. The SMA is based on the chart's current time frame.
The changes in liquidity on various time frames, and calculated as divergence against the liquidity signal SMA can be useful in determining the rate of change in liquidity, and therefore potential thrust in market price action.
Fundamentals Graphing [Kioseff Trading]Hello!
This script "Fundamental Comparison" allows you to compare almost any fundamental metric across 40 assets; various charting methods are employable!
Thank you to @TradingView / @PineCoders for providing the framework in the "Financials on Chart" indicator - thereby expediting a generous portion of work (:
Features
Most metrics included in the "Financials on Chart" indicator are graphable
Scatter chat
Histogram
Bar chart
Pie chart
Reversible scaling
Adjusts to the size of your chart
10 industry presets
Custom symbol dataset
Retrieve, graph, and compare fundamental data by quarter/year. The indicator can "look back" to grab fundamental data from previous quarters/years.
Sortable data - ascending/descending
Built-in search function
Self-Adjusting Graph
The graph adjusts to the orientation/size of your chart!
The image above shows the graph on a price chart with a 229 bar difference.
The image above shows the same price chart; however, there's now a 1941 bar difference to which the fundamentals graph automatically adjusts!
The images above show the same expansion/reduction for the pie chart; all graph types shrink and expand with the price chart.
Fundamental Metrics
The image above shows most of the settings for the indicator!
Most of the metrics from the "Financials on Chart" indicator are included!
Quarterly or annual data are retrievable, in addition to industry presets.
Additionally, you can retrieve the financial data any number of intervals back (so long as the data exists and is provided by TradingView)
The image above shows an example of retrieving a fundamental metric from a previous FQ. The same can be done with FY!
Sortable Data
All data retrieved by the indicator is sortable - allowing for, hopefully, easier evaluations (:
The image above exemplifies the capability!
Data from any quarter/year can be sorted similarly.
Reversible Scale / Reversible Color Scheme
A seemingly trivial feature: a reversible scale and color scheme should assist in instances where "a higher number is bad" and a "lower number is good" - in addition to other scenarios.
For instance,
The image above shows a graph for taxes. The scale and color scheme have not been reversed and, presently, larger columns are correlating to a smaller amount of money out/in than smaller columns.
This can be fixed by reversing the scale.
The image above shows the "Reverse Scale" feature selected. Consequently, larger columns correlate to a larger amount of money out/in.
Similarly, a "Reverse Colors" feature is available. A useful option when a more positive number is "bad" and a less positive number is "good".
For instance,
The image above shows graphing for the Beneish M-Score.
A more positive number is generally interpreted as "bad"; a less positive number is generally interpreted as "good".
However, our color scheme doesn't seem to correspond (unless one considers red = good and green = bad)
Let's enable the reverse color feature.
The image above shows the completion of the process!
Finally, there's a built-in search feature that's a bit difficult to use; however, should you grow comfortable with it you may save some time sorting through fundamental data.
Big thanks to @rumpypumpydumpy for providing an easy-to-work-with framework for the pie chart!
That's all for now; thank you for checking this out.
VIX Reference IndicatorHello everyone,
Releasing my VIX reference indicator.
What is it:
This indicator displays the current trading behaviour of the VIX.
It displays it in Z-Score Format along with identifying previous areas of reversal and displaying when the RSI is overbought or oversold on the VIX.
Who is it good for:
It is good for both day and swing traders who use the VIX in their trading plans.
It permits traders to look at different aspects of the VIX (RSI, Z-Score and Reversal areas) simultaneously while they are watching their current traded stock.
How does it work:
The indicator works by converting the VIX into a Z-Score (similar to bollinger bands).
It then plots the VIX out in Z-Score format in the indicator.
Because it is plotting the VIX based on Z-Score, it looks back to previous areas where the Z-Score led to a reversal (i.e. what was the lowest or highest Z-Score the VIX achieved in the lookback period before reversing).
It also looks at the RSI of the VIX. If the VIX RSI crosses at or above 70 (overbought), it will change the colour of the line to green. This means the VIX is overbought and will likely sell and thus, the thesis is, as the VIX sells, the stock you are trading should come up.
Below is a picture of the different aspects of the indicator:
Customaization:
Per usual, you can customize the colours and bands to your liking.
You are also able to specify the RSI length you want to look at as well as the Z-Score Reversal length and the timeframe length of the chart you are looking at.
The default settings are 75 Average Length lookback for the Z-Score Reversal and the Chart and 14 period RSI.
TIPS:
The most persuasive setups are when you get all 3 of the following:
1. A signal that supports the thesis (buy or sell) along with:
2. An RSI signal that supports the z-score signal along with:
3. The VIX trading at an extreme end of its Z-Score range
Example:
In the example above you will see the following conditions are met:
1. Z-Score historical reversal point identified (short)
2. VIX RSI is oversold (short)
3. VIX is at the bottom of its Z-Score range (short)
As always, I have done a quick tutorial video for your reference which you can see below:
Leave your questions/comments/requests below or on the video as I am always happy to get feedback on improvements and functionality.
Thank you everyone checking it out and safe trades!
Correlation Matrix + Heatmap - By LeviathanA quick and easy way to visualize the correlation between 10 different symbols over a custom period of time, in the form of a matrix with a heatmap visualization and additional tools such as price increase/decrease %, multi-timeframe function, customizable appearance and more.
The indicator displays correlation coefficients for each pair of 10 assets in a matrix format, where the rows and columns represent the assets being compared between each other. The color of each cell corresponds with the strength of the correlation coefficient, allowing you to quickly identify which assets are strongly correlated, and which are not, and use that information to adjust risk or even get trade ideas. Coupled with the "Price Change" function, the script will help you find trade opportunities based on eg. the long-term correlation strength and short-term price direction differences between two assets. The "Correlation Length" input defines the number of bars used for calculating the correlation, while "Price Change Length" defines the bar to which the current price is compared when calculating price change (eg. the input 20 means that the script will compare the price of the candle close that occurred 20 bars ago and the current price).
Correlation coefficient:
The correlation coefficient is a statistical measure that quantifies the degree of linear relationship between two variables. The correlation coefficient ranges from -1 to 1, with 1 being perfect positive correlation and -1 being perfect negative correlation.
• A correlation coefficient of 1 indicates a perfect positive linear relationship between two variables. This means that when one variable increases, the other variable also increases in a proportional manner.
• A correlation coefficient of 0 indicates no linear relationship between two variables. This means that changes in one variable do not affect the other variable.
• A correlation coefficient of -1 indicates a perfect negative linear relationship between two variables. This means that when one variable increases, the other variable decreases in a proportional manner.
Inspired by @RicardoSantos's script
Time of Day - Volatility Report█ OVERVIEW
The indicator analyses the volatility and reports statistics by the time of day.
█ CONCEPTS
Around the world and at various times, different market participants get involved in the markets. How does this affect the market?
Knowing this gets you better prepared and improves your trading. Here are some ideas to explore:
When is the market busy and quiet?
What time is it the most volatile?
Which pairs in your watchlist are moving while you are actively trading?
Should you adjust your trading time? Should you change your trading pairs?
When does your strategy perform the best?
What entry times do your winners have in common? What about the exit times of your losers?
Is it worth keeping your trade open overnight?
Bitcoin (UTC+0)
Gold (UTC+0)
Tesla, Inc. (UTC+0)
█ FEATURES
Selectable time zones
Display the statistics in your geographical time zone (or other market participants), the exchange time zone, or UTC+0.
Configurable outputs
Output the report statistics as mean or median.
█ HOW TO USE
Plot the indicator and visit the 1H timeframe.
█ NOTES
Gaps
The indicator includes the volatility from gaps.
Calculation
The statistics are not reported from absolute prices (does not favor trending markets) nor percentage prices (does not depict the different periods of volatility that markets can go through). Instead, the script uses the prices relative to the average range of previous days (daily ATR).
Extended trading session
The script analyses extended hours when activated on the chart.
Daylight Saving Time (DST)
The exchange time or geographical time zone selected may observe Daylight Saving Time. For example, NASDAQ:TSLA always opens at 9:30 AM New York time but may see different opening times in another part of the globe (New York time corresponds to UTC-4 and UTC-5 during the year).
TSG 5% Daily CalculatorThis is a calculator I've created to help visualize Target and Risk Levels based on leverage use to trade crypto.
How to use it ?
Basic Use:
- Set the Direction of your trade - either Long or Short
- Set the Leverage you use in your trade - it is crutial to define the risk and target levels
- Set the Risk Amount you want to risk (in %) of your total balance ( Advised 2-3% )
- Set the Target Amount you want to profit at the target (the idea of this is 5% daily, so 5%).
- Set Entry Price if you have opened a position, and you will visually see your progress. Otherwise the levels will be adjusted to the Close of the candle.
Additions:
- Set your Initial Balance - to help you visualize on the Table your progress
- Set your Current Balance - for visualization purposes on ongoing trades and on the Table
- Entry Date - Advised to set it when you open a trade - you will be tracking the progress of your trade since the candle on which you opened it
- Show Table - to show the table of 5% daily and the target it is set on per day
- Table Size - Set table to be small or normal
- Together with the Table you have a big blue area behind that ends on the day you will become a Millionaire based on the Initial Balance, Current balance and Target % in your inputs
Global Unemployment RateThe Global Unemployment rate estimates what is the rate of unemployment of the whole world, taking same data from multiple countries and normalizing them.
It includes the Eurozone + 19 countries from all the continents, which are some of the richest countries as well as some of the most populous.
It sadly does not include India as its unemployment data on trading view as of today (Feb 2023) is only since year 2019, which is too short
