Euclidean Distance Predictive Candles [SS]Finally releasing this, its been in the works for the past 2 weeks and has undergone many iterations.
I am not sure if I am 100% happy with it yet, but I guess its best to release and get feedback to make improvements.
So this is the Euclidean distance predictive candle indicator and what it does is exactly what it sounds like, it uses Euclidean distance to identify similar candles and then plot the candles and range that immediately proceeded like candles.
While this is using a general machine learning/data science approach (Euclidean distance), I do not employ the KNN (Nearest Neighbors) algo into this. The reason being is it simply offered no predictive advantage than isolating for the last case. I tried it, I didn't like it, the results were not improve and, at times, acutally hindered so I ditched it. Perhaps it was my approach but using some other KNN indicators, I just don't really find them all that more advantageous to simply relying on the Law of Large Numbers and collecting more data rather than less data (which we will get into later in this explanation).
So using this indicator:
There is a lot of customizability here. And the reason is, not all settings are going to work the same for all tickers. To help you narrow down your parameters, I have included various backtest results that show you how the model is performing. You see in the AMZN chart above, with the current settings, it is performing optimally, with a cumulative range pass of 99% (meaning that, of all the cases, the indicator accurately predicted the next day high OR low range 99% of the time), and the ability to predict the candle slightly over 52%.
The recommended settings, from me, are as follows:
So these are generally my recommended settings.
Euclidian Tolerance: This will determine the parameters to look for similar candles. In general, the lower the tolerance, the greater the precision. I recommend keeping it between 0.5, for tickers with larger prices (like ES1! futures or NQ1!) or 0.05 for tickers with lower TPs, like SPY or QQQ.
If the ED Tolerance is too extreme that the indicator cannot find identical setups, it will alert you:
But in general, the more precise you can get it, the better.
Anchor Type: You will see the option to anchor by "Predicted Open" or by "Previous Close". I suggest sticking with anchoring by predicted open. All this means is, it is going to anchor your range, candle, high and low targets by the predicted open price. Anchoring by previous close will anchor by the close of yesterday. Both work okay, but in general the results from anchoring to predicted open have higher pass rates and more accurately depict the candle.
Euclidean Distance Measurement Type: You can choose to measure by candle body or from high to low wicks. I haven't played around with measuring from high to low wicks all that much, because candle body tends to do the job. But remember, ED is a neutral measurement. Which means, its not going to distinguish between a red or green candle, just the formation of the candle. Thus, I tend to recommend, pragmatically, not to necessarily rely on the candle being red or green, but one the formation of the candle (where are the wicks going, are there more bearish wicks or bullish wicks) etc. Examples will follow.
Range Prediction Type: You can filter the range prediction type by last instance (in which, it will pull the previous identical candle and plot the next candle that followed it, adjusted for the current ranges) or "Average of All Cases". So this is where we need to talk a little bit about the law of large numbers.
In general, in statistics, when you have a huge amount of random data, the law of large numbers stipulates that, within this randomness should be repeated events. This is why sometimes chart patterns work, sometimes they don't. When we filter by the average of all cases, we are relying on the law of large numbers. In general, if you are getting good Backtest readings from Last Instance, then you don't need to use this function. But it provides an alternative insight into potential candle formations next day. Its not a bad idea to compare between the two and look for similarities and differences.
So now that we have covered the boring details, let's get into how to use the indicator and some examples.
So the indicator is plotting the range and candle for the next day. As such, we are not looking at the current candle being plotted, but we are looking at the previous candle (see image below for example):
The green arrow shows the prediction for Friday, along with the corresponding result. The purple arrow shows the prediction for Monday which we have yet to realize.
So remember when you are using this, you need to look at the previous candle, and not the candle that it is currently plotting with realtime data, because it is plotting for the next candle.
If you are plotting by last instance, the indicator will tell you which day it is pulling its data from if you have opted to toggle on the demographic data:
You can see the green arrow pointing to the date where it is pulling from. This data serves as the example candle with the candle proceeding this date being the anchored candle (or the predicted candle).
Price Targets and Probability:
In the chart, you can see the green arrow pointing to the green portion of the table. In this table, it will give you the current TPs. These represent the current time target price, which means, the TPs shown here are for Friday. On Monday, the table will update with the TPs for Monday, etc. If you want to view the TPs in advance, you can view them from the actual candle itself.
Below the TPs, you see a bullish 7:6. It means, in a total of 13 cases, the next candle was bullish 7 times and bearish 6 times. Where do we see the number of cases? In the demographic table as well:
Auxiliary functions
Because you are using the previous candle, if you want to avoid confusion, you can have the indicator plot the price targets over the predicted candle, to anchor your attention so to speak. Simply select "Label" in the "Show Price Targets" section, which will look like this:
You can also ask the indicator to plot the demographic data of Higher High, Low, etc. information. What this does is simply looks at all the cases and plots how many times higher highs, lows, lower lows, highs etc. were made:
This will just count all of the cases identified and plot the number of times higher highs, lows, etc. were made.
Concluding Remarks
This is a kind of complex indicator and I can appreciate it may take some getting used to.
I will try to post a tutorial video at some point next week for it, so stay tuned for that.
But this isn't designed to make your life more complicated, just to help give you insights into potential outcomes for the next day or hour or 5 minute (it can be used on all timeframes).
If you find it helpful, great! If not, that's okay, too :-).
Please be aware, this is not my forte of indicators. I am not a data scientist or programmer. My background is in Epi and we don't use these types of data science approaches, so if you have any suggestions or critiques, feel free to share them below.
Otherwise, I hope you enjoy!
Take care everyone and safe trades!
Komut dosyalarını "spy" için ara
Candle Sentiment Volume FlowCandle Sentiment Volume Flow (CSVF)
NOTE: The indicator showcased in the 1H chart is utilized on the ticker 'SPY'.
The Candle Sentiment Volume Flow (CSVF) is a custom trading indicator designed to analyze and visualize the momentum and volume flow of a financial instrument within a specified range of candles in a chart. It provides traders with a snapshot of the prevailing market sentiment by calculating the percentage of green (bullish) and red (bearish) candles and the volume associated with them over a defined range of periods (X Range).
Core Components:
1. Candle Counting:
- Green Count: Total number of green (bullish) candles in the defined range.
- Red Count: Total number of red (bearish) candles in the defined range.
2. Volume Calculation:
- Green Volume: Cumulative volume of green candles.
- Red Volume: Cumulative volume of red candles.
3. Percentage Calculation:
- Green Percentage: (Green Count / X Range) * 100
- Red Percentage: (Red Count / X Range) * 100
- Green Volume Percentage: (Green Volume / Total Volume) * 100
- Red Volume Percentage: (Red Volume / Total Volume) * 100
4. User-Defined Parameters:
- Candle Range (X Range): Number of candles to be considered for calculations.
- Green Threshold: User-defined percentage to identify significant bullish sentiment.
- Red Threshold: User-defined percentage to identify significant bearish sentiment.
Visual Component:
- Table Display:
A table is displayed on the top right of the chart, providing a quick overview of the calculated percentages and total volume.
The table is color-coded for easy interpretation and includes:
- Green and Red Candle Percentages
- Green and Red Volume Percentages
- Total Volume
Functional Workflow:
- The indicator loops through the past 'X' candles within the defined range, counting the number of green and red candles and accumulating their respective volumes.
- It calculates the percentage of green and red candles and the percentage of volume associated with them.
- The calculated values are displayed in a table on the chart, providing a clear and concise view of the candle sentiment and volume flow within the specified range.
Enio_SPX_Accumulation/DistributionThis indicator handles the same inputs used for classic Accumulation and Distribution indicators, but performs the calculations in a different way.
This indicator is used to compare the positive volume (up volume) and the number of advancing stocks against the negative volume (down volume) and the number of declining stocks.
This indicator only measures SPX market breadth (Advancing issues, Declining issues) and SPX volume (Up and down volume)so it is for use only with SPX, SPY or MES. It can also be used with ES, but data outside of regular trading hours is not provided, the indicator in those cases will print a block of the same height and same color as the last RTH bar.
When the histogram is positive or green, the bars change to a lighter color if the current bar is less than the average of the last 3 bars. A continued set of bars with a lighter color could mean that the trend is about to change.
When the histogram is negative or red, the bars change to a lighter color if the current bar is greater than the average of the last 3 bars. A continued set of bars with a lighter color could mean that the trend is about to change.
When the histogram height is low, could signal a choppy market (SPX).
The histogram can help indicate a trending market when the opening trend is maintained and the color of the bars does not change, for example, a solid green increasing histogram can indicate a bullish trending market, while a solid red decreasing histogram will indicate a strong bearish trend.
In intraday trading the indicator can signal if the SPX price changes are supported by volume and market breadth and also allows you to see when these changes or trend are weakening.
The change from green (positive) to red (negative) and vice versa should not be taken alone as a buy/sell signal but as a confirmation of signals from other indicators you trust.
Due to the great specific weight that some stocks have within the SPX price calculation, the divergences of this indicator with SPX, can be taken as warning signals, but should not become an element of trading decisions. . You could see a negative histogram while SPX is positive and vice versa.
Quantum Market Strength Indicator (MSI)The Market Strength Indicator (MSI) is yet another in our stable of volume-based indicators, and as such, is a must-have tool for trading virtually any type of market and across a myriad of applications from trend trading to swing trading, scalping, and much more. While its sister indicator, the Currency Strength Indicator (CSI), helps you analyze which currencies are oversold, overbought, correlating, and trending, the MSI or Market Strength Indicator does this also, but in this case, for all markets, including stocks, ETFs, futures, and cryptocurrencies, but with one key difference – VOLUME.
As with our core methodology of volume price analysis, volume adds an entirely new dimension to trading analysis as it reveals the driving pressure behind the price action, be it strong or weak, which are all factored into the algorithm that drives the Market Strength Indicator. But with the MSI indicator, its use and application is only limited by your imagination.
For example, we can use it to see which markets are correlating and which are not so that we might use it as an intraday tool for index futures. And, of course, with knowledge gained from the stock trading and investing program, we could then further validate any analysis by setting each against the top five market cap stocks, for confirmation of strength and to give us more confidence in trading an index future.
And not just index futures, but any futures you care to consider, such as energy, metals, softs, currencies or anything else.
For day traders of stocks, you might wish to see which are correlating with one another and which are not, for example, if you are pairs trading, and also whether a particular stock is moving with the primary futures index. If not, this may be a warning sign. And of course, for ETF traders, we have the SPY, a host of ETFs, and alongside them, the sectors, such as the XLK, the XLE, and more, giving you an instant and powerful insight into sentiment across the entire market complex.
The Market Strength Indicator has much to offer; whether you are a stock investor or day trading scalper, index or ETF trader, swing trader or trend trader, it is all here as the indicator signals in a clear and intuitive way when a stock, future or ETF is overbought or oversold in all timeframes, giving you that potent insight into potential reversals from strong to weak and back again. If you enjoy getting into a trend early and trading reversals, then this is the indicator for you, but if you prefer trading trends – no problem, just jump aboard once the move has some momentum and is underway as displayed by the steepness of the line on the indicator.
It’s all here and so much more, from market correlations to market strength and weakness and in all the timeframes from seconds to months.
And just like its sister indicator, the CSI, the MSI is an oscillator that moves seamlessly from overbought to oversold and back again between a value of 100 at the top and zero at the bottom, with each instrument or market represented with a single-colored line. To help further, we’ve included two regions on the indicator to represent these states at 70 and 30, respectively, but you can change these accordingly and perhaps extend them further to 80 and 20. These levels are purely intended as guides to help provide additional information as to the market state and a potential reversal in due course.
Now, in a single indicator, you have the opportunity to gauge sentiment across multiple markets, whether these are correlating or not, and from there develop a myriad of trading opportunities, or alternatively give you that all-important confidence to dive in, or maintain an existing position. Through its unique algorithm based on volume, it is another indicator only limited by your imagination, and like all our other indicators, one we urge you to use in multiple timeframes.
Rug Pull DetectorOverview
Have you ever wondered why tickers have such erratic movements that seemingly come from nowhere? These "rug pull" events happen quite often and can catch even the most seasoned traders off-guard.
Unlike most other indicators which rely on historical data to make inferences about future price movements, the Rug Pull Detector (RPD) enables you to take a glimpse into market makers' delta-neutral hedging in real-time.
Market makers by nature must be delta-neutral which means that they cannot position themselves to profit from providing liquidity (either long or short). Liquidity provided to the short or long side must end up in a stock purchase or sale to neutralize the trade.
Volatile movements in a ticker's price movement most often result directly after a period of extremely low volatility. These volatile movements are very often "rug pulled" which ends up reverting the ticker back to the price at which the event first occurred. RPD shows these events in real-time. This knowledge can be used to help determine the most probable near-future direction a ticker will gravitate towards after a rug pull event occurs.
Usage
RPD works on any ticker and on any timeframe and can be used as a tool in determining an exit price for a trade. Vertical shading on the chart indicates a warning signal that a rug pull event may be about to kick-off. Once a rug pull event has occurred and is confirmed, a blue label will appear on the chart with a price. A line is then drawn from the bar at which the event occurred and is extended to each subsequent bar until the price is reached once more; thus concluding the event. Furthermore, red or green shading will be present to easily visually identify rug pull events on the chart and whether they are risks to the downside (red) or upside (green). RPD is broken down into 2 main types of events:
Active Event - These events are characterized by a red or green shading and a blue price line.
Dormant Event - These events do not have shading but are still identifiable via a blue price line. Active events that are superseded by newer events will become dormant.
Active events tend to have a higher chance to return to the initial price point and tend to arrive there quicker.
Dormant events have a slightly lower chance to return to the initial price point and may take longer to arrive there.
Please note:
This indicator has no way of telling the exact amount of time that will pass before the ticker returns to the identified price; however, in more cases than not - the ticker will return to that price within a reasonable amount of time relative to the timeframe you are viewing.
There is a small chance any single event will never conclude. These are anomalies and do occur on occasion.
Using RPD alongside tools such as the RSI, Anchored VWAP, or other trend-based indicators will help determine when the ticker's price might be about to pivot and head back towards the identified price point.
Seeing is Believing:
SPY 1D downside rug-pull
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AAPL 15s downside and upside rug-pulls
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AMD 2D downside rug-pull
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VIX 1h downside and upside rug-pulls
Want to see more? Check out my recent Ideas for more examples of the Rug Pull Detector in action.
Disclaimer:
Any information in relation to the Rug Pull Detector does not constitute any financial, investment, or trading advice. Trade or invest at your own risk.
Quadratic & Linear Time Series Regression [SS]Hey everyone,
Releasing the Quadratic/Linear Time Series regression indicator.
About the indicator:
Most of you will be familiar with the conventional linear regression trend boxes (see below):
This is an awesome feature in Tradingview and there are quite a few indicators that follow this same principle.
However, because of the exponential and cyclical nature of stocks, linear regression tends to not be the best fit for stock time series data. From my experience, stocks tend to fit better with quadratic (or curvlinear) regression, which there really isn't a lot of resources for.
To put it into perspective, let's take SPX on the 1 month timeframe and plot a linear regression trend from 1930 till now:
You can see that its not really a great fit because of the exponential growth that SPX has endured since the 1930s. However, if we take a quadratic approach to the time series data, this is what we get:
This is a quadratic time series version, extended by up to 3 standard deviations. You can see that it is a bit more fitting.
Quadratic regression can also be helpful for looking at cycle patterns. For example, if we wanted to plot out how the S&P has performed from its COVID crash till now, this is how it would look using a linear regression approach:
But this is how it would look using the quadratic approach:
So which is better?
Both linear regression and quadratic regression are pivotal and important tools for traders. Sometimes, linear regression is more appropriate and others quadratic regression is more appropriate.
In general, if you are long dating your analysis and you want to see the trajectory of a ticker further back (over the course of say, 10 or 15 years), quadratic regression is likely going to be better for most stocks.
If you are looking for short term trades and short term trend assessments, linear regression is going to be the most appropriate.
The indicator will do both and it will fit the linear regression model to the data, which is different from other linreg indicators. Most will only find the start of the strongest trend and draw from there, this will fit the model to whatever period of time you wish, it just may not be that significant.
But, to keep it easy, the indicator will actually tell you which model will work better for the data you are selecting. You can see it in the example in the main chart, and here:
Here we see that the indicator indicates a better fit on the quadratic model.
And SPY during its recent uptrend:
For that, let's take a look at the Quadratic Vs the Linear, to see how they compare:
Quadratic:
Linear:
Functions:
You will see that you have 2 optional tables. The statistics table which shows you:
The R Squared to assess for Variance.
The Correlation to assess for the strength of the trend.
The Confidence interval which is set at a default of 1.96 but can be toggled to adjust for the confidence reading in the settings menu. (The confidence interval gives us a range of values that is likely to contain the true value of the coefficient with a certain level of confidence).
The strongest relationship (quadratic or linear).
Then there is the range table, which shows you the anticipated price ranges based on the distance in standard deviations from the mean.
The range table will also display to you how often a ticker has spent in each corresponding range, whether that be within the anticipated range, within 1 SD, 2 SD or 3 SD.
You can select up to 3 additional standard deviations to plot on the chart and you can manually select the 3 standard deviations you want to plot. Whether that be 1, 2, 3, or 1.5, 2.5 or 3.5, or any combination, you just enter the standard deviations in the settings menu and the indicator will adjust the price targets and plotted bands according to your preferences. It will also count the amount of time the ticker spent in that range based on your own selected standard deviation inputs.
Tips on Use:
This works best on the larger timeframes (1 hour and up), with RTH enabled.
The max lookback is 5,000 candles.
If you want to ascertain a longer term trend (over years to months), its best to adjust your chart timeframe to the weekly and/or monthly perspective.
And that's the indicator! Hopefully you all find it helpful.
Let me know your questions and suggestions below!
Safe trades to all!
RSRWDescription:
The given Pine-Script, titled "Real Relative Strength (RSRW)," is designed to evaluate the relative strength of the selected security compared to a benchmark security, defaulting to "SPY". It utilizes TradingView’s programming language and is structured to run on its platform.
Functionality:
Rolling Price Change Calculation:
It calculates the rolling price change for both the selected security and the comparison
security over a user-defined length of periods, defaulting to 12.
Rolling ATR Change Calculation:
It computes the Average True Range (ATR) over the specified length for both securities,
providing insights into market volatility.
Power Index Calculation:
It computes the power index by dividing the rolling move of the comparison security by its
rolling ATR, offering a measure of market strength or weakness relative to volatility.
Real Relative Strength (RRS) Calculation:
It determines the Real Relative Strength of the selected security against the benchmark,
adjusting the relative price move by the power index and dividing by the security's rolling
ATR.
Correlation:
The script also evaluates the correlation between the selected security and the compared
security over the defined length, providing a correlation coefficient that is represented
visually by different colors.
Visual Representation:
The Real Relative Strength is plotted with a blue line.
A red line represents the baseline (0).
Correlation is displayed with a color-coded line, ranging from green (high positive
correlation) to red (high negative correlation).
Utility:
This script is valuable for traders and investors looking to assess the relative performance of securities against a benchmark, factoring in volatility and correlation, enabling more informed investment decisions based on market dynamics.
License:
This script is subject to the terms of the Mozilla Public License 2.0.
[GTH decimals heatmap] (wide screen advised)Preface
I share my personal general view on indicators below; skip ahead to the Description below if you are not interested.
It is my personal conviction that most - if not all - indicators rely mainly on trader's belief that they work, and in a feedback system like free markets they might become a self-fulfilling prophecy as a result, if (!) a big part of the traders believes in it, because some famous trader releases an indicator, or such person's public statement goes viral.
One of those voodoo indicators is the famous "follow-through day". There is zero statistical evidence for its validity, beyond the validity of a statement like "If it's bright at day it's usually the sun shining". The uselessness was proven exactly on its inventor's YT channel, Investors Business Daily. According to the examiner, its inventor William J. O'Neil himself could not explain the values used for this indicator. It might have been an incidental observation at some point without general validity. A.k.a "curve fitting". Still, it's being used by many today.
Another one of those indicators is the three points reversal on the S&P 500 Volatility Index (VIX) which allegedly might potentially maybe indicate a possible shift in trend. Both indicators share an immediately problematic feature: They use absolute values. Nothing is ever absolute in a highly subjective and emotionally driven game like the markets where a lot of money can be made and lost.
Most indicators can not produce additional information since they can only re-pack price/volume action. Many times an interpretion of the distance between price and a moving average and/or the slope of a moving average deliver very similar - if not better - results than MACD, RSI etc., especially with standard settings, the origin of which are usually unknown (always a warning sign). Very few indicators can deliver information which is otherwise hard to quantify, e. g. market noise (Kaufman's Efficiency Ratio or Price Density) or volatility, standard deviation etc.
It is common knowledge that trading the markets is a game of probability. No indicator works all the time (or at all, see above). In order to make decisions based on any indicator, the probability for its validity and the conditions under which validity seemed to have occurred, must be known. Otherwise it is just coffee grounds reading under the illusion of adding to the edge, when in fact it is only adding to the trees, making it even harder to see the forest.
Description
A common belief is that whole or half-dollar prices tend to be attraction points in price action, so a number of traders include those into decision making. But are they really...?
Spoiler Alert:
Generally, it is safe to say that for the big majority of stocks there is very thin evidence for it. It depends vastly on the asset, the timeframe used and the market period (pre/post/main trading times). If at all, there seems to be an above random but still thin evidence for whole prices being significant attraction points. Interesting/surprising patterns are visible on many stocks/timeframes/session periods, though.
The screenshot shows TSLA, 30m timeframe, two heatmaps added. The top one shows pre/post-market data only, the bottom one main market data only. The cyan fields indicate the strongest occurrence, the dark blue fields indicate the weakest occurrence of open/high/low/close prices at the respective decimal. The red field indicates the current/last price decimal.
Clearly, TSLA displays a strong pre-market attraction for .00, followed by .33 and .67 and .50. This pattern of thirds seems to be a unique feature of TSLA. In the main trading session it is being diluted by a more random distribution.
Other interesting equities to examine:
SPY: No significant pattern on any timeframe!
META: Generally weak patterns on all timeframes, but interestingly on the 1D there is evidence for less randomness on O and H, more on L and most on C.
AAPL: 1D, foggy attraction areas around .35 and .12. Whole price is no attraction area at all! Very weak attraction around .73.
AMD: Strong pattern on D, W, M, attraction areas around 1/16th intervals. No patterns on lower timeframes.
AMZN: Significant differences between pre/post and main session. Strong 1/16th pattern below D in pre/post.
TAOP: Strong 1/5th pattern on all timeframes.
Read the tool tips and go explore!
ETF/Futures Prices Simple indicator to display the current SPY, SPX, ES1! prices to be used for quick reference without having to refernce multiple charts and the indicator works with any ETF or futures tickers
Dm if you need anything fixed, modified or added to the script
Momentum Probability Oscillator [SS]This is the momentum based probability indicator.
What it does?
This takes the average of MFI, Stochastics and RSI and plots it out as an independent oscillator.
It then tracks bullish vs bearish instances. Bullish is defined as a greater move from open to high than open to low and inverse for bearish.
It stores this data and these averages and plots these levels as a graph.
The graph depicts the max bullish values at the top, the min bearish values at the bottom and the averages in between:
It will plot the average "threshold" value in yellow:
The threshold value is key. A ticker trading above the threshold is generally bullish. Below is bearish.
The threshold value frequently acts as support and resistance levels (see below):
Resistance:
Support:
The indicator also shows you the amount of time a ticker has spent in each region, over a defined lookback period (defaulted to 500):
When you see that cumulatively, more time has been spent in a bullish range or a bearish range, it can help you ascertain the prevailing sentiment at that time.
The indicator will also calculate the average price range based on the underlying oscillator value. It does this through use of ATR based techniques, as its not usually possible to calculate a price from an oscillator:
This is intended as a general reference and not a precise target, as it is using ATR as opposed to the actual technical value itself.
As this is an oscillator, you can use it to look for divergences as well. The advantage to having it formulated in this way is:
a) You get the power of all 3 indicators (stochastics, MFI and RSI) in one and
b) You are adding context to the underlying technical reading. The indicator is plotting out the average, max and min ranges for the selected ticker and performing assessments based on these ranges that add context to the current PA.
You also have the ability to see the specific technical levels associated with each specific technical indicator. If you open up the settings menu and select "Show Table", this will appear:
This will show you the exact values of each of the technicals the indicator is using in its range assessment.
And that is basically the bulk of the indicator!
I use this predominately on the smaller timeframes, especially when there is a lot of chop, to ascertain the overall sentiment.
I also will reference it on the 1 hour to see what the prevailing sentiment is and whether the stock is at an area of technical resistance or support. For example, here is what I referenced on SPY today:
QUICK NOTE:
It works best with RTH (regular trading hours) turned on and ETH (extended trading hours) turned off!
That's it!
Hopefully you like it and leave your comments and suggestions below!
LNL Trend SystemLNL Trend System is an ATR based day trading system specifically designed for intra-day traders and scalpers. The System works on any chart time frame & can be applied to any market. The study consist of two components - the Trend Line and the Stop Line. Trend System is based on a special ATR calculation that is achieved by combining the previous values of the 13 EMA in relation to the ATR which creates a line of deviations that visually look similar to the basic moving average but actually produce very different results ESPECIALLY in sideways market.
Trend Line:
Trend Line is a simple line which is basically a fast gauge represented by the 13 EMA that can change the color based on the current trend structure defined by multiple averages (8,13,21,34 EMAs). Trend Line is there to simply add the confluence for the current trend. Colors of the line are pretty much self-explanatory. Whenever the line turns red it states that the current structure is bearish. Vice versa for green line. Gray line represents neutral market structure.
Stop Line:
Stop Line is an ATR deviaton line with special calculation based on the previous bar ATRs and position of the price in relation to the current and previous values of 13 EMA. As already stated, this creates an ATR deviation marker either above or below the price that trails the price up or down until they touch. Whenever the price comes into the Stop Line it means it is making an ATR expansion move up or down .This touch will usually resolve into a reaction (a bounce) which provides trade opportunities.
Trend Bars:
When turned ON, Trend Bars can provide additional confulence of the current trend alongside with the Trend Line color. Trend Bars are based on the DMI and ADX indicators. Whenever the DMI is bearish and ADX is above 20 the candles paint themselfs red. And vice versa applies for the green candles and bullish DMI. Whenever the ADX falls below the 20, candles are netural (Gray) which means there is no real trend in place at the moment.
Trend Mode:
There are total of 5 different trend modes available. Each mode is visualizing different ATR settings which provides either aggressive or more conservative approach. The more tigher the mode, the more closer the distance between the price and the Stop Line. First two modes were designed for slower markets, whereas the "Loose" and "FOMC" modes are more suitable for products with high volatility.
Trend Modes:
1. Tight
Ideal for the slowest markets. Slowest market can be any market with unusually small average true range values or just simply a market that does have a personality of a "sleeper". Tight Mode can be also used for aggresive entries in the most ridiculous trends. Sometimes price will barely pullback to the Trend Line not even the Stop Line.
2. Normal
Normal Mode is the golden mean between the modes. "Normal" provides the ideal ATR lengths for the most used markets such as S&P Futures (ES) or SPY, AAPL and plenty of other highly popular stocks. More often than not, the length of this mode is respected considering there is no breaking news or high impact market event scheduled.
3. Loose
The "Loose" mode is basically a normal mode but a little bit more loose. This mode is useful whenever the ATRs jump higher than usual or during the days of highly anticipated news events. This mode is also better suited for more active markets such as NQ futures.
4. FOMC
The FOMC mode is called FOMC for a reason. This mode provides the maximum amount of wiggle room between the price and the Stop Line. This mode was designed for the extreme volatility, breaking news events or post-FOMC trading. If the market quiets down, this mode will not get the Stop Line touch as frequently as othete modes, thus it is not very useful to run this on markets with the average volatlity. Although never properly tested, perhaps the FOMC mode can find its value in the crypto market?
5. The Net
The net mode is basically a combination of all modes into one stop line system which creates "the net" effect. The Net provides the widest Stop Line zone which can be mainly appreciated by traders that like to use scale-in scale-out methods for their trading. Not to mention the visual side of the indicator which looks pretty great with the net mode on.
HTF (Higher Time Frame) Trend System:
The system also includes additional higher time frame (HTF) trend system. This can be set to any time frame by manual HTF mode. HTF mode set to "auto" will automatically choose the best suitable higher time frame trend system based on how appropriate the aggregation is. For everything below 5min the HTF Trend System will stay on 5min. Anything between 5-15min = 30min. 30min - 120min will turn on the 240min. 180min and higher will result in Daily time frame. Anything above the Daily will result in Weekly HTF aggregation, above W = Monthly, above M = Quarterly.
Background Clouds:
In terms of visualization, each trend system is fully customizable through the inputs settings. There is also an option to turn on/off the background clouds behind the stop lines. These clouds can make the charts more clean & visible.
Tips & Tricks:
1. Different Trend Modes
Try out different modes in different markets. There is no one single mode that will fit to everyone on the same type of market. I myself actually prefer more Loose than the Normal.
2. Stop Line Mirroring
Whenever the Stop Lines start to mirror each other (there is one above the price and one below) this means the price is entering a ranging sideways market. It does not matter which Stop Line will the price touch first. They can both be faded until one of them flips.
3. Signs of the Ranging Market
Watch out for signs of ranging market. Whenever the Trend System looses its colors whether on trend line or trend bars, if everything turns neutral (gray) that is usually a solid indication of a range type action for the following moments. Also as already stated before, the Stop Line mirroring is a good sign of the range market.
4. Trailing Tool, Trend System as an Additional Study?
In case you are not a fan of the colorful green / red charts & candles. You can switch all of them off and just leave the Stop Line on. This way you can use the benefits of the trend system and still use other studies on top of that. Similarly as the Parabolic SAR is often used.
5. The Flip Setup
One of my favorite trades is the Flip Setup on the 5min charts. Whenever the Stop Line is broken , the very first opposing touch after the Trend System flips is a usually a highly participated touch. If there is a strong reaction, this means this is likely a beginning of a new trend. Once I am in the position i like to trail the Stop Line on the 1min charts.
Hope it helps.
All Candlestick Patterns Screener [By MUQWISHI]▋ INTRODUCTION :
The Candlestick Patterns Screener has been designed to offer an advanced monitoring solution for up to 40 symbols. Utilizing a log screener style, it efficiently gathers information on confirmed candlestick pattern occurrences and presents it in an organized table. This table includes essential details such as the symbol name, signal price, and the corresponding candlestick pattern name.
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▋ OVERVIEW:
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▋ CREDIT:
Credit to public technical “*All Candlestick Patterns*” indicator.
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▋ USAGE:
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▋ Final Comments:
For best performance, add the Candlestick Patterns Screener on active symbol chart like QQQ, SPY, AAPL, BTCUSDT, ES, EURUSD or …etc.
Candlestick patterns are not a major concept to build a trading decision.
Personally, I see candlestick patterns as a means to comprehend the psychology of the market, and help to follow the price action.
Please let me know if you have any questions.
Thank you.
Bull / Bear Market RegimeBull / Bear Market Regime
Instructions:
- A simple risk on or risk off indicator based on CBOE's Implied Correlation and VIX to highlight and indicate Bull / Bear Markets. To be used with the S&P500 index as that's the source from where the CBOE calculates and measures implied volatility & implied correlation. Can also be used with the other indices such as: Dow Jones, S&P 500, Nasdaq, & Nasdaq100, & Index ETF's such as DIA, SPY, QQQ, etc.
- Know the active regime, see the larger picture using the Daily or Weekly view, and visualize the current "Risk On (Bull) or Risk Off (Bear)" environment.
Description:
- Risk On and Risk Off simplified & visualized. Know if we are in a RISK ON or RISK OFF environment (Bull or Bear Market). (Absolute bottoms and tops will occur BEFORE a Risk On (Bull Market) or Risk Off (Bear Market) environment is confirmed!) This indicator is not meant to bottom tick or uptick market price action, but to show the active regime.
- Green: Bull Market, Risk On, low volatility, and low risk.
- Red: Bear Market, Risk Off, high volatility, and higher risk.
Buy & Sell Indicators (DAILY time frame)
- Nothing is 100% guaranteed! Can be used for short to medium term trades at the users discretion in BEAR MARKETS!!
- These signals are meant to be used during a RISK OFF / BEAR MARKET environment that tends to be accompanied with high volatility. A Risk on / Bull Market environment tends to have low volatility and endless rallies, so the signals will differ and in most instances not apply for Bull market / Risk on regime.
- The SELL signal will more often than not signal that a pullback is near in a BULL market and that a BMR-Bear Market Rally is almost over in a BEAR market.
- The BUY signal will have far more accuracy in a BEAR market-high volatility environment and can Identify short-term and major bottoms.
Always use proper sizing and risk management!
Market Price Order Divergence + Trapped Positions [Pt]█ Introduction
Specifically designed for trading on NYSE, NASDAQ, Dow Jones, and AMEX related instruments like SPY, QQQ, ES, NQ...etc., this innovative tool provides traders with advanced market insights to help them comprehend the market intricacies and make well-informed decisions. Comprising three primary features: Price Order Divergence (POD) Bubbles, Market Order Bubbles, and Trapped Positions/Zones, this tool assists traders in deciphering the nuances of market order flow and trends.
An important point to note is that TradingView doesn't currently provide direct access to market order data, such as buy and sell order flow. Therefore, this tool cleverly leverages TICK index data to estimate the overall market buy and sell strength.
█ Price Order Divergence (POD)
POD serves to detect disparities between the prices of US indices and estimated market orders during regular trading hours (9:30 to 16:00 EST). Bullish divergence indicates that the estimated market order flow is biased towards buy orders, despite bearish price action. In contrast, bearish divergence indicates that the market order flow is biased towards sell orders while the price exhibits bullish action. By default, PODs are visually represented as green bubbles under the candle for bullish divergence and red ones above the candle for bearish divergence. The bubble's size symbolizes the estimated market order strength.
█ Market Order Bubbles (MOB)
During extended or Globex hours, instead of POD, the tool uses Market Order Bubbles (MOB) to estimate market orders using volume data. Sophisticated algorithm is used to distinguish between bullish vs bearish volume. A strong bullish volume represents significant buy orders, whereas a strong bearish volume represents substantial sell orders. By default, MOBs during these hours are shown in blue for bullish and yellow for bearish divergence. Again, the bubble's size symbolizes the estimated market order strength.
█ Trapped Positions/Zones
Trapped positions materialize when PODs or MOBs emerge in trending markets. For example, a bearish divergence during an uptrend suggests significant selling (including shorting), and if the price continues ascending without offering short positions any profit, these positions become 'trapped shorts' and is shown as 'TS' in the zone. The opposite is true for 'trapped longs' or 'TL'.
A price range zone can be delineated from the trapped position candles. If prices revisit these zones, and the prevailing market trend stays bullish, the trapped shorts will probably liquidate near the break-even point to mitigate losses. The same rationale applies to bullish divergence in a downtrend. Therefore, these zone often times represents support / resistance zones.
█ Potential Use Cases
► Trend Confirmation: POD or MOB can confirm the strength of an ongoing trend. For example, during a bullish trend, a plethora of green bubbles or blue MOBs can affirm the trend's solidity.
► Spotting Reversals: Large, isolated POD or MOB bubbles could indicate potential market reversals. For instance, a prominent red bubble or yellow MOB during an uptrend might hint at an impending trend reversal.
► Risk Management: The Trapped Positions/Zones feature could assist in risk management. When prices approach these zones, traders can anticipate potential large market orders impacting price movements.
► Profit Optimization: This tool can aid traders in optimizing profits by identifying when trapped positions are likely to liquidate, thus predicting potential sharp price movements.
Remember, as with any tool, this should be used alongside other market analyses and not as a standalone indicator. Happy trading!
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█ Settings Overview
◊ Market - available options: NYSE, NASDAQ, Dow Jones, AMEX. This will be displayed
◊ Lookback period- # of bars to lookback for detecting price vs market order divergences
▼ Regular Hour - Price Order Divergence Bubbles
◊ Show Price Order Divergence (POD) Bubbles - toggle on/off for POD bubbles
◊ └ Use Market Order Sentiment only - Shows divergences between price movement and market order sentiment (amount of buying vs selling)
◊ └ Use Market Order Trend Bias - On top of market order sentiment, the indicator also looks at overall market short term trends to determine divergences
◊ └ Use Threshold Min. Threshold - For filtering order size, the lower the threshold, the more sensitive
◊ └ Use Volume Strength - Take volume into consideration as well, only shows divergence when there is strength in volume
▼ Extended Hour - Market Order Bubbles
◊ Show Market Order Bubbles - toggle on/off for MOB. Using volume data to estimate significant market order activities. Bubbles indicate possible large liquidation activities
◊ └ Volume Analysis period - lookback period for volume analysis
◊ └ Volume Strength period - lookback period for volume strength
▼ Trapped Position Zones
◊ Show Potential Traps - toggle on/off for un-activated trapped zones. They are shown as lightly shaded areas of potential traps. These areas will be activated once price hit the activation %
◊ Show Trapped positions (Regular Hours) - toggle on/off for POD trapped zones. By default, trapped shorts are shown in green, trapped tongs are shown in red.
◊ Show Trapped positions (Extended Hours) - toggle on/off for MOB bubbles. By default, trapped shorts are shown in blue, trapped tongs are shown in orange.
◊ └ Activation % - Trapped zones are activated if price goes x% of the potential trapped range in the undesirable direction. Default is 100%
◊ Liquidate display options - options: On first touch, Per touch, Fully liquidated
Trapped zones liquidate display options:
▼ Display
◊ General color settings for bubbles, trapped zones, and label size
◊ Use Emoji for bubbles - fun setting that displays bulls and bears by default. This helps really visualize where the bulls and bears are! 🤣🤣 These emoji can be changed in the style setting.
▼ Trapped Zone Channel
The trapped zone channel represents a continuous channel of the closest activated trapped zone area. This allows for creating alerts for trapped zones, and the plot outputs allows for custom Pinescript integration.
◊ Trapped Zone Channel Buffer % - Adds upper and lower buffer for trapped zone channel
◊ Show Trapped Channel - toggle on/off on trapped zone channels
◊ └ Remove channel changing lines - toggle on/off the transition plot lines when switching to the closest trapped zones
◊ Show Trapped Channel Fill - toogl
▼ Extra
◊ Display settings for chosen market and indicator title
▼ Trend Follower
◊ Show Trend Following Bar Color - toggle trend follower algorithm. This is an experimental trend following algorithm that attempts to detect bullish, neutral and bearish trends.
▼ Outputs
◊ Output Bubbles
Outputs for Bubbles for external interface. These can be used as inputs to your own indicator or strategy Pinescript. For more info, take a look at this TradingView blog:
www.tradingview.com
Bubble type can be chosen within the settings:
Both - Default, output will include both Market Price Order Divergence Bubbles (during Regular Hours) and Market Order Bubbles (during Extended Hours)
POD Only (RTH) - Output will include only Market Price Order Divergence Bubbles; otherwise, output = 0 during Extended Hours
MOB Only (ETH) - Output will include only Market Order Bubbles; otherwise, output = 0 during Regular Hours
Market Order Bubbles output values:
3 = Large size Bullish Bubble
2 = Medium size Bullish Bubble
1 = Small size Bullish Bubble
0 = No Bubble
-1 = Small size Bearish Bubble
-2 = Medium size Bearish Bubble
-3 = Large size Bearish Bubble
VIX HeatmapVIX HeatMap
Instructions:
- To be used with the S&P500 index (ES, SPX, SPY, any S&P ETF) as that's the input from where the CBOE calculates and measures the VIX. Can also be used with the Dow Jones, Nasdaq, & Nasdaq100.
Description:
- Expected Implied Volatility regime simplified & visualized. Know if we are in a high, medium, or low volatility regime, instantly.
- Ranges from Hot to Cold: The hotter the heat-map, the higher the implied volatility and fear & vice versa.
- The VIX HeatMap, color-maps important VIX levels (7 in this case) in measuring volatility for day trading & swing trading.
Using the VIX HeatMap:
- A LOW level volatility environment: Represented by "cooler" colors (Blue & White) depicts that the level of volatility and fear is low. Percentage moves on the index level are going to be tame and less volatile more often than not. Low fear = low perceived risk.
- A MEDIUM level volatility environment: Represented by "warmer" colors (Green & Yellow) depicts that the markets are transitioning from a calmer period or from a more fearful period. Market volatility here will be higher and provide more volatile swings in price.
- A HIGH level volatility environment: Represented by "hotter" colors (Orange, Red, & Purple) depicts that the markets are very fearful at the moment and will have big swings in both directions. Historically, extreme VIX levels tend to coincide with bottoms but are in no way predictive of the exact timing as the volatile moves can continue for an extended period of time.
- Transitioning between the 7 VIX Zones: Each and every one of these specific VIX zone levels is important.
1. Extreme low: <16
2. Low: 16 to 20
3. Normal: 20 to 24
4. Medium: 24 to 28
5. Med-High: 28 to 32
6. High: 32 to 36
7. Extreme high: >36
- These VIX levels in particular measure volatility changes that have a major impact on switching between smaller time frames and measuring depths of a sell move and vice versa. Each level also behaves as its own support & resistance level in terms of taking a bit of effort to switch regimes, and aids in identifying and measuring the potential depth of pullbacks in bull markets and bounces in bear markets to reveal reversal points.
- Examples of VIX level supports depicted on the chart marked with arrows. From left to right:
1. March 10th: Markets jumped 2 volatility levels in 2 days. The fluctuations from blue to yellow to green where a sign that price action would reverse from the selloff.
2. March 28th: As soon as we move from green to the blue VIX level (<20), markets began to rally and only ended when the volatility level moved sub VIX 16 (white).
3. May 4th & 24th: Next we see the 2 dips where volatility levels went from blue to green (VIX > 20), marked bottoms and reversed higher.
4. June 1st: We see a change in VIX regime yet again into lower VIX level and markets rocket higher.
Knowing the current VIX regime is a very important tool and aid in trading, now easily visualized.
Leveraged Share VolumeHello everyone,
Did this quick reference indicator and figured I would share it as nothing like it exists that I could find.
What this does is it pulls leveraged share data and displays the bull share and bear share volume.
There are 5 pre-programmed shares. These include:
SPY
Pulls bull share data from: SPXL and UPRO
Pulls bear share data from: SPXU and SPXS
IWM
Pulls bull share data from: TNA
Pulls bear share data from: TZA
DIA
Pulls bull share data from: UDOW
Pulls bear share data from: SDOW
QQQ
Pulls bull share data from: TQQQ
Pulls bear share data from: SQQQ
XLE
Pulls bull share data from: ERX
Pulls bear share data from: ERY
As there continues to be more leveraged shares available (for example, AAPU, APPD, MSFT, TSLA, etc.) there is also the option to use these manual tickers as these shares become available. The image below shows the data input screen:
The indicator will default to show the data as a ratio. The ratio is calculated by the total bear shares over the total bull shares (sell to buy ratio). If you unselect the Ratio option (displayed in the image above), it will show the raw volume.
When data is displayed as a ratio, you will see the white SMA line. This will show you the average ratio over a 14 period lookback. This is customizeable under the SMA Length input (shown in the image above).
Indicator's purpose:
The aim of the indicator is to provide context as to where the current sentiment is. Its similar in concept to a put to call ratio. The idea is, the more bearish people are, the more inverse shares are being bought, the higher the ratio or raw volume for bear shares and vice versa for bullish situations.
If you would like some more contextual information about the powers of tracking this type of data for trading purposes, you can check out this idea I published about the relationship between leveraged shares and market sentiment/behaviour:
Otherwise, the indicator is pretty straight forward!
Its not meant to be anything but a reference indicator to help give you context of the current market positioning.
If you have any questions or suggestions, please feel free to leave them below.
Thank you for reading and checking out the indicator!
Safe trades everyone!
Cobra's CryptoMarket VisualizerCobra's Crypto Market Screener is designed to provide a comprehensive overview of the top 40 marketcap cryptocurrencies in a table\heatmap format. This indicator incorporates essential metrics such as Beta, Alpha, Sharpe Ratio, Sortino Ratio, Omega Ratio, Z-Score, and Average Daily Range (ADR). The table utilizes cell coloring resembling a heatmap, allowing for quick visual analysis and comparison of multiple cryptocurrencies.
The indicator also includes a shortened explanation tooltip of each metric when hovering over it's respected cell. I shall elaborate on each here for anyone interested.
Metric Descriptions:
1. Beta: measures the sensitivity of an asset's returns to the overall market returns. It indicates how much the asset's price is likely to move in relation to a benchmark index. A beta of 1 suggests the asset moves in line with the market, while a beta greater than 1 implies the asset is more volatile, and a beta less than 1 suggests lower volatility.
2. Alpha: is a measure of the excess return generated by an investment compared to its expected return, given its risk (as indicated by its beta). It assesses the performance of an investment after adjusting for market risk. Positive alpha indicates outperformance, while negative alpha suggests underperformance.
3. Sharpe Ratio: measures the risk-adjusted return of an investment or portfolio. It evaluates the excess return earned per unit of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, as it reflects a higher return for each unit of volatility or risk.
4. Sortino Ratio: is a risk-adjusted measure similar to the Sharpe ratio but focuses only on downside risk. It considers the excess return per unit of downside volatility. The Sortino ratio emphasizes the risk associated with below-target returns and is particularly useful for assessing investments with asymmetric risk profiles.
5. Omega Ratio: measures the ratio of the cumulative average positive returns to the cumulative average negative returns. It assesses the reward-to-risk ratio by considering both upside and downside performance. A higher Omega ratio indicates a higher reward relative to the risk taken.
6. Z-Score: is a statistical measure that represents the number of standard deviations a data point is from the mean of a dataset. In finance, the Z-score is commonly used to assess the financial health or risk of a company. It quantifies the distance of a company's financial ratios from the average and provides insight into its relative position.
7. Average Daily Range: ADR represents the average range of price movement of an asset during a trading day. It measures the average difference between the high and low prices over a specific period. Traders use ADR to gauge the potential price range within which an asset might fluctuate during a typical trading session.
Utility:
Comprehensive Overview: The indicator allows for monitoring up to 40 cryptocurrencies simultaneously, providing a consolidated view of essential metrics in a single table.
Efficient Comparison: The heatmap-like coloring of the cells enables easy visual comparison of different cryptocurrencies, helping identify relative strengths and weaknesses.
Risk Assessment: Metrics such as Beta, Alpha, Sharpe Ratio, Sortino Ratio, and Omega Ratio offer insights into the risk associated with each cryptocurrency, aiding risk assessment and portfolio management decisions.
Performance Evaluation: The Alpha, Sharpe Ratio, and Sortino Ratio provide measures of a cryptocurrency's performance adjusted for risk. This helps assess investment performance over time and across different assets.
Market Analysis: By considering the Z-Score and Average Daily Range (ADR), traders can evaluate the financial health and potential price volatility of cryptocurrencies, aiding in trade selection and risk management.
Features:
Reference period optimization, alpha and ADR in particular
Source calculation
Table sizing and positioning options to fit the user's screen size.
Tooltips
Important Notes -
1. The Sharpe, Sortino and Omega ratios cell coloring threshold might be subjective, I did the best I can to gauge the median value of each to provide more accurate coloring sentiment, it may change in the future.
The median values are : Sharpe -1, Sortino - 1.5, Omega - 20.
2. Limitations - Some cryptos have a Z-Score value of NaN due to their short lifetime, I tried to overcome this issue as with the rest of the metrics as best I can. Moreover, it limits the time horizon for replay mode to somewhere around Q3 of 2021 and that's with using the split option of the top half, to remain with the older cryptos.
3. For the beginner Pine enthusiasts, I recommend scimming through the script as it serves as a prime example of using key features, to name a few : Arrays, User Defined Functions, User Defined Types, For loops, Switches and Tables.
4. Beta and Alpha's benchmark instrument is BTC, due to cryptos volatility I saw no reason to use SPY or any other asset for that matter.
Fundamental Strength IndicatorName of the indicator: Fundamental Strength Indicator
A brief description of the indicator:
Using this indicator, you can evaluate a company in terms of the strength of its financial performance and see how that score has changed over time.
The background to the creation of the indicator:
The main idea that inspired me to create this indicator is: " Even if you buy just 1 share of a company, treat it like buying the whole business ". However, when I need to evaluate the business of thousands of public companies traded on exchanges, there is an objective difficulty: it is very time-consuming. To solve this problem, I had to create a scoring system of the fundamental analysis of the company, embodied in this indicator.
What the indicator looks like:
- First, it is a Histogram with bars of three colors: green, orange, and red. The width of the histogram depends on the depth of data from the company statements. The more historical data, the wider the histogram over time.
The green color of the bars means that the company has been showing excellent financial results by the sum of the factors in that time period. According to my terminology, the company has a " strong foundation " during this period. Green corresponds to values between 8 and 15 (where 15 is the maximum possible positive value on the sum of the factors).
The orange color of the bars means that according to the sum of factors during this period the company demonstrated mediocre financial results, i.e. it has a " mediocre foundation ". Orange color corresponds to values from 1 to 7.
The red color of the bars means that according to the sum of factors in this period of time, the company demonstrated weak financial results, i.e. it has a " weak foundation ". The red color corresponds to values from -15 to 0 (where -15 is the maximum possible negative value on the sum of factors).
- Second, this is the Blue Line , which is the moving average of the Histogram bars over the last year (*). Averaging over the year is necessary in order to obtain a weighted estimate that is not subject to medium-term fluctuations. It is by the last value of the blue line that the actual Fundamental Strength of the company is determined.
(*) The last year means the last 252 trading days, including the current trading day.
- Third, these are operating, investing, and financing Cash Flows expressed in Diluted net income. These flows look like thick green, orange, and red lines, respectively.
- Fourth, this is the Table on the left, which shows the latest actual value of the Fundamental Strength and Cash Flows.
Indicator settings:
In the indicator settings, I can disable the visibility of the Histogram, Blue Line, Cash Flows (each separately), and Table. It helps to study each of the parameters separately. It is also possible to change the color, transparency, and thickness of lines.
Mandatory requirements for using the indicator:
- works only on a daily timeframe;
- only applies to shares of public companies;
- company financial statements for the last 4 quarters and more are required;
- it is necessary to have the data from the Balance sheet, Income statement, and Cash flow statement, required for the calculation.
If at least one component required for calculating the Fundamental Strength is missing, the message " no data to calculate the Fundamental Strength correctly " is displayed. In the same case, but for the operating cash flow, the message " no data to calculate the Operating Cash Flow correctly " is shown, and similarly for other flows.
What is the value of the Fundamental Strength Indicator:
- allows for a quantitative assessment of a company's financial performance in points (from -15 to 15 points);
- allows you to visually track how the company's financial performance has changed (positively/negatively) over time;
- allows to visually trace the movement of main cash flows over time;
- speeds up the process of selecting companies for your shortlist (if you are focused on financial results when selecting companies);
- allows you to protect yourself from investing in companies with weak and mediocre fundamentals.
Indicator calculation methodology:
Guided by the "Treat stock investments as buying the whole business" approach, you can imagine what kind of business an investor is interested in owning and simultaneously determine the input parameters for calculating the indicator.
(!) Here it is important to emphasize that the idea of a benchmark business for investment is a subjective notion, so be sure to check whether it coincides with your own opinion.
For me, a benchmark business is:
- A business that operates efficiently without diminishing the return on shareholders' investment. To assess the efficiency and profitability of a business, I use the following financial ratios (*): Diluted EPS and Return on Equity (ROE). The first two parameters for calculating the indicator are there.
- A business that scales sales and optimizes its costs. From this point of view, the following financial ratios are suitable: Gross margin, Operating expense ratio, and Total revenue. Plus three other metrics.
- A business that turns goods/services into cash quickly and does not fall behind on payments to suppliers. The following financial ratios will fit here: Days payable, Days sales outstanding, and Inventory to revenue ratio. These are three more metrics.
- A business that does not resort to significant accounts payable and shows financial strength. Here I use the following financial ratios: Current ratio, Interest coverage, and Debt to revenue ratio. These are the last three parameters.
(*) If you want to learn more about these financial ratios, I suggest reading my two articles on TradingView:
Financial ratios: digesting them together
What can financial ratios tell us?
Next, each of the parameters is assigned a certain number of points based on its last value or the position of that value relative to the annual maximum and minimum.
For example, if the Current ratio:
- greater than or equal to 2 (+1 point);
- less than or equal to 1 (-1 point);
- more than 1 but less than 2 (0 points).
Or for example, if Diluted EPS:
- near or above the annual high (+2 points);
- near the annual minimum and below (-2 points);
- between the annual maximum and minimum (0 points).
And so on with each of the parameters.
As a result, the maximum number of points a company can score is 15 points. The minimum number of points a company can score is -15 points. These levels are marked with horizontal dotted lines: the green line is for the maximum value, and the red line is for the minimum.
I track the number of points for each day of a company's life on a three-color Histogram. The resulting average value for the last year is on the Blue Line. For me, it is the last value of the Blue Line that determines - this is the actual Fundamental Strength of the company.
The business valuation model I created is more suitable for companies that produce goods or services, and where tangible assets play a significant role in the business. For example, when analyzing companies in the financial sector, you may see the message "no data to calculate the Fundamental Strength correctly". Many of them may simply be missing data that is used as input for the calculation: Inventory to revenue ratio, Days sales outstanding, etc.
Examples:
Below I will evaluate various companies using the Fundamental Strength Indicator.
Tesla, Inc.
The indicator shows that since 2020, Tesla Inc. has been steadily increasing its Fundamental Strength (from 3.27 in Q1 2020 to 12.79 in Q1 2023). This is noticeable both by the color change of the Histogram from orange to green and by the rising Blue Line. If you look in detail at what has been happening with the financials during this time, it's clear what meaningful work the company has done. Revenues have almost quadrupled. Earnings per share have increased 134 times. At the same time, total debt to revenue fell almost 10 times.
Keurig Dr Pepper Inc.
The company, formed in 2018 by the merger of Keurig Green Mountain and Dr Pepper Snapple Group, has failed to deliver outstanding financial results, causing its Fundamental Strength to fall from 4.63 in Q1 2018 to -0.53 in Q1 2023. During this period, the drop in diluted earnings per share was accompanied by higher debt and deteriorating liquidity.
Costco Wholesale Corporation
Wholesaler Costco has been surprisingly stable in its financial performance and with steady growth in both earnings and revenue. This is the reason why the Histogram bars are exceptionally green throughout the calculation of the indicator. The Fundamental Strength has not changed in three years and is high at 11 points.
As an additional filter, for example, when comparing two companies where all other conditions are equal - I use the dynamics of Cash Flows expressed in Diluted net income (*). These are the thick green, orange, and red lines over the Histogram.
Why do I use income as a unit of measure of Cash Flows? Because it is a good way to make the scale of indicator values the same for companies from different countries, with different currencies. It also allows you to use a single value scale for both Cash Flows and Fundamental Strength.
(*) If you want to learn more about Cash Flows, I suggest reading my two articles on TradingView:
Cash flow statement or Three great rivers
Cash flow vibrations
So, an additional filter shows the dynamics of Cash Flows over time.
To interpret the dynamics of Cash Flows, I pay attention to the following patterns:
- How the cash flows are positioned in relation to each other;
- In which zone each of the cash flows is located - in the positive or negative;
- What is the trend of each of the cash flows;
- How volatile each of the cash flows is.
As an example, let's look at several companies in order to interpret the dynamics of their Cash Flows.
John B. Sanfilippo & Son, Inc.
This is the most ideal situation for me: operating cash flow (green line) is above the other cash flows, investment cash flow (orange line) is near zero and practically unchanged, and financial cash flow (red line) is consistently below zero. This picture shows that the company lives off its operating cash flow, does not increase its debt, does not spend a substantial amount of money on expensive purchases, and retains (does not sell off) assets.
Parker Hannifin Corporation
With stable operating cash flow (green line), the company implements investment programs by raising additional funding. This is noticeable due to an increase in financial cash flow (red line) and a simultaneous decrease in investment cash flow (orange line) with a significant deepening into negative areas. Apparently, there is not enough operating cash flow to realize the planned investments. One has to wonder how sustainable a company can be if it invests in its development using borrowed funds without a subsequent increase in operating cash flow.
Schlumberger N. V.
The chaotic intertwining of cash flows outside of the Fundamental Strength range (-15 to 15) is indicative of the company's rich life, but to me, it is an indicator of high riskiness of its actions. And as we can see, Fundamental Strength has only begun to strengthen in the last year, when the external appearance of cash flow has normalized.
Risk disclaimer:
When working with the Fundamental Strength Indicator and the additional filter in the form of Cash Flows, you should understand that the publication of the Balance sheet, Income statement, and Cash flow statement takes place sometime after the end of the financial quarter. This means that new relevant data for the calculation will only appear after the publication of the new statements. In this regard, there may be a significant change in the values of the Indicator after the publication of new statements. The magnitude of this change will depend both on the content of the new statements and on the number of days between the end of the financial quarter and the publication date of the statements. Until the date of publication of the new statements, the latest relevant data will be used for calculations.
I would like to draw your attention to the fact that the calculation of Fundamental Strength and Cash Flows requires the availability of data for all parameters of the valuation model . It uses data that is exclusively available on TradingView (there is no reconciliation with other sources). If at least one parameter is missing, I switch to another company's analysis to continue using the indicator.
Thus, the Fundamental Strength Indicator and an additional filter in the form of Cash Flows make it possible to evaluate the financial results of the company based on the available data and the methodology I created. A simple visualization in the form of a three-color Histogram, a Blue line, and three thick Cash Flow lines significantly reduces the time for selecting fundamentally strong companies that fit the criteria of the selected model. However, this Indicator and/or its description and/or examples cannot be used as the sole reason for buying or selling stocks or for any other action or inaction related to stocks.
Market Internal TrendMIT - Market Internal Trend
I've developed what I consider to be the best market internals, market breadth indicator on Trading View to date :)
Market internals (sometimes referred to as Market Breadth) are built-in indicators of the market, there are the following main indicators:
TICK - Uptick or downtick transaction of market (NYSE/NASDAQ)
ADD - Advancing or declining issues/stocks of the market
VOLD - Up volume or down volume of the issues/stocks of the market
TRIN - Trend of market based on ADD and VOLD
VIX - Volatility of the market
PCN - Options market puts vs calls
What makes this different?
This single compact indicator delivers an "eyes on glass" style presentation to detail extreme movements of TICK, sentiment analysis of ADD and VOLD as well as their trends and report when the market is most likely balanced or an in imbalance. No need to study multiple clouds and amassing a ton of different charts all with similar indicator setups and candle analysis in the heat of the moment.
Use this to determine the overall initial trend at open, watching for imbalance and extreme movement on TICK as a signal to prepare for potential trades. The metrics table is useful to see where potential rejections/bounces may occur on the volatility index.
Extreme tick closures (see below) can provide excellent trim or exit signals for existing trades depending on the market structure of the day (trending or ranging).
How To Use
The main histogram represents the highs and lows of TICK, anything within the +/- $500 region is most likely normal movement while anything outside of that will brighten in color and indicates potential larger reactions. Extreme highs and lows will be represented by white diamonds by default, closures are indicated by bright colored crosses at $0. Price levels should be noted on the securities being traded during TICK extreme movement, these usually act as dynamic support and resistance from my observations but your results may vary (please share in comments your experiences!).
There is a smoothed trend line over the histogram, by default it's white in color, and this represents simply a trend of TICK closures - when it's trending down the market should be following in kind and vice versa; adjust the smoothing length in settings to suit your trading style.
The center line will have colored dots, by default yellow for balanced markets or white for imbalanced markets. When the market is in an imbalance that's when trending moves have been observed and balanced markets are usually choppy with sideways price action not suitable for quick scalp type trading styles.
The upper colored band represents the market overall advancing or declining issues/stocks within the market, by default green tones are bullish for a advancing market and red tones represent bearish market - the brighter the tone the strong the sentiment. There are triangles at all times above this band and that represents a smoothed trend status as compared to the current amount of stocks in advance or decline, if the smoothed trend is above then it's potentially a signal of reversal (red triangles over green band would be bearish reversal and vice versa).
The lower colored band works the exact same as the upper band but it tracks the up and down volume of the issues/stocks within the market, it utilizes the same color and triangle logics as the upper band.
Markets
Currently this will present internals data for NYSE and NASDAQ, I'm still researching other markets internals and their particulars.
The signals on this indicator will best apply to SPY, QQQ, ES, NQ or highly liquid ETFs largely affected by NYSE or NASDAQ - individual stocks may have mixed results depending on how they're moving with major indexes so keep that in mind when watching for sympathy moves with the indicator.
Usage Conditions
All of the market internals are fantastic indicators when day trading, I've had great success on 1-15 minute and even higher for scalps or intra-day swings. Observing the middle dots will save those of you that struggle in choppy markets from being too aggressive when opportunities don't exist.
Use the triangles, diamonds, dots and crosses to your advantage to manage your scalps and intra-day swings, or gain an edge in preparation for entering trades!
I hope this indicator is a benefit to all for day trading, provide any feedback or feature requests in the comments.
[TT] Sectors Dist % From MA- The script shows the distance in percentages from the 200 MA (or any other MA period) , for the 11 SP500 sectors.
- It works based on the current time frames.
Could be useful when working with mean reversion strategies to detect extremes zones and overbought/oversold conditions in the given sectors compared others.
BUY/SELL + ADVANCE DECLINEThis script is a custom trading view indicator that helps to identify potential buy and sell signals based on the RSI (Relative Strength Index) and SMA (Simple Moving Average) indicators. The script also identifies potential reversals using a combination of RSI and price action. It plots buy, sell, and reversal signals on the chart along with an SMA line. Additionally, it provides alerts based on the buy, sell, and reversal conditions.
Changes made to the original script:
Fixed the undeclared identifier 'c' error by calculating the difference between the current closing price and the previous closing price: c = close - close .
Added an "ADD Value Floating Label" to the chart. The label shows the difference between the current and previous closing prices (ADD value) along with a "Bullish" or "Bearish" indicator based on the value of 'c'. The label is positioned at the top right of the visible chart area and remains static.
Here's a summary of the major components of the script:
Input settings: Define the input parameters for RSI and SMA.
Calculation of RSI and SMA: Compute the RSI and SMA values based on the input parameters.
Color definitions: Define colors for different conditions and levels.
Condition definitions: Define various conditions for buy, sell, reversal, and other criteria.
Buy and sell conditions: Determine buy and sell signals based on RSI, SMA, and price action.
Reversal conditions: Identify potential reversals using RSI and price action.
Plot signals: Display buy, sell, and reversal signals on the chart.
Bar colors: Color the bars based on the identified signals.
Plot SMA: Display the SMA line on the chart.
Alert conditions: Set up alerts for buy, sell, and reversal conditions.
ADD Value Floating Label: Add a label to the chart showing the ADD value and a "Bullish" or "Bearish" indicator.
US Market Strength Momentum [LG]This indicator is designed to analyze the relative strength momentum of two US market indices, the Russell 2000 and S&P 500, by calculating their rate of change over a 21-bar period and comparing them. The difference between the average rate of change for IWM and SPY is then plotted as a histogram, with green bars indicating positive momentum and red bars indicating negative momentum.
The indicator also includes a moving average line, calculated over a 200-bar period, which is plotted on top of the histogram. This moving average helps to smooth out the data and provide a clearer picture of the longer-term trend.
In this indicator, the strength of the Russell 2000 compared to S&P 500 is seen as a gauge of market participants' risk tolerance. When Russell outperforms the S&P, market participants are assumed to be taking on greater risk in search of greater beta. When the S&P outperforms Russell, the assumption is that market participants are fleeing to safer assets (in regards to equities indices). The time frame the indicator is viewed on as well as the size of the rate of change delta dictates the strength of the trend.
Divergences in 52 Week Moving Averages, Adjusted and SmoothedThis script description is intended to be holistic and comprehensive for the understanding of the interested parties who view the script.
Following the PineCoders suggestions, I have provided detailed breakdowns both within the code and in the description immediately below:
► Description
This description is intended to be detailed and meaningful, conveying the understanding of the script’s intention to the user:
The theory: Divergences and extreme readings in 52-Week highs on major indexes can provide a view into a potential pending move in the opposite direction of how the market has been trending. By comparing the 52-Week Hi/Lo indices and applying an Exponential Moving Average (EMA), we can assess how extreme a move is from the average. If the move provides an extreme reading, it would potentially be beneficial to “fade” the move (take a position in the opposing direction).
The intention: The intentionality of this script is to provide a visualization of when the highly-probable opportunity to fade over a multi-day or multi-week period arises. In addition to this, based on backtesting prior moves and reading the various levels of significant reversals, three tiers: “Standard”, “Sensitive”, and “Highly Sensitive” have been applied, the user can choose which sensitivity level they would like to see, there are far less false positives on the Standard and Sensitive settings, while Highly Sensitive often signals multiple times with the move coming a few days later.
The application: The settings allow the user to customize their sensitivity to the fade signals, with the ability to customize the visual that shows up as well. For higher-highs that are fade-worthy, the signal will appear on the top of the candle, for lower-lows that are fade-worthy, the signal will appear on the bottom of the candle. The users risk criteria should be the primary driver of the entry/exit, although when backtesting it appears that the significant move is typically completed within a 2-4 week period at max and 3-5 day period at minimum.
A personal note: I am a futures trader intraday but would very strongly caution users when using this strategy with futures (unless their risk tolerance is higher than most). The most beneficial strategy when fading moves would be to enter in tranches, starting at the first signal and adding on any pullback (as long as the pullback is not below the initial entry point). 1-6 Week Date-To-Expiry options would be the primary method for applying this strategy. I would also like to add that SPY/SPX options (SPDR S&P 500 ETF Trust / CBOE S&P 500 Index) are the most liquid options that could be applied in this strategy.
► Description (additional)
With the understanding that few users can read pinescript (Pine), the description above contains all of the necessary information that is necessary for a user to understand the intention for script utilization. For those who do understand Pine, the code is commented in each section in order to provide an understanding of the underlying functions, calculations, and thought process that went on during the writing of the script.
► Description (additional)
This script’s description contains no delegations, all aspects of the script as well as the initial idea behind it are contained in the description above, which is self-contained in it’s entirety with a clear and defined purpose that is written with the intent to holistically capture the intent of the potential use for this indicator.
► General House Rule #2
This script and the description (as well as my profile) contain no links or associations to promotion of any kind, I am not a business, I am not an individual that will in any way make money from this script or the promotion of another person, idea, company, entity, or legal persons (foreign or domestic).
► Originality and usefulness
This is an original and custom script (and idea) that is not a rehashing or a copy of any code from any other programmers in the tradingview community.
