S&P Short-Range Oscillator**SHOULD BE USED ON THE S&P 500 ONLY**
The S&P Short-Range Oscillator (SRO), inspired by the principles of Jim Cramer's oscillator, is a technical analysis tool designed to help traders identify potential buy and sell signals in the stock market, specifically for the S&P 500 index. The SRO combines several market indicators to provide a normalized measure of market sentiment, assisting traders in making informed decisions.
The SRO utilizes two simple moving averages (SMAs) of different lengths: a 5-day SMA and a 10-day SMA. It also incorporates the daily price change and market breadth (the net change of closing prices). The 5-day and 10-day SMAs are calculated based on the closing prices. The daily price change is determined by subtracting the opening price from the closing price. Market breadth is calculated as the difference between the current closing price and the previous closing price.
The raw value of the oscillator, referred to as SRO Raw, is the sum of the daily price change, the 5-day SMA, the 10-day SMA, and the market breadth. This raw value is then normalized using its mean and standard deviation over a 20-day period, ensuring that the oscillator is centered and maintains a consistent scale. Finally, the normalized value is scaled to fit within the range of -15 to 15.
When interpreting the SRO, a value below -5 indicates that the market is potentially oversold, suggesting it might be a good time to start buying stocks as the market could be poised for a rebound. Conversely, a value above 5 suggests that the market is potentially overbought. In this situation, it may be prudent to hold on to existing positions or consider selling if you have substantial gains.
The SRO is visually represented as a blue line on a chart, making it easy to track its movements. Red and green horizontal lines mark the overbought (5) and oversold (-5) levels, respectively. Additionally, the background color changes to light red when the oscillator is overbought and light green when it is oversold, providing a clear visual cue.
By incorporating the S&P Short-Range Oscillator into your trading strategy, you can gain valuable insights into market conditions and make more informed decisions about when to buy, sell, or hold your stocks. However, always consider other market factors and perform your own analysis before making any trading decisions.
The S&P Short-Range Oscillator is a powerful tool for traders looking to gain insights into market sentiment. It provides clear buy and sell signals through its combination of multiple indicators and normalization process. However, traders should be aware of its lagging nature and potential complexity, and use it in conjunction with other analysis methods for the best results.
Disclaimer
The S&P Short-Range Oscillator is for informational purposes only and should not be considered financial advice. Trading involves risk, and you should conduct your own research or consult a financial advisor before making investment decisions. The author is not responsible for any losses incurred from using this indicator. Use at your own risk.
Cari dalam skrip untuk "spy"
Risk Radar ProThe "Risk Radar Pro" indicator is a sophisticated tool designed to help investors and traders assess the risk and performance of their investments over a specified period. This presentation will explain each component of the indicator, how to interpret the results, and the advantages compared to traditional metrics.
The "Risk Radar Pro" indicator includes several key metrics:
● Beta
● Maximum Drawdown
● Compound Annual Growth Rate (CAGR)
● Annualized Volatility
● Dynamic Sharpe Ratio
● Dynamic Sortino Ratio
Each of these metrics is dynamically calculated using data from the entire selected period, providing a more adaptive and accurate measure of performance and risk.
1. Start Date
● Description: The date from which the calculations begin.
● Interpretation: This allows the user to set a specific period for analysis, ensuring that all metrics reflect the performance from this point onward.
2. Beta
● Description: Beta measures the volatility or systematic risk of the instrument relative to a reference index (e.g., SPY).
● Interpretation: A beta of 1 indicates that the instrument moves with the market. A beta greater than 1 indicates more volatility than the market, while a beta less than 1 indicates less volatility.
● Advantages: Unlike classic beta, which typically uses fixed historical intervals, this dynamic beta adjusts to market changes over the entire selected period, providing a more responsive measure.
3. Maximum Drawdown
● Description: The maximum observed loss from a peak to a trough before a new peak is achieved.
● Interpretation: This shows the largest single drop in value during the specified period. It is a critical measure of downside risk.
● Advantages: By tracking the maximum drawdown dynamically, the indicator can provide timely alerts when significant losses occur, allowing for better risk management.
4. Annualized Performance
● Description: The mean annual growth rate of the investment over the specified period.
● Interpretation: The Annualized Performance represents the smoothed annual rate at which the investment would have grown if it had grown at a steady rate.
● Advantages: This dynamic calculation reflects the actual long-term growth trend of the investment rather than relying on a fixed time frame.
5. Annualized Volatility
● Description: Measures the degree of variation in the instrument's returns over time, expressed as a percentage.
● Interpretation: Higher volatility indicates greater risk, as the investment's returns fluctuate more.
● Advantages: Annualized volatility calculated over the entire selected period provides a more accurate measure of risk, as it includes all market conditions encountered during that time.
6. Dynamic Sharpe Ratio
● Description: Measures the risk-adjusted return of an investment relative to its volatility.
● Choice of Risk-Free Rate Ticker: Users can select a ticker symbol to represent the risk-free rate in Sharpe ratio calculations. The default option is US03M, representing the 3-month US Treasury bill.
● Interpretation: A higher Sharpe ratio indicates better risk-adjusted returns. This ratio accounts for the risk-free rate to provide a comparison with risk-free investments.
● Advantages: By using returns and volatility over the entire period, the dynamic Sharpe ratio adjusts to changes in market conditions, offering a more accurate measure than traditional static calculations.
7. Dynamic Sortino Ratio
● Description: Similar to the Sharpe ratio, but focuses only on downside risk.
Interpretation: A higher Sortino ratio indicates better risk-adjusted returns, focusing solely on negative returns, which are more relevant to risk-averse investors.
● Choice of Risk-Free Rate Ticker: Similarly, users can choose a ticker symbol for the risk-free rate in Sortino ratio calculations. By default, this is also set to US03M.
● Advantages: This ratio's dynamic calculation considering the downside deviation over the entire period provides a more accurate measure of risk-adjusted returns in volatile markets.
Comparison with Basic Metrics
● Static vs. Dynamic Calculations: Traditional metrics often use fixed historical intervals, which may not reflect current market conditions. The dynamic calculations in "Risk Radar Pro" adjust to market changes, providing more relevant and timely information.
● Comprehensive Risk Assessment: By including metrics like maximum drawdown, Sharpe ratio, and Sortino ratio, the indicator provides a holistic view of both upside potential and downside risk.
● User Customization: Users can customize the start date, reference index, risk-free rate, and table position, tailoring the indicator to their specific needs and preferences.
Conclusion
The "Risk Radar Pro" indicator is a powerful tool for investors and traders looking to assess and manage risk more effectively. By providing dynamic, comprehensive metrics, it offers a significant advantage over traditional static calculations, ensuring that users have the most accurate and relevant information to make informed decisions.
The "Risk Radar Pro" indicator provides analytical tools and metrics for informational purposes only. It is not intended as financial advice. Users should conduct their own research and consider their individual risk tolerance and investment objectives before making any investment decisions based on the indicator's outputs. Trading and investing involve risks, including the risk of loss. Past performance is not indicative of future results.
Scaled Historical ATR [SS]Hello again everyone,
This is the Scaled ATR Range indicator. This was done in response to an article/analysis I posted regarding the expected high and range on SPX. I would encourage you to read it here:
Essentially, I took SPX data, scaled it to correct for inflation, then calculated the ATR for Bullish years to get our average range to expect and our close range to expected.
I accomplished this analysis using Excel; however, I figured Pinescript would handle this type of task more elegantly, and I was correct!
This indicator is the result.
What it does:
This indicator permits the analyst to select a historic period in time. The indicator will then scale the period into returns and convert the range to a corrected range based on the current position of the ticker. How it does this is by converting the returns of the historic period selected, then multiplying the returns by the current period open, to ensure that the range amounts are corrected for inflation and natural growth of a ticker.
I say analyst because this indicator is intended to be used by both professional and recreational analysts, to give them an easy way to:
a) Scale historic data and correct it based on the current rate; and
b) Offer insight into a ticker’s ATR and behaviour during bullish and bearish periods.
Prior to this indicator, the only way to do this would be manually or the use of statistical software.
How to use?
The indicator’s use is quite simple. Once launched, the indicator will ask the user to input a timeframe period that the user is interested in assessing. In the main chart above, I chose SPX between 1995 and 2001.
The user can further filter down the data using the settings menu. In the settings menu, there is an option to filter by “All”, “Bullish Periods” or “Bearish Periods”.
Filtering by “All”
Filtering by “All” will include all candles selected within the timeframe. This includes both bearish and bullish candles. It will give you the averaged out range for the entire period of time, including both bearish and bullish instances.
Filtering by “Bullish”
Filtering by “Bullish” will omit any red candles from the analysis. It will only return the ATR ranges for green, bullish candles.
Filtering by “Bearish”
Inverse to filtering by Bullish, if you filter by Bearish, it will only include the red, bearish candles in the analysis.
My suggestion? If you are trying to determine t he likely outcome of a bullish year, filter by Bullish instances. If you want the likely outcome of a bearish year, filter by Bearish.
Other features of the Indicator:
The indicator will display the current period statistics. In the main chart above, you can see that the current ranges for this year are displayed. This allows you to do a side by side comparison of the current period vs. the historic period you are looking at. This can alert you to further upside, further downside and the anticipated close range. It can also alert you to whether or not we are following a similar trajectory as the historical periods you are looking at.
As well, the indicator will list target prices for the current period based on the historical periods you are looking at. This helps to put things into perspective.
Concluding Remarks
And that is the indicator in a nutshell! I encourage you to read the article I linked above to see how you may use it in an analysis. This would be the best example of a real world application of this indicator!
Otherwise, I hope you enjoy and, as always, safe trades!
RSI Sector analysis
Screening tool that produces a table with the various sectors and their RSI values. The values are shown in 3 rows, each with a user-defined length, and can be averaged out and displayed as a single value. The chart is color coded as well. Each ETF representing a sector can be looked at individually, with the top holdings in each preprogrammed, but users can define their own if they wish. The left most ticker is the "benchmark"; SPY is the benchmark for the various sectors, and the ETF is the benchmark for the tickers within.
Symbols are color coded: light blue text indicates that a symbol has greater RSI values in all three timeframes than the benchmark (the leftmost symbol). Orange text indicates that a symbol has a lower RSI value for all three timeframes. In the first row, light blue text indicates the largest RSI increase from the third row to the first row. Orange text indicates the largest RSI decrease from the third row to the first row.
A blue highlight indicates that the value is the highest among the tickers, excluding the benchmark, and an orange highlight indicates that the value is the lowest among the tickers, also excluding the benchmark. A blue highlight on the ticker indicates that it has the highest average value of the 3 rows, and a orange highlight on the ticker indicates that it has the lowest average value of the 3 rows.
VIX Percentile Rank HistogramVIX Percentile Rank Histogram
The VIX Percentile Rank Histogram provides a visual representation of the CBOE Volatility Index (VIX) percentile rank over a customizable lookback period, helping traders gauge market sentiment and make informed trading decisions.
Overview:
This indicator calculates the percentile rank of the VIX over a specified lookback period and displays it as a histogram. The histogram helps traders understand whether the current VIX level is relatively high or low compared to its recent history. This information is particularly useful for timing entries and exits in the S&P 500 or related ETFs and Mega Caps.
How It Works:
VIX Data Integration: The script fetches daily VIX close prices, regardless of the chart you are viewing, to analyze market volatility.
Percentile Rank Calculation: The indicator calculates the rank percentile of the VIX over the chosen lookback period.
Histogram Visualization: The histogram plots the difference between the flipped VIX percentile rank and 50, showing green bars for ranks below 50 (indicating lower market volatility) and red bars for ranks above 50 (indicating higher market volatility).
Usage:
This indicator is most effective when trading the S&P 500 (SPX, SPY, ES1!) or ETFs and Mega Caps that closely follow the S&P 500. It provides insight into market sentiment, helping traders make more informed decisions.
Timing Entries and Exits: Green histogram readings suggest it's a good time to enter or hold long positions, while red readings suggest considering exits or short positions.
Market Sentiment: A high VIX percentile rank (red bars) indicates market fear and uncertainty, while a low percentile rank (green bars) suggests investor confidence and reduced volatility.
Key Features:
Customizable Lookback Period: The default lookback period is set to 20 days, but can be adjusted based on the trader's average trade duration. For example, if your trades typically last 20 days, a 20-day lookback period helps contextualize the VIX level relative to its recent history.
Histogram Visualization: The histogram provides a clear visual representation of market volatility.
Green Bars: Indicate a lower-than-median VIX percentile rank, suggesting reduced market volatility.
Red Bars: Indicate a higher-than-median VIX percentile rank, suggesting increased market volatility.
Threshold Line: A dashed gray line at the 0 level serves as a visual reference for the median VIX rank.
Important Note:
This indicator always shows readings from the VIX, regardless of the chart you are viewing. For example, if you are looking at Natural Gas futures, this indicator will provide no relevant data. It works best when trading the S&P 500 or related ETFs and Mega Caps.
Composite Risk IndicatorThe Composite Risk Indicator is a financial tool designed to assess market risk by analyzing the spreads between various asset classes. This indicator synthesizes information across six key spreads, normalizing each on a scale from 0 to 100 where higher values represent higher perceived risk. It provides a single, comprehensive measure of market sentiment and risk exposure.
Key Components of the CRI:
1. Stock Market to Bond Market Spread (SPY/BND): Measures the performance of stocks relative to bonds. Higher values indicate stronger stock performance compared to bonds, suggesting increased market optimism and higher risk.
2. Junk Bond to Treasury Bond Spread (HYG/GOVT): Assesses the performance of high-yield (riskier) bonds relative to government (safer) bonds. A higher ratio indicates increased appetite for risk.
3. Junk Bond to Investment Grade Bond Spread (HYG/LQD): Compares high-yield bonds to investment-grade corporate bonds. This ratio sheds light on the risk tolerance within the corporate bond market.
4. Growth to Value Spread (VUG/VTV): Evaluates the performance of growth stocks against value stocks. A higher value suggests a preference for growth stocks, often seen in risk-on environments.
5. Tech to Staples Spread (XLK/XLP): Measures the performance of technology stocks relative to consumer staples. This ratio highlights the market’s risk preference within equity sectors.
6. Small Cap Growth to Small Cap Value Spread (SLYG/SLYV): Compares small-cap growth stocks to small-cap value stocks, providing insight into risk levels in smaller companies.
Utility:
This indicator is particularly useful for investors and traders looking to gauge market sentiment, identify shifts in risk appetite, and make informed decisions based on a broad assessment of market conditions. The CRI can serve as a valuable addition to investment analysis and risk management strategies.
Concretum BandsDefinition
The Concretum Bands indicator recreates the Upper and Lower Bound of the Noise Area described in the paper "Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)" published by Concretum founder Zarattini, along with Barbon and Aziz, in May 2024.
Below we provide all the information required to understand how the indicator is calculated, the rationale behind it and how people can use it.
Idea Behind
The indicator aims to outline an intraday price region where the stock is expected to move without indicating any demand/supply imbalance. When the price crosses the boundaries of the Noise Area, it suggests a significant imbalance that may trigger an intraday trend.
How the Indicator is Calculated
The bands at time HH:MM are computed by taking the open price of day t and then adding/subtracting the average absolute move over the last n days from market open to minute HH:MM . The bands are also adjusted to account for overnight gaps. A volatility multiplier can be used to increase/decrease the width of the bands, similar to other well-known technical bands. The bands described in the paper were computed using a lookback period (length) of 14 days and a Volatility Multiplier of 1. Users can easily adjust these settings.
How to use the indicator
A trader may use this indicator to identify intraday moves that exceed the average move over the most recent period. A break outside the bands could be used as a signal of significant demand/supply imbalance.
1. [Pufferman] - Comprehensive VolumeThis indicator presents a comprehensive approach to volume analysis, incorporating several key metrics to provide traders with a detailed view of market activity. Here's what's included:
1. Cumulative Relative Volume (Intraday): This metric accumulates volume data throughout the day, comparing it to historical session averages up to the current time. It's particularly useful for intraday analysis to determine if the stock is trading high or low volume before the day is over.
2. Real Relative Volume - This feature calculates the relative volume of a stock in comparison to the SPY, offering insight into whether a stock is trading with higher relative volume than the broader market.
3. Configurable Moving Average for Volume: Users can adjust the moving average period for average volume, allowing for flexible adaptation to different trading strategies and time frames. (green line in photo)
4. Above/Below Average Line: This line indicates whether the current volume bar exceeds or falls short of the session's average volume, providing immediate context for volume analysis. (red line in photo).
5. Volume Display in Abbreviations: Actual volume figures are presented in an abbreviated format, using "K" for thousands and "M" for millions, facilitating quick and easy analysis.
6. Color-Coded Relative and Real Relative Volume: Both the Relative Volume (RVOL) and Real Relative Volume (RRVOL) are color-coded to instantly convey volume concentration levels, enhancing visual analysis across multiple charts.
7. Volume Bars with Bullish and Bearish Highlights: Traditional volume bars are color-highlighted according to corresponding candle patterns, aiding in the identification of market sentiment.
Key Points:
The RVOL is a cumulative metric, considering time-of-day volume comparisons for intraday analysis. This approach offers a nuanced understanding of volume patterns specific to the timeframe being viewed.
The RRVOL provides a comparative analysis against the market, offering insights into stock-specific volume activity relative to market trends.
Note: This indicator is designed for intraday analysis and may not function as intended on timeframes above daily due to the cumulative nature of its volume calculations.
Adjustable SMA with Comparative AnalysisInputs for Customization:
SMA Period (smaPeriod): Defines the period over which the SMA is calculated. The default is set to 252 days, typically representing a trading year.
Comparison Symbol (comparisonSymbol): Specifies the ticker symbol of another instrument (e.g., SPY for the S&P 500 ETF) to compare against the current stock. This allows for a relative performance analysis.
Days Ago for Price Difference (daysAgo): Determines the number of days in the past from which to calculate the price difference, allowing for a historical comparison.
The label, displayed at the end of the chart, contains several pieces of information:
Symbol vs. SMA: Shows the percentage difference between the current stock's close price and its SMA, indicating whether the stock is currently trading above or below its average price over the specified period.
Symbol vs. Days Ago: Displays the percentage difference between the current close price and the stock's open price from the specified daysAgo, offering insight into the stock's performance over that period.
Open Price X Days Ago: Presents the stock's open price from the specified number of days ago, providing a reference point for historical price analysis.
Minimum Price: Calculates a theoretical minimum price based on the stock's open price a specified number of days ago, adjusted by the percentage difference observed in the comparison symbol over the same period. This offers a unique insight into how the stock's price could have moved in parallel to the comparison symbol.
Comparison Symbol vs. SMA & Days Ago: Similar to the stock's analysis, these lines show the comparison symbol's performance relative to its SMA and its percentage difference from the specified days ago, aiding in a relative performance analysis.
+4-4 ChartThis overlay indicator provides a visual representation of momentum and price direction within each bar (or candlestick). It does this by comparing the current bar's open, high, low, and close to the previous bar's values, highlighting the following conditions:
Strong Up (Green): All four components (open, high, low, close) are higher than the previous bar.
Weak Up (Light Green): Three out of four components are higher than the previous bar.
Strong Down (Red): All four components are lower than the previous bar.
Weak Down (Light Red): Three out of four components are lower than the previous bar.
White: None of the strong or weak conditions are met, suggesting possible consolidation or indecision.
How to Use: The +4-4 Chart Indicator can be helpful in identifying potential trend continuation patterns, reversals, or periods of consolidation. Traders might use the predominance of green or red to gauge overall market sentiment. It is most useful to visualise long term daily, weekly, monthly market trends for SPY and QQQ etc.
Gamma ExposureOverview :
Gamma is part of the second order of greeks which measure the sensitivity of first order greeks (Delta) to changes in factors of the underlying. Using Gamma, traders can see the potential delta hedging activity by market makers. If market makers are long gamma, they will be buying as price decreases and selling as price increases, which acts as a stabilizing factor on the market. If they are short gamma, they are buying as price increases and selling as price decreases, which can further intensify volatility.
How it works/Calculations :
This indicator will bring the data from an outside source and will calculate Gamma from the Black-Scholes equation. Will take all the open contracts for the underlying and calculate Gamma exposure. A few assumptions will be made that may or may not be true, like making the assumptions that all open contracts were sold by the market maker. Although not perfect, will give an idea of where the market maker will be since the majority will be done by them.
The impact that Gamma has is dependent on different factors, such as open interest, time expiry, and volatility. The more open interest is at a strike that has near- term expiration date, the more likely is that the Gamma exposure will have an impact on the market. Gamma will work as a magnet and pins depending on strong levels.
In the settings, you can choose to see both calls and put Gamma levels or just see the delta, meaning the difference between the calls and the puts. Since this is based on open Interest of the options contracts and those update once a day, this indicator will update once a day as well to give the most current values.
Current equities available for the data :
1. Spx 2. Spy 3. QQQ 4. IWM, 5. AAPL 6. MSFT 7. NVDA 8. AMD 9. V 10. Crm 11. Meta 12. Goog 13. NFLX 14. Amzn 15. Tsla 16. HD 17. Low 18. TGT 19. Wmt 20. XOM 21. Cvx 22. JPM 23. AXP 24. GS 25. ABBV 26. Cat 27. DE 28. BA 29. Fdx 30. UPS 31. Shop 32. SQ 33. Abnb 34. Snow 35. Coin 36. Crwd 37. Uber 38. SBUX 39. ENPH
How to use :
You should not be using this indicator for entries or stop. This indicator will help you see where there are possible levels that will serve as magnets or rejections or where price can be pinned.
Pitfalls :
Gamma is one of the second order greeks, there are other greeks that can also affect movement by the market makers. Time to expiry, volatility and open interest impact gamma. We are calculating all open interest as the market maker being the originator of it. Large and elevated exposure in groups of strikes is more likely to be significant than individual smaller strikes.
Disclaimer:
This is still an indicator that in no way should be used alone.
The information contained in this script does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
My Scripts are only for educational purposes!
MACD All In One Screener [ChartPrime]INTRODUCTION
MACD All In One Screener (ChartPrime) is a multi instrument, multi timeframe indicator designed to provide traders with a comprehensive solution to monitoring the market. This indicator is designed to be easy to use and visually appealing while also being highly flexible and feature rich. Users can pick up to 10 symbols not including the chart's symbol and set up alerts for many different signals that the MACD produces. One standout feature of this indicator is its ability to display not only each symbol individually as a MACD but you can also view its chart from within this indicator. This removes the need to flip between symbols to see the price action for your basket.
On top of that we have designed this indicator to be friendly with "indicator on indicator" by providing outputs for all of the standards of price that users may want. Included is an overview section that shows all of the symbols signals symbolically over time. Additionally we have included a table for easy monitoring. This table includes the symbol, its timeframe, the current alert, and its histogram state. To make things as user friendly as possible we have also included rich error handling that tells you exactly what is wrong with your configuration.
HOW TO USE
To use this indicator, simply add it to your chart and navigate to the settings. From there select the symbols you want to monitor and the timeframes you want to use. Next you want to navigate down to the alerts section to select the what alerts you want to receive, and what symbols you want to get alerts for. Finally, you wan to create your alert using "Any alert() function call". Now your screener is all set up!
OVERVIEW OF INPUTS
View allows you to select what the indicator currently displays. You can pick from any one of the selected symbols, an overview of all of the symbols, or simply nothing. If you want to only use the table, "None" is provided so you can move the indicator into the chart panel.
View Toggle lets you pick from displaying the MACD for the selected symbol or the Price Action as a candle chart. To see your "indicator on indicator" you will have to select a symbol from the view list. There is a bug where if you select "Overview" while you are using "indicator on indicator" your added indicator will see the last symbol you viewed. To fix this, simply change the setting of your overlaid indicator and it will correct its self.
History Length is the number of historical bars to calculate over. This feature is here to prevent the indicator from breaking due to uneven historical data between the symbols.
Show Price Line toggles a dotted line that follows the current symbols closing price when "Price" is selected under the "View Toggle" dropdown.
Show Symbol Label toggles a label that displays the current symbols name and timeframe. This only impacts the single symbol view.
Overview Label Color adjusts the color of the symbol labels for both overview and single symbol view.
MA Type lets you pick what kind of moving average you want to use for the oscillator or signal. You can pick from the standard SMA or EMA.
Fast Length is a standard input for MACD. This lets you pick the period of the fast MA.
Slow Length , just like Fast Lenght, is a standard input for MACD. This lets you pick the period of the slow MA.
Signal Length is another standard input for MACD. This lets you configure the period of the signal MA.
MACD Cross Overlay Icon is a toggle to display MACD crosses when viewing a single symbol's MACD. When the MACD has a bullish cross it will plot a bullish dot, and when it has a bearish cross it will plot a bearish dot. This is purely visual.
Regular Bullish and Bearish toggles the visual display of the divergences on the single symbol view. This does not effect the indicators ability do send alerts.
Divergence Look Right adjusts the number of bars into the future to look for confirmation of a signal. This directly impacts lag but enhances stability.
Divergence Look Left adjusts the number of bars into the past to check for a signal. A longer period will filter out smaller moves
Maximum Lookback adjusts the maximum size of a divergence.
Minimum Lookback adjusts the minimum size of a divergence.
Divergence Drawings picks how you want to visualize the divergence. You can pick from displaying it as a line, a label, or both.
Enable Table toggles the overview table. When enabled it will show you the enabled symbols and their current state. From left to right: symbol name, timeframe, current alert, and histogram state.
Position picks where on the chart you want the table to be.
Text Color adjusts the text color of the table.
BG Color adjusts the background color of the table.
Frame Color adjust the frame color of the table.
Current Symbol Time Frame adjusts the timeframe of the chart's symbol.
Symbol 1 - 10 pick "Symbol's" symbol and timeframe. To use higher timeframes, the symbol's have to be the same type. You can't have a crypto and a stock using HTF at the same time as they don't have the same sessions and will result in an error. You can use unsafe mode (as described below) to potentially get around this.
Enable Symbol when enabled it will give you alerts for the symbol. This also enables the symbol in the overview. If this is disabled it won't send alerts, and it will not show up in overview, or the table.
Wait for Close enables waiting for the bar to close before printing an alert.
Alert Symbol Size picks what size you want the overview symbols to be.
Enable Cross Over 0 Alert: MACD crosses over the 0 line.
Enable Cross Under 0 Alert: MACD crosses under the 0 line.
Enable MACD Cross Bullish Alert: Bullish MACD cross.
Enable MACD Cross Bearish Alert: Bearish MACD cross.
Enable Histogram Bullish Turn Alert: MACD begins to turn bullish but hasn't crossed.
Enable Histogram Bearish Turn Alert: MACD begins to turn bearish but hasn't crossed.
Enable Histogram Bullish Continuation Alert: MACD is in a bullish cross state and it was declining but began rising again.
Enable Histogram Bearish Continuation Alert: MACD is in a bearish cross state and it was rising but began falling again.
Enable Bullish/Bearish Divergence Alert enables divergence alerts. Divergences are lagging, especially on a higher timeframe. These alerts will also tell you the time in the past when the divergence occurred.
Color Section is provided to allow for personalization of the indicator. Everything can be adjusted here.
Disable Error Checking: Only enable this if you want to bypass the built in error checking. This will enable 'Safe Requesting'. Safe Requesting will only request enabled symbols and you will not be able to view symbols that are not enabled in this mode. Only use this if you want to mix symbol types and you know it will work. (An example would be viewing stocks and SPY at the same time.)
CONCLUSION
The MACD All In One Screener (ChartPrime) is a versatile indicator designed to monitor multiple symbols across various timeframes. The flexibility in customization, from MACD settings to visual alerts and table presentations, allows users to tailor the screener to their needs and preferences. We hope you find this as useful and interesting as we do and wish you good luck in the market!
Enjoy
[Options Strategies] Selling Covered Calls and Puts (TSO) This trading indicator assists with traditional covered options trading strategies like Covered Calls, Covered Puts, and Cash Secured Puts. It also offers advanced features for trading options intelligently by utilizing options specific levels, such as BE (Break Even) and Strike (all visually shown on chart) in combination with S&R (Support and Resistance), Trend Lines, and other technical analysis tools such as MA (Moving Averages) and ATR Average True Range, all integrated within the indicator.
* Covered options approach over trading shares or options separately offers distinct advantages:
- Reduced Risk and Flexibility : Covered options strategy provides a more conservative approach by combining stock ownership with options trading. It reduces risk exposure compared to buying options outright or trading shares alone. Additionally, it offers flexibility in various market conditions.
- Profitability in Sideways Markets: Covered options allow for profitability in scenarios where the stock price is either moving optimally or remaining sideways. In contrast, just holding stocks might not yield significant gains in a sideways market, and buying options can result in losses due to time decay.
- Protection Against Price Movements: In covered options, if the stock price goes against the trade, the loss is mitigated by the premium received from selling the options. This provides a level of protection compared to other trading strategies where losses can accumulate more rapidly.
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Strategies / Visual Examples:
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Up to 3 Symbols can be monitored at the same time with alerts for each Symbol and a Stats Table. To see Symbol's visuals (Date Range, Strike, BE, etc.) - the chart has to be loaded with that Symbol. Here is an example of trading multiple stocks at same layout on different charts trading AAPL, BAC and TSLA.
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An example of a Smart Covered Calls trading SPY.
STRATEGY EXPLANATION:
* Trade Open Trigger (Bullish/Sideway)
>>> S&R (Support and Resistance) or Trend Line broken, bounced off or simply near (if price is near/slightly crossing S&R/Trend Line > a bounce often takes place)
>>> Confirmation by additional TA (Technical Analysis) tools.
>>> EXAMPLE: Broken Resistance combined with a Trend Line up-bounce, confirmed by bullish 200EMA.
* TP (Take-Profit)
>>> Contracts Expire at Expiration date: Premium received for selling contracts kept.
>>> Assignment: Premium received for selling contracts kept + stock assigned/sold at a higher price than it was purchased.
* BE/SL (Break Even Stop-Loss) |
>>> BE/SL hit: stock sold at a slight loss with options contracts bought out (BTC - Buy to Close) at a lower price than initially sold (since price went down and these are calls), so technically the loss is reduced by the partial Premium still kept from initially sold contracts at trade open.
>>> Increasing the BE/SL distance: for wider BE/SL > Bid Price needs to be increased:
- Set longer Expiration date.
- Set closer Strike price.
NOTE: With longer Expiration date and closer Strike, chances of assignment increase as well. It's best to find an optimal level, where BE/SL is behind a Support/Resistance level and/or an established trend line and/or Large Length Moving Average, yet not extremely far away.
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An example of a Smart Covered Puts trading SPY.
STRATEGY EXPLANATION:
* Trade Open Trigger (Bearish/Sideway)
>>> S&R (Support and Resistance) or Trend Line broken, bounced off or simply near (if price is near/slightly crossing S&R/Trend Line > a bounce often takes place)
>>> Confirmation by additional TA (Technical Analysis) tools.
>>> EXAMPLE: Broken Resistance combined with a Trend Line down-bounce, confirmed by bearish 200EMA.
* TP (Take-Profit)
>>> Contracts Expire at Expiration date: Premium received for selling contracts kept.
>>> Assignment: Premium received for selling contracts kept + stock assigned/bought-to-cover at a lower price than it was shorted.
* BE/SL (Break Even Stop-Loss) |
>>> BE/SL hit: stock bought-to-cover at a slight loss with options contracts bought out (BTC - Buy to Close) at a lower price than initially sold (since price went up and these are puts), so technically the loss is reduced by the partial Premium still kept from initially sold contracts at trade open.
>>> Increasing the BE/SL distance: for wider BE/SL > Bid Price needs to be increased:
- Set longer Expiration date.
- Set closer Strike price.
NOTE: With longer Expiration date and closer Strike, chances of assignment increase as well. It's best to find an optimal level, where BE/SL is behind a Support/Resistance level and/or an established trend line and/or Large Length Moving Average, yet not extremely far away.
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An example of a Smart Secured Cash Puts trading SPY.
STRATEGY EXPLANATION:
* Trade Open Trigger (Bullish/Sideway)
>>> Bullish steady trend.
>>> Confirmation by additional TA (Technical Analysis) tools.
>>> EXAMPLE: Slowly rising price action above 200EMA.
* TP (Take-Profit)
>>> Early BTC: BTC (Buy to Close) before Expiration date if options premium/contract price already reduced by at least 50-90% (the reduced price is the profit, if premium lost 90% - only 10% will need to be paid to buy options out to close the trade) and if the stock price is nearing Resistance, Trend Line or big length moving average (like 200EMA) as a bounce may happen or even a potential reverse of the trend. If there is no trend reversal or a small correction bounce occurs, with further trend continuation > another Cash Secured Puts trade can be opened with new Expiration date and Strike.
>>> Contracts Expire at Expiration date: Premium received for selling contracts kept, considering the Strike was never hit.
>>> Assignment with stock closing below Strike and above/near BE (Break Even): Premium received for selling contracts kept. NOTE: It is best to get rid of the stock ASAP to then open a new Cash Secured Puts trade with lower Strike and a new Expiration date.
* BE/SL (Break Even Stop-Loss) |
>>> BE/SL hit: contracts bought out (BTC - Buy to Close) at a higher price than initially sold (since price went down and these are puts), the amount/difference in current contract price is the loss (as premium received + contract price increase is the total cost, which will have to be paid to buy the countracts out).
>>> Increasing the BE/SL distance: for wider BE/SL > Bid Price needs to be increased:
- Set longer Expiration date.
- Set closer Strike price.
NOTE: With longer Expiration date and closer Strike, chances of assignment increase as well. It's best to find an optimal level, where BE/SL is behind a Support/Resistance level and/or an established trend line and/or Large Length Moving Average, yet not extremely far away.
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An example of Options Wheel strategy trading TQQQ. See how Strike and BE (Break Even) hits are displayed every time they occur.
STRATEGY EXPLANATION:
* Trade Open Trigger (Bullish/Sideway)
>>> Options Wheel strategy combines Cash Secured Puts with Covered Calls, so a steady bullish trend is preferred with lower volatility.
>>> It's best to start with Cash Secured Puts until assignment hits (stocks purchased), then switch to Covered Calls until assignment hits (stocks sold) and so on.
* TP (Take-Profit)
>>> Contracts Expire at Expiration date: Premium received for selling contracts kept.
>>> Assignment: Premium received for selling contracts kept. Stock is assigned (purchased if Cash Secured Puts were sold | sold if Covered Calls were sold ).
* BE/SL (Break Even Stop-Loss)
>>> Assignment is the stop-loss for this strategy, which ends current trade and starts next one. It is not a direct loss, but could result a long unrealized losses if after stock purchase assignment it goes down for a while or even a complete loss if low-cap company is used and it goes out of business.
>>> BE/SL distance can still be increased/kept optimal: for wider BE/SL > Bid Price needs to be increased:
- Set longer Expiration date.
- Set closer Strike price.
NOTE: With longer Expiration date and closer Strike, chances of assignment increase as well. It's best to find an optimal level, where BE/SL is behind a Support/Resistance level and/or an established Trend Line and/or Large Length Moving Average, yet not extremely far away.
| 3.0_wheel_strategy_tqqq_example.png
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Trading open/close/TP/SL labels, plots and colors explanations:
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There are 3 approaches: Cashed Secured Puts, Covered Puts, Covered Calls. Here is an example showing all 3 (the Strikes, Bid prices, Expirations were chosen realistically).
>>> There are 3 symbol templates, the color can be changed for each and each symbol template can be unchecked to be fully hidden or all 3 can be used.
>>> Strike: dashed horizontal line plotted at chosen Strike, if Strike is hit within the Date Range - there will be a label shown.
>>> BE (Break Even): dotted horizontal line plotted at calculated BE, if BE is hit within the Date Range - there will be a label shown.
>>> Stock Purchased: solid horizontal line plotted at input price at which the stock was purchased.
>>> Date Range (STO >>> Expiration ): vertical lines with arrows (arrows direction is based on the approach), which connect Strike, BE (Break Even) and Stock Purchased creating an square/rectangle of the whole trade, making it easy to see everything at once.
>>> Stats Table: shows all the necessary data for each symbol.
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GLOBAL SETTINGS ///////////////////////////////////////////////////////////
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>>> Show: week divider vertical lines: Will show vertical divider lines separating each week.
>>> Show: Mondays and Fridays: Will show M - for Monday, F - for Friday, T - for Tuesday (Tuesday will be shown if there is a Holiday on Monday)
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OPTIONS SETUP: SYMBOL0X /////////////////////////////////////////////////// | (identical for all 3 symbols)
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>>> Symbol0X | Show Table: Turns on symbol01, all visuals on chart, calculations, etc. Table can be separately hidden if desired.
>>> Label Size: Size of the labels on chart showing Strike, BE (Break Even), etc.
>>> Label Color: Color for all symbol0X labels.
>>> Text Color: Text color for all symbol0X labels.
>>> Options Trading Style: 1)Covered Calls: Bullish-sideways market approach (need to own 100 shares of stock per each contract sold), Strike price has to be set above the current stock price | 2)Covered Puts: Bearish-sideways market approach (need to own 100 shares of stock per each contract sold), Strike price has to be set below the current stock price | 3)Cash Secured Puts: Bullish-sideways approach (need to have enough cash to acquire shares at Strike price if hit), Strike price has to be set below the current stock price.
>>> # of contracts sold (1 contract > 100shares): # of contracts sold per trade, for Covered Calls and Covered Puts, every contract must be backed up by 100shares of the underlying stock.
>>> Price per 1 contract (Bid): Premium received per each contract sold.
>>> Strike Price.
>>> Stock Purchase Price: Stock purchase price (NOTE: This is only for Covered Call and Covered Puts, for Secured Cash Puts - stock is only purchased if at Expiration it closes beyond Strike price).
>>> STO (Sell to Open) Date: date at which the contracts were sold and Premium received.
>>> Exp (Expiration) Date: date at which contracts expire, if price never breaks the Strike at Expiration - contracts become worthless!
>>> Alert/Label: Futures Expire Soon: With this setting turned on, an Alert will trigger and a Label will be shown at opening of the first candle bar on the Expiration date. It will certainly be before the end of the day, however depending on the chart TimeFrame during alert creation - it may trigger at a different time. For Example: On a Daily chart TimeFrame SPY (S&P500) will trigger such alert at 9:30AM ET. ||| NOTE: Due to difference in timezones - the solid lines representing the STO >>> Exp range may be off by 1 business day from the date input in the indicator Settings > Inputs, so double check and calibrate the date by setting it 1 day behind/ahead from actual dates so that Alert is received on the actual Expiration date.
>>> Strike price Broken - Style: 'Close': Show/Alert Strike price broken only once candle bar is closed | 'Live': Show/Alert Strike price broken immediately once it happens, before candle bar is closed.
>>> Show: Strike price Broken: will show a label near candle bar breaking the Strike price.
>>> Alert: Strike price Broken: will alert at price breaking the Strike price.
>>> BE (Break Even) price Broken - Alert Style: 'Close': Show/Alert BE (Break Even) price broken only once candle bar is closed | 'Live': Show/Alert BE (Break Even) price broken immediately once it happens, before candle bar is closed.
>>> Show: BE (Break Even) price Broken: will show a label near candle bar breaking the BE price.
>>> Alert: BE (Break Even) price Broken: will alert at price breaking the BE price.
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TA: TREND LINES ///////////////////////////////////////////////////////////
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>>> Trend Lines - Uptrend/downtrend colors
>>> Show: Trend Lines: Show/Hide trend lines
>>> Show: Trend Line Breaks: Show/Hide labels where trend lines were broken
>>> Alert: Trend Line Breaks: Alert when trend line is broken
>>> Trend Lines - Search - Left Bars / Trend Lines - Search - Right Bars: how many candle bars will be used to calculate Trend Lines, the bigger the number > the more precise and less amount of trend lines will be found
>>> Trend Lines - Extend Setting
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TA: S&R (SUPPORT AND RESISTANCE) //////////////////////////////////////////
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>>> S&R (Support and Resistance) - Support/Resistance colors.
>>> Show: S&R (Support and Resistance) Top/Bottom Levels.
>>> Show: S&R (Support and Resistance) Top/Bottom Level Breaks: Show/Hide labels where support/resistance levels were broken
>>> Alert: S&R (Support and Resistance) Top/Bottom Level Breaks: Alert when S&R (Support and Resistance) level is broken
>>> S&R (Support and Resistance) - Search - Left Bars / S&R (Support and Resistance) - Search - Right Bars: how many candle bars will be used to calculate S&R (Support & Resistance) Levels, the bigger the number > the more precise and less amount of support and resistance levels will be found.
>>> S&R Search - Custom Resolution: This is a custom timeframe setting specifically for S&R Search, it disregards current chart timeframe. This is great to use for scalping, for example: with main chart set to 1min and the custom timeframe set to 3min or 5min - there will be stronger support/resistance levels with more detailed price action.
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TA: ADDITIONAL TOOLS //////////////////////////////////////////////////////
>>> Show - MA (Moving Average).
>>> Show - ATR (Average True Range).
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STATS TABLE ///////////////////////////////////////////////////////////////
Stats Table displays all the necessary date about each options setup.
>>> Table positioning
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Adding Alerts in TradngView
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-Add indicator to chart and make sure to check/uncheck which alerts are required, then simply create it.
-Right-click anywhere on the TradingView chart
-Click on Add alert
-Condition: Select this indicator by it’s name
-Immediately below, change it to "alert() function calls only"
-Expiration: Open-ended (that may require higher tier TradingView account, otherwise the alert will need to be occasionally re-triggered)
-Alert name: Whatever you desire
-Hit “Create”
-Note: If you change ANY Settings within the indicator – you must DELETE the current alert and create a new one per steps above, otherwise it will continue triggering alerts per old Settings!
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If you have any questions or issues with the indicator, please message me directly via TradingView.
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Good Luck! (NOTE: Trading is very risky, past performance is not necessarily indicative of future results, so please trade responsibly!)
RSI_CMO_ScannerHave you ever wanted to scan across many tickers and monitor an indicator across time for these selected tickers?
Have you ever wanted to monitor the Mag7 and SPY simultaneously and watch a divergence take place real time across all selected tickers?
With this indicator, you can now view 100 tickers (in batches of 10) for either Stocks, Crypto or Forex, with a HeatMap visualisation for the selected timeframe.
This particular indicator utilises the RSI or the CMO to provide this view, where colors change from deep red (low values) to dark green (high values) and provide the HeatMap sense of how this metric changes across time.
The values within the labels can be switched on and off from the Settings, depending on the user's preference.
Additionally, the tickers can be selected through the Settings from the Stocks, Crypto or Forex groups
The originality and usefulness of this indicator is that it provides a simultaneous view across batches of 10 tickers for a lookback of values in the given timeframe. Also, the view is served as a heatmap, for a visual understanding of the fluctuation over time.
The same logic can be applied to a variety of indicators, besides the RSI and the CMO.
Volume Grid [SS Premium]Hey everyone!
This is the Volume Grid indicator. It is essentially very similar to the Volume Profile Histogram indicator I released, but this premium version overlays on the chart and provides you with the tradeable ranges and the volume composition in each range. So let's get into it!
What it does:
This indicator cumulates buy and sell volume over a user defined lookback period in addition to calculating the average ranges that the stock trades in and the volume composition in each respective range.
It then paints these ranges based on the volume composition. Red means selling and green means buying. However, the brighter the red or green, the higher the buying or selling (essentially a heatmap).
The indicator will also provide you alerts when there are buying or selling volume spikes and circle the candle in which that has happened on (see example in main chart).
These alerts can of course be toggled on or off.
Trading with it:
This indicator can be used as a stand alone trading indicator, and here is how:
The ranges act as support and resistance. Within each range you can see whether the composition is buying or selling.
If we are in a green zone, it means there is buying and it is essentially a buy the dip situation (see below example):
When we are in a heavy selling zone, its essentially a short the rip situation:
You can also see when a zone transfers from a bearish or bullish zone, to the inverse:
The indicator also will plot a POC (point of control). Because we are not only pulling from daily volume data, we will already have a well established POC going into open:
This was SPY on Friday. The POC marked the current point of control from a volume perspective, which was at 482.
And here is what happened:
The POC will change colours between Red and Green, if its a bearish POC it will turn Red, bullish green. For the most part, both the bearish and bullish POCs remain within the same range but sometimes they will diverge and the indicator will alert you when this happens.
Additional options:
In addition to toggling off and on the alerts, you can also change the text colour and size.
As well, there is an option to "Condense Range". What that will do is reduce the range by a factor of 2 (in half). This will give you more aggressive support and resistance levels that you can play.
Condensed Range:
Uncondensed Range:
Personally, I prefer the condensed range, especially when trading leveraged shares, because I treat them as support and resistance levels and play breaks of them in either direction.
And last but not least, you can adjust the ranges to the daily, hourly, monthly or any timeframe you want, you simply select your desired timeframe and it will plot the ranges for that specific period:
SOXL on the week:
The yellow line represents the current period open. It is your reference line and frequently will act as support and resistance, depending on the market sentiment at the time.
That is the indicator in a nut shell, as always, please let me know your questions and suggestions below!
Safe trades and enjoy!
For access, please review the instructions below.
Opening Range Reversal ZonesThis script finds a reversal zone beyond the opening range for the selected period. I borrowed most of the opening range script itself from asenski.
I added a few things:
Trade Entry Times -- this restricts the "alert times."
Shading for the above mentioned times for the two "reversal" zones
A couple of other visuals for lines for the hi, mid, low of the opening range and lines for the fibs
Alerts while in the trading entry time session for fibbonacci crossovers.
I use this on NDX, SPY, and QQQs and have found buying "at the money" 0DTE puts in the "red zone" or 0DTE calls in the "green zone" frequently wins.
I have no statistics, as I am very methodical when I choose to enter, paying attention to the news, recent momentum, etc, and am not blindly entering when alert comes, but when one does, I do research and enter a trade.
In any case, thought I would share.
Market Average TrendThis indicator aims to be complimentary to SPDR Tracker , but I've adjusted the name as I've been able to utilize the "INDEX" data provider to support essentially every US market.
This is a breadth market internal indicator that allows quick review of strength given the 5, 20, 50, 100, 150 and 200 simple moving averages. Each can be toggled to build whatever combinations are desired, I recommend reviewing classic combinations such as 5 & 20 as well as 50 & 200.
It's entirely possible that I've missed some markets that "INDEX" provides data for, if you find any feel free to drop a comment and I'll add support for them in an update.
Markets currently supported:
S&P 100
S&P 500
S&P ENERGIES
S&P INFO TECH
S&P MATERIALS
S&P UTILITIES
S&P FINANCIALS
S&P REAL ESTATE
S&P CON STAPLES
S&P HEALTH CARE
S&P INDUSTRIALS
S&P TELECOM SRVS
S&P CONSUMER DISC
S&P GROWTH
NAS 100
NAS COMP
DOW INDUSTRIAL
DOW COMP
DOW UTILITIES
DOW TRANSPORTATION
RUSSELL 1000
RUSSELL 2000
RUSSELL 3000
You can utilize this to watch stocks for dip buys or potential trend continuation entries, short entries, swing exits or numerous other portfolio management strategies.
If using it with stocks, it's advisable to ensure the stock often follows the index, otherwise obviously it's great to use with major indexes and determine holdings sentiment.
Important!
The "INDEX" data provider only supplies updates to all of the various data feeds at the end of day, I've noticed quite some delays even after market close and not taken time to review their actual update schedule (if even published). Therefore, it's strongly recommended to mostly ignore the last value in the series until it's the day after.
Only works on daily timeframes and above, please don't comment that it's not working if on other timeframes lower than daily :)
Feedback and suggestions are always welcome, enjoy!
Volume Profile Histogram [SS]I usually (and by usually, I mean the past year xD) release a significant indicator as my Christmas gift to the community on Christmas Eve. Last year, it was the Z-Score buy and sell signal; this year, it's something a little more conventional. So here is this year’s gift—hope you like it! 🎁
Seems like everyone has their take on Volume Profiles (aka SVP or VSP). I decided to create one, and in true Steversteves fashion, you can expect to find all the goodies that come with most of my stuff, including a volume profile presented in a bell-curve/histogram style (chart above) and statistical frequency tables showing the cases by ranges:
And it wouldn't be a true Steversteves indicator without some kind of ATR thing:
So, what does it do?
At the end of the day, it is a form of an SVP indicator. However, it is meant to operate on a larger scale, sorting volume in a traditional bell-curve style. In addition to displaying volume, it breaks down buying vs. selling volume. Selling volume is classified as such when the open is greater than close, while buying is when close is greater than open. This breakdown allows you to see the distribution, by price range, of where selling and buying occur.
This permits the indicator to provide 2 Points of Control (POCs). A POC is defined as an area of high volume activity. Because buying and selling volumes are broken down into two, we can identify areas with high selling and areas with high buying. Sometimes they coincide, sometimes they differ.
If we look at SQQQ, for example:
We can see that the bearish point of control is one point below the bullish POC. This is interesting because it essentially shows where people may be "panic selling" or setting their stop-outs. If SQQQ drops below 18.8, then it's likely to trigger panic selling, as indicated by the histogram.
Conversely, we can observe that traders tend to position long between $18 and $24. The POC is noted in the stats table and also displayed on the chart. Bullish POC is shown in purple, bearish in yellow. These, of course, can be toggled off.
The Frequency Table:
The frequency table shows how many observations were obtained in each price range. The histogram illustrates the cumulative volume traded, while the frequency simply counts how many cases occurred over the lookback period.
ATR Range Analytics by Volume:
The indicator also has the ability to display range analytics by volume. When you toggle on the range analytics by volume option, a range chart will appear:
www.tradingview.com
The range chart goes from the minimum recorded volume to the maximum recorded volume in the period, showing the average range and direction associated with this volume. This is crucial to pay attention to because not all stocks behave the same way.
For example, in the chart above (AMD), we can see that low volume produces a general bearish bias, and high volume produces a general bullish bias. However, if we look at the range analytics for SPY:
Low volume has the inverse effect. Low volume is associated with a more bullish bias, and high volume indicates a more bearish bias. In the ATR chart, the threshold volume to transition from bullish bias to bearish bias is approximately > 78,607,268 traded shares.
The Stats Table:
The stats table can be toggled on or off. It simply displays the POCs and the time range for the VSP. The default time range is 1 trading year (252 days), assuming you are on the daily timeframe. However, you can use this on any timeframe.
The percentages displayed in the histogram is the cumulative percent of buying and selling volume independently. So when you see the percentage on the selling histogram, its the percent of cumulative selling only. Same for the buying.
And that's the indicator! I hope you enjoy it. Let me know your thoughts. I hope you all have safe holidays, a Merry Christmas for you North Americans, and a Happy Christmas for you UKers, and whatever else you celebrate/care about and do! Safe trades, everyone, and enjoy your holidays! 🎁🎄🎄🎄⭐⭐⭐ 🕎 🕎 🕎
PercenageDropFromATHINFO:
The PercenageDropFromATH script is fairly simple indicator, which is able to:
detect the last ATH (real ATH of the full chart, not related to the selected timeframe) and plot it
user can select a percentage of drop from this price, and once reached can receive a notification
Note that if the ATH is outside of the visibility of the currently selected timeframe the indicator will not be able to show it. Recommended settings is 1D TF!
DETAILS:
The purpose of the script is to serve to ease passive investments in ETFs and indices, once those are dropping below certain point from the ATH.
Individual stocks are not really recommended in my view, as unlike the indices which are cherry picking the best companies from the sector, individual companies can always start drifting away.
Anyway, the indicator should work on all assets, including crypto, gold, etc.
Example usage could be of setting an alert for 25% drop in SPY, and start accumulating positions on every next 10% additional drop, so DCA can be done with favorable prices.
SETTINGS
The settings are pretty straight forward:
ATH Source - source for computing the ATH, default to "high", but user can select to check only on open/close/low as well
Percentage drop target from ATH - self explaining, default to 20
ATH color - only the last ATH until the current bar is been drawn
Plot ATH drop target price - optionally the target price after the percentage drop can be plotted as well
ATH drop target color - the color of the price after the percentage drop from ATH
Price Cross Time Custom Range Interactive█ OVERVIEW
This indicator was a time-based indicator and intended as educational purpose only based on pine script v5 functions for ta.cross() , ta.crossover() and ta.crossunder() .
I realised that there is some overlap price with the cross functions, hence I integrate them into Custom Range Interactive with value variance and overlap displayed into table.
This was my submission for Pinefest #1 , I decided to share this as public, I may accidentally delete this as long as i keep as private.
█ INSPIRATION
Inspired by design, code and usage of CAGR. Basic usage of custom range / interactive, pretty much explained here . Credits to TradingView.
█ FEATURES
1. Custom Range Interactive
2. Label can be resize and change color.
3. Label show tooltip for price and time.
4. Label can be offset to improve readability.
5. Table can show price variance when any cross is true.
6. Table can show overlap if found crosss is overlap either with crossover and crossunder.
7. Table text color automatically change based on chart background (light / dark mode).
8. Source 2 is drawn as straight line, while Source 1 will draw as label either above line for crossover, below line for crossunder and marked 'X' if crossing with Source 2's line.
9. Cross 'X' label can be offset to improve readability.
10. Both Source 1 and Source 2 can select Open, Close, High and Low, which can be displayed into table.
█ LIMITATIONS
1. Table is limited to intraday timeframe only as time format is not accurate for daily timeframe and above. Example daily timeframe will give result less 1 day from actual date.
2. I did not include other sources such external source or any built in sources such as hl2, hlc3, ohlc4 and hlcc4.
█ CODE EXPLAINATION
I pretty much create custom function with method which returns tuple value.
method crossVariant(float price = na, chart.point ref = na) =>
cross = ta.cross( price, ref.price)
over = ta.crossover( price, ref.price)
under = ta.crossunder(price, ref.price)
Unfortunately, I unable make the labels into array which i plan to return string value by getting the text value from array label, hence i use label.all and add incremental int value as reference.
series label labelCross = na, labelCross.delete()
var int num = 0
if over
num += 1
labelCross := label.new()
if under
num += 1
labelCross := label.new()
if cross
num += 1
labelCross := label.new()
I realised cross value can be overlap with crossover and crossunder, hence I add bool to enable force overlap and add additional bools.
series label labelCross = na, labelCross.delete()
var int num = 0
if forceOverlap
if over
num += 1
labelCross := label.new()
if under
num += 1
labelCross := label.new()
if cross
num += 1
labelCross := label.new()
else
if cross and over
num += 1
labelCross := label.new()
if cross and under
num += 1
labelCross := label.new()
if cross and not over and not under
num += 1
labelCross := label.new()
█ USAGE / EXAMPLES
Liquidity composition / quantifytools- Overview
Liquidity composition divides each candle into sections that are used to display transaction activity at price. In simple terms, an X-ray through candle is formed, revealing the orderflow that built the candle in greater detail. Liquidity composition consists of two main components, lots and columns. Lots and columns can be used to visualize user specified volume types, currently supporting net volume and volume delta. Lots and columns can be used to visualize same or different volume types, allowing a combination of volume footprint, volume delta footprint and volume profile in one single view. Liquidity composition principally works on any chart, whether that is equities, currencies, cryptocurrencies or commodities, even charts with no volume data (in which case volatility is used to approximate transaction activity). The script also works on any timeframe, from minute charts to monthly charts. Orderflow can be observed in real-time as it develops and none of the indications are repainted.
Example: Displaying same volume types on lots and columns
Example: Displaying different volume types on lots and columns
Liquidity composition supports user specified derivative data, such as point of control(s) and net activity coloring. Derivative data can be calculated based on either net volume or volume delta, resulting in different highlights.
With net volume, volume delta and derivative data in one view, key orderflow events such as delta imbalances, high volume nodes, low volume nodes and point of controls can be used to quickly identify accumulation/distribution, imbalances, unfinished/finished auctions and trapped traders.
Accessing script 🔑
See "Author's instructions" section, found at bottom of the script page.
Key takeaways
- Liquidity composition breaks down transaction activity at price, measured in net volume or volume delta
- Developing activity can be observed real-time, none of the indications are repainted
- Transaction activity is calculated using volumes accrued in lower timeframe price movements
- Lots and columns can be used to display same or different volume types (e.g. volume delta lots and net volume columns) in single view
- Users can specify derivative data such as volume delta POCs, net volume POC and net activity coloring
- For practical guide with practical examples, see last section
Disclaimer
Orderflow data is estimated using lower timeframe price movement. While accurate and useful, it's important to note the calculations are estimations and are not based on orderbook data. Estimates are calculated by allotting volume developing on lower timeframe chart to its respective section based on closing price. Volume delta (difference between buyers/sellers) is calculated by subtracting down move volumes (sell volume) from up move volumes (buy volume). Accuracy of the orderflow estimations largely depends on quality of lower timeframe chart used for calculations, which is why this tool cannot be expected to work accurately on illiquid charts with broken data.
Liquidity composition does not provide a standalone trading strategy or financial advice. It also does not substitute knowing how to trade. Example charts and ideas shown for use cases are textbook examples under ideal conditions, not guaranteed to repeat as they are presented. Liquidity composition should be viewed as one tool providing one kind of evidence, to be used in conjunction with other means of analysis.
- Example charts
Chart #1: BTCUSDT
Chart #2: EURUSD
Chart #3: ES futures
- Calculations
By default, size of sections and lower timeframe accuracy are automatically determined for all charts and timeframes. Number of lower timeframe price moves used for calculating orderflow is kept at fixed value, by default set to 350. Accuracy value dictates how many lower timeframe candles are included in the calculation of volume at price. At 350, the script will always use 350 lower timeframe price movements in calculations (when possible). When calculated dynamic timeframe is less than 1 minute, the script switches to available seconds based timeframes. Minimum dynamic timeframe can be capped to 1 minute (as seconds based timeframes are not available for all plans) or dynamic timeframe can be overridden using an user specified timeframe.
Example: Calculating dynamic lower timeframe
Main chart: 4H / 240 minutes
Accuracy value: 100
Formula: 240 minutes / 100 = 2.4 minutes
Timeframe used for calculations = 2 minutes
Section size is automatically determined based on typical historical candle range, the bigger it is, the bigger the section size as well. Like dynamic timeframe, automatic section size can be manually overridden by user specified size expressed in ticks (minimum price unit). Users can also adjust sensitivity of automatic sizing by setting it higher (smaller sections, more detail and more noise) or lower (less sections, less detail and less noise). Section size and dynamic timeframe can be monitored via metric table.
Volume at price is calculated by allotting volume associated with a lower timeframe price movement to its respective section based on closing price (volume is stored to the section that covers closing price). When used on a chart with no volume data, volatility is used instead to determine likely magnitude of participation. Volume delta (difference between buyers/sellers) is calculated by subtracting down move volumes (sell volume) from up move volumes (buy volume). Volumes accrued in sections are monitored over a longer period of time to determine a "normal" amount of activity, which is then used to normalize accrued volumes by benchmarking them against historical values.
Volume values displayed on the left side represent how close or far volume traded at given section is to an extreme, represented by value of 10 . The more value exceeds 10, the more extreme transaction activity is historically. The lesser the value, the less extreme (and therefore more typical) transaction activity is. Users can adjust sensitivity of volume extreme threshold, either by increasing it (more transaction activity is needed to constitute an extreme) or decreasing it (less transaction activity is needed to constitute an extreme).
Example: Interpreting volume scale
0 = Very little to no transaction activity compared to historical values
5 = Transaction activity equal to average historical values
10 = Transaction activity equal to an extreme in historical values
10+ = The more transaction activity exceeds value of 10, the more extreme it is historically
Accuracy of orderflow data largely depends on quality of lower timeframe data used in calculations. Sometimes quality of underlying lower timeframe data is insufficient due to suboptimal accuracy or broken lower timeframe data, usually caused by illiquid charts with gaps and inconsistent values. Therefore, one should always ensure the usage of most liquid chart available with no gaps in lower timeframe data. To combat poor orderflow data, a simple data quality check is conducted by calculating percentage of sections with volume data out of all available sections. Idea behind the test is to capture instances where unusual amount of sections are completely empty, most likely due to data gaps in LTF chart. E.g. 90% of sections hold some volume data, 10% are completely empty = 90% data quality score.
Data quality score should be viewed as a metric alerting when detail of underlying data is insufficient to consider accurate. When data quality score is slightly below threshold, lower timeframe chart used for calculations is likely fine, but accuracy value is too low. In this case, one should increase accuracy value or manually override used timeframe with a smaller one. When data quality score is well below threshold, lower timeframe chart used for calculations is likely broken and cannot be fixed. In this case, one should look for alternative charts with more reliable data (e.g. ES1! -> SPY, BITSTAMP:BTCUSD -> BINANCE:BTCUSDT).
Example : When insufficient data quality scores can/cannot be fixed
- Derivative data
Point of control
Point of control, referring to point in price where transaction activity is highest, can be calculated based on the volume type of lots or columns (based on net volume or volume delta). Depending on the calculation basis, displayed point of controls will vary. POC calculated based on net volume is no different from traditional POC, it is simply the section with highest amount of transaction activity, marked with an X. When calculating POC based on volume delta, the script will highlight two point of controls, named leading and losing point of control . Leading POC refers to lot with highest amount of volume delta, marked with an X. If leading POC was net buy volume, losing POC is marked on section with highest net sell volume, marked with S respectfully. Same logic applies in vice versa, if leading POC is net sell volume, losing POC is marked on highest buy volume section, using the letter B.
Net activity
Similarly to point of control calculation, net activity can be calculated based on either volume types, lots or columns. When calculating net activity based on net volume, candles will be colorized according to magnitude of total volume traded. When calculating net activity based on volume delta, candles will be colorized according to side with most volume traded (buyers or sellers). Net activity color can be applied on borders or body of a candle.
- Visuals
Lots, columns, candles and POCs can be colorized using a fixed color or a volume based dynamic color, with separate color options for buy side volume, sell side volume and net volume.
Metric table can be offsetted horizontally or vertically from any four corners of the chart, allowing space for tables from other scripts.
Table sizes, label sizes and offsets for visuals are fully customizable using settings menu.
- Practical guide
OHLC data (candles) is a simple condensed visualization of an auction market process. Candles show where price was in the beginning of an auction period (timeframe), the highest/lowest point and where price was at the end of an auction. The core utility of Liquidity composition is being able to view the same auction market process in much greater detail, revealing likely intention, effort and magnitude driving the process. All basic orderflow concepts, such as ones presented by auction market theory can be applied to Liquidity composition as well.
The most obvious and easy to spot use case for orderflow tools is identifying trapped traders/absorption, seen in high transaction activity at the very highs/lows of a candle or even better, at wicks. High participation at wicks can be used to identify forced orders absorbed into limit orders, idea behind being that when high transaction activity is placed at a wick, price went one direction with a lot of participation (high effort) and came right back up (low impact) within the same time period.
Absorption can show itself in many ways:
- Extreme buy volume sections at wick highs or buy side POC at wick highs
- Multiple, clustered high buy volume sections (but not extreme) at wick highs
- Positive net volume delta into a reversal down
- Extreme sell volume sections at wick lows or sell side POC at wick lows
- Multiple, clustered high sell volume sections (but not extreme) at wick lows
- Negative net volume delta into a reversal up
- Extreme net volume sections at or net volume POC at wick highs/lows
- Extreme net volume into a reversal up/down
For accurate analysis, orderflow based events should be viewed in the context of price action. To identify absorption, it's best to look for opportunities where an opposing trend is clearly in place, e.g. absorption into highs on an uptrend, absorption into lows on a downtrend. When price is ranging without a clear trend or there's no opposing trend, extreme activity at an extreme end of a candle might be aggressive participants attempting to initiate a new trend, rather than getting absorbed in the same sense. With enough effort put into pushing price to the opposite direction at overextended price, a shift in trend direction might be near.
Price action based levels are a great way to get context around orderflow events. Simple range highs/lows as a single data point serve as a high probability regimes for reversals, making them a great point of confluence for identifying trapped traders.
Low to zero volume sections can be used to identify points in price with little to no trading, leaving a volume null/void behind. Typically sections like these represent gaps on a lower timeframe chart, which can be used as reference levels for targets and support/resistance.
Net volume can be used for same purposes as above, but for determining general intention of market participants it's a much more suitable tool than volume delta. According to auction market theory, low/no participation is considered to reject prices and high participation is considered to accept prices. With this concept in mind, unfinished auctions occur when participation is high at highs or high at lows, idea behind being that participants are showing willingness and interest to trade at higher or lower prices. Auction is considered finished when the opposite is true, i.e. when participants are not showing willingness to trade at higher/lower prices. In general, direction of unfinished auctions can be expected to continue shortly and direction of unfinished auctions can be expected to hold.
While shape of volume delta and net volume are usually similar, they're not the same thing and do not represent the same event under the hood. Volume delta at 0 does not necessarily mean participation is 0, but can also mean high participation with equal amount of buying and selling. With this distinction in mind, using volume delta and net volume in tandem has the benefit of being able to identify points in price with a lot of up and down price movement packed into a small area, i.e. consolidation. Points in price where price hangs around for an extended period of time can be used to identify levels of interest for re-tests and breakout opportunities.
COSTAR [SS]This idea came to me after I wrote the post about Co-Integration and pair trading. I wondered if you could use pair trading principles as a way to determine overbought and oversold conditions in a more neutral way than RSI or Stochastics.
The results were promising and this indicator resulted :-)!
About:
COSTAR provides another, more neutral way to determine whether an equity is overbought or oversold.
Instead of relying on the traditional oscillator based ways, such as using RSI, Stochastics and MFI, which can be somewhat biased and narrow sided, COSTAR attempts to take a neutral, unbiased approached to determine overbought and oversold conditions. It does this through using a co-integrated partner, or "pair" that is closely linked to the underlying equity and succeeds on both having a high correlation and a high t-statistic on the ADF test. It then references this underlying, co-integrated partner as the "benchmark" for the co-integration relationship.
How this succeeds as being "unbiased" and "neutral" is because it is responsive to underlying drivers. If there is a market catalyst or just general bullish or bearish momentum in the market, the indicator will be referencing the integrated relationship between the two pairs and referencing that as a baseline. If there is a sustained rally on the integrated partner of the underlying ticker that is holding, but the other ticker is lagging, it will indicate that the other ticker is likely to be under-valued and thus "oversold" because it is underperforming its benchmark partner.
This is in contrast to traditional approaches to determining overbought and oversold conditions, which rely completely on a single ticker, with no external reference to other tickers and no control over whether the move could potentially be a fundamental move based on an industry or sector, or whether it is a fluke or a squeeze.
The control for this giving "false" signals comes from its extent of modelling and assessment of the degree of integration of the relationship. The parameters are set by default to assess over a 1 year period, both the correlation and the integration. Anything that passes this degree of integration is likely to have a solid, co-integrated state and not likely to be a "fluke". Thus, the reliability of the assessment is augmented by the degree of statistical significance found within the relationship. The indicator is not going to prompt you to rely on a relationship that is statistically weak, and will warn you of such.
The indicator will show you all the information you require regarding the relationship and whether it is reliable or not, so you do not need to worry!
How to Use
The first step to use COSTAR is identifying which ticker has a strong relationship with the current ticker. In the main chart, you will see that SPY is overlaid with VIX. There is a strong, negative correlation between the VIX and SPY. When VIX is entered as the paired ticker, the indicator returns the data as stationary, indicating a compatible match.
Now you have 3 ways of viewing this relationship, 2 of which are going to be directly applicable to trading.
You can view them as
Price to Price Ratio (Not very useful for trading, but if you are curious)
Z-Score: Helpful for trading
Co-integration: Helpful for trading
Here is an example of all three:
Example of Z-Score Chart:
Example of Price Ratio:
Example of Co-Integration Pair:
Using for Trading
As stated above, the two best ways to use this for trading is to either use the Z-Score Chart or the Co-Integrated Pair chart.
The Z-Score chart is based off of the price ratio data and provides an assessment of both the independent and dependent data.
The co-integration shows the dependent (the ticker you are trading) in yellow and the independent (the ticker you are referencing) in teal. When teal is above yellow, you will see it is green. This means, based on your benchmark pair, there is still more up room and the ticker you are trading is actually lagging behind.
When the yellow crosses up, it will turn red. This means that your ticker is out-performing the benchmark pair and you likely will see pullback and a "regression to the mean" through re-integration.
The indicator is capable of plotting out entries and exits, which are guided by the z-score:
How Effective is it?
I created a basic strategy in Pinescript, and the back-test results vary. Trading ES1! using NQ1! as the co-integrated pair, results were around 78% effective.
With VIX, results were around 50% effective, but with a net profit.
Generally, the efficacy surpassed that of both stochastics and RSI.
I will be releasing the strategy version of this in the coming days, still just cleaning up that code and making it more "public use" friendly.
Other Applications
If you are a pair trader, you can technically use this for pair trading as well. That's essentially all this is doing :-).
Tips
If you are trading a ticker such as MSFT, AMD, KO etc., it's best to try to find an ETF or index that has that particular ticker as a large holding and use that as your benchmark. You will see on the indicator whether there is a high correlation and whether the data is indeed stationary.
If the indicator returns "Non-stationary", you can attempt to extend your regression range from 252 to 500. If this fixes the issue, ensure that the correlation is still >= 0.5 or <= -0.5. If this does not work still, you will need to find another pair, as its likely the result of incompatibility and an insignificant relationship.
To help you identify tickers with strong relationships, consider using a correlation heatmap indicator. I have one available and I think there are a couple of other similar ish ones out there. You want to make sure the relationship is stable over time (a correlation of >= 0.50 or <= -0.5 over the past 252 to 500 days).
IMPORTANT: The long and short exits delete the signal after one is signaled. Therefore, when you look back in the chart you will notice there are no signals to exit long or short. That is because they signal as they happen. This is to keep the chart clean.
'Tis all my friends!
Hope you enjoy and let me know your questions and suggestions below!
Side note:
COSTAR stands for Co-integration Statistical Analysis and Regression. ;)
Bull Flag DetectionThe FuturesGod bull flag indicator aims to identify the occurrence of bull flags.
Bull flags are a popular trading pattern that allows users to gauge long entries into a given market. Flags consist of a pole that is followed by either a downward or sideways consolidation period.
This script can be used on any market but was intended for futures (NQ, ES) trading on the intraday timeframe.
The script does the following:
1. Identifies the occurrence of a flag pole. This is based on a lookback period and percentage threshold decided by the user.
2. Marks the consolidation area after the pole occurrence using swing highs and swing lows.
3. Visually the above is represented by a shaded green area.
4. When a pole is detected, it is marked by a downward off-white triangle. Note that if the percentage threshold is reached several times on the same upward climb, the script will continue to identify points where the threshold for pole detection is met.
5. Also visualized are the 20, 50 and 200 period exponential moving averages. The area between the 20 and 50 EMAs are shaded to provide traders a visual of a possible support area.
