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Implied and Historical VolatilityAbstract This TradingView indicator visualizes implied volatility (IV) derived from the VIX index and historical volatility (HV) computed from past price data of the S&P 500 (or any selected asset). It enables users to compare market participants' forward-looking volatility expectations (via VIX) with realized past volatility (via historical returns). Such comparisons are pivotal in identifying risk sentiment, volatility regimes, and potential mispricing in derivatives. Functionality Implied Volatility (IV): The implied volatility is extracted from the VIX index, often referred to as the "fear gauge." The VIX represents the market's expectation of 30-day forward volatility, derived from options pricing on the S&P 500. Higher values of VIX indicate increased uncertainty and risk aversion (Whaley, 2000). Historical Volatility (HV): The historical volatility is calculated using the standard deviation of logarithmic returns over a user-defined period (default: 20 trading days). The result is annualized using a scaling factor (default: 252 trading days). Historical volatility represents the asset's past price fluctuation intensity, often used as a benchmark for realized risk (Hull, 2018). Dynamic Background Visualization: A dynamic background is used to highlight the relationship between IV and HV: Yellow background: Implied volatility exceeds historical volatility, signaling elevated market expectations relative to past realized risk. Blue background: Historical volatility exceeds implied volatility, suggesting the market might be underestimating future uncertainty. Use Cases Options Pricing and Trading: The disparity between IV and HV provides insights into whether options are over- or underpriced. For example, when IV is significantly higher than HV, options traders might consider selling volatility-based derivatives to capitalize on elevated premiums (Natenberg, 1994). Market Sentiment Analysis: Implied volatility is often used as a proxy for market sentiment. Comparing IV to HV can help identify whether the market is overly optimistic or pessimistic about future risks. Risk Management: Institutional and retail investors alike use volatility measures to adjust portfolio risk exposure. Periods of high implied or historical volatility might necessitate rebalancing strategies to mitigate potential drawdowns (Campbell et al., 2001). Volatility Trading Strategies: Traders employing volatility arbitrage can benefit from understanding the IV/HV relationship. Strategies such as "long gamma" positions (buying options when IV < HV) or "short gamma" (selling options when IV > HV) are directly informed by these metrics. Scientific Basis The indicator leverages established financial principles: Implied Volatility: Derived from the Black-Scholes-Merton model, implied volatility reflects the market's aggregate expectation of future price fluctuations (Black & Scholes, 1973). Historical Volatility: Computed as the realized standard deviation of asset returns, historical volatility measures the intensity of past price movements, forming the basis for risk quantification (Jorion, 2007). Behavioral Implications: IV often deviates from HV due to behavioral biases such as risk aversion and herding, creating opportunities for arbitrage (Baker & Wurgler, 2007). Practical Considerations Input Flexibility: Users can modify the length of the HV calculation and the annualization factor to suit specific markets or instruments. Market Selection: The default ticker for implied volatility is the VIX (CBOE:VIX), but other volatility indices can be substituted for assets outside the S&P 500. Data Frequency: This indicator is most effective on daily charts, as VIX data typically updates at a daily frequency. Limitations Implied volatility reflects the market's consensus but does not guarantee future accuracy, as it is subject to rapid adjustments based on news or events. Historical volatility assumes a stationary distribution of returns, which might not hold during structural breaks or crises (Engle, 1982). References Black, F., & Scholes, M. (1973). "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81(3), 637-654. Whaley, R. E. (2000). "The Investor Fear Gauge." The Journal of Portfolio Management, 26(3), 12-17. Hull, J. C. (2018). Options, Futures, and Other Derivatives. Pearson Education. Natenberg, S. (1994). Option Volatility and Pricing: Advanced Trading Strategies and Techniques. McGraw-Hill. Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2001). The Econometrics of Financial Markets. Princeton University Press. Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill. Baker, M., & Wurgler, J. (2007). "Investor Sentiment in the Stock Market." Journal of Economic Perspectives, 21(2), 129-151.
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EdgeTools tarafından
2
RSI & Williams %R StrategyRSI 14 is calculated using the default rsi formula. RSI's Moving Average is calculated using a simple moving average (default length is 7 but adjustable). Williams %R is calculated over the specified length (default is 14). Buy Signal: RSI crosses above its moving average. Williams %R crosses above the -80 level. Sell Signal: RSI crosses below its moving average. Williams %R crosses below the -20 level. Visual Indicators: Green upward labels for buy signals. Red downward labels for sell signals. Williams %R and RSI are plotted for better visualization with threshold levels.
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RavinndraPurohit tarafından
Sag MacdThe main change in this code is the src variable. Instead of using an input for the source, it now calculates the 14-period RSI of the close price: text src = ta.rsi(close, 14) This modification means that the MACD indicator will now be based on the RSI values rather than the original price data. The RSI is calculated using the default period of 14, which is a commonly used setting. The rest of the code remains the same, applying the MACD calculations to the RSI values. This will result in a MACD indicator that reflects the momentum of the RSI rather than the price directly, potentially providing different insights into the market dynamics
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loaderelite tarafından
Volume-Based RSI Color Indicator with MAsVolume-Based RSI Color Indicator with MAs Overview This script combines the Relative Strength Index (RSI) with volume analysis to provide an enhanced perspective on market conditions. By dynamically coloring the RSI line based on overbought/oversold conditions and volume thresholds, this indicator helps traders quickly identify high-probability reversal zones. Additionally, it incorporates short-term and long-term moving averages (MAs) of the RSI for trend analysis, making it a versatile tool for scalping and swing trading strategies. Key Features Dynamic RSI Color Coding: The RSI line changes color based on two conditions: Overbought/High Volume: RSI is above the overbought threshold (default: 70) and volume exceeds the average volume by a user-defined multiplier (default: 2.0). The line turns red, indicating potential reversal zones. Oversold/High Volume: RSI is below the oversold threshold (default: 30) and volume exceeds the average volume by the multiplier. The line turns green, suggesting potential buying opportunities. Neutral Conditions: Default blue color for all other scenarios. Volume Integration: Unlike standard RSI indicators, this script incorporates volume data to refine signals, helping traders avoid false signals in low-volume environments. RSI Moving Averages: Two moving averages of the RSI (short-term and long-term) provide trend context: 200-period MA: Highlights the long-term trend in RSI values. 20-period MA: Shows short-term fluctuations for quick decision-making. Both MAs can be calculated using Simple or Exponential methods, giving users flexibility. Visual Aids: Horizontal lines at the overbought (70) and oversold (30) levels help define the boundaries of expected price action extremes. How It Works The script calculates the RSI over a user-defined length (default: 14). Volume data is compared to its moving average to determine if it exceeds the user-defined high-volume threshold. When RSI and volume conditions align, the RSI line is dynamically colored to indicate potential overbought/oversold zones. The RSI moving averages provide additional context to confirm trends or reversals. How to Use Identify Reversal Zones: Look for green RSI signals in oversold conditions to identify potential buying opportunities. Look for red RSI signals in overbought conditions to identify potential selling opportunities. Use Moving Averages for Confirmation: When the RSI is above its 200-period MA, the long-term trend is bullish; consider only long trades. When the RSI is below its 200-period MA, the trend is bearish; consider only short trades. Combine with Other Tools: This indicator works best when used alongside price action analysis, candlestick patterns, or support/resistance levels. Originality This script is unique in combining volume analysis with RSI and RSI-specific moving averages. While many indicators focus on RSI or volume separately, this script marries these two key metrics to filter out weak signals and improve trade decision accuracy. Chart Recommendations Clean Chart: Use this indicator on a clean chart without additional overlays for maximum clarity. Timeframes: Works well on intraday charts (e.g., 5m, 15m) for scalping and on higher timeframes (e.g., 1H, 4H, Daily) for swing trading. Disclaimer This indicator is a tool to aid trading decisions and should not be used in isolation. Always consider other factors such as market conditions, news events, and risk management.
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Riccardo02 tarafından
CANDLE RANGE THEORY (H1 Only)Hello traders. This indicator identifies CRT candles -Each candle is a range. -Each candle has its own po3. -Focus on specific times of the day. By recognizing the importance of time and price, we can capture high-quality trades. Together with HTF PD array, Look for 4-hour candles forming at specific times of the day. (1am - 5am - 9am EST) -After the 1st candle, wait for the 2nd candle to clear the high/low of the 1st candle and then close inside the 1st candle range at a specific time (1-5-9) and look for entries in the LTF Why choose 1 5 9 hours EST? ### **1. 1:00 AM (EST)** - **Trading Session:** This is the time between the Tokyo (Asian) session and the Sydney (Australian) session. The Asian market is very active. - **Characteristics:** - Liquidity: Moderate, as only the Asian market is active. - Volatility: Pairs involving JPY (Japanese Yen), AUD (Australian Dollar), and NZD (New Zealand Dollar) tend to have higher volatility. - Trading Opportunities: Suitable for traders who like to trade trends or news in the Asian region. - **Note:** Volatility may be lower than the London or New York session. ### **2. 5:00 AM (EST)** - **Trading Session:** This is the time near the end of the Tokyo session and the London (European) session is about to open. - **Characteristics:** - Liquidity: Starts to increase due to the preparation of the European market. - Volatility: This is the time between two trading sessions, there can be strong fluctuations, especially in major currency pairs such as EUR/USD, GBP/USD. - Trading opportunities: Suitable for breakout trading strategies when liquidity increases. - **Note:** The overlap between Tokyo and London can cause sudden fluctuations. ### **3. 9:00 AM (EST)** - **Trading sessions:** This time is within the London session and near the beginning of the New York session. - **Characteristics:** - Liquidity: Very high, as this is the period between the two largest sessions – London and New York. - Volatility: Extremely strong, especially for major currency pairs such as EUR/USD, GBP/USD, USD/JPY. - Trading opportunities: Suitable for both news trading and trend trading, as this is the time when a lot of economic data is released (usually from the US or the European region). - **Note:** High volatility can bring big profits, but also comes with high risks. ### **Summary of effects:** - **1 AM (EST):** Moderate volatility, focusing on Asian currency pairs. - **5 AM (EST):** Increased liquidity and volatility, suitable for breakout trading. - **9 AM (EST):** High volatility and high liquidity, the best time for Forex trading. ==> How to trade, when the high/low of CRT is swept, move to LTF to wait for confirmation to enter the order Only sell at high level and buy at discount price. Find CE at specific important time. Trading CRT with HTF direction has better win rate. The more inside bars, the higher the probability. Place a partial and Move breakeven at 50% range. Do a backtest and post your chart.
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Paulhdvn tarafından
1
Multi-Timeframe Candles HistogramsAt some community members' requests, I have built on the original code to make it a single indicator with the option for users to check off which timeframes they want to be shown. Choices are 1-hour, daily, weekly, and monthly. I couldn't figure out how to separate each timeframe into its own histogram, so this is the best I can offer at the moment. If any community member wants to take a crack at it, be my guest. Colors are customizable. If you have a paid TW account, you can lay it down twice and put the hour and daily on one and the weekly and monthly on the other. That said, I hope you enjoy this version of this indicator. R.I.P. Rob Smith, creator of TheStrat. --- Key Features and Benefits 1. Custom Timeframe Selection: - Choose from an array of timeframes ranging from minutes to months, giving you complete flexibility in your market analysis. - Quickly switch between different timeframes (e.g., 1-hour, daily, or weekly) to track continuity across varying levels. 2. Visual Representation of High/Low Markers: - Enable or disable the display of high and low points to better understand price ranges and reversals. - These markers allow you to spot key turning points on different timeframes, facilitating better entry or exit decisions. 3. Enhanced Candle Visualization: - Displays candles with precise price levels aligned to your chosen timeframe, giving a clearer view of price trends. - Candles are color-coded to reflect price movement, which is customizable by the user. --- How to Use This Indicator Monitor Multiple Timeframes Simultaneously: - Place the indicator on your chart and choose the timeframes you want to follow (e.g., hourly, daily, weekly, monthly). - For each instance, checkmark the desired timeframes in the menu to ensure that you’re tracking the right period. Achieve Timeframe Continuity: - By aligning lower timeframes with higher ones, this tool helps you confirm trends, detect reversals, and avoid trades that go against the broader market movement. --- Why This Indicator is Valuable for Traders This tool simplifies a core principle of TheStrat—full timeframe continuity—by visually representing price action across multiple timeframes in a clear and actionable way. It removes the guesswork and helps traders stay in sync with market momentum, regardless of the timeframe they are analyzing. This solution offers flexibility, clarity, and speed, enabling traders to quickly grasp critical movements and improve decision-making. Whether you are a scalper focusing on intraday moves or a swing trader watching weekly trends, this tool empowers you to maintain alignment with the overall market structure. In essence, it brings the power of TheStrat to your fingertips by offering precise and easy-to-read visual aids, allowing you to seamlessly apply Rob Smith’s philosophy to your trading.
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hardwaybets tarafından
BTC vs Mag7 Combined IndexThis Mag7 Combined Index script is a custom TradingView indicator that calculates and visualizes the collective performance of the Magnificent 7 (Mag7) stocks—Apple, Microsoft, Alphabet, Amazon, NVIDIA, Tesla, and Meta (red line) compared to Bitcoin (blue line). It normalizes the daily closing prices of each stock to their initial value on the chart, scales them into percentages, and then computes their simple average to form a combined index. The result is plotted as a single red line, offering a clear view of the aggregated performance of these influential stocks over time compared to Bitcoin. This indicator is ideal for analyzing the overall market impact of Bitcoin compared to the Mag7 stocks.
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DestelloMan tarafından
Bitcoin vs Mag7 Combined IndexThis Mag7 Combined Index script is a custom TradingView indicator that calculates and visualizes the collective performance of the Magnificent 7 (Mag7) stocks—Apple, Microsoft, Alphabet, Amazon, NVIDIA, Tesla, and Meta (red line) compared to Bitcoin (blue line). It normalizes the daily closing prices of each stock to their initial value on the chart, scales them into percentages, and then computes their simple average to form a combined index. The result is plotted as a single line, offering a clear view of the aggregated performance of these influential stocks over time compared to Bitcoin. This indicator is ideal for analyzing the overall market impact of the Mag7 compared to Bitcoin.
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DestelloMan tarafından
Kamal 5 Tick Trading SetupKamal 5 Tick Trading Setup The "Kamal 5 Tick Trading Setup" is a custom indicator designed by Kamal Preet Singh Trader for TradingView to identify potential Buy and Sell signals on daily forex charts. This indicator helps traders make informed decisions based on the price action of the previous five daily candles. Indicator Logic: Buy Signal: A Buy signal is generated when the closing price of the current candle exceeds the highest high of the previous five daily candles. Sell Signal: A Sell signal is generated when the closing price of the current candle falls below the lowest low of the previous five daily candles. Features: Lookback Period: The indicator uses a lookback period of five candles to determine the highest high and lowest low. Visual Signals: Buy signals are plotted as green "BUY" labels below the candles, while Sell signals are plotted as red "SELL" labels above the candles. Debugging Plots: The highest high and lowest low of the previous five candles are plotted as blue and orange lines, respectively, to help verify the conditions for Buy and Sell signals. Non-Repetitive Signals: The indicator ensures that once a Buy signal is given, no further Buy signals are generated until a Sell signal is given, and vice versa. Usage: Apply the indicator to your daily forex chart in TradingView. Observe the plotted Buy and Sell signals to identify potential entry and exit points. Use the debugging plots to ensure the conditions for the signals are being met correctly. This indicator provides a straightforward approach to trading based on recent price action, helping traders capitalize on potential breakout and breakdown opportunities.
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kamal.ventura tarafından
James//@version=5 indicator("Forex Entry Signals (RSI + EMA)", overlay=false) // Configuração do RSI rsiLength = input(14, "RSI Length") rsi = ta.rsi(close, rsiLength) // Configuração da EMA emaLength = input(50, "EMA Length") ema = ta.ema(close, emaLength) // Lógica de compra e venda buySignal = ta.crossover(close, ema) and rsi < 30 sellSignal = ta.crossunder(close, ema) and rsi > 70 // Plot do RSI plot(rsi, color=color.blue, linewidth=2, title="RSI") hline(70, "Overbought", color=color.red) hline(30, "Oversold", color=color.green) // Marcar setas no gráfico if buySignal label.new(bar_index, close, text="BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.small) if sellSignal label.new(bar_index, close, text="SELL", color=color.red, style=label.style_label_down, textcolor=color.white, size=size.small)
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jamessousaneves tarafından