Jack Corsellis RS LineRelative Strength line which shows a blue dot for new 52 week Relative Strength highs.
Relative
Super Momentum StrategyThis is a strategy utilizing multiple of Evergets RMI (thanks to him for permission to publish) and a Chance Momentum.
It buys when 4 of the RMIs are below their thresholds and sells when they are above. There is a 5th one I added last night that works in Reverse - buy when its above and sell when below, which should work better for pyramiding strats by using it at the right rate to set the overall trend.
Very basic sample below, I could have set it up better as my example but just want to publish.
RMI + Triple HMRSI + Double EVWRSI + TERSI + CMO StrategyThis is a strange experimental strategy WIP that I decided to upload an early version to share some of what I am working on. Just one script of a few.
It combines Chande Momentum with RMI and some weird ones I am experimenting with - Triple Hull MA RSI, Double Exponential + Volume Weighted RSI, Triple Exponential RSI. And to top it off, a final oscillator that combines the THMRSI with the RMI.
The main intention here, currently, is to test the usefulness of each on different timeframes and values. Currently it is considered to buy when all are below their threshold and sell when all are above, with the chande momentum crossing its line as the final confirmation.
For now there is no individual for each of the unique elements included. I am going to likely use this is a working house project to test other experimental indicators in the future.
It may be some of these are better suited for long term but I do think they have valid uses in checking short and long term momentum at the very least.
I copied the RMI from Everget.
RSI PlusRSI Plus:
☑️ Show the divergences.
☑️ Shows the approximate price of an RSI level (by default it is level 55 but it can be changed for any other level).
☑️ Shows the bulls and bears zones, in green when crossing level 50 up and red when crossing down.
☑️ Circle the highest and lowest levels as possible purchases and sales.
☑️ Includes a smoothed RSI.
RSI Plus:
☑️ Muestra las divergencias.
☑️ Muestra el precio aproximado de un nivel del RSI (por defecto viene el nivel 55 pero se lo puede cambiar por cualquier otro nivel).
☑️ Muestra la zonas de toros y osos, en verde cuando cruza hacia arriba el nivel 50 y rojo cuando cruza hacia abajo.
☑️ Marca con un circulo los niveles mas alto y mas bajos como posibles compras y ventas.
☑️ Incluye un RSI suavizado.
Relative Volume at Time█ OVERVIEW
This indicator calculates relative volume, which is the ratio of present volume over an average of past volume.
It offers two calculation modes, both using a time reference as an anchor.
█ CONCEPTS
Calculation modes
The simplest way to calculate relative volume is by using the ratio of a bar's volume over a simple moving average of the last n volume values.
This indicator uses one of two, more subtle ways to calculate both values of the relative volume ratio: current volume:past volume .
The two calculations modes are:
1 — Cumulate from Beginning of TF to Current Bar where:
current volume = the cumulative volume since the beginning of the timeframe unit, and
past volume = the mean of volume during that same relative period of time in the past n timeframe units.
2 — Point-to-Point Bars at Same Offset from Beginning of TF where:
current volume = the volume on a single chart bar, and
past volume = the mean of volume values from that same relative bar in time from the past n timeframe units.
Timeframe units
Timeframe units can be defined in three different ways:
1 — Using Auto-steps, where the timeframe unit automatically adjusts to the timeframe used on the chart:
— A 1 min timeframe unit will be used on 1sec charts,
— 1H will be used for charts at 1min and less,
— 1D will be used for other intraday chart timeframes,
— 1W will be used for 1D charts,
— 1M will be used for charts at less than 1M,
— 1Y will be used for charts at greater or equal than 1M.
2 — As a fixed timeframe that you define.
3 — By time of day (for intraday chart timeframes only), which you also define. If you use non-intraday chart timeframes in this mode, the indicator will switch to Auto-steps.
Relative Relativity
A relative volume value of 1.0 indicates that current volume is equal to the mean of past volume , but how can we determine what constitutes a high relative volume value?
The traditional way is to settle for an arbitrary threshold, with 2.0 often used to indicate that relative volume is worthy of attention.
We wanted to provide traders with a contextual method of calculating threshold values, so in addition to the conventional fixed threshold value,
this indicator includes two methods of calculating a threshold channel on past relative volume values:
1 — Using the standard deviation of relative volume over a fixed lookback.
2 — Using the highs/lows of relative volume over a variable lookback.
Channels calculated on relative volume provide meta-relativity, if you will, as they are relative values of relative volume.
█ FEATURES
Controls in the "Display" section of inputs determine what is visible in the indicator's pane. The next "Settings" section is where you configure the parameters used in the calculations. The "Column Coloring Conditions" section controls the color of the columns, which you will see in three of the five display modes available. Whether columns are plotted or not, the coloring conditions also determine when markers appear, if you have chosen to show the markers in the "Display" section. The presence of markers is what triggers the alerts configured on this indicator. Finally, the "Colors" section of inputs allows you to control the color of the indicator's visual components.
Display
Five display modes are available:
• Current Volume Columns : shows columns of current volume , with past volume displayed as an outlined column.
• Relative Volume Columns : shows relative volume as a column.
• Relative Volume Columns With Average : shows relative volume as a column, with the average of relative volume.
• Directional Relative Volume Average : shows a line calculated using the average of +/- values of relative volume.
The positive value of relative volume is used on up bars; its negative value on down bars.
• Relative Volume Average : shows the average of relative volume.
A Hull moving average is used to calculate the average used in the three last display modes.
You can also control the display of:
• The value or relative volume, when in the first three display modes. Only the last 500 values will be shown.
• Timeframe transitions, shown in the background.
• A reminder of the active timeframe unit, which appears to the right of the indicator's last bar.
• The threshold used, which can be a fixed value or a channel, as determined in the next "Settings" section of inputs.
• Up/Down markers, which appear on transitions of the color of the volume columns (determined by coloring conditions), which in turn control when alerts are triggered.
• Conditions of high volatility.
Settings
Use this section of inputs to change:
• Calculation mode : this is where you select one of this indicator's two calculation modes for current volume and past volume , as explained in the "Concepts" section.
• Past Volume Lookback in TF units : the quantity of timeframe units used in the calculation of past volume .
• Define Timeframes Units Using : the mode used to determine what one timeframe unit is. Note that when using a fixed timeframe, it must be higher than the chart's timeframe.
Also, note that time of day timeframe units only work on intraday chart timeframes.
• Threshold Mode : Five different modes can be selected:
— Fixed Value : You can define the value using the "Fixed Threshold" field below. The default value is 2.0.
— Standard Deviation Channel From Fixed Lookback : This is a channel calculated using the simple moving average of relative volume
(so not the Hull moving average used elsewhere in the indicator), plus/minus the standard deviation multiplied by a user-defined factor.
The lookback used is the value of the "Channel Lookback" field. Its default is 100.
— High/Low Channel From Beginning of TF : in this mode, the High/Low values reset at the beginning of each timeframe unit.
— High/Low Channel From Beginning of Past Volume Lookback : in this mode, the High/Low values start from the farthest point back where we are calculating past volume ,
which is determined by the combination of timeframe units and the "Past Volume Lookback in TF units" value.
— High/Low Channel From Fixed Lookback : In this mode the lookback is fixed. You can define the value using the "Channel Lookback" field. The default value is 100.
• Period of RelVol Moving Average : the period of the Hull moving average used in the "Directional Relative Volume Average" and the "Relative Volume Average".
• High Volatility is defined using fast and slow ATR periods, so this represents the volatility of price.
Volatility is considered to be high when the fast ATR value is greater than its slow value. Volatility can be used as a filter in the column coloring conditions.
Column Coloring Conditions
• Eight different conditions can be turned on or off to determine the color of the volume columns. All "ON" conditions must be met to determine a high/low state of relative volume,
or, in the case of directional relative volume, a bull/bear state.
• A volatility state can also be used to filter the conditions.
• When the coloring conditions and the filter do not allow for a high/low state to be determined, the neutral color is used.
• Transitions of the color of the volume columns determined by coloring conditions are used to plot the up/down markers, which in turn control when alerts are triggered.
Colors
• You can define your own colors for all of the oscillator's plots.
• The default colors will perform well on light or dark chart backgrounds.
Alerts
• An alert can be defined for the script. The alert will trigger whenever an up/down marker appears in the indicator's display.
The particular combination of coloring conditions and the display settings for up/down markers when you create the alert will determine which conditions trigger the alert.
After alerts are created, subsequent changes to the conditions controlling the display of markers will not affect existing alerts.
• By configuring the script's inputs in different ways before you create your alerts, you can create multiple, functionally distinct alerts from this script.
When creating multiple alerts, it is useful to include in the alert's message a reminder of the particular conditions you used for each alert.
• As is usually the case, alerts triggering "Once Per Bar Close" will prevent repainting.
Error messages
Error messages will appear at the end of the chart upon the following conditions:
• When the combination of the timeframe units used and the "Past Volume Lookback in TF units" value create a lookback that is greater than 5000 bars.
The lookback will then be recalculated to a value such that a runtime error does not occur.
• If the chart's timeframe is higher than the timeframe units. This error cannot occur when using Auto-steps to calculate timeframe units.
• If relative volume cannot be calculated, for example, when no volume data is available for the chart's symbol.
• When the threshold of relative volume is configured to be visible but the indicator's scale does not allow it to be visible (in "Current Volume Columns" display mode).
█ NOTES
For traders
The chart shown here uses the following display modes: "Current Volume Columns", "Relative Volume Columns With Average", "Directional Relative Volume Average" and "Relative Volume Average". The last one also shows the threshold channel in standard deviation mode, and the TF Unit reminder to the right, in red.
Volume, like price, is a value with a market-dependent scale. The only valid reference for volume being its past values, any improvement in the way past volume is calculated thus represents a potential opportunity to traders. Relative volume calculated as it is here can help traders extract useful information from markets in many circumstances, markets with cyclical volume such as Forex being one, obvious case. The relative nature of the values calculated by this indicator also make it a natural fit for cross-market and cross-sector analysis, or to identify behavioral changes in the different futures contracts of the same market. Relative volume can also be put to more exotic uses, such as in evaluating changes in the popularity of exchanges.
Relative volume alone has no directional bias. While higher relative volume values always indicate higher trading activity, that activity does not necessarily translate into significant price movement. In a tightly fought battle between buyers and sellers, you could theoretically have very large volume for many bars, with no change whatsoever in bid/ask prices. This of course, is unlikely to happen in reality, and so traders are justified in considering high relative volume values as indicating periods where more attention is required, because imbalances in the strength of buying/selling power during high-volume trading periods can amplify price variations, providing traders with the generally useful gift of volatility.
Be sure to give the "Directional Relative Volume Average" a try. Contrary to the always-positive ratio widely used in this indicator, the "Directional Relative Volume Average" produces a value able to determine a bullish/bearish bias for relative volume.
Note that realtime bars must be complete for the relative volume value to be confirmed. Values calculated on historical or elapsed realtime bars will not recalculate unless historical volume data changes.
Finally, as with all indicators using volume information, keep in mind that some exchanges/brokers supply different feeds for intraday and daily data, and the volume data on both feeds can sometimes vary quite a bit.
For coders
Our script was written using the PineCoders Coding Conventions for Pine .
The description was formatted using the techniques explained in the How We Write and Format Script Descriptions PineCoders publication.
Bits and pieces of code were lifted from the MTF Selection Framework and the MTF Oscillator Framework , also by PineCoders.
█ THANKS
Thanks to dgtrd for suggesting to add the channel using standard deviation.
Thanks to adolgov for helpful suggestions on calculations and visuals.
Look first. Then leap.
Exponential Regression Slope Annualized with R-squared HistogramMy other indicator shows the linear regression slope of the source. This one finds the exponential regression slope and optionally multiplies it by R-squared and optionally annualizes it. Multiplying by R-squared makes sure that the price movement was significant in order to avoid volatile movements that can throw off the slope value. Annualizing the exponential slope will let you see how much percentage you will make in a year if the price continues at its current pace.
The annualized number is the number of trading days in a year. This and the length might need adjusting for the extra bars that might be in futures or other markets. The number does not have to be a year. For example, it can be a month if you set the number to 20 or so trading days to find how much you would make in a month if price continues at its current pace, etc. This can also be used as an alternative to relative strength or rate of change.
Ehlers Adaptive Relative Vigor Index [CC]The Adaptive Relative Vigor Index was created by John Ehlers (Cybernetic Analysis For Stocks And Futures pgs 140-141) and it does a pretty good job of capturing the peaks and valleys of the underlying data. There are several ways to read this particular indicator so for long term trades then buy when it goes above 0 and sell when it falls below 0 or for shorter term trades then buy when the indicator line turns green and sell when it turns red.
Let me know if there are other indicators you would like to see me publish or if you want something custom done!
Relative StrengthA relative strength overlay, similar to that of IBD shown on Marketsmith.
The value is not from 0-100, it is compared with the Nasdaq x2 ETF, QLD. Therefore, if greater than zero it will give you a good indication that the stock has a very good relative strength.
Feel free to change the comparison ETF to one of your choosing.
Real Relative Volume - Bar Indicator - Time Adjusted - DE & ENEnglish version below
Die richtige Aktie zu finden, ist nich immer einfach. Eine wichtige Variable bei der Aktienauswahl stellt das relative Volumen dar, welches von vielen erfolgreichen Tradern und Trading Firmen benutzt wird. Stell es Dir so vor: Statt sich das absolute Volumen anzuschauen, schauen wir uns die tatsächliche Stärke an. Wie viel Volumen wird also heute im Vergleich zu einem regulären Tag gehandelt. Dies gibt Aufschluss darüber, ob die Aktie "In-Play" ist.
Merke: Ist das RVOL (Relative Volumen) erhöht, sind mehr Marktteilnehmer an dieser Aktie interessiert als üblich. Dies ist besonders dann wichtig, wenn die Marktrichtung und die Richtung der Aktie nicht übereinstimmen.
Wenn der Markt steigt, steigen auch die meisten Aktien. Dies kann folglich auch ohne erhöhtes RVOL passieren. Was ist aber, wenn der Markt gegen uns geht? Dann werden wir schnell bei RVOL-schwachen Aktien ausgeschüttelt. Daher wollen wir unseren Fokus immer auf Aktien setzen, die ein erhöhtes relatives Volumen haben! Dies sind die Aktien, die gerade wirklich stark gehandelt werden und wahrscheinlich einen Katalysten dafür haben.
Der Real Relative Volume - Bar Indicator zeigt Dir das aktuelle relative Volumen an. Unser Algo benutzt dabei das tatsächliche kumulative Volumen des aktuellen Tages zum jeweiligen (aktuellen) Zeitpunkt und vergleicht dieses mit dem historischen Durchschnittsvolumen zum gleichen Zeitpunkt. Damit bekommen wir ein korrektes Abbild der aktuellen Stärke. Mit Hilfe des Indikators können wir durch die farbliche Veränderung der Volumenbalken ebenfalls sehen, ob diese Stärke zunimmt, gleich bleibt, oder gegebenenfalls schnell and Power verliert. Im Gegensatz zu anderen Skripten nutzen wir eine fortschrittliche Methode, die aktuelle Position am Tag erkennt und damit nicht die Session in gleiche Teile teilt. Vorteil: Der Indikator funktioniert auch in Krypto, Forex, DE-Aktien, Indizes etc.
Funktionen:
Bitte ohne verlängerte Handelszeiten nutzen!
Sessions Back: Verändert die Baseline, die Du mit dem heutigen Volumen vergleichst. Beispiel: 10 - Zur aktuellen Uhrzeit siehst Du das reale relative Volumen von heute in Relation zu den letzten 10 Sessions (zur gleichen Zeit). (*max 5000 Kerzen)
RVOL Threshold: Wert für die RVOL Alarme sowie zur Färbung bei Nutzung des Modus Threshold.
Plot styles: Du hast die Möglichkeit aus 4 verschiedenen Styles zu wählen.
Heatmap (greift auf die Werte und Farben von HM1-HM5 zurück)
Traffic (greift auf die Werte und Farben von T1-T4 zurück) -
Threshold (greift auf den Werte RVOL Threshold zurück)
Kurs (zeigt die normalen Volumenbalken)
HM1-5: Stelle unterschiedliche RVOL Werte für den Plot Style Heatmap ein.
T1-4: Stelle unterschiedliche RVOL Werte für den Plot Style Traffic ein.
Dieser Indikator wird häufig mit unserer zweiten Version Real Relative Volume - Line Indicator - Time Adjusted - DE & EN verwendet. Stelle sicher, dass Du in beiden Indikatoren die gleichen RVOL Werte nutzt!
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English version
Finding the right stock to trade is not always easy. An important variable in stock selection is the relative volume, which is used by many successful traders and trading firms. Think of it like this: Instead of looking at absolute volume, we look at actual strength. So how much volume is traded today compared to a regular day? This gives an indication of whether the stock is "in play".
Note: If the RVOL (relative volume) is increased, more market participants are interested in this share than usual. This is especially important if the market direction and the direction of the stock do not match.
If the market rises, most shares will also rise. This can, therefore, happen without an increased RVOL. But what happens if the market goes against us? Then we are quickly shaken out of RVOL-weak stocks. Therefore, we always want to focus on stocks that have an increased relative volume! These are the stocks that are trading really strongly right now and probably have a catalyst for that.
The Real Relative Volume - Bar Indicator shows you the current relative volume. Our Algo uses the actual cumulative volume of the current day at the respective (current) time and compares it with the historical average volume at the same time. This gives us a correct picture of the current strength. With the help of the indicator, we can also see by the color change of the volume bars whether this strength increases, remains the same, or loses power quickly. Unlike other scripts, we use an advanced method that recognizes the current position on the day and does not split the session into equal parts. Advantage: The indicator also works in crypto, forex, foreign stock markets, indices, etc.
Features:
Please use without extended trading hours!
Sessions Back: Changes the baseline that you compare to today's volume. Example: 10 - At the current time you see the real relative volume of today in relation to the last 10 sessions (at the same time). (*max 5000 candles)
RVOL Threshold: Value for the RVOL alarms as well as for coloring when using the Threshold mode.
Plot styles: You have the possibility to choose from 4 different styles.
Heatmap (uses the values and colors of HM1-HM5)
Traffic (uses the values and colors of T1-T4) -
Threshold (accesses the values RVOL Threshold)
Price (shows the normal volume bars)
HM1-5: Set different RVOL values for the Plot Style Heatmap
T1-4: Set different RVOL values for the Plot Style Traffic.
This indicator is often used with our second version Real Relative Volume - Line Indicator - Time Adjusted - DE & EN. Make sure that you use the same RVOL values in both indicators!
Relative Volume Strength IndexRVSI is an alternative volume-based indicator that measures the rate of change of average OBV.
How to read a chart using it?
First signal to buy is when you see RVSI is close to green oversold levels.
Once RVSI passes above it's orange EMA, that would be the second alert of accumulation.
Be always cautious when it reaches 50 level as a random statistical correction can be expected because of "market noises".
You know it's a serious uptrend when it reaches above 75 and fluctuates there, grading behind EMA.
The best signal to sell would be a situation where you see RVSI passing below it's EMA when the whole thing is close to Red overbought level
It looks simple, but it's powerful!
I'd use RVSI in combination with price-based indicators.
Fill Strength Gradient [BigBitsIO]This script plots two moving averages but is mostly designed to highlight a fill strength gradient. The fill strength gradient shows a more opaque fill based on the current percentage difference of the current difference to the maximum difference in two MAs in a trend.
Citation: PinceCoders - Slight modification on color functions
XPloRR S&P500 Stock Market Crash Detection Strategy v2XPloRR S&P500 Stock Market Crash Detection Strategy v2
Long-Term Trailing-Stop strategy detecting S&P500 Stock Market Crashes/Corrections and showing Volatility as warning signal for upcoming crashes
Detecting or avoiding stock market crashes seems to be the 'Holy Grail' of strategies.
Since none of the strategies that I tested can beat the long term Buy&Hold strategy, the purpose was to detect a stock market crash on the S&P500 and step out in time to minimize losses and beat the Buy&Hold strategy. So beat the Buy&Hold strategy with around 10 trades. 100% capitalize sold trade into new trade.
With the default parameters the strategy generates 10262% profit (starting at 01/01/1962 until release date), with 10 closed trades, 100% profitable, while the Buy&Hold strategy only generates 3633% profit, so this strategy beats the Buy&Hold strategy by 2.82 times !
Also the strategy detects all major S&P500 stock market crashes and corrections since 1962 depending on the Trailing Stop Smoothness parameter, and steps out in time to cut losses and steps in again after the bottom has been reached. The 5 major crashes/corrections of 1987, 1990, 2001, 2008 and 2010 were successfully detected with the default parameters.
The script was first released on November 03 2019 and detected the Corona Crash on March 04 2020 with a Volatility crash-alert and a Sell crash-alert.
I have also created an Alerter Study Script based on the engine of this script, which generates Buy, Sell and Volatility signals.
If you are interested in this Alerter version script, please drop me a mail.
The script shows a lot of graphical information:
the Close value is shown in light-green. When the Close value is temporarily lower than the Buy value, the Close value is shown in light-red. This way it is possible to evaluate the virtual losses during the current trade.
the Trailing Stop value is shown in dark-green. When the Sell value is lower than the Buy value, the last color of the trade will be red (best viewed when zoomed)
the EMA and SMA values for both Buy and Sell signals are shown as colored graphs
the Buy signals are labeled in blue and the Sell signals are labeled in purple
the Volatility is shown below in green and red. The Alert Threshold (red) is default set to 2 (see Volatility Threshold parameter below)
How to use this Strategy?
Select the SPX (S&P500) graph and add this script to the graph.
Look in the strategy tester overview to optimize the values Percent Profitable and Net Profit (using the strategy settings icon, you can increase/decrease the parameters), then keep using these parameters for future Buy/Sell signals on the S&P500.
More trades don't necessarily generate more overall profit. It is important to detect only the major crashes and avoid closing trades on the smaller corrections. Bearing the smaller corrections generates a higher profit.
Watch out for the Volatility Alerts generated at the bottom (red). The Threshold can by changed by the Volatility Threshold parameter (default=2% ATR). In almost all crashes/corrections there is an alert ahead of the crash.
Although the signal doesn't predict the exact timing of the crash/correction, it is a clear warning signal that bearish times are ahead!
The correction in December 2018 was not a major crash but there was already a red Volatility warning alert. If the Volatility Alert repeats the next weeks/months, chances are higher that a bigger crash or correction is near. As can be seen in the graphic, the deeper the crash is, the higher and wider the red Volatility signal goes. So keep an eye on the red flag!
Here are the parameters:
Fast MA Buy: buy trigger when Fast MA Buy crosses over the Slow MA Buy value (use values between 10-20)
Slow MA Buy: buy trigger when Fast MA Buy crosses over the Slow MA Buy value (use values between 21-50)
Minimum Buy Strength: minimum upward trend value of the Fast MA Buy value (directional coefficient)(use values between 10-100)
Fast MA Sell: sell trigger when Fast MA Sell crosses under the Slow MA Sell value (use values between 10-20)
Slow MA Sell: sell trigger when Fast MA Sell crosses under the Slow MA Sell value (use values between 21-50)
Minimum Sell Strength: minimum downward trend value of the Fast MA Sell value (directional coefficient)(use values between 10-100)
Trailing Stop ATR: trailing stop % distance from the smoothed Close value (use values between 2-20)
Trailing Stop Smoothness: MA value for smoothing out the Trailing Stop close value
Buy On Start Date: force Buy on start date even without Buy signal (default: true)
Sell On End Date: force Sell on end date even without Sell signal (default: true)
Volatility EMA Period: MA value of the Volatility value (default 15)
Volatility Threshold: Threshold value to change volatility graph to red (default 2)
Volatility Graph Scaler: Scaling of the volatility graph (default 5)
Important : optimizing and using these parameters is no guarantee for future winning trades!
Relative Normalized VolatilityThere are plenty of indicators that aim to measure the volatility (degree of variation) in the price of an instrument, the most well known being the average true range and the rolling standard deviation. Volatility indicators form the key components of most bands and trailing stops indicators, but can also be used to normalize oscillators, they are therefore extremely versatile.
Today proposed indicator aim to compare the estimated volatility of two instruments in order to provide various informations to the user, especially about risk and profitability.
CALCULATION
The relative normalized volatility (RNV) indicator is the ratio between the moving average of the absolute normalized price changes value of two securities, that is:
SMA(|Δ(a)/σ(a)|)
―――――――――――
SMA(|Δ(b)/σ(b)|)
Where a and b are two different securities (note that notation "Δ(x)" refer to the 1st difference of x, and the "||" notation is used to indicate absolute value, for example "|x|" means absolute value of x) .
INTERPRETATION
The indicator aim tell us which security is more volatile between a and b , with a value of the indicator greater than 1 indicating that a is on average more volatile than b over the last length period, while a value lower than 1 indicating that the security b is more on average volatile than a .
The indicator use the current symbol as a , while the second security b must be defined in the setting window (by default the S&P500). Risk and profitability are closely related to volatility, as larger price variations could potentially mean larger losses (but also larger gains), therefore a value of the indicator greater than 1 can indicate that it could be more risked (and profitable) to trade security a .
RNV using AMD (top) volatility against Intel (bottom) volatility.
RNV using EURUSD (top) volatility against USDJPY (bottom) volatility.
Larger values of length will make the indicator fluctuate less often around 1. You can also plot the logarithm of the ratio instead in order to have the indicator centered around 0, it will also help make values originally below 1 have more importance in the scale.
POSSIBLE ERRORS
If you compare different types of markets the indicator might return NaN values, this is because one market might be closed, for example if you compare AMD against BTCUSD with the indicator you will get NaN values. If you really need to compare two markets then increase your time frame, else use an histogram or area plot in order to have a cleaner plot.
CONCLUSION
An original indicator comparing the volatility between two securities has been presented. The choice of posting a volatility indicator has been made by my twitter followers, so if you want to decide which type of indicator i should do next make sure to check my twitter to see if there are polls available (i should do one after every posted indicator).
RPI (Relative Price Index)This is a free indicator created by Stormpike Group that displays the relative price of an underlying for the given period.
Live Mini Terminal 2 : Relative USD Based Stock Markets Change This script displays relative data changes occurring in the adjustable period and/or adaptive automatic period in various stock markets.
It was inspired by the data terminals used by commercial traders.
Period selection can be set in the menu.
This script uses the adaptive period algorithm used by Autonomous LSTM and Relativity scripts.
Or you can set the period manually from the menu.
For more information about adaptive period this script uses:
This script works only for 1 day (1D) and 1 week (1W) time frames.
The most efficient time frame is 1 week because of different time-zones (1W) .
Features
Value changes on a percentage basis (%)
Stock exchange values are calculated in dollar terms.
Due to the advantage of movement, future data were chosen instead of spot values on the required instruments.
INSTRUMENTS
Usa : S&P 500 Futures
Japan: Nikkei 225 Futures
England: United Kingdom (FTSE) 100
Australia: Australia 200
Canada: S&P / TSX Composite
Switzerland: Swiss Market Index
New Zealand: NZX 50 Index
China: SSE Composite (000001)
Denmark: OMX Copenhagen 25 Index
Hong-Kong: Hang Seng Index Futures
India: Nifty 50
Norway: Oslo Bors All Share Index
Russia: MOEX Russia Index
Sweden: OMX Stockholm Index
Singapore: Singapore 30
Turkey: BIST 100
South Africa: South Africa Top 40 Index
Spain: IBEX 35
France: CAC 40
Italy: FTSE MIB Index
Netherlands: Netherlands 25
Germany : DAX
USAGE
The script can be used as an indicator by putting it under the chart as shown above.
It is necessary to enlarge to see clearly.
Since it is not often looked at,such use is the best method for healthy interpretation.
Live Mini Terminal 1 : Relative General Data ChangeThis script displays relative data changes occurring in the adjustable period and/or adaptive automatic period in various markets.
It was inspired by the data terminals used by commercial traders.
Period selection can be set in the menu.
This script uses the adaptive period algorithm used by Autonomous LSTM and Relativity scripts.
Or you can set the period manually from the menu.
For more information about adaptive period this script uses:
This script works only for 1 day (1D) and 1 week (1W) time frames.
Since COT data is used, the most efficient time frame is 1 week (1W) .
Features
Value changes on a percentage basis (%)
Commitment of Traders position changes on a percentage basis :
Net position percentage is calculated as Short - Long and there is no inverse relationship.
Direct relationship is provided.
Due to the advantage of movement, future data were drawn instead of spot values on the required instruments.
INSTRUMENTS
US10Y : U.S Government Bonds 10 Year Yields
VIX : CBOE Volatility Index (S&P 500 VIX )
GOLD : XAUUSD : Gold
WTI : West Texas Intermediate : USOIL , Crude Oil
BCO : Brent Crude Oil : UKOIL , Light Crude Oil
SP500 : S&P 500 Index
DXY : US Dollar Index
TIO : Iron Ore : Iron Ore %62 Fe CFR China Futures
XAG : SI : Silver
NG : Natural Gas
JPYUSD : Japanese Yen
EURUSD : Euro/Dollar
Position Change InfoPanel
10 US T-Bond positions are used because there is no position equivalent in US10Y.
In other instruments, the corresponding position provisions are written and their changes are calculated.
USAGE
The script can be used as an indicator by putting it under the chart as shown above.
It is necessary to enlarge to see clearly.
Since it is not often looked at,
such use is the best method for healthy interpretation.
[STRATEGY] Jurik RSXA private strategy from the Profitable Jurik RSX preview for backtesting purposes.
Relative Volume RVOL AlertsRelative Volume or RVOL is an indicator used to help determine the amount of volume change over a given period of time.
It is often used to help traders determine how in-play a ticker is.
General rule of thumb is the higher the RVOL, the more in play a stock is.
I myself like to use it as a substitute of the volume indicator itself.
Basic Calculation:
Relative Volume = Current Volume / Average Volume
Crossover Signals:
Any time there is a volume spike which causes a crossover of the user set 'Smoothed Moving Average' or 'Threshold' a green/red dot will appear at the top. The color of the dot is dependent on closing of the candle. Therefore it does not necessarily mean price will continue in that direction since volume spikes often happen in peaks or valleys.
Threshold:
The level at which custom alerts and signal can be set. The higher the value, the more volume required to trigger.
Built in Alerts:
You can set custom alerts for the crossovers of the adjustable threshold, or the average RVOL band.
Relative Volume (RVOL) - ATR - R4RocketHello !!
This is a big upgrade on my earlier Indicator called "RVOL - R4Rocket". I could have updated the existing script, but there were two reasons for me to not do so.
1. I changed a lot of the previous code and added a lot of statistics like
a. Intraday Daily ATR Plot
b. Progressive (High - Low) Range as % of Daily ATR
c. % of RVOL Days in available chart data in any timeframe
d. In the new script RVOL Sectional has been removed as I did't find it very useful (Old script still has that feature)
e. And lastly and greatly, I modified the actual RVOL code (Huh ? Well I'll explain what I mean by this below)
2. Earlier I named my script just as RVOL. But then I though, well not everyone is going to search "Relative Volume" Indicator as "RVOL" Indicator, right? And Then during my second update I even tried to see whether I can change the script name but I couldn't figure it out. (Maybe it's not possible or maybe you know, "I DON'T HAVE ENOUGH BRAIN POWER" :P). So in order to make my script more accessible and easy to find for everubody so that it may add a little value to them in their trading, I'm changing the name of the script in this publication to "Relative Volume (RVOL) - ATR - R4Rocket". (Quite a big name, don't you think?)
Now as my reasons are out of the way, let me tell you about the indicator and the available options.
First let me explain what is RVOL basically. (Even after making 4 updates to my last script, I forgot to explain this......BIG BRAIN POWER :P)
It is calculated as (Cumulative sum of volume till time t from the start of the session) divided by the (Average of same period volume over a given number of days).
Lets say market starts at 09:30 am and right now the time is 10:00 am. So what RVOL does is it takes the sum of volume done from 9:30 am to 10:00 am for today and divides it by the same average volume that occurred between 9:30 to 10:00 in lets say X number of last days.
What this does is gives you the means to quantify how much everybody is interested today in the given stock w.r.t last X days. Generally higher the RVOL value - higher the public interest (due to some known or unknown reason like results / news / market condition etc) - and hence higher is the probability of stock movement on intraday basis. (Mostly everybody prefers to trade stocks intraday with RVOL > 2)
Now let's get back to the changes and the features.
1. It calculates Relative Volume
Adjusted in a way that the recent volume spike (e.g say due to quarterly result announcement or some other big news) don't skew the next day's
RVOL calculation. What this will do is, it will give you a good idea whether the stock is still in play the next day or a day after that.
LIGHTS !! CAMERA !! ANNNNNNDD ACTION !! (I love to watch movies, not very relevant here I know, but couldn't help it :P)
Now you can see in the image below the difference between old and new script RVOL calculations. This will help you to find out 2nd Day, 3rd Day plays.
To calculate RVOL first you have to choose your local exchange trading hours
E.g. NSE (India) trades from 09:15 to 15:30
NASDAQ (USA) trades from 09:30 to 16:00
LSE (UK) trades from 08:00 to 16:30 etc
Then you have to choose the RVOL period. This is the lookback period for cumulative volume average calculations.(I suggest using default value of 4 but it depends upon your preference and one more thing to note is that too high of a value will not even load the script due to some constraints that I don't know)
And last parameter is RVOL Trigger = What RVOL value YOU CONSIDER IMPORTANT. (I like 2 and if RVOL > RVOL Trigger then the columns will turn Green otherwise they will be Red. SIMPLE !!)
You can use any timeframe from 1 min to 1 Day. (Even custom timeframes like 2,4,6 will work fine)
1 min Chart
2 min Chart
2. It calculates Daily ATR in % terms of the day's open and plots it on intraday charts (and on daily charts too, if you want)
It's just what I just said - plain & simple.
You can see it in the image below. (Yellow dotted line and value in yellow color)
This will help you if you use profit targets or stop losses based on previous day's ATR values.
All you have to do is tick the Plot Daily ATR % box in inputs and choose the ATR Average.
3. The indicator calculates (High - Low) range as and when it extends throughout the day as the % of Daily ATR
This will help you quickly in finding which stocks are trading with extreme volatility.
Can be seen in the image below where the stocks trade @ almost 3 times or 300 % of the previous days ATR (Blue dotted line and value in blue color)
4. And lastly it gives you the statistic that will tell you how much is the average % of total days are RVOL days. (Did you get that ? It sounded great in my head but really don't know what I just said)
Let me tell you in terms of numbers. Lets say on daily timeframe Tradingview provides some 5000 bars worth of historical data. Out of that there were 16% days where RVOL was more than 2. Roughly speaking if you were to trade this stock every day then you would find on an average about 3 days per month with RVOL > 2.
(If you reduce the RVOL Trigger, then you will get more % RVOL days. In the second image if you reduce RVOL Trigger to 1.5 then you will have almost 27 % good trading days AS PER YOUR DESIRED & DEFINED PARAMETER OF RVOL TRIGGER = 1.5. Which translates to almost 6 days per month. You can play with it as you want and deem fit.)
RVOL Trigger = 2
RVOL Trigger = 1.5
“The goal of a successful trader is to make the best trades. Money is secondary.” – Alexander Elder
With best regards.
R4Rocket
