Beta

AH Beta v1 AH Beta compares an asset with a reference symbol across several fixed daily-bar windows. It places beta and return correlation together in a compact table, so you can see both the asset's historical sensitivity to the reference and the strength of their linear relationship. AH Beta is a free, open-source indicator shared as a contribution to the TradingView community. It is part of the AH information and education series. The report brings standard beta and correlation calculations together ac

Индикатор

Rolling Beta Drift Monitor [Pineify]Rolling Beta Drift Monitor Overview Tracks an asset's changing return relationship with a benchmark through rolling beta, a prior beta corridor, correlation, residual volatility, and confirmed state. It diagnoses exposure rather than predicting returns. Problem Definition Beta is a sample estimate, not a stable property. A moving beta can change because of covariance, low benchmark variance, unmatched sessions, or asset-specific noise. Equal betas may have different correlations. The mon

Индикатор

Gatev Relative Value Arbiter [JOAT]Gatev Relative Value Arbiter Introduction Gatev Relative Value Arbiter studies relative value between the chart symbol and a selected peer using beta spread, z-score, stationarity, Kalman residuals, and OU speed. This open-source indicator is designed as a context tool, not a standalone trading system. It focuses on explaining the current market state with restrained visuals and confirmed-bar logic where signals are used. Core Concepts 1. Rolling Beta Spread The chart log price

Индикатор

от officialjackofalltrades

Crypto Beta Leadership Ladder [AGPro Series]Crypto Beta Leadership Ladder 🧠 Core Idea When crypto risk appetite changes, who is actually leading the move: BTC, ETH, broad alt beta, or the active chart itself? 📌 Overview / What it does Crypto Beta Leadership Ladder is a market leadership and relative beta map for crypto traders. The script compares BTC, ETH, broad altcoin market-cap behavior, high-beta altcoin breadth, BTC dominance, ETH dominance, and the active chart into a single leadership framework. It produces a right-side

Индикатор

Quant Stats: Alpha, Beta, R2 Quant Stats Indicator for TradingView: Alpha, Beta, and R-Squared Overview The Quant Stats Indicator is a professional-grade Pine Script tool designed for quantitative traders and hedge fund managers who need real-time analysis of stock or ETF performance against a benchmark using three fundamental CAPM metrics: Beta, R-Squared, and Alpha. This indicator calculates three critical measurements that answer every quant trader's core questions: How volatile is this asset relative to my benchmark? H

Индикатор

Pair Cointegration & Static Beta Analyzer (v6)Pair Cointegration & Static Beta Analyzer (v6) This indicator evaluates whether two instruments exhibit statistical properties consistent with cointegration and tradable mean reversion. It uses long-term beta estimation, spread standardization, AR(1) dynamics, drift stability, tail distribution analysis, and a multi-factor scoring model. 1. Static Beta and Spread Construction A long-horizon static beta is estimated using covariance and variance of log-returns. This beta does not update on e

Индикатор

Static Beta for Pair and Quant Trading A beta coefficient shows the volatility of an individual stock compared to the systematic risk of the entire market. Beta represents the slope of the line through a regression of data points. In finance, each point represents an individual stock's returns against the market. Beta effectively describes the activity of a security's returns as it responds to swings in the market. It is used in the capital asset pricing model (CAPM), which describes the relationship between systematic risk and expe

Индикатор

Fair Value Lead-Lag Model [BackQuant]Fair Value Lead-Lag Model A cross-asset model that estimates where price "should" be relative to a chosen reference series, then tracks the deviation as a normalized oscillator. It helps you answer two questions: 1) is the asset rich or cheap vs its driver, and 2) is the driver leading or lagging price over the next N bars. Concept in one paragraph Many assets co-move with a macro or sector driver. Think BTC vs DXY, gold vs real yields, a stock vs its sector ETF. This tool builds a rollin

Индикатор

Market Strength Buy Sell Indicator [TradeDots]A specialized tool designed to assist traders in evaluating market conditions through a multifaceted analysis of relative performance, beta-adjusted returns, momentum, and volume—allowing you to identify optimal points for long or short trades. By integrating multiple benchmarks (default S&P 500) and percentile-based thresholds, the script provides clear, actionable insights suitable for both day trading and higher-level timeframe assessments. 📝 HOW IT WORKS 1. Multi-Factor Composite Score

Индикатор

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 facto

Индикатор

CAPM Alpha & Beta The CAPM Alpha & Beta indicator is a crucial tool in finance and investment analysis derived from the Capital Asset Pricing Model (CAPM) . It provides insights into an asset's risk-adjusted performance (Alpha) and its relationship to broader market movements (Beta). Here’s a breakdown: 1. How Does It Work? Alpha: Definition: Alpha measures the portion of an investment's return that is not explained by market movements, i.e., the excess return over and above what the market is exp

Индикатор

от Kendrick_Chan

Relative Performance Suite Overview The Relative Performance Suite (RPS) is a versatile and comprehensive indicator designed to evaluate an asset's performance relative to a benchmark. By offering multiple methods to measure performance, including Relative Performance, Alpha, and Price Ratio, this tool helps traders and investors assess asset strength, resilience, and overall behavior in different market conditions. Key Features: ✅ Multiple Performance Measures: Choose from various relative performance calculations

Индикатор

от CandleFluency

Internals Elite NYSE [Beta]Overview: This indicator is designed to provide traders with a quick overview of key market internals and metrics in a single, easy-to-read table displayed directly on the chart. It incorporates a variety of metrics that help gauge market sentiment, momentum, and overall market conditions. The table dynamically updates in real-time and uses color-coding to highlight significant changes or thresholds, allowing traders to quickly interpret the data and make informed trading decisions. Features

Индикатор

Economic Profit (YavuzAkbay)The Economic Profit Indicator is a Pine Script™ tool for assessing a company’s economic profit based on key financial metrics like Return on Invested Capital (ROIC) and Weighted Average Cost of Capital (WACC). This indicator is designed to give traders a more accurate understanding of risk-adjusted returns. Features Customizable inputs for Risk-Free Rate and Corporate Tax Rate assets for people who are trading in other countries. Calculates Economic Profit based on ROIC and WACC, with val

Индикатор

от YavuzAkbay

Risk Radar Pro The "Risk Radar Pro" indicator is a sophisticated tool designed to help investors and traders assess the risk and performance of their investments over a specified period. This presentation will explain each component of the indicator, how to interpret the results, and the advantages compared to traditional metrics. The "Risk Radar Pro" indicator includes several key metrics: ● Beta ● Maximum Drawdown ● Compound Annual Growth Rate (CAGR) ● Annualized Volatility ● Dynamic Sharpe Ratio ● Dynamic

Индикатор

от Julien_Exe

Beta Beta , also known as the Beta coefficient, is a measure that compares the volatility of an individual underlying or portfolio to the volatility of the entire market, typically represented by a market index like the S&P 500 or an investible product such as the SPY ETF (SPDR S&P 500 ETF Trust). A Beta value provides insight into how an asset's returns are expected to respond to market swings. Interpretation of Beta Values Beta = 1: The asset's volatility is in line with the market. If the mar

Индикатор

от DeltaValue

Quantitative Risk Navigator [kikfraben]📊 Quantitative Risk Navigator - Your Financial Performance GPS Navigate the complexities of financial markets with confidence using the Quantitative Risk Navigator. This indicator provides you with a comprehensive dashboard to assess and understand the risk and performance of your chosen asset. 📈 Key Features: Alpha and Beta Analysis: Uncover the outperformance (Alpha) and risk exposure (Beta) of your asset compared to a selected benchmark. Know where your investment stands in the ma

Индикатор

Volume and Price Z-Score [Multi-Asset] - By Leviathan This script offers in-depth Z-Score analytics on price and volume for 200 symbols. Utilizing visualizations such as scatter plots, histograms, and heatmaps, it enables traders to uncover potential trade opportunities, discern market dynamics, pinpoint outliers, delve into the relationship between price and volume, and much more. A Z-Score is a statistical measurement indicating the number of standard deviations a data point deviates from the dataset's mean. Essentially, it provides insight into

Индикатор

от LeviathanCapital

Multi-Asset Performance [Spaghetti] - By Leviathan This indicator visualizes the cumulative percentage changes or returns of 30 symbols over a given period and offers a unique set of tools and data analytics for deeper insight into the performance of different assets. Multi Asset Performance indicator (also called “Spaghetti”) makes it easy to monitor the changes in Price, Open Interest, and On Balance Volume across multiple assets simultaneously, distinguish assets that are overperforming or underperforming, observe the relative strength of di

Индикатор

от LeviathanCapital

Capital Asset Pricing Model (CAPM) [Loxx]Capital Asset Pricing Model (CAPM) demonstrates how to calculate the Cost of Equity for an underlying asset using Pine Script. This script will only work on the monthly timeframe. While you can change the default inputs, you should study what CAPM is and how this works before doing so. This indicator pulls various types of data from SPY from various timeframes to calculate risk-free rates, market premiums, and log returns. Alpha and Beta are computed using the regression between underlying ass

Индикатор

Market Beta/Beta Coefficient for CAPM [Loxx]Market Beta/Beta Coefficient for CAPM is not so much an indicator as it is a value to be used in future indicators to forecast stock prices using the Capital Asset Pricing Model, CAPM. CAPM is used by the likes of value investors such as Warren Buffet and valuation/accounting/investment banking firms. More specifically, CAPM is typically used in Discounted Cashflow Analysis to value revenue generating assets. What is Beta? In finance, the beta (β or market beta or beta coefficient) is a mea

Индикатор

L_Beta Library "L_Beta" TODO: add library description here length() beta() simple_beta() index_selector()

Библиотека

от fourkhansolo

Beta Calculator Beta is a measure of an asset's volatility relative to the market (the S&P500 is the most widely used index for this). A beta of 1 indicates that the asset moves exactly like the market, a beta < 1 indicates that the asset is less volatile than the market, and a beta > 1 means that the asset amplifies market movements. This tool is used to calculate easily the Beta coefficient of an asset using 4 parameters : - Symbol : The Asset's Ticker - Reference : The Market Index Ticker - Lookback Candles

Индикатор

regress Library "regress" produces the slope (beta), y-intercept (alpha) and coefficient of determination for a linear regression regress(x, y, len) regress: computes alpha, beta, and r^2 for a linear regression of y on x Parameters: x : the explaining (independent) variable y : the dependent variable len : use the most recent "len" values of x and y Returns: : alpha is the x-intercept, beta is the slope, an r2 is the coefficient of determination Note: the chart does not show

Библиотека