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fake volume (normalized volatility)fake volume is not volume. This is open source. check it my source. there is no 'volume' but look at that indicator, it really looks like volume. - how is it possible? i tried to calculate volatility. and this is it. usually volatility = volume. so this is not a supprise. - how is it helpful? (how can we use this?) compare with real volume. sometime it make difference. if "fake volume" is high, but real volme is not high, and that means the price may not peak( nor bottom ) also it doesnt have influence. you can use this indicator for something like score, index. that doesnt have volume. ex: SPX, KOSPI ====================================== 가짜볼륨은 볼륨이 아닙니다. 소스코드를 보면 알겠지만 볼륨을 사용하지 않았습니다. 하지만 굉장히 볼륨처럼 보입니다. - 어째서 이게 가능한가? 저는 시장변동률을 수치화 하려고 했고 그걸 가시화했을 뿐 입니다. 일반적으로 시장변동률은 거래량과 같이 움직입니다. 그러니 딱히 놀라운 현상은 아닙니다. - 이것을 어떻게 쓰나요? 어떤 도움이 되나요? 가끔 볼륨이랑 가짜볼륨이 다를 수가 있습니다. 만약 볼륨이 가짜볼륨보다 작다면, 그 지점은 중요 고점이나 저점이 아니겠지요. (사실 이런 기법들을 연구하면서 만들어진 저의 지표 shock detector가 따로 있습니다.) 볼륨이 없는 인덱스나 점수 계열을 보실 때에 볼륨 대신에 아쉬운대로 이걸 사용해볼 수도 있겠습니다.
Penunjuk Pine Script®
oleh ducksjc
9
wEMPlotDescription: Plots the Weekly Expected Move (wEM) using the following week's Option Chain ATM Call+Put ask price to determine the EM for the following week The wEM is the options market pricing in the expected future volatility for the following week. The wEM is the range that the underlying price will be contained during the week 68% of the time. These levels can be used as targets for options or equity trades for either directional or non-directional trades. The options market in the major indices, such as SPX, can drive the overall market's order flow and so the EM can provide useful insight into the hedging levels being used by professionals and market markers. As Trading View does not currently provide access to option chain data, the option chain expected move for an underlying has to be manually entered each week, but the script provides an easy to use framework to enter the parameters for the next week. These parameters are as follows: eg. t1_1 = timestamp(2021, 02, 08) <==== timestamp for the start of next week (yyyy,mm,dd) t1_2 = timestamp(2021, 02, 12) <==== timestamp for the end of next week (yyyy,mm,dd) plotwem("QQQ", 331.36, 5.86, t1_1, t1_2, 0, 0) ^^^^ plotwem(Symbol, Close-last-week, Expected Move next week, Next week start timestamp, Next week end timestamp, Highlight-Upper-EM, Highlight-Lower-EM) Parameters are: Symbol : Underlying chart symbol (aka ticker). Can be a symbol for equity, future or index. Close-last-week: Closing price at the end of last week. Expected Move next week: The Expected Move for next week: Calculated from next week's Option Chain ATM Call+Put ask price Next week start timestamp : Timestamp for the start of next week Next week end timestamp : Timestamp for the end of next week Highlight-Upper-EM : highlight upper expected move level. Set to 1 to highlight with red color. Set to 0 is no highlight. Highlight-Lower-EM : highlight lower expected move level. Set to 1 to highlight with red color. Set to 0 is no highlight. The highlight parameters can be updated at any point to indicate that the underlying has either touched the EM level or breached the level. The highlights can be used to visually determine periods of market instability which can provide insight into applicable strategies for the market conditions.
Penunjuk Pine Script®
oleh shaggydoo
5
McClellan Froth IndexFrom the article "Extreme Point for Nasdaq Volume" by Tom McClellan: "We are seeing some wild numbers for Nasdaq share volume lately, much bigger than anything in recent years. This points to a speculative blowoff underway. For many years, analysts have looked at the ratio of Nasdaq to NYSE volume as an indicator of tops and bottoms for stock prices. This week’s chart shows a 10-day simple moving average of that daily ratio. The current reading is the highest since all the way back in 2001, when the stock market was in the process of violently unwinding the 2000 Internet bubble peak. If you look closely at the chart, you can see that other lesser peaks in this 10-day MA have been associated with meaningful price tops. This reading is in a whole separate category. Part of what is happening is an upsurge in the trading of stocks that have a low share price. Here is a recent tally of the most active stocks on the Nasdaq, as published by Marketwatch. Nasdaq most active list Notice how many of these are priced in the single digits, and many even below $1. So to trade any meaningful dollar amount in these stocks means trading more share volume, due to those low prices. A lot of investors, especially new investors, hold the funny belief that a low numerical share price means that a stock is “cheap”. That used to be true, back in the 1800s and early 1900s when companies issued stock at a “par” value of $100. That custom was also part of why the NYSE would delist a stock if its share price fell below $5, because that meant it had fallen so far from its par value that it was not considered a reasonable investment. But nowadays, companies can pick their own IPO prices at fanciful numerical values. So the message of a low-priced stock being a “cheap” stock is no longer a valid one. But that does not stop the Robinhood crowd from playing around in that segment of the market. And this is a big part of why the Nasdaq/NYSE volume ratio works as an indicator of froth, or fear. The extent to which traders and investors decide it is a good idea to speculate on the low priced stocks, and to jack up their trading volume, can be an indication of frothy bullish sentiment." The volume values on Tradingview seem to be slightly different than the values in Tom's version, but the script still demonstrates the relationship between Nasdaq volume and NYSE volume. It also includes the option to use (Nasdaq Options Volume / SPX Options Volume). *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.
Penunjuk Pine Script®
oleh MartinShkreIi
Simple Bollinger Band and stochastic oscillator strategy for SPXThis is a very simple Bollinger Band strategy with stochastic oscillator added. Main trend is determined by Band breakout while (5,3,3) stochastic crosses is used for additional entries. Alert function is configured as "one alert for any events", so that free users can set up and get alert for every events in the script. The following code segment can be manipulated as your needs, by removing or keeping "//" comment slashes etc. Entries should be above/below the signal bars and 7-8 points should be regarded as first target, trail the left. Good luck ! signal = bbupcross or bbdowncross //or add_long or add_short
Penunjuk Pine Script®
oleh GurselKona
5
Volatility Rainbow [Nic]What is this The volatility rainbow tracks divergences in a security and its volatility index. This can be used to identify periods of heightened implied (future) risk. About Volatility The volatility is calculated by looking at put / call ratios. When VIX goes up it means that puts are outpacing calls. This is a bearish signal. About Correlation When the security goes up while the VIX goes up, the divergence on the plot will increase and turn a color. This should be a warning. Colors RED - DIA BLUE - SPX GREEN - IWM GOLD - GLD YELLOW - QQQ ORANGE - TLT White- VVIX Related
Penunjuk Pine Script®
oleh NicTheMajestic
3
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
Penunjuk Pine Script®
oleh Dr_Roboto
13
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
Penunjuk Pine Script®
oleh luminaryfi
7
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.
Penunjuk Pine Script®
oleh luminaryfi
Alpha & BetaAlpha & Beta Indicators for Portfolio Performance β = Σ Correlation (RP, RM) * (σP/σM) α P = E(RP) – Where, RP = Portfolio Return (or Investment Return) RM = Market Return (or Benchmark Index) RF = Risk-Free Rate How to use the Indicator RM = SPX (Default) The Market Return for the indicator has the options of $SPX, $NDX, or $DJI (S&P 500, Nasdaq 100, Dow 30) RF = FRED: DTB3 The Risk-Free Rate in the Indicator is set to the 3-Month Treasury Bill: Secondary Market Rate The Default Timeframe is 1260 or 5-Years (252 Trading Days in One Year) RP = The symbol you enter HOWEVER , you can determine your portfolio value by following the following directions below. Note: I am currently working on an indicator that will allow you to insert the weights of your positions. Complete Portfolio Analysis Directions You will first need... a) spreadsheet application - Google Sheets is Free, but Microsoft Excel will convert ticker symbols to Stocks and Retrieve Data. b) your current stock tickers, quantity of shares, and last price information In the spreadsheet, In the first column list the stock tickers... AMZN AAPL TSLA In the second column list the quantity of shares you own... 5 10 0.20 In the third column insert the last price Excel: Three tickers will automatically give you the option to "Convert to Stocks", after conversion, click once on cell and click the small tab in the upper right-hand of the highlighted cell. Click the tab and a menu pops up Find "Price", "Price Extended-Hours", or "Previous Close"... $3,284.72 $497.48 $2,049.98 Next, multiply the number of shares by the price (Stock Market Value) Excel: in fourth column type "=(B1*C1)", "=(B2*C2)", "=(B3*C3)"... = $16,423.60 = $4,974.80 = $410.00 add the three calculated numbers together or click "ΣAutoSum" (Portfolio Market Value) = $21,808.40 Last, divide the market value of AMZN ($16,423.60) by the Portfolio Market Value ($21,808.40) for each of the stocks. = 0.7531 = 0.2281 = 0.0188 These values are the weight of the stock in your portfolio. Go back to TradingView Enter into the "search box" the following... AMZN*0.7531 + AAPL*0.2281 + TSLA*0.0188 and click Enter Now you can use the "Alpha & Beta" Indicator to analyze your entire portfolio!
Penunjuk Pine Script®
oleh luminaryfi
Carl's BOTTOM DETECTOR: Williams %R + normalized ATRThis script is based on Williams %r and normalized ATR. When William%R indicates extreme oversold conditions and the ATR indicates extreme volatility at the same time, then it prints an arrow below the candle. It is based on the concept that swing lows and market bottoms are characterized by extreme oversold momentum and extreme volatility. The highest tf's like the daily, show you perfect market bottoms for btc. If you zoom in it's still good to find swing highs and lows, if necessary you can tweak the settings. Next to that I added grey, red, and green vertical bands to the chart. This is based on the VIX, the SPX volatility index. Whenever the volatility of the S&P500 crosses above a specific level it prints a colored background band behind the candle. Grey means high volatility, red extreme volatility (like in the covid crisis and 2008 crisis), and green means the same as grey, but indicates it came after a red zone and could mean strong bullish bounce momentum. You can tweak the thresholds for the grey/green and read areas.
Penunjuk Pine Script®
oleh CarlEverest
2
Sto RSI and kijun-sen line to determine and follow the trend This script uses 25-75 treshold of stochastic RSI with the help of kijun-sen as confirmation, to find entry points to any trend either newly developed or an established one. I just realized it on the 1 hour SPX chart. Sure it can be used on other symbols. Crossing above/below 25/75 line of sto RSI is considered as buy/sell signal. Signals are evaluated whether price be above/below kijun-sen line. If a sell signal below kijun-sen is generated it is a continuation signal for downtrend, otherwise it is a countertrend signal (maybe a signal for a new downtrend). A countertrend signal must be evaluated carefully and only accepted in the right side of kijun-sen. e.g entering a sell signal generated above kijun-sen should be accepted only below the kijun-sen, vice-versa.
Penunjuk Pine Script®
oleh GurselKona
3
Trend Follow with kijun-sen/tenkan sen for 1 Hour SPX This script determines, plots and alerts on probable trend initiation and continuation points, using tenkan-sen(conversion line of ichimoku), kijun-sen(baseline of ichimoku) and stochastic RSI, for 1 H SPX. New long/short trend initiates when prices cross above/below kijun sen. The trend continues when prices cross above/below tenkan-sen or stochastic RSI crosses up/down its signal line, while prices are above/below kijun-sen. It is good to take partial profit between 10-15 points gain and trail the left with stops below kijun-sen line. While placing the order, using 2-3 points buffer above/below of signal bars is recommended. Additionally, please be careful about clouds and do not place long/short orders below/above clouds.
Penunjuk Pine Script®
oleh GurselKona
3
Moving Average Speed Can Spot Turns Before They HappenMoving averages are perhaps the most common indicator in the world of technical analysis, highlighting trends over time by smoothing out values. Because they show direction, moving averages inevitably rise or fall. These changes are often obvious in retrospect, but now they can be spotted as they happen with our MA Speed script. This indicator calculates one of five kinds of moving averages (including exponential and volume-weighted). Users can set the length (50-day SMA by default). They can even pick whether it calculates based on open, high, low, close, etc. (Close is the default.) MA Speed plots the simple 1-day percentage change similar to an oscillator at the bottom of the chart, color-coding for positive or negative values. The chart above applies MA Speed to the S&P 500 . The result is pretty interesting because we can see how its 50-day SMA was falling at 0.67 percent in March, the fastest decline since December 2008. But this month it’s flattened quickly and is on pace to turn higher in the next session or two.
Penunjuk Pine Script®
oleh TradeStation
11
Selectable Ticker DIXWith this script you can select 10 tickers and see the aggregated DIX for them. I have the highest volume equity ETFs as defaults, but one could easily select FAANGM and a few other mega caps and make a FAANGM DIX index by changing the tickers in the settings. One improvement item that I have not gotten around to doing is to create a dollar weighted version of this, similar to the actual Squeezemetrics SPX DIX. This is "equal weighted" To make a dollar weighted version, multiply each by the daily closing price essentially and THEN find the average. It is possible to do I just have not taken the time to do it. It is on the list of things to do. If anyone has a solution PM me and I will add it. Thanks.
Penunjuk Pine Script®
oleh bigurb