Convert ETF to Futures/IndexThis indicator is used to automatically map an ETF's VWAP and 10 levels above and below the strike of your choice, to the futures or index instrument currently being viewed/traded. This works very well when using both SPY to ES/MES/SPX or QQQ to NQ/MNQ/NDX to plot the ETF strikes and can lead to some incredible trades, especially when trading level to level. Since SPY, QQQ, IWM, and DIA have the same price action as their futures iteration, there seems to be a direct correlation between their levels and VWAP . This indicator is made to easily map these key levels to the appropriate futures instrument. If you have a way to measure GEX centered around a certain level, I recommend color coding the lines to help indicate whether the level will have strong positive or negative gamma hedging associated with it.
Tìm kiếm tập lệnh với "spx"
Seasonality - Session Performance - Morning Afternoon EveningUse this indicator on Intraday Timeframe. Higher the timeframe, more the data
This script calculates the performance of an instrument for different sessions.
Session inputs can be updated to study performance of
- Morning vs Afternoon vs Evening
- Pre-Market vs Market vs Post-Market (provided the data feed supports pre and post market)
- Overnight vs Intraday
Three session inputs are provided to tweak the session range
Performance is calculated as session close / session open - 1
Session timeframes can be set for various countries. Make sure the session timeframe aligns with the Candle open/close for the timeframe you choose. Some examples below
US Markets: 0930-1130 1130-1430 1430-1630 Timeframe 1 hour
India Markets: 0915-1030 1030-1415 1415-15:30 Timeframe 75min
Seasonality Overnight Gaps - Tabular Form Use this indicator on Daily Timeframe
This script calculates the overnight gaps above a specific threshold (that can be set through input parameters) and displays the data in a tabular form with Year in the rows and the day of the week in the columns.
Also a summary row is displayed at the bottom for day of the week.
Detailed Gap info is displayed as tooltip for the cell data
Gap - Open should be outside the previous day's Open and Close
Gap % - open/prev. close - 1 if Gap is there
ILM Overnight vs Intraday Performance - Tabular FormUse this indicator on Daily Timeframe
This script compares Overnight vs Intraday Performance based on the Day of the Week (DOW) - Sun - Sat of index/stock/currency/commodity symbols.
ON column indicates Overnight performance = open/close -1
ID column indicates Intraday performance = close-open/1
The calculations are detailed in the tooltips of the individual table cells.
Seasonality DOW - Day Of the Week - Tabular FormUse this indicator on Daily Timeframe
This indicator displays the seasonality data for any instrument (index/stock/ futures /currency) in a tabular data by day of the week - DOW ( Sun - Mon - Tue - Wed - Thu - Fri - Sat ).
User can change the start of the year for analysis from the inputs.
Year is represented in rows and Day of the week (DOW) is represented in cols.
This indicator uses Daily Data feed to calculate the % change
Summary data for DOW displayed as the last row
Willspread Chart + POIV & ADVolumen TrendColor sπThe Indicator is a combination of different types of measurements to the Price Action.
1. Spread: The Spread is set to measure your Symbol to another chosen Market like Dollar as Contra . But you can switch also between different markets.
2. Accumulation/Distribution with True Range of High or Low including OpenInterest. This only works with Futures .
--Energies, Metals, Bonds, Softs, Currencies, Livestock, live cattle , feeder cattle, lean hogs , index--
Open Interest for:
ZW, ZC, ZS, ZM, ZL, ZO, ZR, CL, RB, HO, NG, GC, SI, HG, PA, PL, ZN, ZB, ZT, ZF, CC, CT, KC, SB, JO, LB, AUDUSD, GBPUSD, USDCAD, EURUSD, USDJPY, USDCHF, USDMXN, NZDUSD, USDRUB, DX, BTC, ETH, LE, GF, HE, NQ, NDX, ES, SPX, RTY, VIX,
3. Accumulation/Distribution with True Range of High or Low including Volume .
4. The color shows if the Market has positive or negative (Willspread, Volume or Open Interest)
5. The Indicator also shows Divergences to Price and Willspread Movements.
If you want to have more information just give me a message.
Bearish Market Indicator V2Definition
Have you ever wonder whether if the stock/index/market is "bearish" ? A Bearish Market Indicator (B.M.I) is not a new concept, the definition is simply 20% lower from the recent (term: short-term, recent: usually within a year, a.k.a 1 year) highs (closing price with in the recent period or within in a year or simply a 52-Week High). It is called “bearish” by definition when the closing price is below 20% from the highest price within the year (52-Week high: Green Line). To visualize the “20%” below the recent highs, there is a plot (line: light yellow color in the middle) called a Bearish Market By Definition Value. For example, the SPX 500 has been in a bearish market which is why there is a purple color highlight over the 52-Week High (green line) since September 21, 2022 because the closing price is below the Bearish Market By Definition Value (light yellow color) or “20% below the recent highs”. Finally, there is a red line under in the graph and it is the lowest price within a year. So when you hear, “this ticker is at a 52-Week Low”, you know what it means.
Line Summary:
Green Color Line = 52-Week High
Yellow Color Line = 20% away from the 52-Week High or Bearish Market By Definition Value
Red Color Line = 52-Week Low
Color Summary:
Red Color = Bad
Saturated Red Color = Very Bad
Purple Color = Bearish (It may look pink: red + purple)
White Color = Less Bad (That’s because there is no certainty only probability)
Green Color = Not too Bad (That’s because there is no certainty only probability)
Now to more complicated Metrics
>> If you do not like the technical indicators, go to the indicator settings, uncheck the tables. Otherwise, please continue reading. <<
Pre-requisites
+ Understand that the indicators are lagging indicators.
+ Using it under “D” or “Day” interval
+ Already Understand: Moving Averages, Stochastic-RSI, RSI, Super Trend and MACD.
+ Please be aware that this might not be compatible with traders!
Indicators
This B.M.I is fused (comprised, combined) with multiple indicators:
- Moving Averages
I would not rely just on the Moving Averages (MA) since it is a lagging indicator. The values are derived by finding the differences with respect to the MAs (between the closing price and with the respect MA).
- Stochastic-RSI
Stochastic and RSI combo with RSI-Color coating. The first value is the rsi-stochastic-k followed by the rsi-stochastic-d both are compartmentalized with “|”.
Parameter:
Numbers > 80 Not Good
Numbers < 20 Is it time? (You can manually verify the lines (k, d) or the values from them)
- Relative Strength Index (RSI)
The first value is the rsi followed by the rsi-ma both are compartmentalized with “|”. It is also coated with RSI-color.
Parameter:
Numbers > 70 Overbought | Color Red
If the RSI > RSI’s MA = Green
If the RSI < RSI’s MA = Red
Numbers < 30 Oversold | Color Red
- Moving Averages Convergence Divergence (MACD)
The first value is the MACD-line followed by the signal-line both are compartmentalized with “|”.
Macd-line > signal line = green
Macd-line < signal line = red
- Supertrend (please look up from the documentation; i can not embed the link)
Think of this way, you’re riding a wave. If the wave is climbing, expect the price to follow.
Direction < 0 = Green
Direction > 0 = Red
- Other Trend similar to supertrend
This is similar to the Super Trend according the some. Imagine you’re drawing a trend line manually within 6 months.
Within the period, the line gets smoothed over and over til the n=9.
> If the closing is less than the 9th value, it implies the trend is slowing down.
Usage
Adjustments
+ Since there are different holidays from different countries, you can change the BMI-Period from the indicator settings “BMI-4khansolo”.
+ You can hide Technical Indicator Tables, it is also under the settings (see above).
> This will show red over the 52-Week high if it tests for positive .
Purpose
Do you like eating the same food over and over? No! I love different food! I also love a variety of indicators. Especially, I love having MULTIPLE indicators presented in one canvas at the same time (personalized).
After spending a lot of time, I want to share my “FOOD” which is made of different ingredients (indicators) with someone who appreciates food! This Makes me a chef isn't it? Yes! Chef!
Questions?
If you have questions or spotted errors, please comment them below so that I can improve.
Sources
All the materials (i.e., functions like ta.rsi, etc...) used in here are available in the platform.
All the references or sources materials are commented with the code since the I am not allowed to put them here.
Dealar VIX Implied Range + Retracement LevelsThis Implied range Is derived by the VIX(1 sd annual +/- Implied move.)
This Indicator plots the daily Implied range, A lot of quantitative trading firms/ MM firms hedge their delta & gamma exposure around the Implied range(prop calc). I have added retracement levels as well, so you have more pivot levels.
Enjoy!
Balance of Power Heikin Ashi Investing Strategy Balance of Power Heikin Ashi Investing Strategy
This is a swing strategy designed for investment help.
Its made around the Balace of Power indicator, but has been adapted on using the Monthly Heikin Ashi candle from the SPY asset in order to be used with correlation for US Stock/ETF/Index Markets.
The BOP acts as an oscilallator showing the power of a bull trend when its positive and a bearish trend when its in negative. At the same time we can spot reversals, based on the percentiles ( 99/1)
The rules for entry :
For long : The 99 percentile is ascending, and we are either in a positive value (>0), or we crossed the bottom place ( -0.35)
For short : the 99 and 1 percentile are descending, and we are either in a negative value(<0), or we crossed down the top place ( 0.6)
If you have any questions please let me know !
KERPD Noise Filter - Kaufman Efficiency Ratio and Price DensityThis indicator combines Kaufman Efficiency Ratio (KER) and Price Density theories to create a unique market noise filter that is 'right on time' compared to using KER or Price Density alone. All data is normalized and merged into a single output. Additionally, this indicator provides the ability to consider background noise and background noise buoyancy to allow dynamic observation of noise level and asset specific calibration of the indicator (if desired).
The basic theory surrounding usage is that: higher values = lower noise, while lower values = higher noise in market.
Notes: NON-DIRECTIONAL Kaufman Efficiency Ratio used. Threshold period of 30 to 40 applies to Kaufman Efficiency Ratio systems if standard length of 20 is applied; maintained despite incorporation of Price Density normalized data.
TRADING USES:
-Trend strategies, mean reversion/reversal/contrarian strategies, and identification/avoidance of ranging market conditions.
-Trend strategy where KERPD is above a certain value; generally a trend is forming/continuing as noise levels fall in the market.
-Mean reversion/reversal/contrarian strategies when KERPD exits a trending condition and falls below a certain value (additional signal confluence confirming for a strong reversal in price required); generally a reversal is forming as noise levels increase in the market.
-A filter to screen out ranging/choppy conditions where breakouts are frequently fake-outs and or price fails to move significantly; noise level is high, in addition to the background buoyancy level.
-In an adaptive trading systems to assist in determining whether to apply a trend following algorithm or a mean reversion algorithm.
THEORY / THOUGHT SPACE:
The market is a jungle. When apex predators are present it often goes quiet (institutions moving price), when absent the jungle is loud.
There is always background noise that scales with the anticipation of the silence, which has features of buoyancy that act to calibrate the beginning of the silence and return to background noise conditions.
Trend traders hunt in low noise conditions. Reversion traders hunt in the onset of low noise into static conditions. Ranges can be avoided during high noise and buoyant background noise conditions.
Distance between the noise line and background noise can help inform decision making.
CALIBRATION:
- Set the Noise Threshold % color change line so that the color cut off is where your trend/reversion should begin.
- Set the Background Noise Buoyancy Calibration Decimal % to match the beginning/end of the color change Noise Threshold % line. Match the Background Noise Baseline Decimal %' to the number set for buoyancy.
- Additionally, create your own custom settings; 33/34 and 50 length also provides interesting results.
- A color change tape option can be enabled by un-commenting the lines at the bottom of this script.
Market Usage:
Stock, Crypto, Forex, and Others
Excellent for: NDQ, J225, US30, SPX
Market Conditions:
Trend, Reversal, Ranging
Stock Gaps SPY Correlation StrategyThis is daytrade stock strategy, designed to take the best out of the daily gaps that are forming between the close of previous day and opening of present day.
At the same time its logic has been adapted for SPY chart, in order to use correlation with the other stocks/assets/ etf which are linked with SP500 movement.
Lastly it has been added 2 new confirmation logics, based on the USI: advance/decline chart and percentage above vwap among all US stocks.
The rules for entry are simple :
We are at the opening daily candle, we have a long/short gap based on where the opening is happening and at the same time we are checking to see that the current different between the current difference between low and previous high (or viceversa) is higher than an established parameter(minimal deviation )
For exit, we exit based on time/clock parameter, in this case by default I selected 1h and half before close of the US session.
For testing purposes I have used 10% of the available capital, with a 0.0035$ comission per each share bought ( IBKR comissions)
If there are any questions, please let me know either here or in private !
[GTH] Relative Strength, SectorsDisplays the Relative Strength (RS) of a symbol in relation to some common sector ETFs, SPX and NDX (select from drop-down list). This is done by dividing the symbol's price by the chosen sector ETF's price.
You can also select a symbol of your choice to compare against.
Interpretation:
RS line ascending: symbol performs stronger than the sector ETF.
RS line decending: symbol performs weaker than the sector ETF.
In case of error reports: please be specfic. Thanks.
iBox, Initial Balance | IB High, Low, Midpoint | OpeningThis Indicator will print basically 4 lines.
You have to understand the importance of the "Initial Balance" the first trading hour of Cash session is very important in trading stocks and indizes.
So you will get 4 lines:
Opening
Initial Balance High
Initial Balance Low
Initial Balance Midpoint/Halfback
Most indicators for Range Box, Opening Trade, Opening Range, Initial Balance, iBOX and "Ultimate Lines" will only use the timezone of the exchange or your own timezone. I'm living in europe and we have this daylight saving time change in Summer/Winter - which will cause problems with most of the existing indicators or at least will push you to change the times regularly.
Another important point: I really like to switch the indizes when trading on my mobile. So what will happen when you set up opening range for DAX at 09:00 and then switch to S&P500? All indicators I tried failed here - they will just draw a wrong line for SPX, NDX, DJI, FTSE, ASX etc. I fixed that and hard coded stock exchanges and ticker symbols into 3 main groups Initial Balance EU/US/Asia
For example we take DAX - XETRA DAX is opening at 09:00 MEZ (Europe/Berlin)
The Initial Balance is set during the H1 Candle from 09:00 - 09:59
Please be aware, that some cash indizes only deliver data to TradingView after the "opening auction" - so for Xetra DAX you have to book live data and often you will only see data at 09:02/09:03 after the opening auction.
So you will get different opening lines compared from cash to future or your CFD provider. Future and CFD should fit for 99%
The Opening Line will be drawn at exactly 09:00
IB High on the highest price during the H1 candle
IB Low on the lowest price during the H1 candle
IB Halfback is simple: (IB High + IB Low) / 2
The lines will be drawn from cash start until next day and will end 2 minutes before the next cash session will start again. Please make your own experience! Activate the indicator for a CFD or Future switch to M15 and watch the wicks around the 4 lines. Even in the night or the next morning before the next Initial Balance will be set.
For me the lines are valid for around 24 hours and often longer. That's why it's good to have the old lines on the chart too.
To-do:
Yesterday high / low / close / halfback (also for last week and month)
Labels for the lines - sometimes only the colors will confuse you - a simple label should be a benefit (IB_h, IB_l, IB_1/2, 1D_o)
Range Lines for Asia Range and Premarket Range - additionaly a parameter to disable premarket lines when premarket is trading in asia range.
Add Alert condition to get alerts after IB is set
If you have and thoughts, ideas or improvements, please send me an message or leave an comment!
Like i said, the stock exchanges and ticker symbols are hard coded and can be extended for all relevant assets.
Have fun and i really hope this indicator will help improving your trading experience!
Daily/Weekly ExtremesBACKGROUND
This indicator calculates the daily and weekly +-1 standard deviation of the S&P 500 based on 2 methodologies:
1. VIX - Using the market's expectation of forward volatility, one can calculate the daily expectation by dividing the VIX by the square root of 252 (the number of trading days in a year) - also know as the "rule of 16." Similarly, dividing by the square root of 50 will give you the weekly expected range based on the VIX.
2. ATR - We also provide expected weekly and daily ranges based on 5 day/week ATR.
HOW TO USE
- This indicator only has 1 option in the settings: choosing the ATR (default) or the VIX to plot the +-1 standard deviation range.
- This indicator WILL ONLY display these ranges if you are looking at the SPX or ES futures. The ranges will not be displayed if you are looking at any other symbols
- The boundaries displayed on the chart should not be used on their own as bounce/reject levels. They are simply to provide a frame of reference as to where price is trading with respect to the market's implied expectations. It can be used as an indicator to look for signs of reversals on the tape.
- Daily and Weekly extremes are plotted on all time frames (even on lower time frames).
Caleb's Supply and Demand ZonesThis script takes predetermined levels and plots them as supply and demand zones. These zones are automatically colored as supply or demand based on price action. Additionally, two EMAs and a VWAP are included to help make intraday trading decisions. This script is written to intuitively deduce between SPY, SPX, ES, US500, QQQ, and NQ to plot the zones in their proper corresponding price levels.
Scalp LevelsThis script is to provide scalp levels based on Price Action. It is mainly built keeping price action of SPY/SPX in mind.
TF Segmented Polynomial Regression [LuxAlgo]This indicator displays polynomial regression channels fitted using data within a user selected time interval.
The model is fitted using the same method described in our previous script:
Settings
Degree: Degree of the fitted polynomial
Width: Multiplicative factor of the model RMSE. Controls the width of the polynomial regression's channels
Timeframe: Fits the polynomial regression using data within the selected timeframe interval
Show fit for new bars: If selected, will fit the regression model for newly generated bars, else the previous fitted value is displayed.
Src: Input source
Usage
Segmented (or piecewise) models yield multiple fits by first partitioning the data into multiple intervals from specific partitioning conditions. In this script this partitioning condition is for a user selected timeframe to change.
Segmented models can be particularly pertinent for market prices, which often describes a series of local trends.
Segmented polynomial regressions can describe the nature of underlying trends in the price from their fit, such as if an underlying trend is more linear (trending) or constant (ranging), and if a trend is monotonic.
The above chart shows a monthly partitioning on SPX 15m, using a polynomial regression of degree 3. Channel extremities allows highlighting local tops/bottoms.
For real time applications users can choose to fit a current model to incoming price data using the Show fit for new bars settings.
Details
The script does not make use of line.new to display the segmented linear regressions, which allows showing a higher number of historical fits. Each channel extremity as well as the model fit is displayed from the plot function, as such user can more easily set alerts on them.
It is important to note that achieving this requires accessing future price data, as such this script is subject to lookahead bias, historical results differ from the results one could have obtained in real-time.
TASC 2022.08 Trading The Fear Index█ OVERVIEW
TASC's August 2022 edition of Traders' Tips includes an article by Markos Katsanos titled "Trading The Fear Index". This script implements a trading strategy called the “daily long/short trading system for volatility ETFs” presented in this article.
█ CONCEPTS
This long-term strategy aims to capitalize on stock market volatility by using exchange-traded funds (ETFs or ETNs) linked to the VIX index.
The strategy rules (see below) are based on a combination of the movement of the Cboe VIX index, the readings of the stochastic oscillator applied to the SPY ETF relative to the VIX, and a custom indicator presented in the article and called the correlation trend . Thus, they are not based on the price movement of the traded ETF itself, but rather on the movement of the VIX and of the S&P 500 index. This allows the strategy to capture most of the spikes in volatility while profiting from the long-term time decay of the traded ETFs.
█ STRATEGY RULES
Long rules
Rising volatility: The VIX should rise by more than 50% in the last 6 days.
Trend: The correlation trend of the VIX should be 0.8 or higher and also higher than yesterday's value.
VIX-SPY relative position: The 25-day and 10-day VIX stochastics should be above the 25-day and 10-day SPY stochastics respectively. In addition, the 10-day stochastic of the VIX should be above its yesterday's value.
Long positions are closed if the 10-day stochastic of the SPY rises above the 10-day stochastic of the VIX or falls below the yesterday's value.
Short rules
Declining volatility: The VIX should drop over 20% in the last 6 days and should be down during the last 3 days.
VIX threshold: The VIX should spend less than 35% of time below 15.
VIX-SPY relative position: The 10-day VIX stochastic should be below the 10-day SPY stochastic. In addition, the 10-day SPY stochastic should be higher than the yesterday's value.
Long positions are closed if the first two Long rules are triggered (Rising volatility and Trend).
The script allows you to display the readings of the indicators used in the strategy rules in the form of oscillator time series (as in the preview chart) and/or in the form of a table.
I11L Long Put/Call Ratio InversionThe Strategy uses the Put/Call Options Ratio Inversaion as a Signal and Implements simple Money Management rules.
It is adjusted for the NDX and for the SPX in the 30min Range.
The Oscilation has to be finetuned to reflect the correct Reversal point.
A good indicator of the correct Reversal Point is a solid range of good backtesting results..
TIG's Market Internals Clouds Indicator v2.0=================================
== GENERAL INTRODUCTION
=================================
If you find market internals inform your intraday trading decisions (SPX, ES futures, SPY or more generally) this may be helpful.
Currently available internals are:
- ADD
- TICK
- TRIN
- VIX
- VOLD
Also, you can display your favorite alternative market internal (or BTC, if you want?!) by entering the relevant ticker in the 'Custom' field
=================================
== NOTES
=================================
The default EMA lengths seem to work reasonably well for 1, 2, 3-minute timeframes (except for TICK - you may wish to apply a bit more smoothing to TICK to reduce the noise)
Of course; you can add this indicator to your chart multiple times, and display a different internal each time.
The default Text Color is set as a mid-grey, which is readable in both TV color schemes. I prefer dark mode, and so I change the text color to white. You can't see the scheme setting from within a script, unfortunately, so this can't be automated.
=================================
== EXPERIMENTAL FEATURE
=================================
As a free bonus, the indicator can display the 30-bar (default) Pearson Correlation Coefficient between the internal, and price action (based on the super-fast EMA, to give a bit of smoothing). This may give a clue as to whether or not the market is aligned with what the internal is doing, or if the market (today) is not correlated with the particular internal.
Very roughly speaking:
- 0.50 means that 50% of the price action can be explained by reference to the internal. This is about the same level of correlation between VIX and Actual Move
- 0.80 suggests pretty strong correlation
I don't know why (yet) but sometimes this works, and sometimes it doesn't display a sensible figure.
=================================
== QUESTIONS AND FEEDBACK
=================================
If you have any general questions about market internals, Google is your friend.
If you have any specific queries, bug reports, feature requests or general feedback about this indicator please leave a comment below, and I'll get back to you ASAP!
Parabolic SAR Heikin Ashi MTF Candle ScalperThis is scalper strategy designed around parabolic sar indicator, where as an input candle value it uses the heikinashi from a higher timeframe.
This example has been adapted to SPY/SPX chart
In this case ,we are using a 5 min chart, but the calculations are made on a 15 min heikin ashi chart for the PSAR and then on 5 min chart we plot the results.
At the same time we are conditioning the entry to be base on a time/session for daytrading/scalper mentality
In this case we only enter within the first 30 min of SPY opening session , and then we exit after 3-4 hours of staying in the position ( unless we hit a reverse condition).
For long condition we enter when the mtf ha candle close is above the mtf psar and for short condition we enter when the mtf ha candle close is below the mtf psar
This script is made with an educational purpose to show the power of multiple time frame approach compared to a single chart.
If you have any questions, let me know !
Infiten Slope StrategyThis model is an index fund trading model, which uses moving averages and price percentage oscillators to minimize downside exposure.
