Example execution of Monte Carlo Simulation applied to the markets(this is my interpretation of the algo so inconsistencys may appear).
the algorithm is very demanding so performance is limited.
The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series and the rate at which these decrease as the lag between pairs of values increases.
The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence". It quantifies the relative tendency of a time series...
STRATEGY version of SuperTrend Indicator:
SuperTrend is one of the most common ATR based trailing stop indicators.
In this version you can change the ATR calculation method from the settings. Default method is RMA, when the alternative method is SMA .
The indicator is easy to use and gives an accurate reading about an ongoing trend. It is constructed with two...
SUPERTREND EXPLORER / SCREENER screens the BUY and SELL signals (trend reversals) for 38 user defined different tickers in Tradingview charts.
Simply input the short name of the ticker in Tradingview that you want to screen.
Script is derived from zzzcrypto123 's work. Thanks for the permission letting me to use his logic.
This is a leading indicator showing wave reversal points.
By drawing trendlines on this indicator you can quickly see a break of the trendline before the break on a price chart trendline.
Manually draw trendlines on the indicator to form an uptrend or downtrend.
A break down of the upward trendline gives a sell signal.
A break up of the downward trendline gives...
PMax is a brand new indicator developed by KivancOzbilgic in earlier 2020.
It's a combination of two trailing stop loss indicators;
One is Anıl Özekşi's MOST (Moving Stop Loss) Indicator
and the other one is well known ATR based SuperTrend.
Both MOST and SuperTrend...
Indicator tracks the 10 day correlation with VIX. I prefer to use this with SPY. Can be a great way to flag tops/melt-ups.
Default settings are set to when the correlation is above 0.2, bars turn red, but you can change this.
The following script is an application of the Z-Score (previous script).
Z-Scores can be used in place of standard deviation (sigma) in 'Bollinger Bands'.
The average of the sample (x-bar) over 21 days (N)
21 average trading days per month, fixed value
The average of the population (mu) over 63 days (n)
63 days per quarter, default is set to 63
The z-score is a way of counting the number of standard deviations between a given data value and the mean of the data set.
Z-score = (x̄ - μ) / (σ / √ n)
x̄ = sample mean (using the array.avg function = array(a,close ), where i = 1 to 21)
μ = population mean ( = avg(close, n))
σ = standard deviation of the population ( = stdev(close,n))
n = number of 'close'...
A volatility indicator derived from the AM/GM inequality. I don't think it will be necessary to describe the usage and interpretation of such indicator, and I don't think it is super useful, however, this is not the case of the script, which contains three ways to compute the geometric mean, with a classic, a simple, and an efficient way. The AM/GM inequality is...
Since we don't have tick count per time interval, let's do it this way. Basically "bigger the move bigger the volume" rule applies in most times, making volume alone kinda useless. What is more interesting, is when there was a huge volume within a relatively small range, or vice versa, a huge move without equally increased volume.
Without diving into details,...
% X Change Over Y Amount of Time
Published by user Eric Thies on 9/3/2020
Relatively simple script that is measuring the performance of the input over the previous y # bars.
The EMA appears to make troughs and peaks easy to see coming / look at as they happen.
Orange Histogram Represents the immediate...
Note: This script does not perform well on its own and is meant to inspire other coders, just sharing it because why not :)
The idea is simple, highest only gets calculated for green candles, lowest only gets calculated for red candles. a yellow dot gets created when a candle gets below lowest line and closes bullish, vise versa for red dots.
Hope someone can use it.
This is a pretty straight-forward script. I just wanted to see percent bands around the VWAP after looking at the standard deviation bands for a while and even dabbling with keltner channels. This is the cleanest in my opinion. The script is open so feel free to poke around!
The default settings are below, just to confuse 0.25 with 25%.
0.25 = 0.25%
SuperTrend Counter counts the number of signals SuperTrend has produced over a defined lookback period. It may be useful if you want to backtest SuperTrend. If so, this is the perfect indicator for you. Special thanks to everget, I used part of his SuperTrend indicator. Enjoy ;)
As you likely know, the bollinger squeeze comes from the bband indicator, a classic indicator in all forms of technical analysis, effectively measuring volatility of a given assets price movement.
There are different forms of the squeeze here on tradingview, and I've combined the Bollinger band indicator in my own strategy, to...
Fama-French 3 Factor Model
Extension of the Capital Asset Pricing Model (CAPM)
Ra = Rfr +
Ra = Return of the Asset
Rfr = Risk-Free Rate
βa = Beta Coefficient of the Asset
Rm - Rfr = Market Risk Premium
Fama-French 3 Factor
r = rf + β1*(rm - rf) + β2(smh) +β3(hml)
r = Expected rate of return
rf = Risk-free rate
ß = Factor’s coefficient...