Performance Metrics With Bracketed Rebalacing [BackQuant]Performance Metrics With Bracketed Rebalancing
The Performance Metrics With Bracketed Rebalancing script offers a robust method for assessing portfolio performance, integrating advanced portfolio metrics with different rebalancing strategies. With a focus on adaptability, the script allows traders to monitor and adjust portfolio weights, equity, and other key financial metrics dynamically. This script provides a versatile approach for evaluating different trading strategies, considering factors like risk-adjusted returns, volatility, and the impact of portfolio rebalancing.
Please take the time to read the following:
Key Features and Benefits of Portfolio Methods
Bracketed Rebalancing:
Bracketed Rebalancing is an advanced strategy designed to trigger portfolio adjustments when an asset's weight surpasses a predefined threshold. This approach minimizes overexposure to any single asset while maintaining flexibility in response to market changes. The strategy is particularly beneficial for mitigating risks that arise from significant asset weight fluctuations. The following image illustrates how this method reacts when asset weights cross the threshold:
Daily Rebalancing:
Unlike the bracketed method, Daily Rebalancing adjusts portfolio weights every trading day, ensuring consistent asset allocation. This method aims for a more even distribution of portfolio weights, making it a suitable option for traders who prefer less sensitivity to individual asset volatility. Here's an example of Daily Rebalancing in action:
No Rebalancing:
For traders who prefer a passive approach, the "No Rebalancing" option allows the portfolio to remain static, without any adjustments to asset weights. This method may appeal to long-term investors or those who believe in the inherent stability of their selected assets. Here’s how the portfolio looks when no rebalancing is applied:
Portfolio Weights Visualization:
One of the standout features of this script is the visual representation of portfolio weights. With adjustable settings, users can track the current allocation of assets in real-time, making it easier to analyze shifts and trends. The following image shows the real-time weight distribution across three assets:
Rolling Drawdown Plot:
Managing drawdown risk is a critical aspect of portfolio management. The Rolling Drawdown Plot visually tracks the drawdown over time, helping traders monitor the risk exposure and performance relative to the peak equity levels. This feature is essential for assessing the portfolio's resilience during market downturns:
Daily Portfolio Returns:
Tracking daily returns is crucial for evaluating the short-term performance of the portfolio. The script allows users to plot daily portfolio returns to gain insights into daily profit or loss, helping traders stay updated on their portfolio’s progress:
Performance Metrics
Net Profit (%):
This metric represents the total return on investment as a percentage of the initial capital. A positive net profit indicates that the portfolio has gained value over the evaluation period, while a negative value suggests a loss. It's a fundamental indicator of overall portfolio performance.
Maximum Drawdown (Max DD):
Maximum Drawdown measures the largest peak-to-trough decline in portfolio value during a specified period. It quantifies the most significant loss an investor would have experienced if they had invested at the highest point and sold at the lowest point within the timeframe. A smaller Max DD indicates better risk management and less exposure to significant losses.
Annual Mean Returns (% p/y):
This metric calculates the average annual return of the portfolio over the evaluation period. It provides insight into the portfolio's ability to generate returns on an annual basis, aiding in performance comparison with other investment opportunities.
Annual Standard Deviation of Returns (% p/y):
This measure indicates the volatility of the portfolio's returns on an annual basis. A higher standard deviation signifies greater variability in returns, implying higher risk, while a lower value suggests more stable returns.
Variance:
Variance is the square of the standard deviation and provides a measure of the dispersion of returns. It helps in understanding the degree of risk associated with the portfolio's returns.
Sortino Ratio:
The Sortino Ratio is a variation of the Sharpe Ratio that only considers downside risk, focusing on negative volatility. It is calculated as the difference between the portfolio's return and the minimum acceptable return (MAR), divided by the downside deviation. A higher Sortino Ratio indicates better risk-adjusted performance, emphasizing the importance of avoiding negative returns.
Sharpe Ratio:
The Sharpe Ratio measures the portfolio's excess return per unit of total risk, as represented by standard deviation. It is calculated by subtracting the risk-free rate from the portfolio's return and dividing by the standard deviation of the portfolio's excess return. A higher Sharpe Ratio indicates more favorable risk-adjusted returns.
Omega Ratio:
The Omega Ratio evaluates the probability of achieving returns above a certain threshold relative to the probability of experiencing returns below that threshold. It is calculated by dividing the cumulative probability of positive returns by the cumulative probability of negative returns. An Omega Ratio greater than 1 indicates a higher likelihood of achieving favorable returns.
Gain-to-Pain Ratio:
The Gain-to-Pain Ratio measures the return per unit of risk, focusing on the magnitude of gains relative to the severity of losses. It is calculated by dividing the total gains by the total losses experienced during the evaluation period. A higher ratio suggests a more favorable balance between reward and risk.
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Compound Annual Growth Rate (CAGR) (% p/y):
CAGR represents the mean annual growth rate of the portfolio over a specified period, assuming the investment has been compounding over that time. It provides a smoothed annual rate of growth, eliminating the effects of volatility and offering a clearer picture of long-term performance.
Portfolio Alpha (% p/y):
Portfolio Alpha measures the portfolio's performance relative to a benchmark index, adjusting for risk. It is calculated using the Capital Asset Pricing Model (CAPM) and represents the excess return of the portfolio over the expected return based on its beta and the benchmark's performance. A positive alpha indicates outperformance, while a negative alpha suggests underperformance.
Portfolio Beta:
Portfolio Beta assesses the portfolio's sensitivity to market movements, indicating its exposure to systematic risk. A beta greater than 1 suggests the portfolio is more volatile than the market, while a beta less than 1 indicates lower volatility. Beta is used to understand the portfolio's potential for gains or losses in relation to market fluctuations.
Skewness of Returns:
Skewness measures the asymmetry of the return distribution. A positive skew indicates a distribution with a long right tail, suggesting more frequent small losses and fewer large gains. A negative skew indicates a long left tail, implying more frequent small gains and fewer large losses. Understanding skewness helps in assessing the likelihood of extreme outcomes.
Value at Risk (VaR) 95th Percentile:
VaR at the 95th percentile estimates the maximum potential loss over a specified period, given a 95% confidence level. It provides a threshold value such that there is a 95% probability that the portfolio will not experience a loss greater than this amount.
Conditional Value at Risk (CVaR):
CVaR, also known as Expected Shortfall, measures the average loss exceeding the VaR threshold. It provides insight into the tail risk of the portfolio, indicating the expected loss in the worst-case scenarios beyond the VaR level.
These metrics collectively offer a comprehensive view of the portfolio's performance, risk exposure, and efficiency. By analyzing these indicators, investors can make informed decisions, balancing potential returns with acceptable levels of risk.
Conclusion
The Performance Metrics With Bracketed Rebalancing script provides a comprehensive framework for evaluating and optimizing portfolio performance. By integrating advanced metrics, adaptive rebalancing strategies, and visual analytics, it empowers traders to make informed decisions in managing their investment portfolios. However, it's crucial to consider the implications of rebalancing strategies, as academic research indicates that predictable rebalancing can lead to market impact costs. Therefore, adopting flexible and less predictable rebalancing approaches may enhance portfolio performance and reduce associated costs.
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Aftershock by Session [SAKANE]■ Background & Motivation
In 24/7 markets like crypto, not all participants react simultaneously to major events.
Instead, reactions unfold across different regional trading sessions — Asia (APAC), Europe (EU), and the United States (US) — each with its own tempo and sentiment.
This indicator is designed to visualize which session drives the market after a key event — capturing the "aftershock" effect that ripples through time zones.
■ Key Features
Tracks price return (open → close) for each session: APAC / EU / US
Cumulative session returns are calculated and visualized
Smoothing options: SMA, EMA, or Ehlers SuperSmoother
Optimized for daily charts to highlight structural momentum shifts
Toggle visibility of each session independently
■ Why “Aftershock”?
Take April 2, 2025 — the day of the “Trump Tariff Opening.”
That policy announcement triggered a market-wide response. But:
Which session reacted first?
Which session truly moved the market?
This indicator is named “Aftershock” because it helps you see the ripple effect of such events — when and where momentum followed.
■ How to Use
Search for “Aftershock by Session ” on TradingView
Add it to your chart (use Daily timeframe)
Customize sessions and smoothing options via settings
You can also bookmark it for quick access.
■ Insights & Use Cases
Detect which session initiated or led market moves after news events
Understand geo-temporal dynamics — did the move start in Asia, Europe, or the US?
For example, on April 2, 2025, the day Trump’s tariff pivot was announced:
You can instantly see which session took the lead —
the APAC session hesitated, while the US session drove the trend.
This insight becomes visually obvious with the cumulative lines.
■ Unique Value
Unlike typical indicators based on raw price action,
Aftershock analyzes market movement through a session-based structural lens.
It captures where capital actually moved — and when.
A tool not just for technical analysis, but for event-driven, macro-aware market reading.
■ Final Thoughts
To truly understand market mechanics, we must look beyond candles and trends.
Aftershock by Session breaks down the 24-hour cycle into meaningful regional flows,
allowing you to track the true drivers behind price momentum.
Whether you're trading, researching, or tracking macro catalysts,
this tool helps answer the key question:
“Who moved the market — and when?”
Parabolic RSI Strategy [ChartPrime × PineIndicators]This strategy combines the strengths of the Relative Strength Index (RSI) with a Parabolic SAR logic applied directly to RSI values.
Full credit to ChartPrime for the original concept and indicator, licensed under the MPL 2.0.
It provides clear momentum-based trade signals using an innovative method that tracks RSI trend reversals via a customized Parabolic SAR, enhancing traditional oscillator strategies with dynamic trend confirmation.
How It Works
The system overlays a Parabolic SAR on the RSI, detecting trend shifts in RSI itself rather than on price, offering early reversal insight with visual and algorithmic clarity.
Core Components
1. RSI-Based Trend Detection
Calculates RSI using a customizable length (default: 14).
Uses upper and lower thresholds (default: 70/30) for overbought/oversold zones.
2. Parabolic SAR Applied to RSI
A custom Parabolic SAR function tracks momentum within the RSI, not price.
This allows the system to capture RSI trend reversals more responsively.
Configurable SAR parameters: Start, Increment, and Maximum acceleration.
3. Signal Generation
Long Entry: Triggered when the SAR flips below the RSI line.
Short Entry: Triggered when the SAR flips above the RSI line.
Optional RSI filter ensures that:
Long entries only occur above a minimum RSI (e.g. 50).
Short entries only occur below a maximum RSI.
Built-in logic prevents new positions from being opened against trend without prior exit.
Trade Modes & Controls
Choose from:
Long Only
Short Only
Long & Short
Optional setting to reverse positions on opposite signal (instead of waiting for a flat close).
Visual Features
1. RSI Plotting with Thresholds
RSI is displayed in a dedicated pane with overbought/oversold fill zones.
Custom horizontal lines mark threshold boundaries.
2. Parabolic SAR Overlay on RSI
SAR dots color-coded for trend direction.
Visible only when enabled by user input.
3. Entry & Exit Markers
Diamonds: Mark entry points (above for shorts, below for longs).
Crosses: Mark exit points.
Strategy Strengths
Provides early momentum reversal entries without relying on price candles.
Combines oscillator and trend logic without repainting.
Works well in both trending and mean-reverting markets.
Easy to configure with fine-tuned filter options.
Recommended Use Cases
Intraday or swing traders who want to catch RSI-based reversals early.
Traders seeking smoother signals than price-based Parabolic SAR entries.
Users of RSI looking to reduce false positives via trend tracking.
Customization Options
RSI Length and Thresholds.
SAR Start, Increment, and Maximum values.
Trade Direction Mode (Long, Short, Both).
Optional RSI filter and reverse-on-signal settings.
SAR dot color customization.
Conclusion
The Parabolic RSI Strategy is an innovative, non-repainting momentum strategy that enhances RSI-based systems with trend-confirming logic using Parabolic SAR. By applying SAR logic to RSI values, this strategy offers early, visualized, and filtered entries and exits that adapt to market dynamics.
Credit to ChartPrime for the original methodology, published under MPL-2.0.
M2 Liqudity WaveGlobal Liquidity Wave Indicator (M2-Based)
The Global Liquidity Wave Indicator is designed to track and visualize the impact of global M2 liquidity on risk assets—especially those highly correlated to monetary expansion, like Bitcoin, MSTR, and other macro-sensitive equities.
Key features include:
Leading Signal: Historically leads Bitcoin price action by approximately 70 days, offering traders and analysts a forward-looking edge.
Wave-Based Projection: Visualizes a "probability cloud"—a smoothed band representing the most likely trajectory for Bitcoin based on changes in global liquidity.
Min/Max Offset Controls: Adjustable offsets let you define the range of lookahead windows to shape the wave and better capture liquidity-driven inflection points.
Explicit Offset Visualization: Option to manually specify an exact offset to fine-tune the overlay, ideal for testing hypotheses or aligning with macro narratives.
Macro Alignment: Particularly effective for assets with high sensitivity to global monetary policy and liquidity cycles.
This tool is not just a chart overlay—it's a lens into the liquidity engine behind the market, helping anticipate directional bias in advance of price moves.
How to use?
- Enable the indicator for BTCUSD.
- Set Offset Range Start and End to 70 and 115 days
- Set Specific Offset to 78 days (this can change so you'll need to play around)
FAQ
Why a global liquidity wave?
The global liquidity wave accounts for variability in how much global liquidity affects an underlying asset. Think of the Global Liquidity Wave as an area that tracks the most probable path of Bitcoin, MSTR, etc. based on the total global liquidity.
Why the offset?
Global liquidity takes time to make its way into assets such as #Bitcoin, Strategy, etc. and there can be many reasons for that. It's never a specific number of days of offset, which is why a global liquidity wave is helpful in tracking probable paths for highly correlated risk assets.
Day’s Open ForecastOverview
This Pine Script indicator combines two primary components:
1. Day’s Open Forecast:
o Tracks historical daily moves (up and down) from the day’s open.
o Calculates average up and down moves over a user-defined lookback period.
o Optionally includes standard deviation adjustments to forecast potential intraday levels.
o Plots lines on the chart for the forecasted up and down moves from the current day's open.
2. Session VWAP:
o Allows you to specify a custom trading session (by time range and UTC offset).
o Calculates and plots a Volume-Weighted Average Price (VWAP) during that session.
By combining these two features, you can gauge potential intraday moves relative to historical behavior from the open, while also tracking a session-specific VWAP that can act as a dynamic support/resistance reference.
How the Code Works
1. Collect Daily Moves
o The script detects when a new day starts using time("D").
o Once a new day is detected, it stores the previous day’s up-move (dayHigh - dayOpen) and down-move (dayOpen - dayLow) into arrays.
o These arrays keep track of the last N days (default: 126) of up/down move data.
2. Compute Statistics
o The script computes the average (f_average()) of up-moves and down-moves over the stored period.
o It also computes the standard deviation (f_stddev()) of up/down moves for optional “forecast bands.”
3. Forecast Lines
o Plots the current day’s open.
o Plots the average forecast lines above and below the open (Avg Up Move Level and Avg Down Move Level).
o If standard deviation is enabled, plots additional lines (Avg+StdDev Up and Avg+StdDev Down).
4. Session VWAP
o The script detects the start of a user-defined session (via input.session) and resets accumulation of volume and the numerator for VWAP.
o As each bar in the session updates, it accumulates volume (vwapCumulativeVolume) and a price-volume product (vwapCumulativeNumerator).
o The session VWAP is then calculated as (vwapCumulativeNumerator / vwapCumulativeVolume) and plotted.
5. Visualization Options
o Users can toggle standard deviation usage, historical up/down moves plotting, and whether to show the forecast “bands.”
o The vwapSession and vwapUtc inputs let you adjust which session (and time zone offset) the VWAP is calculated for.
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How to Use This Indicator on TradingView
1. Create a New Script
o Open TradingView, then navigate to Pine Editor (usually found at the bottom of the chart).
o Copy and paste the entire code into the editor.
2. Save and Add to Chart
o Click Save (give it a relevant title if you wish), then click Add to chart.
o The indicator will appear on your chart with the forecast lines and VWAP.
o By default, it is overlayed on the price chart (because of overlay=true).
3. Customize Inputs
o In the indicator’s settings, you can:
Change lookback days (default: 126).
Enable or disable standard deviation (Include Standard Deviation in Forecast?).
Adjust the standard deviation multiplier.
Choose whether to plot bands (Plot Bands with Averages/StdDev?).
Plot historical moves if desired (Plot Historical Up/Down Moves for Reference?).
Set your custom session and UTC offset for the VWAP calculation.
4. Interpretation
o “Current Day Open” is simply today’s open price on your chart.
o Up/Down Move Lines: Indicate a potential forecast based on historical averages.
If standard deviation is enabled, the second set of lines acts as an extended range.
o VWAP: Helpful for determining intraday price equilibrium over the specified session.
Important Notes / Best Practices
• The script only updates the historical up/down move data once per day (when a new day starts).
• The VWAP portion resets at the start of the specified session each day.
• Standard deviation multiplies the average up/down range, giving you a sense of “volatility range” around the day’s open.
• Adjust the lookback length (dayCount) to balance how many days of data you want to average. More days = smoother but possibly slower to adapt; fewer days = more reactive but potentially less reliable historically.
Educational & Liability Disclaimers
1. Educational Disclaimer
o The information provided by this indicator is for educational and informational purposes only. It is a technical analysis tool intended to demonstrate how to use historical data and basic statistics in Pine Script.
2. No Financial Advice
o This script does not constitute financial or investment advice. All examples and explanations are solely illustrative. You should always do your own analysis before making any investment decisions.
3. No Liability
o The author of this script is not liable for any losses or damages—monetary or otherwise—that may occur from the application of this script.
o Past performance does not guarantee future results, and you should never invest money you cannot afford to lose.
By adding this indicator to your TradingView chart, you acknowledge and accept that you alone are responsible for your own trading decisions.
Enjoy using the “Day’s Open Forecast” and Session VWAP for better market insights!
Market Sessions & LevelsOverview
This Pine Script indicator identifies key trading levels and market sessions, making it easier for traders to analyze price movements. It highlights the previous day's high and low, tracks premarket price action, and marks the first 5-minute high and low after the market opens.
Features
✅ Identifies Market Sessions:
Pre-Market Session (4:30 AM - 9:30 AM EST)
Regular Market Session (9:30 AM - 4:00 PM EST)
✅ Tracks Key Levels:
Previous Day’s High & Low
Premarket High & Low
First 5-Minute High & Low after market open
✅ Visual Cues for Easy Analysis:
Plots horizontal lines for each level with distinct colors
Displays labels for key price levels on the chart
How It Helps Traders
📊 Pre-Market Preparation: Helps traders spot key resistance/support levels before the market opens.
🚀 Momentum Trading: The first 5-minute high/low can act as breakout or reversal zones.
📉 Historical Price Context: Uses the previous day's high/low to gauge market sentiment.
Customization
The script can be easily modified to adjust session timings, colors, or additional levels based on your trading strategy.
💡 How to Use:
Apply the script to a 1-minute or 5-minute chart for the most accurate premarket and first 5-minute tracking.
Look for price reactions at the plotted levels to determine potential trade setups.
Liquidity Depth [AlgoAlpha]OVERVIEW
This script visualizes market liquidity by identifying key price levels where significant volume has transacted. It highlights zones of high buying and selling interest, helping traders understand where liquidity is accumulating and how price may respond to these areas. By dynamically tracking volume at highs and lows, the script builds a real-time liquidity profile, making it a powerful tool for identifying potential support and resistance levels.
CONCEPTS
Liquidity depth analysis helps traders determine how price interacts with supply and demand at different levels. The script processes historical volume data to distinguish between high-liquidity and low-liquidity zones. It assigns transparency levels to plotted lines , ensuring that more relevant liquidity areas stand out visually. The script adds a profile to show the depth of liquidity (derived from historical volume data) for levels above and below the current price
FEATURES
Liquidity Levels: Tracks liquidity levels based on volume concentration at price high and lows.
Volume-Based Transparency: More significant liquidity levels are displayed with higher visibility, showing their significance.
Interpolation: interpolates the bullish and bearish liquidity depth at a user defined range away from the price, helping in comparing the liquidity amounts between bullish and bearish.
Depth Profile: Allows traders to visualize depth of liquidity in a more quantitative and clearer way than the liquidity levels/list]
USAGE
This indicator is best used to track liquidity levels and potential price reaction areas. Traders can adjust the Liquidity Lookback setting to analyze past liquidity levels over different historical periods. The Profile Resolution setting controls the granularity of liquidity depth visualization, with higher values providing more detail. The script can be applied across different timeframes, from intraday scalping to swing trading analysis. The plotted liquidity zones provide traders with insights into where price may encounter strong support, resistance, or potential liquidity-driven reversals.
Stock Sector ETF with IndicatorsThe Stock Sector ETF with Indicators is a versatile tool designed to track the performance of sector-specific ETFs relative to the current asset. It automatically identifies the sector of the underlying symbol and displays the corresponding ETF’s price action alongside key technical indicators. This helps traders analyze sector trends and correlations in real time.
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Key Features
Automatic Sector Detection:
Fetches the sector of the current asset (e.g., "Technology" for AAPL).
Maps the sector to a user-defined ETF (default: SPDR sector ETFs) .
Technical Indicators:
Simple Moving Average (SMA): Tracks the ETF’s trend.
Bollinger Bands: Highlights volatility and potential reversals.
Donchian High (52-Week High): Identifies long-term resistance levels.
Customizable Inputs:
Adjust indicator parameters (length, visibility).
Override default ETFs for specific sectors.
Informative Table:
Displays the current sector and ETF symbol in the bottom-right corner.
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Input Settings
SMA Settings
SMA Length: Period for calculating the Simple Moving Average (default: 200).
Show SMA: Toggle visibility of the SMA line.
Bollinger Bands Settings
BB Length: Period for Bollinger Bands calculation (default: 20).
BB Multiplier: Standard deviation multiplier (default: 2.0).
Show Bollinger Bands: Toggle visibility of the bands.
Donchian High (52-Week High)
Daily High Length: Days used to calculate the high (default: 252, approx. 1 year).
Show High: Toggle visibility of the 52-week high line.
Sector Selections
Customize ETFs for each sector (e.g., replace XLU with another utilities ETF).
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Example Use Cases
Trend Analysis: Compare a stock’s price action to its sector ETF’s SMA for trend confirmation.
Volatility Signals: Use Bollinger Bands to spot ETF price squeezes or breakouts.
Sector Strength: Monitor if the ETF is approaching its 52-week high to gauge sector momentum.
Enjoy tracking sector trends with ease! 🚀
PT Least Squares Moving AveragePT LSMA Multi-Period Indicator
The PT Least Squares Moving Average (LSMA) Multi-Period Indicator is a powerful tool designed for investors who want to track market trends across multiple time horizons in a single, convenient indicator. This indicator calculates the LSMA for four different periods— 25 bars, 50 bars, 450 bars, and 500 bars providing a comprehensive view of short-term and long-term market movements.
Key Features:
- Multi-Timeframe Trend Analysis: Tracks both short-term (25 & 50 bars) and long-term (450 & 500 bars) market trends, helping investors make informed decisions.
- Smoothing Capability: The LSMA reduces noise by fitting a linear regression line to past price data, offering a clearer trend direction compared to traditional moving averages.
- One-Indicator Solution: Combines multiple LSMA periods into a single chart, reducing clutter and enhancing visual clarity.
- Versatile Applications: Suitable for trend identification, market timing, and spotting potential reversals across different timeframes.
- Customizable Styling: Allows users to customize colors and line styles for each period to suit their preferences.
How to Use:
1. Short-Term Trends (25 & 50 bars):Ideal for identifying recent price movements and short-term trade opportunities.
2. Long-Term Trends (450 & 500 bars): Helps investors gauge broader market sentiment and position themselves accordingly for longer holding periods.
3. Trend Confirmation: When shorter LSMA periods cross above longer ones, it may signal bullish momentum, whereas the opposite may indicate bearish sentiment.
4. Support and Resistance: The LSMA lines can act as dynamic support and resistance levels during trending markets.
Best For:
- Long-term investors looking to align their positions with dominant market trends.
- Swing traders seeking confirmation from multiple time horizons.
- Portfolio managers tracking price momentum across various investment durations.
This LSMA Multi-Period Indicator equips investors with a well-rounded perspective on price movements, offering a strategic edge in navigating market cycles with confidence.
Created by Prince Thomas
FTD & DD AnalyzerFTD & DD Analyzer
A comprehensive tool for identifying Follow-Through Days (FTDs) and Distribution Days (DDs) to analyze market conditions and potential trend changes, based on William J. O'Neil's proven methodology.
About the Methodology
This indicator implements the market analysis techniques developed by William J. O'Neil, founder of Investor's Business Daily and author of "How to Make Money in Stocks." O'Neil's research, spanning market data back to the 1880s, has successfully identified major market turns throughout history. His FTD and DD concepts remain crucial tools for institutional investors and serious traders.
Overview
This indicator helps traders identify two critical market conditions:
Distribution Days (DDs) - days of institutional selling pressure
Follow-Through Days (FTDs) - confirmation of potential market bottoms and new uptrends
The combination of these signals provides valuable insight into market health and potential trend changes.
Key Features
Distribution Day detection with customizable criteria
Follow-Through Day identification based on classical methodology
Market bottom detection using EMA analysis
Dynamic warning system for accumulated Distribution Days
Visual alerts with customizable labels
Advanced debug mode for detailed analysis
Flexible display options for different trading styles
Distribution Days Analysis
What is a Distribution Day?
A Distribution Day occurs when:
The price closes lower by a specified percentage (default -0.2%)
Volume is higher than the previous day
DD Settings
Price Threshold: Minimum price decline to qualify (default -0.2%)
Lookback Period: Number of days to analyze for DD accumulation (default 25)
Warning Levels:
First warning at 4 DDs
Severe warning (SOS - Sign of Strength) at 6 DDs
Display Options:
Show/hide DD count
Show/hide DD labels
Choose between showing all DDs or only within lookback period
Follow-Through Day Detection
What is a Follow-Through Day?
Following O'Neil's research, a Follow-Through Day confirms a potential market bottom when:
Occurs between day 4 and 13 after a bottom formation (optimal: days 4-7)
Shows significant price gain (default 1.5%)
Accompanied by higher volume than the previous day
Key Statistics:
FTDs followed by distribution on days 1-2 fail 95% of the time
Distribution on day 3 leads to 70% failure rate
Later distribution (days 4-5) shows only 30% failure rate
FTD Settings
Minimum Price Gain: Required percentage gain (default 1.5%)
Valid Window: Day 4 to Day 13 after bottom
Quality Rating:
🚀 for FTDs occurring within 7 days (historically most reliable)
⭐ for later FTDs
Market Bottom Detection
The indicator uses a sophisticated approach to identify potential market bottoms:
EMA Analysis:
Tracks 8 and 21-period EMAs
Monitors EMA alignment and momentum
Customizable tolerance levels
Price Action:
Looks for lower lows within specified lookback period
Confirms bottom with subsequent price action
Reset mechanism to prevent false signals
Visual Indicators
Label Types
📉 Distribution Days
⬇️ Market Bottoms
🚀/⭐ Follow-Through Days
⚠️ DD Warning Levels
Customization Options
Label size: Tiny, Small, Normal, Large
Label style: Default, Arrows, Triangles
Background colors for different signals
Dynamic positioning using ATR multiplier
Practical Usage
1. Monitor DD Accumulation:
Watch for increasing number of Distribution Days
Pay attention to warning levels (4 and 6 DDs)
Consider reducing exposure when warnings appear
2. Bottom Recognition:
Look for potential bottom formations
Monitor EMA alignment and price action
Wait for confirmation signals
3. FTD Confirmation:
Track days after potential bottom
Watch for strong price/volume action in valid window
Note FTD quality rating for additional context
Alert System
Built-in alerts for:
New Distribution Days
Follow-Through Day signals
High DD accumulation warnings
Tips for Best Results
Use multiple timeframes for confirmation
Combine with other market health indicators
Pay attention to sector rotation and market leadership
Monitor volume patterns for confirmation
Consider market context and external factors
Technical Notes
The indicator uses advanced array handling for DD tracking
Dynamic calculations ensure accurate signal generation
Debug mode available for detailed analysis
Optimized for real-time and historical analysis
Additional Information
Compatible with all markets and timeframes
Best suited for daily charts
Regular updates and maintenance
Based on O'Neil's time-tested market analysis principles
Conclusion
The FTD & DD Analyzer provides a systematic approach to market analysis, combining O'Neil's proven methodologies with modern technical analysis. It helps traders identify potential market turns while monitoring institutional participation through volume analysis.
Remember that no indicator is perfect - always use in conjunction with other analysis tools and proper risk management.
Drawdown from All-Time High (Line)This Pine Script is a **Drawdown Indicator from All-Time High** for TradingView. It calculates and plots the percentage drawdown from the highest price the asset has ever reached (the all-time high). Here's a breakdown of what this script does:
### Description:
- **Drawdown Calculation**:
- The drawdown is calculated as the difference between the current price (`close`) and the all-time high, divided by the all-time high, and multiplied by 100 to express it as a percentage.
- If the current price is higher than the previous all-time high, the all-time high is updated to the current price.
- **All-Time High Tracking**:
- The script tracks the highest price (`allTimeHigh`) that the asset has ever reached. Each time a new high is reached, the `allTimeHigh` value is updated.
- **Line Plot**:
- The drawdown percentage is then plotted as a line on the chart, with a color of **blue** for easy visualization.
- The line shows how much the price has dropped relative to its all-time high.
- **Zero Line**:
- A horizontal line is added at the **0%** level to act as a reference point, which is helpful to identify when the asset has fully recovered to its all-time high.
### Key Features:
- **Track Drawdown**: The indicator helps visualize how far the current price has fallen from its highest point, which is useful for understanding the depth of losses (drawdowns) during a period.
- **Update All-Time High**: The indicator automatically updates the all-time high whenever a new high is detected.
- **Visual Reference**: The 0% horizontal line provides a clear indication of when the asset is at its all-time high, and the drawdown is at 0%.
### How it Works:
- If the current price surpasses the all-time high, the script will reset the all-time high to the new price.
- The drawdown percentage is calculated from the current price relative to this all-time high, and it is displayed as a line on the chart.
### Visuals:
- **Drawdown Line**: Plots the percentage of the drawdown, which is the drop from the all-time high.
- **Zero Line**: A dotted horizontal line at 0% marks the level of the all-time high.
This indicator is valuable for understanding the extent of price corrections and potential recoveries relative to the historical peak of the asset. It is especially useful for traders and investors who want to assess the risk of drawdowns in relation to the highest price achieved by the asset.
B-Xtrender By Neal inspired from @PuppytherapyThanks to @puppytherapy for creating the original B-Xtrender indicator, available at this link: B-Xtrender by @QuantTherapy
I played around the code to have entry and exit condition. The B-Xtrender @QuantTherapy
indicator is a momentum-based tool designed to help traders identify potential trade opportunities by tracking shifts in market momentum. Using a smoothed momentum oscillator, it detects changes in trend direction and provides clear signals for entry and exit points.
Features
Momentum Detection:
Tracks market momentum using the BX-Trender Oscillator.
Green bars indicate bullish momentum, while red bars indicate bearish momentum.
Lighter shades of green/red reflect weakening momentum.
Entry and Exit Signals:
Entry Condition: A long trade is triggered when the oscillator changes from red to green .
Exit Condition: A long trade exit is triggered when the oscillator changes from green to red .
Dynamic PnL Calculation:
Automatically calculates profit or loss in percentage (%) when a trade is exited.
Positive PnL values are prefixed with `+`, and negative values are shown as `-`.
Clear Visualization:
Bar chart-style oscillator in a separate pane for better trend visualization.
Trade labels on the main price chart for clear entry and exit points.
Inputs
Short-Term Momentum Parameters:
Short - L1: Length of the first EMA for short-term momentum calculations.
Short - L2: Length of the second EMA for short-term momentum calculations.
Short - L3: RSI smoothing period applied to the short-term momentum.
Long-Term Momentum Parameters:
Long - L1: Length of the EMA for long-term momentum calculations.
Long - L2: RSI smoothing period applied to the long-term momentum.
Entry and Exit Logic
Entry Condition:
A long trade is triggered when:
The BX-Trender Oscillator changes from red to green .
This shift indicates bullish momentum.
Exit Condition:
A long trade exit is triggered when:
The BX-Trender Oscillator changes from green to red .
This shift indicates a loss of bullish momentum or the start of bearish momentum.
PnL Calculation:
When exiting a trade, the indicator calculates the profit or loss as a percentage of the entry price.
Example:
A profit is displayed as +5.67% .
A loss is displayed as -3.21% .
Visualization
Oscillator Bars:
Green Bars: Represent increasing bullish momentum.
Light Green Bars: Represent weakening bullish momentum.
Red Bars: Represent increasing bearish momentum.
Light Red Bars: Represent weakening bearish momentum.
Just make sure that you checked off the B-Xtrend oscillator off from the style so chart can be active
Trade Labels:
Entry Labels: Displayed below the candle with the text Entry, long .
Exit Labels: Displayed above the candle with the text Exit .
Bar Chart Pane:
The oscillator is displayed in a separate pane for clear trend visualization.
Default Style
Oscillator Colors:
Green for bullish momentum.
Red for bearish momentum.
Light green and light red for weaker momentum.
Trade Labels:
Green labels for entries.
Red labels for exits, with percentage PnL displayed.
Use Cases
Momentum-Based Entries:
Detects shifts in momentum from bearish to bullish for precise trade entry points.
Trend Reversal Detection:
Identifies when bullish momentum weakens, signaling an exit opportunity.
Visual Simplicity:
Offers an intuitive way to track trends with its bar chart-style oscillator and clear trade labels.
This indicator doesn't indicate that it will work perfectly. More updates on the way.
Hull MA with Alerts and LabelsThis script is designed to help traders visually track market trends using various types of moving averages (MAs) and to receive alerts when certain conditions are met. Here’s a detailed breakdown of how the script works:
1. User Inputs and Customization:
MA Length: Traders can define the length of the moving average (default is 100).
Confirmation Candles: The trader can specify how many candles must confirm a trend before the script triggers a signal (default is 1).
MA Variation: The trader can choose between different moving average types: Simple Moving Average (SMA), Exponential Moving Average (EMA), Weighted Moving Average (WMA), or Hull Moving Average (HMA).
Source: Traders select the price source for the moving average calculation (e.g., close price).
Ribbon Transparency: Allows control over the transparency level of the ribbon plotted between the moving averages.
Bullish/Bearish Ribbon Colors: The user can choose the colors for bullish and bearish trends.
2. Moving Average Calculations:
The script provides multiple options for calculating moving averages:
SMA (Simple Moving Average)
EMA (Exponential Moving Average)
WMA (Weighted Moving Average)
HMA (Hull Moving Average)
For the Hull Moving Average (HMA), it uses a specific formula that smoothens the movement and reduces lag, which is helpful for more reactive trend detection.
3. Plotting Moving Averages and Trend Ribbon:
The script calculates two key moving averages:
MHULL: The main moving average, selected based on the user’s chosen MA variation and source.
SHULL: A shifted version of the MHULL to help compare trends (shifted by 2 bars).
These two moving averages are plotted on the chart for visualization. MHULL is plotted in green (or another color if changed), while SHULL is plotted in red. A ribbon is drawn between MHULL and SHULL to indicate trends visually. The ribbon changes color depending on whether the trend is bullish (MHULL > SHULL) or bearish (MHULL < SHULL). The ribbon’s transparency can be adjusted for visual clarity.
4. Trend Detection:
Bullish Trend: The script checks if the price has closed above MHULL for the defined number of confirmation candles. If confirmed, a bullish trend is detected.
Bearish Trend: Similarly, the script checks if the price has closed below SHULL for the confirmation period, indicating a bearish trend.
The script tracks whether the market is in a bullish or bearish trend and prevents repeated signals by remembering the current trend state.
5. Alerts and Labels:
Bullish Alerts and Labels: When a confirmed bullish trend is detected (i.e., price closes above MHULL for the entire confirmation period and MHULL > SHULL), the script triggers an alert notifying the trader of the bullish condition. A "BULLISH" label is placed on the chart near the low of the candle where the trend was confirmed.
Bearish Alerts and Labels: If a confirmed bearish trend is detected (i.e., price closes below SHULL for the confirmation period and MHULL < SHULL), the script triggers an alert for the bearish condition. A "BEARISH" label is placed on the chart near the high of the candle where the trend was confirmed.
These alerts and labels help traders act quickly on trend changes and align their trading strategy with market conditions.
6. Practical Use for Traders:
For traders, this script offers:
Customizability : It allows traders to define the length and type of moving averages, choose price sources, and control how signals are confirmed.
Visual Trend Representation : The plotted MA lines and colored ribbons help traders easily see market direction.
Early Warnings : With alerts and labels, the script gives traders early signals when trends are shifting, allowing them to adjust positions accordingly.
Trend Confirmation : The script waits for a user-defined number of confirmation candles before signaling a new trend, reducing false signals.
Overall, the script helps traders automate their strategy by tracking moving averages and alerting them when key trend conditions are met.
ICT Killzones and Sessions W/ Silver Bullet + MacrosForex and Equity Session Tracker with Killzones, Silver Bullet, and Macro Times
This Pine Script indicator is a comprehensive timekeeping tool designed specifically for ICT traders using any time-based strategy. It helps you visualize and keep track of forex and equity session times, kill zones, macro times, and silver bullet hours.
Features:
Session and Killzone Lines:
Green: London Open (LO)
White: New York (NY)
Orange: Australian (AU)
Purple: Asian (AS)
Includes AM and PM session markers.
Dotted/Striped Lines indicate overlapping kill zones within the session timeline.
Customization Options:
Display sessions and killzones in collapsed or full view.
Hide specific sessions or killzones based on your preferences.
Customize colors, texts, and sizes.
Option to hide drawings older than the current day.
Automatic Updates:
The indicator draws all lines and boxes at the start of a new day.
Automatically adjusts time-based boxes according to the New York timezone.
Killzone Time Windows (for indices):
London KZ: 02:00 - 05:00
New York AM KZ: 07:00 - 10:00
New York PM KZ: 13:30 - 16:00
Silver Bullet Times:
03:00 - 04:00
10:00 - 11:00
14:00 - 15:00
Macro Times:
02:33 - 03:00
04:03 - 04:30
08:50 - 09:10
09:50 - 10:10
10:50 - 11:10
11:50 - 12:50
Latest Update:
January 15:
Added option to automatically change text coloring based on the chart.
Included additional optional macro times per user request:
12:50 - 13:10
13:50 - 14:15
14:50 - 15:10
15:50 - 16:15
Usage:
To maximize your experience, minimize the pane where the script is drawn. This minimizes distractions while keeping the essential time markers visible. The script is designed to help traders by clearly annotating key trading periods without overwhelming their charts.
Originality and Justification:
This indicator uniquely integrates various time-based strategies essential for ICT traders. Unlike other indicators, it consolidates session times, kill zones, macro times, and silver bullet hours into one comprehensive tool. This allows traders to have a clear and organized view of critical trading periods, facilitating better decision-making.
Credits:
This script incorporates open-source elements with significant improvements to enhance functionality and user experience.
Forex and Equity Session Tracker with Killzones, Silver Bullet, and Macro Times
This Pine Script indicator is a comprehensive timekeeping tool designed specifically for ICT traders using any time-based strategy. It helps you visualize and keep track of forex and equity session times, kill zones, macro times, and silver bullet hours.
Features:
Session and Killzone Lines:
Green: London Open (LO)
White: New York (NY)
Orange: Australian (AU)
Purple: Asian (AS)
Includes AM and PM session markers.
Dotted/Striped Lines indicate overlapping kill zones within the session timeline.
Customization Options:
Display sessions and killzones in collapsed or full view.
Hide specific sessions or killzones based on your preferences.
Customize colors, texts, and sizes.
Option to hide drawings older than the current day.
Automatic Updates:
The indicator draws all lines and boxes at the start of a new day.
Automatically adjusts time-based boxes according to the New York timezone.
Killzone Time Windows (for indices):
London KZ: 02:00 - 05:00
New York AM KZ: 07:00 - 10:00
New York PM KZ: 13:30 - 16:00
Silver Bullet Times:
03:00 - 04:00
10:00 - 11:00
14:00 - 15:00
Macro Times:
02:33 - 03:00
04:03 - 04:30
08:50 - 09:10
09:50 - 10:10
10:50 - 11:10
11:50 - 12:50
Latest Update:
January 15:
Added option to automatically change text coloring based on the chart.
Included additional optional macro times per user request:
12:50 - 13:10
13:50 - 14:15
14:50 - 15:10
15:50 - 16:15
ICT Sessions and Kill Zones
What They Are:
ICT Sessions: These are specific times during the trading day when market activity is expected to be higher, such as the London Open, New York Open, and the Asian session.
Kill Zones: These are specific time windows within these sessions where the probability of significant price movements is higher. For example, the New York AM Kill Zone is typically from 8:30 AM to 11:00 AM EST.
How to Use Them:
Identify the Session: Determine which trading session you are in (London, New York, or Asian).
Focus on Kill Zones: Within that session, focus on the kill zones for potential trade setups. For instance, during the New York session, look for setups between 8:30 AM and 11:00 AM EST.
Silver Bullets
What They Are:
Silver Bullets: These are specific, high-probability trade setups that occur within the kill zones. They are designed to be "one shot, one kill" trades, meaning they aim for precise and effective entries and exits.
How to Use Them:
Time-Based Setup: Look for these setups within the designated kill zones. For example, between 10:00 AM and 11:00 AM for the New York AM session .
Chart Analysis: Start with higher time frames like the 15-minute chart and then refine down to 5-minute and 1-minute charts to identify imbalances or specific patterns .
Macros
What They Are:
Macros: These are broader market conditions and trends that influence your trading decisions. They include understanding the overall market direction, seasonal tendencies, and the Commitment of Traders (COT) reports.
How to Use Them:
Understand Market Conditions: Be aware of the macroeconomic factors and market conditions that could affect price movements.
Seasonal Tendencies: Know the seasonal patterns that might influence the market direction.
COT Reports: Use the Commitment of Traders reports to understand the positioning of large traders and commercial hedgers .
Putting It All Together
Preparation: Understand the macro conditions and review the COT reports.
Session and Kill Zone: Identify the trading session and focus on the kill zones.
Silver Bullet Setup: Look for high-probability setups within the kill zones using refined chart analysis.
Execution: Execute the trade with precision, aiming for a "one shot, one kill" outcome.
By following these steps, you can effectively use ICT sessions, kill zones, silver bullets, and macros to enhance your trading strategy.
Usage:
To maximize your experience, shrink the pane where the script is drawn. This minimizes distractions while keeping the essential time markers visible. The script is designed to help traders by clearly annotating key trading periods without overwhelming their charts.
Originality and Justification:
This indicator uniquely integrates various time-based strategies essential for ICT traders. Unlike other indicators, it consolidates session times, kill zones, macro times, and silver bullet hours into one comprehensive tool. This allows traders to have a clear and organized view of critical trading periods, facilitating better decision-making.
Credits:
This script incorporates open-source elements with significant improvements to enhance functionality and user experience. All credit goes to itradesize for the SB + Macro boxes
Sharpe and Sortino Ratios█ OVERVIEW
This indicator calculates the Sharpe and Sortino ratios using a chart symbol's periodic price returns, offering insights into the symbol's risk-adjusted performance. It features the option to calculate these ratios by comparing the periodic returns to a fixed annual rate of return or the returns from another selected symbol's context.
█ CONCEPTS
Returns, risk, and volatility
The return on an investment is the relative gain or loss over a period, often expressed as a percentage. Investment returns can originate from several sources, including capital gains, dividends, and interest income. Many investors seek the highest returns possible in the quest for profit. However, prudent investing and trading entails evaluating such returns against the associated risks (i.e., the uncertainty of returns and the potential for financial losses) for a clearer perspective on overall performance and sustainability.
The profitability of an investment typically comes at the cost of enduring market swings, noise, and general uncertainty. To navigate these turbulent waters, investors and portfolio managers often utilize volatility , a measure of the statistical dispersion of historical returns, as a foundational element in their risk assessments because it provides a tangible way to gauge the uncertainty in returns. High volatility suggests increased uncertainty and, consequently, higher risk, whereas low volatility suggests more stable returns with minimal fluctuations, implying lower risk. These concepts are integral components in several risk-adjusted performance metrics, including the Sharpe and Sortino ratios calculated by this indicator.
Risk-free rate
The risk-free rate represents the rate of return on a hypothetical investment carrying no risk of financial loss. This theoretical rate provides a benchmark for comparing the returns on a risky investment and evaluating whether its excess returns justify the risks. If an investment's returns are at or below the theoretical risk-free rate or the risk premium is below a desired amount, it may suggest that the returns do not compensate for the extra risk, which might be a call to reassess the investment.
Since the risk-free rate is a theoretical concept, investors often utilize proxies for the rate in practice, such as Treasury bills and other government bonds. Conventionally, analysts consider such instruments "risk-free" for a domestic holder, as they are a form of government obligation with a low perceived likelihood of default.
The average yield on short-term Treasury bills, influenced by economic conditions, monetary policies, and inflation expectations, has historically hovered around 2-3% over the long term. This range also aligns with central banks' inflation targets. As such, one may interpret a value within this range as a minimum proxy for the risk-free rate, as it may correspond to the minimum rate required to maintain purchasing power over time. This indicator uses a default value of 2% as the risk-free rate in its Sharpe and Sortino ratio calculations. Users can adjust this value from the "Risk-free rate of return" input in the "Settings/Inputs" tab.
Sharpe and Sortino ratios
The Sharpe and Sortino ratios are two of the most widely used metrics that offer insight into an investment's risk-adjusted performance . They provide a standardized framework to compare the effectiveness of investments relative to their perceived risks. These metrics can help investors determine whether the returns justify the risks taken to achieve them, promoting more informed investment decisions.
Both metrics measure risk-adjusted performance similarly. However, they have some differences in their formulas and their interpretation:
1. Sharpe ratio
The Sharpe ratio , developed by Nobel laureate William F. Sharpe, measures the performance of an investment compared to a theoretically risk-free asset, adjusted for the investment risk. The ratio uses the following formula:
Sharpe Ratio = (𝑅𝑎 − 𝑅𝑓) / 𝜎𝑎
Where:
• 𝑅𝑎 = Average return of the investment
• 𝑅𝑓 = Theoretical risk-free rate of return
• 𝜎𝑎 = Standard deviation of the investment's returns (volatility)
A higher Sharpe ratio indicates a more favorable risk-adjusted return, as it signifies that the investment produced higher excess returns per unit of increase in total perceived risk.
2. Sortino ratio
The Sortino ratio is a modified form of the Sharpe ratio that only considers downside volatility , i.e., the volatility of returns below the theoretical risk-free benchmark. Although it shares close similarities with the Sharpe ratio, it can produce very different values, especially when the returns do not have a symmetrical distribution, since it does not penalize upside and downside volatility equally. The ratio uses the following formula:
Sortino Ratio = (𝑅𝑎 − 𝑅𝑓) / 𝜎𝑑
Where:
• 𝑅𝑎 = Average return of the investment
• 𝑅𝑓 = Theoretical risk-free rate of return
• 𝜎𝑑 = Downside deviation (standard deviation of negative excess returns, or downside volatility)
The Sortino ratio offers an alternative perspective on an investment's return-generating efficiency since it does not consider upside volatility in its calculation. A higher Sortino ratio signifies that the investment produced higher excess returns per unit of increase in perceived downside risk.
The risk-free rate (𝑅𝑓) in the numerator of both ratio formulas acts as a baseline for comparing an investment's performance to a theoretical risk-free alternative. By subtracting the risk-free rate from the expected return (𝑅𝑎−𝑅𝑓), the numerator essentially represents the risk premium of the investment.
Comparison with another symbol
In addition to the conventional Sharpe and Sortino ratios, which compare an instrument's returns to a risk-free rate, this indicator can also compare returns to a user-specified benchmark symbol , allowing the calculation of Information ratios .
An Information ratio is a generalized form of the Sharpe ratio that compares an investment's returns to a risky benchmark , such as SPY, rather than a risk-free rate. It measures the investment's active return (the difference between its returns and the benchmark returns) relative to its tracking error (i.e., the volatility of the active return) using the following formula:
𝐼𝑅 = (𝑅𝑝 − 𝑅𝑏) / 𝑇𝐸
Where:
• 𝑅𝑝 = Average return on the portfolio or investment
• 𝑅𝑏 = Average return from the benchmark instrument
• 𝑇𝐸 = Tracking error (volatility of 𝑅𝑝 − 𝑅𝑏)
Comparing returns to a benchmark instrument rather than a theoretical risk-free rate offers unique insights into risk-adjusted performance. Higher Information ratios signify that the investment produced higher active returns per unit of increase in risk relative to the benchmark. Conventional choices for non-risk-free benchmarks include major composite indices like the S&P 500 and DJIA, as the resulting ratios can provide insight into the effectiveness of an investment relative to the broader market.
Users can enable this generalized calculation for both the Sharpe and Sortino ratios by selecting the "Benchmark symbol returns" option from the "Benchmark type" dropdown in the "Settings/Inputs" tab.
It's crucial to note that this indicator compares the charts symbol's rate of change (return) to the rate of change in the benchmark symbol. Consequently, not all symbols available on TradingView are suitable for use with these ratios due to the nature of what their values represent. For instance, using a bond as a benchmark will produce distorted results since each bar's values represent yields rather than prices, meaning it compares the rate of change in the yield. To maintain consistency and relevance in the calculated ratios, ensure the values from the compared symbols strictly represent price information.
█ FEATURES
This indicator provides traders with two widely used metrics for assessing risk-adjusted performance, generalized to allow users to compare the chart symbol's price returns to a fixed risk-free rate or the returns from another risky symbol. Below are the key features of this indicator:
Timeframe selection
The "Returns timeframe" input determines the timeframe of the calculated price returns. Users can select any value greater than or equal to the chart's timeframe. The default timeframe is "1M".
Periodic returns tracking
This indicator compounds and collects requested price returns from the selected timeframe over monthly or daily periods, similar to how the Broker Emulator works when calculating strategy performance metrics on trade data. It employs the following logic:
• Track returns over monthly periods if the chart's data spans at least two months.
• Track returns over daily periods if the chart's data spans at least two days but not two months.
• Do not track or collect returns if the data spans less than two days, as the amount of data is insufficient for meaningful ratio calculations.
The indicator uses the returns collected from up to a specified number of periods to calculate the Sharpe and Sortino ratios, depending on the available historical data. It also uses these periodic returns to calculate the average returns it displays in the Data Window.
Users can control the maximum number of periods the indicator analyzes with the "Max no. of periods used" input in the "Settings/Inputs" tab. The default value is 60 periods.
Benchmark specification
The "Benchmark return type" input specifies the benchmark type the indicator compares to the chart symbol's returns in the ratio calculations. It features the following two options:
• "Risk-free rate of return (%)": Compares the price returns to a user-specified annual rate of return representing a theoretical risk-free rate (e.g., 2%).
• "Benchmark symbol return": Compares the price returns to a selected benchmark symbol (e.g., "AMEX:SPY) to calculate Information ratios.
When comparing a chart symbol's returns to a specified benchmark symbol, this indicator aligns the times of data points from the benchmark with the times of data points from the chart's symbol to facilitate a fair comparison between symbols with different active sessions.
Visualization and display
• The indicator displays the periodic returns requested from the specified "Returns timeframe" in a separate pane. The plot includes dynamic colors to signify positive and negative returns.
• When the "Returns timeframe" value represents a higher timeframe, the indicator displays background highlights on the main chart pane to signify when a new value is available and whether the return is positive or negative.
• When the specified benchmark return type is a benchmark symbol, the indicator displays the requested symbol's returns in the separate pane as a gray line for visual comparison.
• Within the separate pane, the indicator displays a single-cell table that shows the base period it uses for periodic returns, the number of periods it uses in the calculation, the timeframe of the requested data, and the calculated Sharpe and Sortino ratios.
• The Data Window displays the chart symbol and benchmark returns, their periodic averages, and the Sharpe and Sortino ratios.
█ FOR Pine Script™ CODERS
• This script utilizes the functions from our RiskMetrics library to determine the size of the periods, calculate and collect periodic returns, and compute the Sharpe and Sortino ratios.
• The `getAlignedPrices()` function in this script requests price data for the chart's symbol and a benchmark symbol with consistent time alignment by utilizing spread symbols , which helps facilitate a fair comparison between different symbol types. Retrieving prices from spreads avoids potential information loss and data misalignment that can otherwise occur when using separate requests from each symbol's context when those symbols have different sessions or data times.
• For consistency, the `getAlignedPrices()` function includes extended hours and dividend adjustment modifiers in its data requests. Additionally, it includes other settings inherited from the chart's context, such as "settlement-as-close" preferences for fair comparison between futures instruments.
• This script uses the `changePercent()` function from our ta library to calculate the percentage changes of the requested data.
• The newly released `force_overlay` parameter in display-related functions allows indicators to display visuals on the main chart and a separate pane simultaneously. We use the parameter in this script's bgcolor() call to display background highlights on the main chart.
Look first. Then leap.
Globex, Extended, Daily, Weekly, Monthly, Yearly Range* Adds Right Side Only Price Line & Labels for Tracking without Extending Both Sides
* Tracks Current, Previous, and Two Previous Globex Sessions/ Futures:
* Tracks Current, Previous, and Two Previous Extended Session/ Stocks:
* Tracks Current, Previous, Two, & Three Previous Day Session/ Equities:
* Tracks Current, Last, Two, Three, Four, & Five Week Session/ Equities:
* Tracks Current, Last, Two, Three, Four, & Five Month Session/ Equities:
* Tracks Current, Last, Two, Three, Four, & Five Year Session/ Equities:
* Allows Custom Range on Globex, Extended, & Daily Sessions
* Allows Custom Range on Weekly, Monthly, & Yearly Sessions
* Lines & Labels Are Not Visible on Chart Scales
* Reversible Text & Background Color
* Lines Extend Accordingly with Range
* Labels show Price & Percent Change
* Background Colors should match Chart Color to avoid Overlapping Text & Labels
* Lines have Offset Extension
* Labels have Offset Extension
* Globex Session is only visible on Futures & if Current Timeframe is Intraday
* Extended Session is only visible on Stocks & if Current Timeframe is Intraday
* Daily, Weekly, Monthly, & Yearly Sessions are visible on All Symbols & All Timeframes
* Globex, Extended, & Regular use their Default Time Sessions but allow Customization
* For Back Testing Default Sessions, switch over on the Menu to Style and Turn On/Off their Background Color; Any Area on the Chart Without Background Color is Regular Session
Binque's Multi-Moving Average Binque's Multi-Moving Average - One indicator with four simple moving average and four exponential moving averages, plus as a bonus a Day High moving average and a Day Low Moving Average.
Simple Moving Average or MA(14), MA(50), MA(100) and MA(200) all in one indicator
Exponential Moving Average or EMA(8), EMA(14), EMA(20) and EMA(33) all in one indicator
Day High Moving Average - Tracks the Daily High versus most moving averages track the daily close.
Day Low Moving Average - Tracks the Daily Low versus most moving average track the daily close.
To Disable moving averages, Set the color to the chart background and then set the length to 1 and uncheck.
I Use the Daily High Moving Average to track upward resistance in a stock movement for Swing Trading.
I Use the Daily Low Moving Average to track my trailing stop in a stock movement for Swing Trading.
SIP Evaluator and Screener [Trendoscope®]The SIP Evaluator and Screener is a Pine Script indicator designed for TradingView to calculate and visualize Systematic Investment Plan (SIP) returns across multiple investment instruments. It is tailored for use in TradingView's screener, enabling users to evaluate SIP performance for various assets efficiently.
🎲 How SIP Works
A Systematic Investment Plan (SIP) is an investment strategy where a fixed amount is invested at regular intervals (e.g., monthly or weekly) into a financial instrument, such as stocks, mutual funds, or ETFs. The goal is to build wealth over time by leveraging the power of compounding and mitigating the impact of market volatility through disciplined, consistent investing. Here’s a breakdown of how SIPs function:
Regular Investments : In an SIP, an investor commits to investing a fixed sum at predefined intervals, regardless of market conditions. This consistency helps inculcate a habit of saving and investing.
Cost Averaging : By investing a fixed amount regularly, investors purchase more units when prices are low and fewer units when prices are high. This approach, known as dollar-cost averaging, reduces the average cost per unit over time and mitigates the risk of investing a large amount at a peak price.
Compounding Benefits : Returns generated from the invested amount (e.g., capital gains or dividends) are reinvested, leading to exponential growth over the long term. The longer the investment horizon, the greater the potential for compounding to amplify returns.
Dividend Reinvestment : In some SIPs, dividends received from the underlying asset can be reinvested to purchase additional units, further enhancing returns. Taxes on dividends, if applicable, may reduce the reinvested amount.
Flexibility and Accessibility : SIPs allow investors to start with small amounts, making them accessible to a wide range of individuals. They also offer flexibility in terms of investment frequency and the ability to adjust or pause contributions.
In the context of the SIP Evaluator and Screener , the script simulates an SIP by calculating the number of units purchased with each fixed investment, factoring in commissions, dividends, taxes and the chosen price reference (e.g., open, close, or average prices). It tracks the cumulative investment, equity value, and dividends over time, providing a clear picture of how an SIP would perform for a given instrument. This helps users understand the impact of regular investing and make informed decisions when comparing different assets in TradingView’s screener. It offers insights into key metrics such as total invested amount, dividends received, equity value, and the number of installments, making it a valuable resource for investors and traders interested in understanding long-term investment outcomes.
🎲 Key Features
Customizable Investment Parameters: Users can define the recurring investment amount, price reference (e.g., open, close, HL2, HLC3, OHLC4), and whether fractional quantities are allowed.
Commission Handling: Supports both fixed and percentage-based commission types, adjusting calculations accordingly.
Dividend Reinvestment: Optionally reinvests dividends after a user-specified period, with the ability to apply tax on dividends.
Time-Bound Analysis: Allows users to set a start year for the analysis, enabling historical performance evaluation.
Flexible Dividend Periods: Dividends can be evaluated based on bars, days, weeks, or months.
Visual Outputs: Plots key metrics like total invested amount, dividends, equity value, and remainder, with customizable display options for clarity in the data window and chart.
🎲 Using the script as an indicator on Tradingview Supercharts
In order to use the indicator on charts, do the following.
Load the instrument of your choice - Preferably a stable stocks, ETFs.
Chose monthly timeframe as lower timeframes are insignificant in this type of investment strategy
Load the indicator SIP Evaluator and Screener and set the input parameters as per your preference.
Indicator plots, investment value, dividends and equity on the chart.
🎲 Visualizations
Installments : Displays the number of SIP installments (gray line, visible in the data window).
Invested Amount : Shows the cumulative amount invested, excluding reinvested dividends (blue area plot).
Dividends : Tracks total dividends received (green area plot).
Equity : Represents the current market value of the investment based on the closing price (purple area plot).
Remainder : Indicates any uninvested cash after each installment (gray line, visible in the data window).
🎲 Deep dive into the settings
The SIP Evaluator and Screener offers a range of customizable settings to tailor the Systematic Investment Plan (SIP) simulation to your preferences. Below is an explanation of each setting, its purpose, and how it impacts the analysis:
🎯 Duration
Start Year (Default: 2020) : Specifies the year from which the SIP calculations begin. When Start Year is enabled via the timebound option, the script only considers data from the specified year onward. This is useful for analyzing historical SIP performance over a defined period. If disabled, the script uses all available data.
Timebound (Default: False) : A toggle to enable or disable the Start Year restriction. When set to False, the SIP calculation starts from the earliest available data for the instrument.
🎯 Investment
Recurring Investment (Default: 1000.0) : The fixed amount invested in each SIP installment (e.g., $1000 per period). This represents the regular contribution to the SIP and directly influences the total invested amount and quantity purchased.
Allow Fractional Qty (Default: True) : When enabled, the script allows the purchase of fractional units (e.g., 2.35 shares). If disabled, only whole units are purchased (e.g., 2 shares), with any remaining funds carried forward as Remainder. This setting impacts the precision of investment allocation.
Price Reference (Default: OPEN): Determines the price used for purchasing units in each SIP installment. Options include:
OPEN : Uses the opening price of the bar.
CLOSE : Uses the closing price of the bar.
HL2 : Uses the average of the high and low prices.
HLC3 : Uses the average of the high, low, and close prices.
OHLC4 : Uses the average of the open, high, low, and close prices. This setting affects the cost basis of each purchase and, consequently, the total quantity and equity value.
🎯 Commission
Commission (Default: 3) : The commission charged per SIP installment, expressed as either a fixed amount (e.g., $3) or a percentage (e.g., 3% of the investment). This reduces the amount available for purchasing units.
Commission Type (Default: Fixed) : Specifies how the commission is calculated:
Fixed ($) : A flat fee is deducted per installment (e.g., $3).
Percentage (%) : A percentage of the investment amount is deducted as commission (e.g., 3% of $1000 = $30). This setting affects the net amount invested and the overall cost of the SIP.
🎯 Dividends
Apply Tax On Dividends (Default: False) : When enabled, a tax is applied to dividends before they are reinvested or recorded. The tax rate is set via the Dividend Tax setting.
Dividend Tax (Default: 47) : The percentage of tax deducted from dividends if Apply Tax On Dividends is enabled (e.g., 47% tax reduces a $100 dividend to $53). This reduces the amount available for reinvestment or accumulation.
Reinvest Dividends After (Default: True, 2) : When enabled, dividends received are reinvested to purchase additional units after a specified period (e.g., 2 units of time, defined by Dividends Availability). If disabled, dividends are tracked but not reinvested. Reinvestment increases the total quantity and equity over time.
Dividends Availability (Default: Bars) : Defines the time unit for evaluating when dividends are available for reinvestment. Options include:
Bars : Based on the number of chart bars.
Weeks : Based on weeks.
Months : Based on months (approximated as 30.5 days). This setting determines the timing of dividend reinvestment relative to the Reinvest Dividends After period.
🎯 How Settings Interact
These settings work together to simulate a realistic SIP. For example, a $1000 recurring investment with a 3% commission and fractional quantities enabled will calculate the number of units purchased at the chosen price reference after deducting the commission. If dividends are reinvested after 2 months with a 47% tax, the script fetches dividend data, applies the tax, and adds the net dividend to the investment amount for that period. The Start Year and Timebound settings ensure the analysis aligns with the desired timeframe, while the Dividends Availability setting fine-tunes dividend reinvestment timing.
By adjusting these settings, users can model different SIP scenarios, compare performance across instruments in TradingView’s screener, and gain insights into how commissions, dividends, and price references impact long-term returns.
🎲 Using the script with Pine Screener
The main purpose of developing this script is to use it with Tradingview Pine Screener so that multiple ETFs/Funds can be compared.
In order to use this as a screener, the following things needs to be done.
Add SIP Evaluator and Screener to your favourites (Required for it to be added in pine screener)
Create a watch list containing required instruments to compare
Open pine screener from Tradingview main menu Products -> Screeners -> Pine or simply load the URL - www.tradingview.com
Select the watchlist created from Watchlist dropdown.
Chose the SIP Evaluator and Screener from the "Choose Indicator" dropdown
Set timeframe to 1 month and update settings as required.
Press scan to display collected data on the screener.
🎲 Use Case
This indicator is ideal for educational purposes, allowing users to experiment with SIP strategies across different instruments. It can be applied in TradingView’s screener to compare SIP performance for stocks, ETFs, or other assets, helping users understand how factors like commissions, dividends, and price references impact returns over time.
StatMetricsLibrary "StatMetrics"
A utility library for common statistical indicators and ratios used in technical analysis.
Includes Z-Score, correlation, PLF, SRI, Sharpe, Sortino, Omega ratios, and normalization tools.
zscore(src, len)
Calculates the Z-score of a series
Parameters:
src (float) : The input price or series (e.g., close)
len (simple int) : The lookback period for mean and standard deviation
Returns: Z-score: number of standard deviations the input is from the mean
corr(x, y, len)
Computes Pearson correlation coefficient between two series
Parameters:
x (float) : First series
y (float) : Second series
len (simple int) : Lookback period
Returns: Correlation coefficient between -1 and 1
plf(src, longLen, shortLen, smoothLen)
Calculates the Price Lag Factor (PLF) as the difference between long and short Z-scores, normalized and smoothed
Parameters:
src (float) : Source series (e.g., close)
longLen (simple int) : Long Z-score period
shortLen (simple int) : Short Z-score period
smoothLen (simple int) : Hull MA smoothing length
Returns: Smoothed and normalized PLF oscillator
sri(signal, len)
Computes the Statistical Reliability Index (SRI) based on trend persistence
Parameters:
signal (float) : A price or signal series (e.g., smoothed PLF)
len (simple int) : Lookback period for smoothing and deviation
Returns: Normalized trend reliability score
sharpe(src, len)
Calculates the Sharpe Ratio over a period
Parameters:
src (float) : Price series (e.g., close)
len (simple int) : Lookback period
Returns: Sharpe ratio value
sortino(src, len)
Calculates the Sortino Ratio over a period, using only downside volatility
Parameters:
src (float) : Price series
len (simple int) : Lookback period
Returns: Sortino ratio value
omega(src, len)
Calculates the Omega Ratio as the ratio of upside to downside return area
Parameters:
src (float) : Price series
len (simple int) : Lookback period
Returns: Omega ratio value
beta(asset, benchmark, len)
Calculates beta coefficient of asset vs benchmark using rolling covariance
Parameters:
asset (float) : Series of the asset (e.g., close)
benchmark (float) : Series of the benchmark (e.g., SPX close)
len (simple int) : Lookback window
Returns: Beta value (slope of linear regression)
alpha(asset, benchmark, len)
Calculates rolling alpha of an asset relative to a benchmark
Parameters:
asset (float) : Series of the asset (e.g., close)
benchmark (float) : Series of the benchmark (e.g., SPX close)
len (simple int) : Lookback window
Returns: Alpha value (excess return not explained by Beta exposure)
skew(x, len)
Computes skewness of a return series
Parameters:
x (float) : Input series (e.g., returns)
len (simple int) : Lookback period
Returns: Skewness value
kurtosis(x, len)
Computes kurtosis of a return series
Parameters:
x (float) : Input series (e.g., returns)
len (simple int) : Lookback period
Returns: Kurtosis value
cv(x, len)
Calculates Coefficient of Variation
Parameters:
x (float) : Input series (e.g., returns or prices)
len (simple int) : Lookback period
Returns: CV value
autocorr(x, len)
Calculates autocorrelation with 1-lag
Parameters:
x (float) : Series to test
len (simple int) : Lookback window
Returns: Autocorrelation at lag 1
stderr(x, len)
Calculates rolling standard error of a series
Parameters:
x (float) : Input series
len (simple int) : Lookback window
Returns: Standard error (std dev / sqrt(n))
info_ratio(asset, benchmark, len)
Calculates the Information Ratio
Parameters:
asset (float) : Asset price series
benchmark (float) : Benchmark price series
len (simple int) : Lookback period
Returns: Information ratio (alpha / tracking error)
tracking_error(asset, benchmark, len)
Measures deviation from benchmark (Tracking Error)
Parameters:
asset (float) : Asset return series
benchmark (float) : Benchmark return series
len (simple int) : Lookback window
Returns: Tracking error value
max_drawdown(x, len)
Computes maximum drawdown over a rolling window
Parameters:
x (float) : Price series
len (simple int) : Lookback window
Returns: Rolling max drawdown percentage (as a negative value)
zscore_signal(z, ob, os)
Converts Z-score into a 3-level signal
Parameters:
z (float) : Z-score series
ob (float) : Overbought threshold
os (float) : Oversold threshold
Returns: -1, 0, or 1 depending on signal state
r_squared(x, y, len)
Calculates rolling R-squared (coefficient of determination)
Parameters:
x (float) : Asset returns
y (float) : Benchmark returns
len (simple int) : Lookback window
Returns: R-squared value (0 to 1)
entropy(x, len)
Approximates Shannon entropy using log returns
Parameters:
x (float) : Price series
len (simple int) : Lookback period
Returns: Approximate entropy
zreversal(z)
Detects Z-score reversals to the mean
Parameters:
z (float) : Z-score series
Returns: +1 on upward reversal, -1 on downward
momentum_rank(x, len)
Calculates relative momentum strength
Parameters:
x (float) : Price series
len (simple int) : Lookback window
Returns: Proportion of lookback where current price is higher
normalize(x, len)
Normalizes a series to a 0–1 range over a period
Parameters:
x (float) : The input series
len (simple int) : Lookback period
Returns: Normalized value between 0 and 1
composite_score(score1, score2, score3)
Combines multiple normalized scores into a composite score
Parameters:
score1 (float)
score2 (float)
score3 (float)
Returns: Average composite score
True Range eXpansion🕯️ TRX — True Range eXpansion
Clean Candle Bodies · Volatility Bands · Adaptive Range Envelope System
Not your grandfather’s candles. Not your brokerage’s bands.
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TRX begins with a simple concept: visualize the true range of every candle, without the noise of flickering wicks.
From there, it grows into a fully adaptive price visualization framework.
What started as a candle-only visualizer evolved into a modular, user-controlled price engine.
From wickless candle clarity to dynamic volatility envelopes, TRX adapts to you.
There are plenty of band and channel indicators out there — Bollinger, Keltner, Donchian, Envelope, the whole crew.
But none of them are built on the true candle range, adaptive ATR shaping, and full user control like TRX.
This isn’t just another indicator — it’s a new framework.
Most bands and channels are based on close price and statistical deviation — useful, but limited.
TRX uses the full true range of each candle as its foundation, then applies customizable smoothing and directional ATR scaling to form a dynamic, volatility-reactive envelope.
The result? Bands that breathe with the market — not lag behind it.
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🔧 Core Features:
🕯️ True Range Candles — Each candle is plotted from low to high, body-only, colored by open/close.
📈 Adjustable High/Low Moving Averages — Select your smoothing style: SMA, EMA, WMA, RMA, or HMA.
🌬️ ATR-Based Expansion — Bands dynamically breathe based on market volatility.
🔀 Per-Band Multipliers — Fine-tune expansion individually for the upper and lower bands.
⚖️ Basis Line — Optional centerline between bands for structure tracking and equilibrium zones.
🎛️ Full Visual Control — Width, transparency, color, on/off toggles for each element.
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🧠 Default Use Case:
With the included default settings, TRX behaves like an evolved Bollinger Band system — based on True Range candle structure, not just close price and standard deviation.
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🔄 How to Zero Out the Bands (for Minimalist Use):
Want just candles? A clean MA? Single band? You got it.
➤ Use TRX like a clean moving average:
• Set ATR Multiplier to 0
• Set both Band ATR Adjustments to 0
• Leave the Basis Line ON or OFF — your call
➤ Show only candles (no bands at all):
• Turn off "Show High/Low MAs"
• Turn off Basis Line
➤ Single-line ceiling or floor tracking:
• Set one band’s Transparency to 100
• Use the remaining band as a price envelope or support/resistance guide
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🧬 Notes:
TRX can be made:
• Spiky or silky (via smoothing & ATR)
• Wide or tight (via multipliers)
• Subtle or aggressive (via color/transparency)
• Clean as a compass or dirty as a chaos meter
Built by accident. Tuned with intention.
Released to the world as one of the most adaptable and expressive visual overlays ever made.
Created by Sherlock_MacGyver
Circuit % Marker w/ Mirrored Arrows📈 Indian Market Circuit Limit Change Tracker
This indicator automatically tracks circuit limit changes (price bands) as applied in NSE/BSE stocks.
🧠 How It Works:
Start from a user-defined initial circuit limit (e.g. 10%)
If the upper or lower limit is hit, the script waits for a user-defined cooling period (e.g. 5 trading days)
After that, it automatically adjusts to the next lower or higher band (e.g. from 10% to 5%)
Shows a visual label with the current circuit % right on the chart — placed above or below candles for better visibility
🔧 Custom Inputs:
Starting Circuit % — choose between standard NSE/BSE values (20%, 10%, 5%, 2%)
Cooling Days — how many days must pass after a circuit hit before it’s allowed to change again
Label Positioning, Color, and Size — fully customizable to suit your chart style
🚫 No Clutter:
Doesn’t draw circuit limit lines
Just clean, small labels at key turning points — as seen in real trading dashboards
🔍 Notes:
NSE and BSE manually assign circuit bands — this script does not fetch live exchange data
Use it as a visual tracker and simulator of how circuit behavior would evolve under fixed rules
Consecutive Candles Above/Below EMADescription:
This indicator identifies and highlights periods where the price remains consistently above or below an Exponential Moving Average (EMA) for a user-defined number of consecutive candles. It visually marks these sustained trends with background colors and labels, helping traders spot strong bullish or bearish market conditions. Ideal for trend-following strategies or identifying potential trend exhaustion points, this tool provides clear visual cues for price behavior relative to the EMA.
How It Works:
EMA Calculation: The indicator calculates an EMA based on the user-specified period (default: 100). The EMA is plotted as a blue line on the chart for reference.
Consecutive Candle Tracking: It counts how many consecutive candles close above or below the EMA:
If a candle closes below the EMA, the "below" counter increments; any candle closing above resets it to zero.
If a candle closes above the EMA, the "above" counter increments; any candle closing below resets it to zero.
Highlighting Trends: When the number of consecutive candles above or below the EMA meets or exceeds the user-defined threshold (default: 200 candles):
A translucent red background highlights periods where the price has been below the EMA.
A translucent green background highlights periods where the price has been above the EMA.
Labeling: When the required number of consecutive candles is first reached:
A red downward arrow label with the text "↓ Below" appears for below-EMA streaks.
A green upward arrow label with the text "↑ Above" appears for above-EMA streaks.
Usage:
Trend Confirmation: Use the highlights and labels to confirm strong trends. For example, 200 candles above the EMA may indicate a robust uptrend.
Reversal Signals: Prolonged streaks (e.g., 200+ candles) might suggest overextension, potentially signaling reversals.
Customization: Adjust the EMA period to make it faster or slower, and modify the candle count to make the indicator more or less sensitive to trends.
Settings:
EMA Length: Set the period for the EMA calculation (default: 100).
Candles Count: Define the minimum number of consecutive candles required to trigger highlights and labels (default: 200).
Visuals:
Blue EMA line for tracking the moving average.
Red background for sustained below-EMA periods.
Green background for sustained above-EMA periods.
Labeled arrows to mark when the streak threshold is met.
This indicator is a powerful tool for traders looking to visualize and capitalize on persistent price trends relative to the EMA, with clear, customizable signals for market analysis.
Explain EMA calculation
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MACD Boundary PSA - CoffeeKillerMACD Boundary PSA - CoffeeKiller Indicator Guide
Welcome traders! This guide will walk you through the MACD Boundary PSA indicator, a powerful market analysis tool developed by CoffeeKiller that enhances the traditional MACD with advanced boundary detection and peak signaling features.
🔔 **Warning: This Indicator Has No Signal Line or MACD Line** 🔔 This indicator is my version of the MACD, that I use in conjunction with the Rev&Line indicator.
Core Concept: Enhanced MACD Analysis
The foundation of this indicator builds upon the classic Moving Average Convergence Divergence (MACD) indicator, adding boundary tracking and peak detection systems to provide clearer signals and market insights.
Histogram Bars: Market Momentum
- Positive Green Bars: Bullish momentum
- Negative Red Bars: Bearish momentum
- Color intensity varies based on momentum strength
- Special coloring for new high/low boundaries
Marker Lines: Dynamic Support/Resistance
- High Marker Line (Magenta): Tracks the highest point reached during a bullish phase
- Low Marker Line (Cyan): Tracks the lowest point reached during a bearish phase
- Acts as dynamic boundaries that help identify strength of current moves
Peak Detection System:
- Triangular markers identify significant local maxima and minima
- Background highlighting shows important momentum peaks
- Helps identify potential reversal points and momentum exhaustion
Core Components
1. MACD Calculation
- Customizable fast and slow moving averages
- Signal line smoothing options
- Flexible MA type selection (SMA or EMA)
- Custom source input options
2. Boundary Tracking System
- Automatic detection of highest values in bullish phases
- Automatic detection of lowest values in bearish phases
- Step-line visualization of boundaries
- Color-coded for easy identification
3. Peak Detection System
- Identification of local maxima and minima
- Background highlighting of significant peaks
- Triangle markers for peak visualization
- Zero-line cross detection for trend changes
4. Time Resolution Control
- Normal mode: calculations based on chart timeframe
- Custom resolution mode: calculations based on specified timeframe
Main Features
Time Resolution Settings
- Normal mode: calculations match your chart's timeframe
- Custom resolution mode: calculations based on specified timeframe
- Helps identify stronger signals from other timeframes
Visual Elements
- Color-coded histogram bars
- Dynamic marker lines for boundaries
- Peak triangles for significant turning points
- Background highlighting for peak identification
Signal Generation
- Zero-line crosses for trend change signals
- Boundary breaks for momentum strength
- Peak formation for potential reversals
- Color changes for momentum direction
Customization Options
- MA types and lengths
- Signal smoothing
- Color schemes
- Marker line visibility
- Peak background display options
Trading Applications
1. Trend Identification
- Histogram crossing above zero: bullish trend beginning
- Histogram crossing below zero: bearish trend beginning
- Histogram color: indicates momentum direction
- Consistent color intensity: trend strength
2. Reversal Detection
- Peak triangles after extended trend: potential exhaustion
- Background highlighting: significant reversal points
- Histogram approaching marker lines: potential trend change
- Color shifts from bright to muted: decreasing momentum
3. Momentum Analysis
- Histogram breaking above previous high boundary: accelerating bullish momentum
- Histogram breaking below previous low boundary: accelerating bearish momentum
- Special coloring (magenta/cyan): boundary breaks indicating strength
- Distance from zero line: overall momentum magnitude
4. Market Structure Assessment
- Consecutive higher peaks: strengthening bullish structure
- Consecutive lower troughs: strengthening bearish structure
- Peak comparisons: relative strength of momentum phases
- Boundary line steps: market structure levels
Optimization Guide
1. MACD Settings
- Fast Length: Shorter values (8-12) for responsiveness, longer values (20+) for smoother signals
- Slow Length: Shorter values (21-34) for more signals, longer values (72+) for major moves
- Default settings (22, 72, 9): balanced approach for most timeframes
- Consider using 8, 21, 5 for shorter timeframes and 34, 144, 5 for longer timeframes
2. MA Type Selection
- EMA: More responsive, follows price more closely
- SMA: Smoother, fewer false signals, potentially more lag
- Mix and match for oscillator and signal lines based on your preference
3. Time Resolution
- Match chart timeframe: for aligned analysis
- Use higher timeframe: for filtering signals
- Lower timeframe: for earlier entries but more noise
4. Color Customization
- Normal bullish/bearish colors: represent standard momentum
- High/low marker line colors: customize visibility
- Peak marker colors: adjust for your visual preference
- Consider chart background when selecting colors
Best Practices
1. Signal Confirmation
- Wait for zero-line crosses to confirm trend changes
- Look for peak formations to identify potential reversals
- Check for boundary breaks to confirm strong momentum
- Use custom timeframe option for higher timeframe confirmation
2. Timeframe Selection
- Lower timeframes: more signals, potential noise
- Higher timeframes: cleaner signals, less frequent
- Custom resolution: allows comparison across timeframes
- Consider using multiple timeframes for confirmation
3. Market Context
- Strong bullish phase: positive histogram breaking above marker line
- Strong bearish phase: negative histogram breaking below marker line
- Histogram approaching zero: potential trend change
- Peak formations: potential exhaustion points
4. Combining with Other Indicators
- Use with trend indicators for confirmation
- Pair with oscillators for overbought/oversold conditions
- Combine with volume analysis for validation
- Consider support/resistance levels with boundary lines
Advanced Trading Strategies
1. Boundary Break Strategy
- Enter long when histogram breaks above previous high marker line
- Enter short when histogram breaks below previous low marker line
- Use zero-line as initial stop-loss reference
- Take profits at formation of opposing peaks
2. Peak Trading Strategy
- Identify significant peaks with triangular markers
- Look for consecutive lower peaks in bullish phases for shorting opportunities
- Look for consecutive higher troughs in bearish phases for buying opportunities
- Use zero-line crosses as confirmation
3. Multi-Timeframe Strategy
- Use custom resolution for higher timeframe MACD trend
- Enter trades when both timeframes align
- Higher timeframe for trend direction
- Chart timeframe for precise entry
4. Histogram Color Strategy
- Enter long when histogram turns bright green (increasing momentum)
- Enter short when histogram turns bright red (increasing momentum)
- Exit when color intensity fades (decreasing momentum)
- Use marker lines as dynamic support/resistance
Practical Analysis Examples
Bullish Market Scenario
- Histogram crosses above zero line
- Green bars grow in height and intensity
- High marker line forms steps upward
- Peak triangles appear at local maxima
- Background highlights appear at significant momentum peaks
Bearish Market Scenario
- Histogram crosses below zero line
- Red bars grow in depth and intensity
- Low marker line forms steps downward
- Peak triangles appear at local minima
- Background highlights appear at significant momentum troughs
Consolidation Scenario
- Histogram oscillates around zero line
- Bar colors alternate frequently
- Marker lines remain relatively flat
- Few or no new peak highlights appear
- Histogram values remain small
Understanding Market Dynamics Through MACD Boundary PSA
At its core, this indicator provides a unique lens to visualize market momentum and boundaries:
1. Momentum Strength: The histogram height/depth shows the strength of current momentum, with color intensity providing additional context about acceleration or deceleration.
2. Dynamic Boundaries: The marker lines create a visual representation of the "high water marks" of momentum in both directions, helping to identify when markets are making new momentum extremes.
3. Exhaustion Signals: The peak detection system highlights moments where momentum has reached a local maximum or minimum, often precursors to reversals or consolidations.
4. Trend Confirmation: The histogram color and intensity provide instant feedback about the current trend direction and strength, with special colors highlighting particularly significant moves.
Remember:
- Combine signals from histogram, marker lines, and peak formations
- Use appropriate timeframe settings for your trading style
- Customize the indicator to match your visual preferences
- Consider market conditions and correlate with price action
This indicator works best when:
- Used as part of a comprehensive trading system
- Combined with proper risk management
- Applied with an understanding of current market conditions
- Signals are confirmed by price action and other indicators
**DISCLAIMER**: This indicator and its signals are intended solely for educational and informational purposes. They do not constitute financial advice. Trading involves significant risk of loss. Always conduct your own analysis and consult with financial professionals before making trading decisions.
