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 Metrics **New** 'returns' 'log returns' 'geometric returns' portfolio alpha portfolio beta portfolio,market correlation portfolio standard deviation portfolio variance mean portfolio returns maximum drawdown maximum gain
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'...
Portfolio Metrics... Standard Deviation Jensen's Alpha Beta Expected Return (CAPM, Ra) Sharpe Ratio Treynor Ratio
Alpha & Beta Indicators for Portfolio Performance β = Σ Correlation (RP, RM) * (σP/σM) α P = E(RP) – Where, RP = Portfolio Return (or Investment Return) RM = Market Return (or Benchmark Index) RF = Risk-Free Rate How to use the Indicator RM = SPX (Default) The Market Return for the indicator has the options of $SPX, $NDX, or $DJI (S&P 500, Nasdaq 100,...
The script derives the Beta Value of 252 days of a stock with Benchmark Index NIFTY 50. Note:- I have edited the script using an existing Beta script by Ricardo Santos. Thank you to him! :)
This is my 1st indicator, and my attention is to plot the VWAP "Volume-weighted average price" using the SMA "Simple Moving Average" over time... IE over the last 50,100,200 bars and just the VWAP... All of them in just one line... I have made it when I have been using the BTC/US chart, but it should work for stocks/forex or any other chart that you want to...
Shows an instrument's sentiment in a day (or week) compared to the market (SPY default). The Red line shows bearish sentiment compared to the market and the green is bullish. Technically this works like a proxy for Alpha/Beta factor.
Display the correlation coefficient and/or Beta of an asset to a specified market. Options to: - Specify market (S&P500 futures by default) - Display one or other metrics - Modify assessment period (200 bars by default) - Calculate on price, returns or log-returns
Alpha and Beta for cryptocurrency. Custom input for other symbols.
The Anomaly Indicator is an idea I recently come up with. Its very simple, yet it can be extremely useful. The Anomaly indicator detects the current and general trend channels. When the yellow line which is the current channel, exits the general channel this will usually mean an anomaly. Anomalies can vary within meaning, from a trend reversal, a market change...
shows mean excess returns of defensive and cyclical sectors vs. S&P500
This Strategy goes long when Sharpe Ratio is > 1 and Alpha against the S&P500 is generated. It exits when conditions break away. en.wikipedia.org(finance). Use on daily or 5min.
en.wikipedia.org(finance) Beta is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1 (here the S&P500). A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price...
USE ON DAILY TIMEFRAME TO DETECT MOMO STOCKS & ETFs AND TRADE THEM This Strategy goes long when Sharpe Ratio is > 1 and Alpha against the S&P500 is generated. It exits when conditions break away. Strategy can be adapted to run intraday, it however needs different (lower) trigger levels. examples to try this on: GER30, NAS100, JPN225, AAPL, IBB, TSLA, etc.
Alpha is a measure of the active return on an investment, the performance of that investment compared to the S&P500 index, where 0.01 = 1% alpha < 0: the investment has earned too little for its risk (or, was too risky for the return) alpha = 0: the investment has earned a return adequate for the risk taken alpha > 0: the investment has a return in...