VocsOng Intraday Support ResistanceOverview
This indicator is meant for intraday trading, mainly designed for SPX . The main purpose of this indicator is to mark out the key levels of support and resistance for intraday.
There are 9 main support and resistance that forms this intraday support resistance indicator.
1. Today's Open
Today's open is often a neglected area because by default change percentage is always based on yesterday close. So having a line drawn for today's open is the very starting point.
2. Yesterday Close
3. Yesterday High
4. Yesterday Low
Yesterday Close, High, Low are important intraday trading areas, it is very common that price action resist at this area.
5. Past 4 Days Calculated Estimated High (YesterdayClose + (EstimatedRange/2) :: EstimatedRange = Nearest day x0.4, followed by 0.3, 0.2, 0.1)
6. Past 4 Days Calculated Estimated Low (YesterdayClose - (EstimatedRange/2) :: EstimatedRange = Nearest day x0.4, followed by 0.3, 0.2, 0.1)
This is a calculated estimated high/low range based on past 4 days range. Weighing the nearest day heaviest of 40%, followed by 30%, 20%, 10%.
This calculated high/low area apparently also act as good support and resistance area sometimes.
7. Expected Move High (YesterdayClose + VIX/100 * SquareRoot(1/365))
8. Expected Move Low (YesterdayClose - VIX/100 * SquareRoot(1/365))
This is the formula used to calculate expected move LIVE based on current VIX. This is based from today's open.
9. 1.5% to 2% from SPX Open today
This marks out a zone where SPX is 1.5% to 2% away from today's open. This gives a general guide on a fix percentage change based on today's open.
Statistically, SPX close within 1.5% change from today's open 93.18% of the time in the past 10 years.
How I use them?
First to note, this indicator works best on 1 minute chart. Other timeframe might not be that accurate.
All these are intraday support and resistance. They can be simply use as support and resistance by default.
In addition to that, 7,8,9 are also used as overbought/oversold indicator because they are centered to today's open.
As SPX move towards 7,8,9, it shows how overbought or oversold it is.
I use this indicator with SPX 0 dte options trading.
So as SPX approaches the oversold area, and near any of the support, I will sell a 30 wide put credit spread at 5 delta away or $1 target credit.
This trade entry goes together with a bracket take profit (80%) and stop loss (200%) OCO order.
J-SPX
vix_vx_regressionAn example of the linear regression library, showing the regression of VX futures on the VIX. The beta might help you weight VX futures when hedging SPX vega exposure. A VX future has point multiplier of 1000, whereas SPX options have a point multiplier of 100. Suppose the front month VX future has a beta of 0.6 and the front month SPX straddle has a vega of 8.5. Using these approximations, the VX future will underhedge the SPX straddle, since (0.6 * 1000) < (8.5 * 100). The position will have about 2.5 ($250) vega. Use the R^2 (coefficient of determination) to check how well the model fits the relationship between VX and VIX. The further from one this value, the less useful the model.
(Note that the mini, VXM futures also have a 100 point multiplier).
S&P Sector CorrelationScript for Macro:
This indicator shows the 9 day average of the correlation of the 11 S&P500 sectors with the security.
Recommend you use the indicator on SPX or SPY, but you can change the values to be compared.
GLHF
- DPT
ILM | Structural Pivots v1This script will mark the structural pivots based on some rules.
Solid green/red lines are for major trend to mark LPH (Large Pivot High) and LPL (Large Pivot Low).
Dotted green/red lines are for minor trend SPH (Small Pivot High) and SPL (Small Pivot Low). SPH and SPL are not marked as labels to reduce congestion on the chart.
Gray lines are to identify temporary large pivots before they get promoted to LPH / LPL
Blue lines are to identify temporary small pivots before they get promoted to SPH / SPL
Couple of common trading strategies
- Go Long above LPH
- Go Short below LPL
- Go Long above SPH after LPH
- Go Short below SPL after LPL
Mean Reversion
- Go Long above SPH after LPL
- Go Short below SPL after LPH
This is the initial version and I am making it as public beta to iron out any issues. I might make this script private in future - FYI
vol_premiaThis script shows the volatility risk premium for several instruments. The premium is simply "IV30 - RV20". Although Tradingview doesn't provide options prices, CBOE publishes 30-day implied volatilities for many instruments (most of which are VIX variations). CBOE calculates these in a standard way, weighting at- and out-of-the-money IVs for options that expire in 30 days, on average. For realized volatility, I used the standard deviation of log returns. Since there are twenty trading periods in 30 calendar days, IV30 can be compared to RV20. The "premium" is the difference, which reflects market participants' expectation for how much upcoming volatility will over- or under-shoot recent volatility.
The script loads pretty slow since there are lots of symbols, so feel free to delete the ones you don't care about. Hopefully the code is straightforward enough. I won't list the meaning of every symbols here, since I might change them later, but you can type them into tradingview for data, and read about their volatility index on CBOE's website. Some of the more well-known ones are:
ES: S&P futures, which I prefer to the SPX index). Its implied volatility is VIX.
USO: the oil ETF representing WTI future prices. Its IV is OVX.
GDX: the gold miner's ETF, which is usually more volatile than gold. Its IV is VXGDX.
FXI: a china ETF, whose volatility is VXFXI.
And so on. In addition to the premium, the "percentile" column shows where this premium ranks among the previous 252 trading days. 100 = the highest premium, 0 = the lowest premium.
Relative Strength ComparisonThis script plots the ratio between a ticker and the selected index. Currently, I have US equities indexes listed + BTC. It's a great way to check for relative strength, determine if absolute highs relative to the ratio are being made, etc.
Additionally, optional comparison of the RSI is included. I was just testing something out but figured I'd leave in here because why not. If you use this, enable the 1.0 line.
Script is a bit slow, will try to optimize eventually.
SMART4TRADER-US STOCKSThe indicator is intended to evaluate the stock market , as it takes into account the data on the BUY and SELL of all US shares. In the indicator, you can select various methods for providing data.
Priority = (BUY - SELL) with a intraday cumulative effect.
Ratio = (BUY / SELL) with a intraday cumulative effect.
Delta = (BUY - SELL) on each candle.
Volume = (BUY + SELL) on each candle.
Cumulative = (BUY - SELL) with cumulative for all available history.
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Индикатор предназначен для оценки фондового рынка , так как в себе учитывает данные о покупка и продажах всех акций США. В индикаторе можно выбрать различные методы предоставления данных.
PRIORITY = (BUY - SELL) с накопительным эффектом внутри дня.
RATIO= (BUY / SELL) с накопительным эффектом внутри дня.
DELTA= (BUY - SELL) на каждой свече.
VOLUME= (BUY + SELL) на каждой свече.
CUMULATIVE= (BUY - SELL) с накопительным за всю доступную историю на графике.
SMART4TRADER-INDEX PATTERN BREAKOUT MULTIThis indicator is designed to analyze the breakdown of previous values of the candles, not only on the selected tool, but also on others. The indicator is well used on the indices of the stock market. In the default indicator, recommended indexes are configured.
The indicator summarizes the results of the analysis of all tools and shows in the form of columns that are above and \ or below the zero line. Additionally, the indicator has two horizontal lines above zero (green) and two horizontal lines below zero (red). The breakdown of these nearest to zero lines signals the possible beginning of the move towards which the column is directed. If the column reached the left line, this means that a very strong trend is noticeable on all the tools selected in the settings.
Additionally, the indicator has a blue line that shows the average value of the columns both above and below the zero line. And also added Hull Moving Average Period (9).
BUY signal:
HIGH > HIGH(1) и LOW > LOW(1)
SELL signal:
HIGH < HIGH(1) и LOW < LOW(1) и LOW < LOW(2)
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Этот индикатор предназначен для анализа пробития предыдущих значений свечей, не только на выбранном инструменте, но и на других. Индикатор хорошо использовать на индексах фондового рынка. В индикаторе по умолчанию настроены рекомендуемые индексы для анализа.
Индикатор суммирует результаты анализа всех инструментов и показывает в виде столбиков, которые находиться выше и\или ниже нулевой линии. Дополнительно на индикаторе есть две горизонтальные линии выше нуля (зеленый) и две горизонтальные линии ниже нуля (красный). Пробитие этих ближайших к нулю линий сигнализирует о возможном начале движения в сторону, в которую направлен столбик. Если столбик достиг крайней линии, то это значит, что очень сильный тренд заметен на всех инструментах выбранных в настройках.
Дополнительно в индикаторе есть синяя линия, которая показывает среднее значение столбиков как выше, так и ниже нулевой линии. А также добавлена HULL MOVING AVERAGE период (9).
Сигнал на покупку:
HIGH > HIGH(1) и LOW > LOW(1)
Сигнал на продажу:
HIGH < HIGH(1) и LOW < LOW(1) и LOW < LOW(2)
Vix Jump for Selling Puts or Buying CallsThis script aims to identify optimal times when to write Puts for premium, for example using the SPX Weeklies model or simply buying Calls. Not perfect but provides some additional confidence when playing Puts on SPX or the Wheel on SPY.
What it does:
We compare current VIX with a lookback VIX for X% delta. If there is a jump of say 20% over a defined period then that would indicate an opportunity to sell Puts, run a straddle or buy Calls. We use VVIX as a check to stop to many false positives ie VVIX falls of faster than VIX.
You can also use this loosely as a bottom finder.
Mayfair GoldGold Oscillator using SPX & DXY to measure the moving average cross of the 3.
Gold in Orange
DXY in Green
SPX in Blue
To use this indicator, you need to see the strength (Orange above the 50%) line, use your own configurations and settings for the two MA's as a cross.
The idea is not to enter trades but to know when either SPX or/and DXY is getting stronger or weaker to help with profit-taking of gold positions.
As per any Oscillator - look for patterns, cross-overs and momentum shifts. (Treat like a MACD, RSI or Stochastic).
SectorsThis script attempts to show the relative strength of the 11 sectors in the SPX, which can be accomplished in three ways:
1. Sectors - displays all sector indices as they appear normally
2. Sector Relativity - displays each sector divided by the sum of the other 10 sectors
3. Sector Alpha - displays the alpha of each sector as compared to the sum of the other 10 sectors
I have seen some other iterations of this script that compare each sector to the SPX as a whole, a couple problems with that:
1. SPX sector weightings are unequal and change quarterly, meaning you will get an inaccurate depiction of relative sector strength across time.
2. Even if using an equal-weight SPX, you would be comparing a sector to itself as all 11 sectors are included in the SPX, not just the complementary 10 you are looking to compare one sector to.
For more information on the sectors in the SPX or the calculation of Alpha, visit the links at the top of the script.
*Includes an option for repainting -- default value is true, meaning the script will repaint the current bar.
False = Not Repainting = Value for the current bar is not repainted, but all past values are offset by 1 bar.
True = Repainting = Value for the current bar is repainted, but all past values are correct and not offset by 1 bar.
In both cases, all of the historical values are correct, it is just a matter of whether you prefer the current bar to be realistically painted and the historical bars offset by 1, or the current bar to be repainted and the historical data to match their respective price bars.
As explained by TradingView,`f_security()` is for coders who want to offer their users a repainting/no-repainting version of the HTF data.
VIX Implied Move Bands for ES/Emini futuresThis script uses the close of the VIX on a daily resolution to provide the 'implied move' for the E-mini SP500 futures. While it can be applied to any equity index, it's crucial to know that the VIX is calculated using SPX options, and may not reflect the implied volatility of other indices. The user can adjust the length of the moving average used to calculate the bands, the window of days used to calculate the implied move, and the multiplier that effects the width of the bands.
Nico's SPX Dynamic ChannelsTest of dynamic channels and some statistics made by hand.
This indicator was done specifically for the S&P500 index.
As you can see, below the 125 EMA there's a lot more volatility than in the upside. I've made some kind of a dynamic linear regression of the lows and the highs.
I've chosen the MA that best fits the SPX, and then calculated in Excel the percental mean and SDs of most important peaks and valleys that I've chosen in comparison to the 125 MA. This lead to the green, orange and red zones. BUT, I've calculated the peaks and valleys separately, as I assumed that a bear market and crashes have way more volatility than bull markets. That's why the difference between the upper and the lower channels.
The neutral blue zone is composed by an upper EMA of the highs and lower EMA of the lows. No MA in this script uses the close price as a source.
This MA makes sense because it represents a semester of trading, for this particular asset.
Backtest results
It's also interesting to try it here too, as it has a little bit more of data:
SPCFD:SPX
As it's not a trading system, I have no batting average nor ratios for this.
Still, the measures of the peaks and valleys are very accurate and repeat themselves over and over again. The results were:
3rd resistance: 12.88%
2nd resistance: 10.12%
1st resistance: 7.36%
1st support: -6.42%
2nd support: -14.8%
3rd support: -23.18%
All referred to the mean, which is the 125 EMA zone.
After the 1950's works like magic, but not before. You will see that it doesn't work in the great depression and it's crash.
How to use this indicator
Green = First grade support/resistance .
Orange = Second grade support/resistance . Caution.
Red = Third grade support/resistance . High chances of mean reversal.
Blue zone = This is the neutral zone, where the prices are not cheap nor expensive.
Often in a trending market, the price will have the blue zone as it's main support and when trending the price will stick to the green MA.
When the price touches the orange MA, the most probable is that it will return to the green MA.
If the price touches the red zone, there's a high chance that this is a big turning point and it will reverse to the mean (green or blue zone).
Imagine you've bought each time the price touched the red support, check that and you'll start liking this indicator. I think it is a great entry point for investors. The red resistance is good too, but of course it works for a short period of time.
I've backtested this indicator since the beginning of the dataset and it works like magic, but ONLY for the SPX index (spot price).
Leave a comment or some coins if you like it!!!
(I've posted it before like an analysis, not as a script, my bad)
Doms 0dte/hassan conversion v2 Hello Guys
This is a reupload!
The 0dte is for options trading and is used for the main 1 to 0 odte strategy!
It uses volume, sector and tik analysis in order to give an understanding of looking which way to play.
The next version will look at correlations between the es! Feel free to point out bugs and reach out as I want this to grow into something way stronger!
Higher vs Lower Pivots overlayA simple script that I made that draws lines between the high and low pivots. The color of the line define if the pivot is higher or lower than the previous pivot. The main thing to tune is the pivot look back vs look ahead, which are the same params used by the tradingview pivot indicator. There are several other params you can tweaks to get the look you want.
Equity Index Extended HoursHighlights the extended hours/Globex session for US Equity Index Futures.
Cyclic Smoothed RSI with Divergence IndicatorI created a single indicator that combines 1) Cyclic Smoothed RSI and 2) the Divergence indicator (bull, bear). It is very handy when used with the MACD and crossover points.
Please refer to for info on how to use the cRSI indicator.
Info on the chart.
1) Red dotted lines = cRSI crossed back from overbought and crossover in MACD
2) Red solid lines = Bear divergence and crossover in MACD
3) Green dotted lines = cRSI crossed back from oversold and crossover in MACD
4) Green solid lines = Bull divergence and crossover in MACD
5) Black transition = cRSI crossover but NO crossover in MACD
Fama-French 3 Factor ModelFama-French 3 Factor Model
Extension of the Capital Asset Pricing Model (CAPM)
CAPM
Ra = Rfr +
where,
Ra = Return of the Asset
Rfr = Risk-Free Rate
βa = Beta Coefficient of the Asset
Rm - Rfr = Market Risk Premium
Fama-French 3 Factor
r = rf + β1*(rm - rf) + β2(smh) +β3(hml)
r = Expected rate of return
rf = Risk-free rate
ß = Factor’s coefficient (sensitivity)
(rm – rf) = Market risk premium
SMB (Small Minus Big) = Historic excess returns of small-cap companies over large-cap companies
HML (High Minus Low) = Historic excess returns of value stocks (high book-to-price ratio) over growth stocks (low book-to-price ratio)
Small is set to $EWSC
Invesco S&P SmallCap 600® Equal Weight ETF
Big is set to $EQLW
Invesco S&P 100 Equal Weight ETF
High is set to $IUSV
iShares Core S&P US Value ETF
Low is set to $IUSG
iShares Core S&P US Growth ETF
returns selections
'returns'
'logarithmic returns' (use for realized (historical) returns)
'geometric returns' (compounded returns)
risk-free rate selections:
$DTB3
$DGS2
$DGS5
$DGS10
$DGS30
tf = primary time-frame
rtf = reference time-frame
Realized Variables for Options ComparisonThese variables can be used in comparison with the implied volatility of options.
Variables:
Realized Volatility
mathematical notation lowercase 'sigma'
Realized Variance
mathematical notation lowercase 'sigma' squared
Realized Beta
mathematical notation lowercase 'beta'
Timeframes:
Yearly = 250 or 365
Quarterly = 50 or 90
Monthly = 20 or 30
Important Note:
Options Contract Expiry = barmerge.lookahead_on
"Merge strategy for the requested data position. Requested barset is merged with current barset in the order of sorting bars by their opening time. This merge strategy can lead to undesirable effect of getting data from "future" on calculation on history. This is unacceptable in backtesting strategies, but can be useful in indicators."
[ All other timeframes barmerge.lookahead is disabled.
RiskOnRiskOff #SPX500 v3Riskon mode refers to a generalized perception of low risk in financial markets. Riskoff mode is the exact opposite. In this case, the perception of risk is high and drives investors away. In a riskon scenario, the market trend will continue to rise and, conversely, in riskoff mode, significant falls in the market can be expected. This indicator assesses the RiskOnRiskOff sentiment for # SPX500.
Equity Stress SignalEquity broad market stress signal based on market volatility gauges.
Used with daily candles.
To form trading strategies, use it along with other indicators of your choice.
SPX-VIX Intraday DivergenceAs a long-term buyer/short-seller, you will always find different ways to enter the market , moving average crossovers, breakouts , overbought/oversold conditions being some of the classy methods. However, they are decreasingly effective... 😢
Recently I have realized that analysis beyond the technical indicators will bring trading to the next level because I will be able to confirm my trading signals without relying too much on basic price actions and patterns which are easily manipulated by big banks and institutions. 👍
Today I will introduce you to my divergence indicator making use of SPX and VIX. Unlike MacD or RSI divegence , which would involve normative judgement , it will take account of the unusual move by SPX alongwith the VIX , to the exploit chances that options market, where most experienced investors participated in has a preceding insight into the equity market about the upcoming moves.
I have divided signals into two groups.
Bullish divergence - SPX Down , VIX also Down 👇
Bearish divergence - SPX Up , VIX also Up 👆
I hope this script will enable us to take advantage of the options market activities , to provide a REAL divergence signal, and be used coupled with our own chart patterns or other price signals, and more importantly to score more and more winning trades!!!
If you want more useful scripts from me, please like and share my posts. And don't forget to follow my account to grab the latest ideas and tools! 😘
Index / FAAMGThe FAAMG Index contemplates the grouping of the main companies in the American market, Facebook, Amazon, Apple, Microsoft and Google. Which represent approximately 20% of the S&P 500 index. This is a weighted index which considers the approximate market capitalization for each company to date.
TVC:SPX
