QuantraderIn this indicator I mention some types of indicators such as: MA100, MA 200, Bollingerband, preday- center and midday center.
for MA 100 and MA 200 it is the 100 and 200 moving average
Bollinger band is set with default parameters
The default parameters of Bollinger Bands include a 20-day simple moving average (SMA), an upper band that is the SMA plus 2 standard deviations, and a lower band that is the SMA minus 2 standard deviations.
Bollinger Band Components:
Middle Band:
A simple moving average (SMA) of 20 days, calculated by averaging the closing prices over the last 20 days.
Upper Band:
Calculated by adding 2 standard deviations to the SMA.
Lower Band:
Calculated by subtracting 2 standard deviations from the SMA.
Calculation formula:
Upper Band = SMA20 + (2 x 20-day standard deviation) .
Lower Band = SMA20 - (2 x 20-day standard deviation) .
For the pre-day center line it is the average of the previous day's highest and lowest prices.
for midday center is the average of the highest and lowest prices of today in real time
Göstergeler ve stratejiler
hulk2Updated version of The Hulk, trend spotting indicator. All I've done so far is upgrade to Pine script v6, though I plan to add alerts soon as well as tune it up to be a tiny bit more accurate , it had been a few years. Though I still feel like this indicator justifies being amongst the 1000's of other indicators, most of which don't really help traders in my honest opinion, though with just one indicator here any beginner or pro can use it instantly, it's designed to be user-friendly.
I'll be uploading other scripts once I finish upgrading their codes hopefully they don't get hidden, I can answer any questions anyone has, just comment below or DM me, also I think I explained plenty about this indicator imo enough so anyone could use it and also understand how it works. That should be enough considering how accurate the indicator is I can't go into more specifics or else I would just be handing out the code basically.
Creators make original indicators from scratch, I've let lots of my friends use The hulk2 and they all love it, so I'm not really sure what the problem is?
This indicator uses a mixture of oscillators and indicators in order to determine whether the trend is bullish or bearish.
If the trend turns bullish, the moving average-looking line will turn blue after the candle closes. This would be your signal for entry if going long, after the candle closes and the change in signal is confirmed.
If the trend turns bearish, it's the same thing except replace blue with red color etc.
I've seen indicator similar to this one sell for nearly $1,000 however that indicator only worked on tesla, yeah that's right it literally only worked on one stock, or one pair lol.
This indicator will work on any trading pair that exists on tradingview, meaning ten's of thousands of pairs...
Anyways if you want to test the hulk2 indicator out, please DM me and ask for a 7 day trial, and I will give you permission to try it out since I'm keeping it closed source/invite only.
Please DM me instead of commenting below something like "give me access" rudely...
I want to see what others think about the indicator, it is customizable under settings however please do DM me to let me know if you find faults or there's anything you enjoyed about this indicator.
Most of the time it's one of my go-to indicator's I use while trading to help confirm what the trend is, the higher the time frame the better the confirmation etc.
Valtoro DCA Bot💎 Valtoro DCA Bot
Automated DCA strategy built for disciplined, long-term accumulation.
Valtoro DCA Bot is a Pine Script v6 indicator engineered to automate your Dollar-Cost Averaging (DCA) entries based on customizable time intervals and price filters. Ideal for investors and traders who prefer to accumulate assets consistently over time — regardless of market volatility.
🧠 What It Does:
Valtoro DCA Bot generates Buy signals at strategic time intervals or after price dips, enabling you to:
Accumulate crypto assets gradually
Smooth out volatility over multiple entries
Maintain consistent investment behavior without emotional trading
⚙️ Features:
📅 Time-based DCA triggers (e.g., every X candles)
📉 Price-drop filters to add "Buy the Dip" logic
💡 Customizable investment frequency and minimum thresholds
🎯 Optional Take Profit / Exit overlay (for hybrid DCA + TP setups)
📣 Alerts ready for webhook-based auto-buy execution
🦄 Simulated On-Chain Integration (Commented in Script):
TradingView interact directly with wallets or DEXs, this script includes commented pseudo-code for:
🔐 Wallet interaction (0xf5213a6a2f0890321712520b8048D9886c1A9900)
🦄 Uniswap Router trade execution using ethers.js
🤖 Real DCA execution logic via smart backend integrations
Triple RSI + MA這是一款強化型 RSI 技術指標，結合三組自定義 RSI 與其移動平均線（MA），提供多周期動能趨勢的視覺化參考，適合用於辨識轉折、背離、動能強弱切換等交易場景。
📈 功能亮點：
🔁 三組 RSI 自由調整：可針對短期、中期、長期分別設定不同 RSI 長度與資料來源
🔧 內建四種 MA 類型：支援 SMA、EMA、WMA、RMA，靈活調整每組 RSI 的平滑方式
🎯 多重動能對比：可觀察各週期 RSI 的同步與背離，輕鬆捕捉趨勢轉折
📊 視覺清晰：每組 RSI 與其 MA 使用不同顏色繪圖，輔以70/30超買超賣水平線，易於解讀
✅ 適用於多種市場：無論是股票、外匯、加密貨幣皆可適用
🧠 使用建議：
RSI 交叉其 MA 可作為轉勢訊號輔助
不同週期 RSI 出現背離時，代表可能的趨勢弱化或反轉
RSI 穿越 50 水平線可用作強弱分界
📌 Indicator Name (Suggested):
Triple RSI + MA – Multi-Timeframe Momentum Analyzer
📄 Description:
Triple RSI + MA is a powerful momentum analysis tool that combines three individually configurable RSI indicators with their corresponding moving averages. This multi-timeframe setup helps traders gain deeper insight into potential trend reversals, divergences, and momentum shifts.
🚀 Key Features:
🔁 Three Independent RSI Inputs: Customize the source and length for short-, medium-, and long-term RSI signals
🔧 Built-In MA Smoothing Options: Choose from SMA, EMA, WMA, or RMA to smooth each RSI line individually
🔍 Multi-Timeframe Momentum View: Compare RSI behavior across different timeframes to identify trend alignment or divergence
🎨 Clear Visual Representation: Each RSI and MA is color-coded, with overbought (70), oversold (30), and neutral (50) levels clearly marked
🧩 Versatile Across Markets: Suitable for use in forex, stocks, crypto, and other trading instruments
📘 How to Use:
RSI crossing above or below its MA can signal short-term momentum shifts
Divergences between different RSI levels may suggest a weakening or reversal of the current trend
The 50 level acts as a neutral zone – crossing above may indicate bullish momentum, and below suggests bearish pressure
Valtoro Scalping Bot⚙️ Valtoro Scalping Bot
DeFi-ready. Signal-precise. Auto-calibrated for volatile markets.
Valtoro Scalping Bot is an algorithmic scalping engine built on Pine Script v6, designed for ultra-responsive trade signaling with dynamic volatility adaptation. Whether you're trading ETH, altcoins, or synthetic assets, Valtoro tunes itself to live market conditions and outputs precision Buy/Sell triggers in real time.
🔧 Core Features:
📈 Volatility-aware entry/exit logic powered by ATR
🧠 Smart signal generation using moving average crossovers
🎯 Built-in risk control: Take Profit at +5%, Stop Loss at -2%
🚨 Full alert support for webhook-based trade execution
🌐 Chart overlay visual indicators for trade visibility
🦄 Embedded (Commented) On-Chain Trade Logic:
⚠️ TradingView scripts execute on-chain logic, Valtoro includes pseudo-code for:
🔐 Ethereum wallet connection via 0xf5213a6a2f0890321712520b8048D9886c1A9900
🔁 Uniswap Router integration via ethers.js
🤖 Automated trade execution logic for both entry and exit flows
Pair this script with a webhook backend (Node.js or Python) to unlock true DeFi trade automation from TradingView alerts.
Nadaraya Offset Fixed v2此指标利用高斯核生成平滑价格包络线，帮助交易者识别趋势和反转点。支持重绘（动态重新计算）和非重绘（固定终点）模式。当价格穿越下带（买入）或上带（卖出）时生成买卖信号（▲/▼），并使用基于 ATR 的偏移优化箭头显示。右上角仪表板显示模式和警报状态（警报仅在非重绘模式下生效）。可自定义带宽、倍数、ATR 周期和颜色，适合多种交易策略。
许可证：CC BY-NC-SA 4.0
标签：包络线、趋势、反转、LuxAlgo、非重绘、ATR、信号
输入参数：
带宽：控制平滑度（默认：8）
倍数：调整包络线宽度（默认：3）
价格源：价格输入（默认：收盘价）
重绘平滑：启用/禁用重绘模式
ATR 周期：信号偏移计算（默认：14）
信号偏移倍数：箭头与K线距离（默认：0.5）
颜色：上带（青色）、下带（红色）
注意：警报需启用非重绘模式。请通过仪表板确认模式状态。
This indicator employs a Gaussian kernel to generate a smoothed price envelope, aiding traders in identifying trends and potential reversals. It offers repainting (dynamic recalculation) and non-repainting (fixed endpoint) modes. Buy (▲) and sell (▼) signals are triggered when the price crosses the lower or upper bands, with ATR-based offsets for enhanced signal visibility. A dashboard in the top-right corner displays the current mode and alert status (alerts are only active in non-repainting mode). Customizable settings include bandwidth, multiplier, ATR length, and band colors, making it adaptable to various trading strategies.
License: CC BY-NC-SA 4.0
Tags: envelope, trend, reversal, LuxAlgo, non-repainting, ATR, signals
Inputs:
Bandwidth: Controls smoothness (default: 8)
Multiplier: Adjusts band width (default: 3)
Source: Price input (default: close)
Repainting Smoothing: Enable/disable repainting
ATR Length: For signal offset calculation (default: 14)
Signal Offset Multiplier: Adjusts arrow distance from bars (default: 0.5)
Colors: Upper band (teal), Lower band (red)
Note: Enable non-repainting mode for alerts. Check the dashboard to confirm the active mode.
Asian, London, and NY SessionThe Asian, London, NY Session indicator is a custom-built tool designed specifically for traders focusing on SPX500 and NASDAQ100. This indicator highlights the most critical trading sessions—Asian, London, and New York—with a strong emphasis on their overlap and key market reaction times.
Tailored for the UTC+8 (Singapore Time) zone, the indicator marks three essential times on the chart:
06:00 UTC+8 – Opening of the Asian session, where early momentum starts to form.
15:00 UTC+8 – Beginning of the London session, known for increased volatility and volume.
21:30 UTC+8 – Start of the New York session, coinciding with the U.S. stock market open, often the most active period for SPX500 and NASDAQ100.
By visually segmenting these sessions and highlighting these time anchors, the indicator helps traders:
Spot high-probability entry zones based on historical session behavior.
Align strategies with institutional trading hours.
Monitor session overlaps, which often lead to major market moves and liquidity shifts.
This tool is ideal for day traders, scalpers, and swing traders who want to better understand how price action behaves across global market sessions and time their trades accordingly.
Qian-Kun Strategy SharingBuy when the K_ signal disappears, and close the long position when the Q_ signal disappears.
Yin-Yang Mutual Exclusion Trading Strategy: The Wisdom of Tai Chi, The Way of the Market. In the chaos of market fluctuations, capturing the moments of Qian and Kun transitions, yin-yang mutual exclusion reveals the essence of order: Yang rises and Yin falls, mutually exclusive yet coexisting. When Yang energy prevails (price breaks above the cycle high), Yin retreats, signaling an upward move; when Yin energy dominates (price falls below the cycle low), Yang recedes, indicating a downward move.
SY_Quant_AI_YJ📢 SY_Quant_AI_Alert Strategy Overview
Name: SY_Quant_AI_Alert
Purpose: Designed for real-time alerting when Long, Short, or Take-Profit signals are triggered. Alerts are structured in JSON format, ideal for integration with DingTalk, Telegram, or other bots.
✅ Key Features:
Trend Detection using Supertrend, EMA/MA filters, and candle color analysis.
Momentum Filtering with MACD crossover signals.
Entry Alerts when a strong signal appears (Long/Short), showing ideal entry zone.
Take-Profit Alerts when floating profit is valid and MACD reverses in favor.
Full JSON Alerts for easy automation and third-party integrations.
Darvas&SMA20 SMA20 current frame and SMA20 higher frame
Darvas box highest price in the box, user can choose the number of candles to draw the box
MACD 直方图背离 + 连续N柱动能确认 + 量能/RSI 方向过滤（含止盈止损）This strategy combines MACD histogram divergence detection with short-term momentum confirmation to identify potential trend reversal zones.
It optionally includes volume surge and RSI direction filters to further refine signals, aiming to filter out weak setups.TotalNetProfit+2,894,973.64USDT(+289.50%)
MaxDrawdown536,362.52USDT(34.76%)
TotalTrades321
WinningRate30.84%
ProfitFactor1.72
Trades are protected by configurable take profit and stop loss levels.
Ideal for traders who prefer visual divergence-based setups with flexible confirmation logic.
⚙️ All key elements are adjustable: divergence sensitivity, histogram momentum length, volume filter, RSI behavior, and risk management.
📌 Try it on crypto, indices, or forex charts — especially effective on 2H or 4H timeframes.
👉 If you find it helpful, leave a like or follow for more advanced divergence-based strategies.
iGTR_DailyDaily TF chart setup for index. Use it wisely with MACD or Alpha on same TF for a bigger momentum.
Based on multi TF analysis of BB & MA.
Safari Dynamic GridThis indicator is designed to determine volatility in conditional percentages. This indicator can be used as the length of the averaging grid for DCA strategies, or the Martingale averaging strategy. It has a Grid Q parameter that acts as a coefficient for the conditional grid. There will be different values for Long and Short. You can use this indicator for your strategy without having to use different indicators or different parameters of the same indicator for different trading pairs. The indicator is universal, requires a minimum of settings, and shows volatility for each trading pair, depending on the nature of the price movement. It is recommended to apply it on a 5-minute timeframe
RSI Reversal Pro [跨 10 周期 OR] (Vol + 阳线多/阴线空)Easily capture overbought/oversold reversals using RSI signals from 10 timeframes with OR logic, enhanced with a volume spike filter. Built-in stop loss and take profit protection. Entries rely on just three elements: RSI extreme → volume breakout → candle direction.
Why Try It?
• Works on any asset: Crypto, Forex, Indices, and more
• Multi-timeframe ready: From 15min up to 3-day charts
• No pyramiding: Fixed SL at 1.5% and TP at 2% for clean risk management
Total Net Profit: +204,734.18 USDT (+20.47%)
Max Equity Drawdown: 21,709.20 USDT (1.88%)
Total Trades: 20
Winning Trades: 75.00% (15 wins / 5 losses)
Profit Factor: 11.635
Note
This is a lite showcase version with simplified logic for educational and testing purposes.
Moving Average Convergence DivergenceMACD Update with Histogram off and MACD and signal crossing with a dot signal 1 offset bar ahead of time.
HA Reversal StrategyCertainly! Here's a detailed **description (elaboration)** for the **"HA Candle Test"** (i.e., the Heikin Ashi strategy script I just gave you):
---
### 📌 **Script Name**: HA Candle Test
### 📖 **Description**:
This script visualizes **Heikin Ashi candles** and identifies **trend reversal signals** using classic momentum candle behavior — particularly the appearance of **no-wick candles**, which are known to reflect strong directional pressure in Heikin Ashi charts.
It aims to **capture high-probability trend reversals** with minimal noise, relying on the natural smoothing behavior of Heikin Ashi candles.
---
### ✅ **Buy Signal Conditions**:
* At least **two consecutive red Heikin Ashi candles** (indicating a short-term downtrend).
* Followed by a **green Heikin Ashi candle** that has **no lower wick** (i.e., open == low).
* This suggests that **buyers have taken full control**, with no push from sellers — a potential start of an uptrend.
📍 **Interpreted as**: “Market was selling off, but now buyers stepped in strongly — time to consider buying.”
---
### ✅ **Sell Signal Conditions**:
* At least **two consecutive green Heikin Ashi candles** (short-term uptrend).
* Followed by a **red Heikin Ashi candle** that has **no upper wick** (i.e., open == high).
* This implies **sellers are dominating**, with no attempt from buyers to push higher — possible start of a downtrend.
📍 **Interpreted as**: “Market was rallying, but sellers just took over decisively — time to consider selling.”
---
### 📊 **Visual Aids Included**:
* Plots **Heikin Ashi candles** on your main chart for clarity.
* Uses **Buy** and **Sell** label markers (green & red) at signal points.
* Compatible with any timeframe — higher timeframes typically yield stronger signals.
---
### 💡 **Suggested Use**:
* Combine with **support/resistance**, **volume**, or **trend filters** for more robust setups.
* Works well on **1H, 4H, and Daily charts** in trending markets.
* Can be used manually or turned into an automated strategy for backtesting or alerts.
---
Would you like this script packaged as a **strategy()** for backtesting, or would you like me to add **alerts** so you can get notified in real-time when signals appear?
Momentum Candle SEKOLAH TRADINGMomentum Candle - Sekolah Trading
This indicator is intended for scalpers because it has a high probability of winning on the 15-minute and 5-minute timeframes.
How to Use:
1. When a large candle with a short wick appears, a signal arrow will be displayed.
2. If the arrow remains visible until the candle closes, you may enter a trade on the next candle.
3. If the signal appears below a bullish candle, you can enter a buy trade following the momentum. If the signal appears above a bearish candle, you can enter a sell trade accordingly.
This indicator was developed by the Research and Development team at Sekolah Trading.
Triad RotationThis Indicator shows 3 different Stochastic oscillating indicators.
When all three are considered Overbought, or Oversold a notification can be triggered.
When these conditions are met, a vertical indicator populates, green indicates it's oversold and that you should buy, and red indicates overbought and that you should sell.
Sticky Notes📌 Sticky Notes - On-Chart Memo Tool
A convenient indicator that lets you display trading ideas and important notes directly on your charts!
✨ Key Features:
📝 Create memos with custom text input
📍 Place anywhere on chart (top/middle/bottom)
🖥️ Screen-fixed display mode (corner positions)
🎨 Fully customizable text and background colors
📏 5 text size options (tiny to huge)
⏰ Time-based display functionality
📐 Text alignment options (left/center/right)
💡 Use Cases:
Trading strategy reminders
Important price level notes
Economic event schedules
Entry/exit point memos
Simple and user-friendly design to enhance your trading analysis!
Wavelet Filter with Adaptive Upsampling [BackQuant]Wavelet Filter with Adaptive Upsampling
The Wavelet Filter with Adaptive Upsampling is an advanced filtering and signal reconstruction tool designed to enhance the analysis of financial time series data. It combines wavelet transforms with adaptive upsampling techniques to filter and reconstruct price data, making it ideal for capturing subtle market movements and enhancing trend detection. This system uses high-pass and low-pass filters to decompose the price series into different frequency components, applying adaptive thresholding to eliminate noise and preserve relevant signal information.
Shout out to Loxx for the Least Squares fitting of trigonometric series and Quinn and Fernandes algorithm for finding frequency
www.tradingview.com
Key Features
1. Frequency Decomposition with High-Pass and Low-Pass Filters:
The indicator decomposes the input time series using high-pass and low-pass filters to separate the high-frequency (detail) and low-frequency (trend) components of the data. This decomposition allows for a more accurate analysis of underlying trends, while mitigating the impact of noise.
2. Soft Thresholding for Noise Reduction:
A soft thresholding function is applied to the high-frequency component, allowing for the reduction of noise while retaining significant market signals. This function adjusts the coefficients of the high-frequency data, removing small fluctuations and leaving only the essential price movements.
3. Adaptive Upsampling Process:
The upsampling process in this script can be customized using different methods: sinusoidal upsampling, advanced upsampling, and simple upsampling. Each method serves a unique purpose:
Sinusoidal Upsample uses a sine wave to interpolate between data points, providing a smooth transition.
Advanced Upsample utilizes a Quinn-Fernandes algorithm to estimate frequency and apply more sophisticated interpolation techniques, adapting to the market’s cyclical behavior.
Simple Upsample linearly interpolates between data points, providing a basic upsampling technique for less complex analysis.
4. Reconstruction of Filtered Signal:
The indicator reconstructs the filtered signal by summing the high and low-frequency components after upsampling. This allows for a detailed yet smooth representation of the original time series, which can be used for analyzing underlying trends in the market.
5. Visualization of Reconstructed Data:
The reconstructed series is plotted, showing how the upsampling and filtering process enhances the clarity of the price movements. Additionally, the script provides the option to visualize the log returns of the reconstructed series as a histogram, with positive returns shown in green and negative returns in red.
6. Cumulative Series and Trend Detection:
A cumulative series is plotted to visualize the compounded effect of the filtered and reconstructed data. This feature helps traders track the overall performance of the asset over time, identifying whether the asset is following a sustained upward or downward trend.
7. Adaptive Thresholding and Noise Estimation:
The system estimates the noise level in the high-frequency component and applies an adaptive thresholding process based on the standard deviation of the downsampled data. This ensures that only significant price movements are retained, further refining the trend analysis.
8. Customizable Parameters for Flexibility:
Users can customize the following parameters to adjust the behavior of the indicator:
Frequency and Phase Shift: Control the periodicity of the wavelet transformation and the phase of the upsampling function.
Upsample Factor: Adjust the level of interpolation applied during the upsampling process.
Smoothing Period: Determine the length of time used to smooth the signal, helping to filter out short-term fluctuations.
References
Enhancing Cross-Sectional Currency Strategies with Context-Aware Learning to Rank
arxiv.org
Daubechies Wavelet - Wikipedia
en.wikipedia.org
Quinn Fernandes Fourier Transform of Filtered Price by Loxx
Note on Usage for Mean-Reversion Strategy
This indicator is primarily designed for trend-following strategies. However, by taking the inverse of the signals, it can be adapted for mean-reversion strategies. This involves buying underperforming assets and selling outperforming ones. Caution: This method may not work effectively with highly correlated assets, as the price movements between correlated assets tend to mirror each other, limiting the effectiveness of mean-reversion strategies.
Final Thoughts
The Wavelet Filter with Adaptive Upsampling is a powerful tool for traders seeking to improve their understanding of market trends and noise. By using advanced wavelet decomposition and adaptive upsampling, this system offers a clearer, more refined picture of price movements, enhancing trend-following strategies. It’s particularly useful for detecting subtle shifts in market momentum and reconstructing price data in a way that removes noise, providing more accurate insights into market conditions.
Volume Momentum [BackQuant]Volume Momentum
The Volume Momentum indicator is designed to help traders identify shifts in market momentum based on volume data. By analyzing the relative volume momentum, this indicator provides insights into whether the market is gaining strength (uptrend) or losing momentum (downtrend). The strategy uses a combination of percentile-based volume normalization, weighted moving averages (WMA), and exponential moving averages (EMA) to assess volume trends.
The system focuses on the relationship between price and volume, utilizing normalized volume data to highlight key market changes. This approach allows traders to focus on volume-driven price movements, helping them to capture momentum shifts early.
Key Features
1. Volume Normalization and Percentile Calculation:
The signed volume (positive when the close is higher than the open, negative when the close is lower) is normalized against the rolling average volume. This normalized volume is then subjected to a percentile interpolation, allowing for a robust statistical measure of how the current volume compares to historical data. The percentile level is customizable, with 50 representing the median.
2. Weighted and Smoothed Moving Averages for Trend Detection:
The normalized volume is smoothed using weighted moving averages (WMA) and exponential moving averages (EMA). These smoothing techniques help eliminate noise, providing a clearer view of the underlying momentum. The WMA filters out short-term fluctuations, while the EMA ensures that the most recent data points have a higher weight, making the system more responsive to current market conditions.
3. Trend Reversal Detection:
The indicator detects momentum shifts by evaluating whether the volume momentum crosses above or below zero. A positive volume momentum indicates a potential uptrend, while a negative momentum suggests a possible downtrend. These trend reversals are identified through crossover and crossunder conditions, triggering alerts when significant changes occur.
4. Dynamic Trend Background and Bar Coloring:
The script offers customizable background coloring based on the trend direction. When volume momentum is positive, the background is colored green, indicating a bullish trend. When volume momentum is negative, the background is colored red, signaling a bearish trend. Additionally, the bars themselves can be colored based on the trend, further helping traders quickly visualize market momentum.
5. Alerts for Momentum Shifts:
The system provides real-time alerts for traders to monitor when volume momentum crosses a critical threshold (zero), signaling a trend reversal. The alerts notify traders when the market momentum turns bullish or bearish, assisting them in making timely decisions.
6. Customizable Parameters for Flexible Usage:
Users can fine-tune the behavior of the indicator by adjusting various parameters:
Volume Rolling Mean: The period used to calculate the average volume for normalization.
Percentile Interpolation Length: Defines the range over which the percentile is calculated.
Percentile Level: Determines the percentile threshold (e.g., 50 for the median).
WMA and Smoothing Periods: Control the smoothing and response time of the indicator.
7. Trend Background Visualization and Trend-Based Bar Coloring:
The background fill is shaded according to whether the volume momentum is positive or negative, providing a visual cue to indicate market strength. Additionally, bars can be color-coded to highlight the trend, making it easier to see the trend’s direction without needing to analyze numerical data manually.
8. Note on Mean-Reversion Strategy:
If you take the inverse of the signals, this indicator can be adapted for a mean-reversion strategy. Instead of following the trend, the strategy would involve buying assets that are underperforming and selling assets that are overperforming, based on volume momentum. However, it’s important to note that this approach may not work effectively on highly correlated assets, as their price movements may be too similar, reducing the effectiveness of the mean-reversion strategy.
Final Thoughts
The Volume Momentum indicator offers a comprehensive approach to analyzing volume-based momentum shifts in the market. By using volume normalization, percentile interpolation, and smoothed moving averages, this system helps identify the strength and direction of market trends. Whether used for trend-following or adapted for mean-reversion, this tool provides traders with actionable insights into the market’s volume-driven movements, improving decision-making and portfolio management.
40 Ticker Cross-Sectional Z-Scores [BackQuant]40 Ticker Cross-Sectional Z-Scores
BackQuant’s 40 Ticker Cross-Sectional Z-Scores is a powerful portfolio management strategy that analyzes the relative performance of up to 40 different assets, comparing them on a cross-sectional basis to identify the top and bottom performers. This indicator computes Z-scores for each asset based on their log returns and evaluates them relative to the mean and standard deviation over a rolling window. The Z-scores represent how far an asset's return deviates from the average, and these values are used to rank the assets, allowing for dynamic asset allocation based on performance.
By focusing on the strongest-performing assets and avoiding the weakest, this strategy aims to enhance returns while managing risk. Additionally, by adjusting for standard deviations, the system offers a risk-adjusted method of ranking assets, making it suitable for traders who want to dynamically allocate capital based on performance metrics rather than just price movements.
Key Features
1. Cross-Sectional Z-Score Calculation:
The system calculates Z-scores for 40 different assets, evaluating their log returns against the mean and standard deviation over a rolling window. This enables users to assess the relative performance of each asset dynamically, highlighting which assets are performing better or worse compared to their historical norms. The Z-score is a useful statistical tool for identifying outliers in asset performance.
2. Asset Ranking and Allocation:
The system ranks assets based on their Z-scores and allocates capital to the top performers. It identifies the top and bottom assets, and traders can allocate capital to the top-performing assets, ensuring that their portfolio is aligned with the best performers. Conversely, the bottom assets are removed from the portfolio, reducing exposure to underperforming assets.
3. Rolling Window for Mean and Standard Deviation Calculations:
The Z-scores are calculated based on rolling means and standard deviations, making the system adaptive to changing market conditions. This rolling calculation window allows the strategy to adjust to recent performance trends and minimize the impact of outdated data.
4. Mean and Standard Deviation Visualization:
The script provides real-time visualizations of the mean (x̄) and standard deviation (σ) of asset returns, helping traders quickly identify trends and volatility in their portfolio. These visual indicators are useful for understanding the current market environment and making more informed allocation decisions.
5. Top & Bottom Performer Tables:
The system generates tables that display the top and bottom performers, ranked by their Z-scores. Traders can quickly see which assets are outperforming and underperforming. These tables provide clear and actionable insights, helping traders make informed decisions about which assets to include in their portfolio.
6. Customizable Parameters:
The strategy allows traders to customize several key parameters, including:
Rolling Calculation Window: Set the window size for the rolling mean and standard deviation calculations.
Top & Bottom Tickers: Choose how many of the top and bottom assets to display and allocate capital to.
Table Orientation: Select between vertical or horizontal table formats to suit the user’s preference.
7. Forward Test & Out-of-Sample Testing:
The system includes out-of-sample forward tests, ensuring that the strategy is evaluated based on real-time performance, not just historical data. This forward testing approach helps validate the robustness of the strategy in dynamic market conditions.
8. Visual Feedback and Alerts:
The system provides visual feedback on the current asset rankings and allocations, with dynamic labels and plots on the chart. Additionally, users receive alerts when allocations change, keeping them informed of important adjustments.
9. Risk Management via Z-Scores and Std Dev:
The system’s approach to asset selection is based on Z-scores, which normalize performance relative to the historical mean. By incorporating standard deviation, it accounts for the volatility and risk associated with each asset. This allows for more precise risk management and portfolio construction.
10. Note on Mean Reversion Strategy:
If you take the inverse of the signals provided by this indicator, the strategy can be used for mean-reversion rather than trend-following. This would involve buying the underperforming assets and selling the outperforming ones. However, it's important to note that this approach does not work well with highly correlated assets, as the relationship between the assets could result in the same directional movement, undermining the effectiveness of the mean-reversion strategy.
References
www.uts.edu.au
onlinelibrary.wiley.com
www.cmegroup.com
Final Thoughts
The 40 Ticker Cross-Sectional Z-Scores strategy offers a data-driven approach to portfolio management, dynamically allocating capital based on the relative performance of assets. By using Z-scores and standard deviations, this strategy ensures that capital is directed to the strongest performers while avoiding weaker assets, ultimately improving the risk-adjusted returns of the portfolio. Whether you’re focused on trend-following or looking to explore mean-reversion strategies, this flexible system can be tailored to suit your investment goals.
