OPEN-SOURCE SCRIPT
Intraday & Annual CAPM Alpha
Intraday & Annual CAPM Alpha
This TradingView™ Pine v6 indicator computes and plots a stock’s CAPM α (alpha) on both intraday and daily/annualized timeframes, allowing you to monitor relative performance against a chosen benchmark (e.g. SPX, NDX).
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Key Outputs
1. Intraday α per Bar (blue line)
• Calculates α from a rolling-window linear regression of the last N bars’ returns (default 60).
• Expressed as “extra return per bar” vs. the benchmark.
2. Intraday α Daily-Equivalent (stepped blue line)
• Scales the per-bar α to a full trading day (390 minutes), showing “if this pace held all day, outperformance (%)”.
3. Annualized α (yellow line)
• Performs the same CAPM regression on daily returns over a D-day lookback (default 252), then annualizes α by multiplying by 252.
• Indicates longer-term relative strength/weakness vs. the benchmark.
⸻
Inputs
• Benchmark Symbol: Choose any index or ETF (e.g. “SPX”, “NDX”).
• Intraday Lookback Bars: Number of bars for intraday α regression (default 60).
• Daily Lookback Days: Number of trading days for daily CAPM regression (default 252).
• Use Log Returns?: Toggle between arithmetic vs. log returns.
⸻
How to Use
• Short-Term Signals:
• Watch the blue α/bar line on 1–15 min charts. A cross from negative to positive suggests intraday outperformance; a reversal warns of weakening momentum.
• The blue daily-equivalent α gives a smoother view—e.g. > +1% signals strong intraday bias, < –1% signals underperformance.
• Long-Term Trends:
• On daily charts, focus on the yellow annualized α. A sustained positive α implies this stock has historically beaten the benchmark; sustained negative α implies the opposite.
• Combining Timeframes:
• Use intraday α for timing entries/exits within the session, and annualized α to confirm whether you want a bullish or bearish bias over days to weeks.
⸻
Install & Configure
1. Copy the Pine v6 script into the TradingView Pine Editor.
2. Set your favorite benchmark, lookback periods, and returns type.
3. Add to your chart to start visualizing real-time CAPM α signals!
Feel free to adjust the lookback windows and threshold levels to suit your trading style.
This TradingView™ Pine v6 indicator computes and plots a stock’s CAPM α (alpha) on both intraday and daily/annualized timeframes, allowing you to monitor relative performance against a chosen benchmark (e.g. SPX, NDX).
⸻
Key Outputs
1. Intraday α per Bar (blue line)
• Calculates α from a rolling-window linear regression of the last N bars’ returns (default 60).
• Expressed as “extra return per bar” vs. the benchmark.
2. Intraday α Daily-Equivalent (stepped blue line)
• Scales the per-bar α to a full trading day (390 minutes), showing “if this pace held all day, outperformance (%)”.
3. Annualized α (yellow line)
• Performs the same CAPM regression on daily returns over a D-day lookback (default 252), then annualizes α by multiplying by 252.
• Indicates longer-term relative strength/weakness vs. the benchmark.
⸻
Inputs
• Benchmark Symbol: Choose any index or ETF (e.g. “SPX”, “NDX”).
• Intraday Lookback Bars: Number of bars for intraday α regression (default 60).
• Daily Lookback Days: Number of trading days for daily CAPM regression (default 252).
• Use Log Returns?: Toggle between arithmetic vs. log returns.
⸻
How to Use
• Short-Term Signals:
• Watch the blue α/bar line on 1–15 min charts. A cross from negative to positive suggests intraday outperformance; a reversal warns of weakening momentum.
• The blue daily-equivalent α gives a smoother view—e.g. > +1% signals strong intraday bias, < –1% signals underperformance.
• Long-Term Trends:
• On daily charts, focus on the yellow annualized α. A sustained positive α implies this stock has historically beaten the benchmark; sustained negative α implies the opposite.
• Combining Timeframes:
• Use intraday α for timing entries/exits within the session, and annualized α to confirm whether you want a bullish or bearish bias over days to weeks.
⸻
Install & Configure
1. Copy the Pine v6 script into the TradingView Pine Editor.
2. Set your favorite benchmark, lookback periods, and returns type.
3. Add to your chart to start visualizing real-time CAPM α signals!
Feel free to adjust the lookback windows and threshold levels to suit your trading style.
Skrip sumber terbuka
Dalam semangat sebenar TradingView, pencipta skrip ini telah menjadikannya sumber terbuka supaya pedagang dapat menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupun anda boleh menggunakannya secara percuma, ingat bahawa menerbitkan semula kod ini adalah tertakluk kepada Peraturan Dalaman kami.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.
Skrip sumber terbuka
Dalam semangat sebenar TradingView, pencipta skrip ini telah menjadikannya sumber terbuka supaya pedagang dapat menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupun anda boleh menggunakannya secara percuma, ingat bahawa menerbitkan semula kod ini adalah tertakluk kepada Peraturan Dalaman kami.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.