Capital Asset Pricing Model (CAPM) demonstrates how to calculate the Cost of Equity for an underlying asset using Pine Script. This script will only work on the monthly timeframe. While you can change the default inputs, you should study what CAPM is and how this works before doing so. This indicator pulls various types of data from SPY from various timeframes...
Market Beta/Beta Coefficient for CAPM is not so much an indicator as it is a value to be used in future indicators to forecast stock prices using the Capital Asset Pricing Model, CAPM. CAPM is used by the likes of value investors such as Warren Buffet and valuation/accounting/investment banking firms. More specifically, CAPM is typically used in Discounted...
Beta is a measure of an asset's volatility relative to the market (the S&P500 is the most widely used index for this). A beta of 1 indicates that the asset moves exactly like the market, a beta < 1 indicates that the asset is less volatile than the market, and a beta > 1 means that the asset amplifies market movements.
This tool is used to calculate easily the...
Library "regress"
produces the slope (beta), y-intercept (alpha) and coefficient of determination for a linear regression
regress(x, y, len) regress: computes alpha, beta, and r^2 for a linear regression of y on x
Parameters:
x : the explaining (independent) variable
y : the dependent variable
len : use the most recent "len" values of x and...
The indicator will show the Sectors which are leading or lagging NIFTY50 index based on Alpha & Beta values. Stock selection can be done based on the respective Sectors.
Look for alpha & beta values.
Prefer one with high beta.
Greens are leaders & Blues are lagers.
This don't completely indicates a trend, but it can give the overview of a major trend &...
This is a Index Screener which can short list the major Sectors contributing to NIFTY movement that day.
This helps in sector based trading, in which we can trade in the stocks which falls under that particular sector.
No need to roam around all the stocks in the whole watchlist.
It is recommended to create sector wise watchlist of all sectors. It will be easier...
This is a Live Screener for my previous Alpha & Beta indicator, which filters stocks lively based on the given values.
Use 5min timeframe for Live Intraday.
The default stocks in the screener is selected based on high beta value from F&O listed stocks. It may include other stocks also.
User can input stocks of your choice either through the menu or through the...
How to use Alpha(α)?
If Alpha is positive the stock outperforms, if the value is negative means the stock underperforms.
α < 0: The investment has earned too little for its risk (or, was too risky for the return)
α = 0: The investment has earned a return adequate for the risk taken
α > 0: The investment has a return in excess of the reward for the assumed risk
...
Good morning traders!
This time I want to share with you a little script that, thanks to the use of arrays, allows you to have interesting statistical and financial insights taken from the symbol on chart and compared to those of another symbol you desire (in this case the metrics taken from the perpetual future ETHUSDT are compared to those taken from the...
Beta value of a stock relative to benchmark index. Thanks to Ricardo Santos for the original script. This script is adapted from it.
To understand beta, refer Investopedia link: www.investopedia.com
A beta value of 1 means the stock is directly correlated to benchmark index - volatility would be same as overall market.
Beta value less than 1 and greater than 0...
Fama-French 3 Factor Model
Extension of the Capital Asset Pricing Model (CAPM)
CAPM
Ra = Rfr +
where,
Ra = Return of the Asset
Rfr = Risk-Free Rate
βa = Beta Coefficient of the Asset
Rm - Rfr = Market Risk Premium
Fama-French 3 Factor
r = rf + β1*(rm - rf) + β2(smh) +β3(hml)
r = Expected rate of return
rf = Risk-free rate
ß = Factor’s coefficient...
These variables can be used in comparison with the implied volatility of options.
Variables:
Realized Volatility
mathematical notation lowercase 'sigma'
Realized Variance
mathematical notation lowercase 'sigma' squared
Realized Beta
mathematical notation lowercase 'beta'
Timeframes:
Yearly = 250 or 365
Quarterly = 50 or 90
Monthly = 20 or...
Risk Metrics for Crypto.
Market can be set to BTCUSD, BTCEUR, BTCCHF, BTCGBP, BTC1!, BTC2!, SPX, and DTB3
Beta
Correlation
Standard Deviation
Variance
R-squared
Portfolio Risk Metrics (Part I):
beta 'β'
The beta coefficient can be interpreted as follows:
β =1 exactly as volatile as the market
β >1 more volatile than the market
β <1>0 less volatile than the market
β =0 uncorrelated to the market
β <0 negatively correlated to the market
excerpt from the Corporate Finance Institute
correlation coefficient 'ρxy'...
![GOOG: Capital Asset Pricing Model (CAPM) [Loxx]](https://s3.tradingview.com/m/MSkGC7BR_mid.png "Capital Asset Pricing Model (CAPM) [Loxx]")
![GOOG: Market Beta/Beta Coefficient for CAPM [Loxx]](https://s3.tradingview.com/a/A8CtHPxR_mid.png "Market Beta/Beta Coefficient for CAPM [Loxx]")
![IYR: [Vold] Beta](https://s3.tradingview.com/1/1f9Rx0ZM_mid.png "[Vold] Beta")
