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CapitalFlowsResearch: Sensitivity Bands
CapitalFlowsResearch: Sensitivity Bands — Expected-Move Projection from Cross-Asset Beta
CapitalFlowsResearch: Sensitivity Bands builds on the idea of cross-asset sensitivity by turning beta into a set of projected price boundaries around the prior day’s close. Instead of showing beta as a standalone number, this tool translates it into real price levels that represent the expected magnitude of movement—up or down—given a typical shock in a chosen market driver.
The script measures how strongly the price asset has been responding to moves in the driver over a rolling window, then uses that relationship to calculate a dynamic “band width.” That width is applied symmetrically around the previous daily close to create two horizontal bands: an upper range and a lower range. These lines update intraday, offering a real-time sense of whether current price action is unfolding within normal sensitivity limits or pushing into statistically unusual territory.
Traders can choose how the driver’s changes are interpreted (basis points, absolute moves, or percent changes), and optionally replace the rolling band with a running mean to emphasise longer-term structural sensitivity. The resulting overlay acts much like an expected-move model—similar in spirit to options-derived ranges, but powered by beta dynamics rather than implied volatility.
In practice, Sensitivity Bands serves as a clean framework for contextualising market movement:
Inside the bands: price behaviour aligns with typical cross-asset sensitivity.
Touching a band: movement is strong but still consistent with historical response.
Breaking a band: indicates a regime shift, a driver disconnect, or unusually high momentum.
All of this is achieved without exposing the underlying beta calculations or normalisation logic.
CapitalFlowsResearch: Sensitivity Bands builds on the idea of cross-asset sensitivity by turning beta into a set of projected price boundaries around the prior day’s close. Instead of showing beta as a standalone number, this tool translates it into real price levels that represent the expected magnitude of movement—up or down—given a typical shock in a chosen market driver.
The script measures how strongly the price asset has been responding to moves in the driver over a rolling window, then uses that relationship to calculate a dynamic “band width.” That width is applied symmetrically around the previous daily close to create two horizontal bands: an upper range and a lower range. These lines update intraday, offering a real-time sense of whether current price action is unfolding within normal sensitivity limits or pushing into statistically unusual territory.
Traders can choose how the driver’s changes are interpreted (basis points, absolute moves, or percent changes), and optionally replace the rolling band with a running mean to emphasise longer-term structural sensitivity. The resulting overlay acts much like an expected-move model—similar in spirit to options-derived ranges, but powered by beta dynamics rather than implied volatility.
In practice, Sensitivity Bands serves as a clean framework for contextualising market movement:
Inside the bands: price behaviour aligns with typical cross-asset sensitivity.
Touching a band: movement is strong but still consistent with historical response.
Breaking a band: indicates a regime shift, a driver disconnect, or unusually high momentum.
All of this is achieved without exposing the underlying beta calculations or normalisation logic.
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作者的說明
Please contact Capital Flows Admin on substack at https://capitalflowsadmin.substack.com/ for access.
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這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
僅限邀請腳本
僅作者批准的使用者才能訪問此腳本。您需要申請並獲得使用許可，通常需在付款後才能取得。更多詳情，請依照作者以下的指示操作，或直接聯絡Capital_Flows_Dev。
TradingView不建議在未完全信任作者並了解其運作方式的情況下購買或使用腳本。您也可以在我們的社群腳本中找到免費的開源替代方案。
作者的說明
Please contact Capital Flows Admin on substack at https://capitalflowsadmin.substack.com/ for access.
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。