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USDT: Market cap changeUSDT: Market Cap Change This indicator tracks the market capitalization changes of major stablecoins (USDT, USDC, and DAI) to help identify capital flows in the cryptocurrency market. Features: Monitor daily and custom period market cap changes for selected stablecoins Configurable stablecoin selection (USDT, USDC, DAI) Adjustable lookback period for measuring market cap changes Multiple moving average types (SMA, EMA, HMA, WMA, RMA) for trend analysis Visual representation with columns for daily changes and area fill for custom period changes How to Use: The indicator displays two main metrics: daily market cap change (shown as columns) and custom period change (shown as a line with area fill). Positive values indicate capital inflow into stablecoins, which may suggest accumulation or risk-off sentiment. Negative values indicate capital outflow, potentially signaling deployment into other crypto assets. The moving average overlay helps identify trends in stablecoin market cap changes over time. Settings: Select which stablecoins to track Adjust the lookback period (default: 60 days) Toggle and configure the moving average overlay Customize MA type and length Data Source: Uses Glassnode market capitalization data for USDT, USDC, and DAI on a daily timeframe.
Индикатор Pine Script®
от qowazzz
US Index Market Snapshot Cash, Futures & ETFsBrief Description This study displays a real-time table of major U.S. equity indices—Dow Jones, S&P 500, Nasdaq, and Russell—across Cash, Futures, and ETF markets. Each cell shows the current price along with the daily percentage change, with color-coded backgrounds for quick trend identification. Designed as a compact market dashboard, it provides an at-a-glance view of cross-market alignment and relative performance. Alternative Title Options US Indices Dashboard (Cash • Futures • ETFs) Index Market Matrix – Prices & Daily Change Multi-Market US Index Table
Индикатор Pine Script®
от frankenx
FVG & OB [odnac]This indicator is a sophisticated tool designed for Smart Money Concepts (SMC) traders. It automates the detection of two critical institutional footprints: Order Blocks (OB) and Fair Value Gaps (FVG), with a focus on candle momentum and mitigation tracking. Key Features 1. Advanced Momentum Filtering (3 Versions) Unlike basic indicators, this script uses three different mathematical approaches to ensure the middle candle represents a "strong" move: V1 (Body Focus): Compares the bodies of the surrounding candles to the middle candle. V2 (Hybrid): Uses a mix of candle ranges and bodies to identify expansion. V3 (Range Focus): The most aggressive filter; it ensures the total range of the middle candle dwarfs the surrounding candles. 2. Automatic Mitigation Tracking The indicator doesn't just draw static boxes. It tracks price action in real-time: Dynamic Extension: Boxes extend to the right automatically as long as price has not returned to "test" or "fill" the zone. Smart Clean-up: Once the price touches the zone (Mitigation), the box stops extending or is removed. This keeps your chart clean and focused only on "fresh" (unmitigated) levels. 3. Smart Money Concept Integration Order Blocks (White Boxes): Identifies where institutional buying or selling occurred before a strong move. Fair Value Gaps (Yellow Boxes): Highlights price imbalances where the market moved too fast, leaving a gap that often acts as a magnet for future price action. Technical Logic Breakdown Detection Logic The script looks at a 3-candle sequence: Candle (The Origin): Defines the boundary of the OB or FVG. Candle (The Expansion): Must be a "Strong Candle" based on your selected setting (V1, V2, or V3). Candle (The Confirmation): Ensures that the "Tail Gap" condition is met (the wick of Candle 2 and Candle 0 do not touch). Box Management The script uses Pine Script Arrays to manage up to 500 boxes. It constantly loops through active boxes to check: Time Limit: If a box exceeds the max_bars_extend limit, it is removed to save memory. Price Touch: If low or high enters the box coordinates, the zone is considered "mitigated" and the extension stops.
Индикатор Pine Script®
от odnac
Asia & London Session High/Low Description: This indicator plots the highest and lowest points of the Asian and London trading sessions based on Eastern Time (ET). Features: Draws horizontal rays for session highs and lows Automatically resets for each session Perfect for I CT-style liquidity analysis , range breaks , and session-based trading setups Clean chart : no labels or clutter, just the key session levels Use it to identify liquidity zones , plan entries , and anticipate potential session raids in your trading strategy.
Индикатор Pine Script®
от ggeorgiev9pm
Liquidation Map [Alpha Extract]A sophisticated liquidity distribution visualization system that identifies potential liquidation zones through pivot-based detection and renders them as an interactive histogram with cumulative distance-to-liquidation curves. Utilizing multi-exchange volume aggregation and ATR-scaled pocket detection, this indicator delivers institutional-grade liquidity mapping with real-time histogram display showing relative concentration of long and short liquidation levels across configurable price ranges. The system's box-based rendering architecture combined with cumulative distribution overlays provides comprehensive visual assessment of asymmetric liquidity positioning for strategic trade planning. 🔶 Advanced Multi-Exchange Aggregation Framework Implements intelligent ticker detection and multi-source volume aggregation across major exchanges including Binance, Bybit, KuCoin, OKX, and MEXC for accurate liquidity weight calculations. The system automatically identifies base currency (BTC, ETH, SOL) from chart ticker, retrieves volume data from matching perpetual contracts across multiple venues, and aggregates into composite volume metric for enhanced pocket weighting accuracy. 🔶 Pivot-Based Liquidation Pocket Detection Features sophisticated swing point identification using configurable pivot width with ATR-scaled vertical zone construction for volatility-adaptive pocket sizing. The system detects pivot highs for short liquidation zones (placed above swing) and pivot lows for long liquidation zones (placed below swing), applying 200-period ATR with percentage multipliers to determine pocket heights that adjust to market volatility conditions. 🔶 Interactive Histogram Visualization Engine Provides real-time box-based histogram rendering in indicator pane with configurable bin counts (up to 400 columns) and adjustable height, displaying liquidity concentration across fixed percentage range above and below current price. The system calculates bin sizes from view range, accumulates pocket weights into price bins, and renders vertical bars with gradient color intensity reflecting relative liquidity concentration at each price level. 🔶 Cumulative Distance Overlay System Implements innovative cumulative distribution curves showing aggregate liquidity distance from current price for both long (left) and short (right) positions. The system calculates running totals of pocket weights from current price outward in both directions, normalizes against maximum span, and overlays line segments showing how much total liquidity exists at various distances, enabling instant assessment of liquidation cascade potential. 🔶 Dynamic Price Range Adaptation Features fixed percentage-based view window that maintains consistent price range visualization across all timeframes and instruments, automatically centering histogram on current price with configurable +/- percentage bounds. The system recalculates histogram bins and pocket distributions on each bar close, ensuring visualization adapts to price movement while maintaining interpretable scale regardless of volatility regime. 🔶 Touch Detection and Weight Adjustment Provides intelligent pocket state tracking that identifies when price trades through liquidation zones and applies configurable weight multipliers to touched pockets for historical context. The system monitors price interaction with pocket midpoints, marks pockets as "hit" when violated, and optionally increases their visual weight (default 5x) to emphasize historical liquidation levels while distinguishing from untouched future zones. 🔶 Gradient Intensity Color System Implements sophisticated color gradient engine that modulates bar opacity from transparent to opaque based on relative liquidity concentration within each bin. The system normalizes bin values against maximum liquidity, applies color interpolation from faded to vivid hues, and distinguishes long liquidation zones (cyan) from short liquidation zones (yellow/gold) with current price column highlighted in red for instant orientation. 🔶 Performance-Optimized Rendering Architecture Utilizes efficient box and line object management with dynamic allocation based on histogram configuration, implementing intelligent cleanup and reuse to maintain smooth performance. The system includes adaptive line budget calculations that adjust segment density for cumulative curves based on available object limits, ensuring consistent operation even with maximum histogram resolution settings. 🔶 Asymmetric Distribution Analysis Calculates separate cumulative distributions for long and short liquidation zones split at current price, enabling identification of imbalanced liquidity positioning. The system normalizes distributions against respective maximums and overlays both curves on single histogram, allowing traders to instantly assess whether more liquidation risk exists above (shorts vulnerable) or below (longs vulnerable) current price levels. 🔶 Configurable Label and Scale System Provides price axis labeling with adjustable frequency to reduce clutter while maintaining reference points, displaying price values at regular column intervals with configurable offset positioning. The system includes current price label showing exact value and percentile position within view range, offering both absolute price reference and relative positioning context for distribution interpretation. 🔶 Historical Pocket Persistence Framework Maintains rolling window of liquidation pockets up to 3000 bars with automatic expiration management and optional preservation of touched zones for historical analysis. The system tracks pocket creation time, monitors age against lookback limits, and manages array cleanup to prevent memory overflow while retaining relevant historical liquidation levels for pattern recognition and support/resistance validation. This indicator delivers sophisticated liquidity distribution analysis through histogram visualization and cumulative distance curves that reveal asymmetric positioning of potential liquidation levels. Unlike simple liquidation heatmaps that show absolute levels, the Liquidation Map's cumulative distribution overlays instantly communicate how much total liquidity exists at various distances from current price, enabling assessment of cascade potential. The system's multi-exchange volume aggregation, touch-weighted historical zones, and fixed-range visualization make it essential for traders seeking strategic positioning around institutional liquidity clusters in cryptocurrency futures markets. The histogram format enables instant identification of price levels where concentrated liquidations may trigger significant volatility or reversal events, while the asymmetric distribution curves reveal whether market structure favors upside or downside cascades.
Индикатор Pine Script®
от AlphaExtract
3
Breakeven LECAPs BONCAPsEN Breakeven LECAPs & BONCAPs (ARS → USD) + Futures Curve This indicator plots the breakeven USD/ARS exchange rate for Argentine fixed-rate Treasury instruments LECAPs (S tickers) and BONCAPs (T tickers), showing the USD/ARS level at each maturity where holding the peso instrument would match the performance of holding dollars. What you get • Breakeven labels at (Maturity Date, Breakeven Dollar) • Automatic FX benchmarks: • Dólar MEP: BCBA:AL30 / BCBA:AL30D • Dólar Cable (CCL): BCBA:AL30 / BCBA:AL30C • Optional Custom Dollar input (1000–10000 ARS) • Optional MatbaRofex USD futures labels at their expiry dates • Optional polynomial regression curves for LECAPs, BONCAPs, and Futures (degree 1–4), with independent toggles, colors, and smoothness points Core calculations • Direct Return = (Maturity Price / Last Price) - 1 • TNA (Annualized Rate) = Direct Return × 365 / Days to Maturity • Breakeven Dollar = Current Dollar × (1 + Direct Return) Tooltip (hover labels) Ticker/type, maturity date, days to maturity, current price, maturity price (px_finish), direct return, TNA, and breakeven value. ⸻ ES Breakeven LECAPs & BONCAPs (ARS → USD) + Curva de Futuros Este indicador grafica el tipo de cambio USD/ARS de equilibrio (breakeven) para instrumentos de tasa fija del Tesoro argentino LECAPs (tickers S) y BONCAPs (tickers T). Te muestra a qué nivel de dólar, en cada vencimiento, una inversión en pesos igualaría el rendimiento de quedarse en dólares. Qué muestra • Etiquetas de breakeven en (Fecha de vencimiento, Dólar breakeven) • Referencias automáticas de tipo de cambio: • Dólar MEP: BCBA:AL30 / BCBA:AL30D • Dólar Cable (CCL): BCBA:AL30 / BCBA:AL30C • Opción de Dólar Custom (1000–10000 ARS) • Opción de mostrar futuros de USD MatbaRofex en sus vencimientos • Curvas de regresión polinómica opcionales para LECAPs, BONCAPs y Futuros (grado 1–4), con toggle, color y suavizado configurables por separado Cálculos principales • Retorno Directo = (Precio de vencimiento / Último precio) - 1 • TNA = Retorno Directo × 365 / Días al vencimiento • Dólar Breakeven = Dólar actual × (1 + Retorno Directo) Tooltip (pasar el mouse por las etiquetas) Ticker/tipo, fecha de vencimiento, días restantes, precio actual, precio de vencimiento (px_finish), retorno directo, TNA y valor de breakeven. ==================== DISCLAIMER / AVISO LEGAL ==================== This indicator is for informational and educational purposes only. Eco Valores S.A. does NOT provide investment advice or recommendations. Consult a qualified financial advisor before making investment decisions. Este indicador es solo para fines informativos y educativos. Eco Valores S.A. NO brinda asesoramiento ni recomendaciones de inversion. Consulte con un asesor financiero calificado antes de invertir. ===================================================================
Индикатор Pine Script®
от Eco Valores
2
LECAPS_BONCAP_LibraryLibrary "LECAPS_BONCAP_Library" getInstrumentCount() getTicker(index)   Parameters:      index (int) getTickerShort(index)   Parameters:      index (int) getMaturityPrice(index)   Parameters:      index (int) getMaturityTimestamp(index)   Parameters:      index (int) getMaturityYear(index)   Parameters:      index (int) getMaturityMonth(index)   Parameters:      index (int) getMaturityDay(index)   Parameters:      index (int) isBoncap(index)   Parameters:      index (int) isLecap(index)   Parameters:      index (int) getInstrumentType(index)   Parameters:      index (int) getDolarFuturesCount() getDolarFuturesTicker(index)   Parameters:      index (int) getDolarFuturesShort(index)   Parameters:      index (int) getDolarFuturesExpiry(index)   Parameters:      index (int) getDaysToMaturity(index)   Parameters:      index (int) getDataSummary(index)   Parameters:      index (int)
Библиотека Pine Script®
от Eco Valores
YTD % / Visible Range % TableAUTHOR: Brandon Gum DATE: 2026-01-03 // PURPOSE: // Calculates price-range metrics based on the *currently visible* // portion of the chart. Intended for table-based UI display where // values must be stable and evaluated only on the last bar. // // Originally based on Jeff Sun's ADR price data table. // // METRICS RETURNED: // - Visible High // - Visible Low // - Visible % Range = (Visible High - Visible Low) / Visible Low // - Visible ATRs = (Visible High - Visible Low) / ATR // // IMPLEMENTATION NOTES: // - Logic executes ONLY on barstate.islast to avoid state corruption. // - Visible range is recomputed atomically using a backward loop // bounded by chart.left_visible_bar_time. // - Avoids var-based accumulation and bar-by-bar resets, which are // unreliable when visible window changes. // - ATR is evaluated at the current bar (not averaged over range). // // ASSUMPTIONS / LIMITATIONS: // - Uses chart-visible time boundaries supplied by TradingView. // - Loop upper bound must be sufficiently large to cover max // expected visible bars. // - Intended for display purposes, not signal generation. // // SIDE EFFECTS: // - None. No plots, no drawings, no state persistence.
Индикатор Pine Script®
от gumbtg
FX Rate Bias US vs EU 2YFX Rate Bias – US vs EU (2Y) This indicator implements a rate-differential based macro bias model using the 2-year government bond yield spread between the United States and Germany. The methodology focuses on the short end of the yield curve, which primarily reflects central bank expectations rather than long-term inflation or risk premiums. By applying light smoothing and a zero-line regime framework, the script classifies market conditions into USD rate advantage or EUR rate advantage states. Calculation logic: Retrieves daily 2Y sovereign yields for the US and Germany Computes the yield differential (US − DE) Applies optional smoothing to reduce noise Uses the zero line as a regime boundary to define relative monetary bias Practical use: This tool is designed to provide directional macro context for FX analysis, particularly for EURUSD. It helps traders align technical setups with prevailing interest rate expectations, and is not intended as a standalone signal or timing indicator.
Индикатор Pine Script®
от emiurz
Apex ICT: Proximity & Delivery FlowThis indicator is a specialized ICT execution tool that automates the identification of Order Blocks, Fair Value Gaps, and Changes in State of Delivery (CISD). Unlike standard indicators that clutter the screen, this script uses a Proximity Logic Engine to ensure you only see tradeable levels. It automatically purges old data (50-candle CISD limit) and deletes mitigated zones the moment they are breached, leaving you with a clean, institutional-grade chart.
Индикатор Pine Script®
от garethsteadman47
ICT CISD+FVG+OBThis script is a high-performance ICT suite designed for traders who want a professional, "noise-free" chart. It identifies core institutional patterns—Order Blocks, Fair Value Gaps, and Changes in State of Delivery (CISD)—across multiple timeframes. The script features a proprietary Proximity Cleanup Engine that automatically deletes old or broken levels, keeping your workspace focused only on price action that is currently tradeable. It strictly follows directional delivery rules for CISD and includes a 50-candle "freshness" limit to ensure you never have to manually clear old data from your past bars. Core Features Intelligent CISD: Only triggers Bullish CISD on green candles and Bearish CISD on red candles. Proximity Filter: Automatically wipes away any levels that are "miles away" from the current price. Clean Workspace: Removes broken session highs/lows and mitigated zones instantly. Full Customization: Toggle visibility and colors for every component via the settings menu.
Индикатор Pine Script®
от garethsteadman47
[ElThibZ] - Futures Lot Size CalculatorI’m sharing a simple script to calculate position size for futures. You only need to enter: the risk in USD you’re willing to take the stop-loss distance in ticks The script will automatically calculate the correct position size (number of contracts) and display it in the table. This tool is designed to avoid sizing mistakes, especially on futures where contract multipliers and tick values can easily lead to incorrect risk calculations. I hope it will be as useful to you as it has been for me.
Индикатор Pine Script®
от ElThibZ
Adaptive Trend Envelope [BackQuant]Adaptive Trend Envelope Overview Adaptive Trend Envelope is a volatility-aware trend-following overlay designed to stay responsive in fast markets while remaining stable during slower conditions. It builds a dynamic trend spine from two exponential moving averages and surrounds it with an adaptive envelope whose width expands and contracts based on realized return volatility. The result is a clean, self-adjusting trend structure that reacts to market conditions instead of relying on fixed parameters. This indicator is built to answer three core questions directly on the chart: Is the market trending or neutral? If trending, in which direction is the dominant pressure? Where is the dynamic trend boundary that price should respect? Core trend spine At the heart of the indicator is a blended trend spine: A fast EMA captures short-term responsiveness. A slow EMA captures structural direction. A volatility-based blend weight dynamically shifts influence between the two. When short-term volatility is low relative to long-term volatility, the fast EMA has more influence, keeping the trend responsive. When volatility rises, the blend shifts toward the slow EMA, reducing noise and preventing overreaction. This blended output is then smoothed again to form the final trend spine, which acts as the structural backbone of the system. Volatility-adaptive envelope The envelope surrounding the trend spine is not based on ATR or fixed percentages. Instead, it is derived from: Log returns of price. An exponentially weighted variance estimate. A configurable multiplier that scales envelope width. This creates bands that automatically widen during volatile expansions and tighten during compression. The envelope therefore reflects the true statistical behavior of price rather than an arbitrary distance. Inner hysteresis band Inside the main envelope, an inner band is constructed using a hysteresis fraction. This inner zone is used to stabilize regime transitions: It prevents rapid flipping between bullish and bearish states. It allows trends to persist unless price meaningfully invalidates them. It reduces whipsaws in sideways conditions. Trend regime logic The indicator operates with three regime states: Bullish Bearish Neutral Regime changes are confirmed using a configurable number of bars outside the adaptive envelope: A bullish regime is confirmed when price closes above the upper envelope for the required number of bars. A bearish regime is confirmed when price closes below the lower envelope for the required number of bars. A trend exits back to neutral when price reverts through the trend spine. This structure ensures that trends are confirmed by sustained pressure rather than single-bar spikes. Active trend line Once a regime is active, the indicator plots a single dominant trend line: In a bullish regime, the lower envelope becomes the active trend support. In a bearish regime, the upper envelope becomes the active trend resistance. In neutral conditions, price itself is used as a placeholder. This creates a simple, actionable visual reference for trend-following decisions. Directional energy visualization The indicator uses layered fills to visualize directional pressure: Bullish energy fills appear when price holds above the active trend line. Bearish energy fills appear when price holds below the active trend line. Opacity gradients communicate strength and persistence rather than binary states. A subtle “rim” effect is added using ATR-based offsets to give depth and reinforce the active side of the trend without cluttering the chart. Signals and trend starts Discrete signals are generated only when a new trend regime begins: Buy signals appear at the first confirmed transition into a bullish regime. Sell signals appear at the first confirmed transition into a bearish regime. Signals are intentionally sparse. They are designed to mark regime shifts, not every pullback or continuation, making them suitable for higher-quality trend entries rather than frequent trading. Candle coloring Optional candle coloring reinforces regime context: Bullish regimes tint candles toward the bullish color. Bearish regimes tint candles toward the bearish color. Neutral states remain visually muted. This allows the chart to communicate trend state even when the envelope itself is partially hidden or de-emphasized. Alerts Built-in alerts are provided for key trend events: Bull trend start. Bear trend start. Transition from trend to neutral. Price crossing the trend spine. These alerts support hands-off trend monitoring across multiple instruments and timeframes. How to use it for trend following Trend identification Only trade in the direction of the active regime. Ignore counter-trend signals during confirmed trends. Entry alignment Use the first regime signal as a structural entry. Use pullbacks toward the active trend line as continuation opportunities. Trend management As long as price respects the active envelope boundary, the trend remains valid. A move back through the spine signals loss of trend structure. Market filtering Periods where the indicator remains neutral highlight non-trending environments. This helps avoid forcing trades during chop or compression. Adaptive Trend Envelope is designed to behave like a living trend structure. Instead of forcing price into static rules, it adapts to volatility, confirms direction through sustained pressure, and presents trend information in a clean, readable form that supports disciplined trend-following workflows.
Индикатор Pine Script®
от BackQuant
12
DeeptestDeeptest: Quantitative Backtesting Library for Pine Script ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ OVERVIEW Deeptest is a Pine Script library that provides quantitative analysis tools for strategy backtesting. It calculates over 100 statistical metrics including risk-adjusted return ratios (Sharpe, Sortino, Calmar), drawdown analysis, Value at Risk (VaR), Conditional VaR, and performs Monte Carlo simulation and Walk-Forward Analysis. █ WHY THIS LIBRARY MATTERS Pine Script is a simple yet effective coding language for algorithmic and quantitative trading. Its accessibility enables traders to quickly prototype and test ideas directly within TradingView. However, the built-in strategy tester provides only basic metrics (net profit, win rate, drawdown), which is often insufficient for serious strategy evaluation. Due to this limitation, many traders migrate to alternative backtesting platforms that offer comprehensive analytics. These platforms require other language programming knowledge, environment setup, and significant time investment—often just to test a simple trading idea. Deeptest bridges this gap by bringing institutional-level quantitative analytics directly to Pine Script. Traders can now perform sophisticated analysis without leaving TradingView or learning complex external platforms. All calculations are derived from strategy.closedtrades.* , ensuring compatibility with any existing Pine Script strategy. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ ORIGINALITY AND USEFULNESS This library is original work that adds value to the TradingView community in the following ways: 1. Comprehensive Metric Suite: Implements 112+ statistical calculations in a single library, including advanced metrics not available in TradingView's built-in tester (p-value, Z-score, Skewness, Kurtosis, Risk of Ruin). 2. Monte Carlo Simulation: Implements trade-sequence randomization to stress-test strategy robustness by simulating 1000+ alternative equity curves. 3. Walk-Forward Analysis: Divides historical data into rolling in-sample and out-of-sample windows to detect overfitting by comparing training vs. testing performance. 4. Rolling Window Statistics: Calculates time-varying Sharpe, Sortino, and Expectancy to analyze metric consistency throughout the backtest period. 5. Interactive Table Display: Renders professional-grade tables with color-coded thresholds, tooltips explaining each metric, and period analysis cards for drawdowns/trades. 6. Benchmark Comparison: Automatically fetches S&P 500 data to calculate Alpha, Beta, and R-squared, enabling objective assessment of strategy skill vs. passive investing. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ KEY FEATURES Performance Metrics Net Profit, CAGR, Monthly Return, Expectancy Profit Factor, Payoff Ratio, Sample Size Compounding Effect Analysis Risk Metrics Sharpe Ratio, Sortino Ratio, Calmar Ratio (MAR) Martin Ratio, Ulcer Index Max Drawdown, Average Drawdown, Drawdown Duration Risk of Ruin, R-squared (equity curve linearity) Statistical Distribution Value at Risk (VaR 95%), Conditional VaR Skewness (return asymmetry) Kurtosis (tail fatness) Z-Score, p-value (statistical significance testing) Trade Analysis Win Rate, Breakeven Rate, Loss Rate Average Trade Duration, Time in Market Consecutive Win/Loss Streaks with Expected values Top/Worst Trades with R-multiple tracking Advanced Analytics Monte Carlo Simulation (1000+ iterations) Walk-Forward Analysis (rolling windows) Rolling Statistics (time-varying metrics) Out-of-Sample Testing Benchmark Comparison Alpha (excess return vs. benchmark) Beta (systematic risk correlation) Buy & Hold comparison R-squared vs. benchmark ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ QUICK START Basic Usage //@version=6 strategy("My Strategy", overlay=true) // Import the library import Fractalyst/Deeptest/1 as * // Your strategy logic fastMA = ta.sma(close, 10) slowMA = ta.sma(close, 30) if ta.crossover(fastMA, slowMA) strategy.entry("Long", strategy.long) if ta.crossunder(fastMA, slowMA) strategy.close("Long") // Run the analysis DT.runDeeptest() ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ METRIC EXPLANATIONS The Deeptest table displays 23 metrics across the main row, with 23 additional metrics in the complementary row. Each metric includes detailed tooltips accessible by hovering over the value. Main Row — Performance Metrics (Columns 0-6) Net Profit — (Final Equity - Initial Capital) / Initial Capital × 100 — >20%: Excellent, >0%: Profitable, <0%: Loss — Total return percentage over entire backtest period Payoff Ratio — Average Win / Average Loss — >1.5: Excellent, >1.0: Good, <1.0: Losses exceed wins — Average winning trade size relative to average losing trade. Breakeven win rate = 100% / (1 + Payoff) Sample Size — Count of closed trades — >=30: Statistically valid, <30: Insufficient data — Number of completed trades. Includes 95% confidence interval for win rate in tooltip Profit Factor — Gross Profit / Gross Loss — >=1.5: Excellent, >1.0: Profitable, <1.0: Losing — Ratio of total winnings to total losses. Uses absolute values unlike payoff ratio CAGR — (Final / Initial)^(365.25 / Days) - 1 — >=10%: Excellent, >0%: Positive growth — Compound Annual Growth Rate - annualized return accounting for compounding Expectancy — Sum of all returns / Trade count — >0.20%: Excellent, >0%: Positive edge — Average return per trade as percentage. Positive expectancy indicates profitable edge Monthly Return — Net Profit / (Months in test) — >0%: Profitable month average — Average monthly return. Geometric monthly also shown in tooltip Main Row — Trade Statistics (Columns 7-14) Avg Duration — Average time in position per trade — Mean holding period from entry to exit. Influenced by timeframe and trading style Max CW — Longest consecutive winning streak — Maximum consecutive wins. Expected value = ln(trades) / ln(1/winRate) Max CL — Longest consecutive losing streak — Maximum consecutive losses. Important for psychological risk tolerance Win Rate — Wins / Total Trades — Higher is better — Percentage of profitable trades. Breakeven win rate shown in tooltip BE Rate — Breakeven Trades / Total Trades — Lower is better — Percentage of trades that broke even (neither profit nor loss) Loss Rate — Losses / Total Trades — Lower is better — Percentage of unprofitable trades. Together with win rate and BE rate, sums to 100% Frequency — Trades per month — Trading activity level. Displays intelligently (e.g., "12/mo", "1.5/wk", "3/day") Exposure — Time in market / Total time × 100 — Lower = less risk — Percentage of time the strategy had open positions Main Row — Risk Metrics (Columns 15-22) Sharpe Ratio — (Return - Rf) / StdDev × sqrt(Periods) — >=3: Excellent, >=2: Good, >=1: Fair, <1: Poor — Measures risk-adjusted return using total volatility. Annualized using sqrt(252) for daily Sortino Ratio — (Return - Rf) / DownsideDev × sqrt(Periods) — >=2: Excellent, >=1: Good, <1: Needs improvement — Similar to Sharpe but only penalizes downside volatility. Can be higher than Sharpe Max DD — (Peak - Trough) / Peak × 100 — <5%: Excellent, 5-15%: Moderate, 15-30%: High, >30%: Severe — Largest peak-to-trough decline in equity. Critical for risk tolerance and position sizing RoR — Risk of Ruin probability — <1%: Excellent, 1-5%: Acceptable, 5-10%: Elevated, >10%: Dangerous — Probability of losing entire trading account based on win rate and payoff ratio R² — R-squared of equity curve vs. time — >=0.95: Excellent, 0.90-0.95: Good, 0.80-0.90: Moderate, <0.80: Erratic — Coefficient of determination measuring linearity of equity growth MAR — CAGR / |Max Drawdown| — Higher is better, negative = bad — Calmar Ratio. Reward relative to worst-case loss. Negative if max DD exceeds CAGR CVaR — Average of returns below VaR threshold — Lower absolute is better — Conditional Value at Risk (Expected Shortfall). Average loss in worst 5% of outcomes p-value — Binomial test probability — <0.05: Significant, 0.05-0.10: Marginal, >0.10: Likely random — Probability that observed results are due to chance. Low p-value means statistically significant edge Complementary Row — Extended Metrics Compounding — (Compounded Return / Total Return) × 100 — Percentage of total profit attributable to compounding (position sizing) Avg Win — Sum of wins / Win count — Average profitable trade return in percentage Avg Trade — Sum of all returns / Total trades — Same as Expectancy (Column 5). Displayed here for convenience Avg Loss — Sum of losses / Loss count — Average unprofitable trade return in percentage (negative value) Martin Ratio — CAGR / Ulcer Index — Similar to Calmar but uses Ulcer Index instead of Max DD Rolling Expectancy — Mean of rolling window expectancies — Average expectancy calculated across rolling windows. Shows consistency of edge Avg W Dur — Avg duration of winning trades — Average time from entry to exit for winning trades only Max Eq — Highest equity value reached — Peak equity achieved during backtest Min Eq — Lowest equity value reached — Trough equity point. Important for understanding worst-case absolute loss Buy & Hold — (Close_last / Close_first - 1) × 100 — >0%: Passive profit — Return of simply buying and holding the asset from backtest start to end Alpha — Strategy CAGR - Benchmark CAGR — >0: Has skill (beats benchmark) — Excess return above passive benchmark. Positive alpha indicates genuine value-added skill Beta — Covariance(Strategy, Benchmark) / Variance(Benchmark) — <1: Less volatile than market, >1: More volatile — Systematic risk correlation with benchmark Avg L Dur — Avg duration of losing trades — Average time from entry to exit for losing trades only Rolling Sharpe/Sortino — Dynamic based on win rate — >2: Good consistency — Rolling metric across sliding windows. Shows Sharpe if win rate >50%, Sortino if <=50% Curr DD — Current drawdown from peak — Lower is better — Present drawdown percentage. Zero means at new equity high DAR — CAGR adjusted for target DD — Higher is better — Drawdown-Adjusted Return. DAR^5 = CAGR if max DD = 5% Kurtosis — Fourth moment / StdDev^4 - 3 — ~0: Normal, >0: Fat tails, <0: Thin tails — Measures "tailedness" of return distribution (excess kurtosis) Skewness — Third moment / StdDev^3 — >0: Positive skew (big wins), <0: Negative skew (big losses) — Return distribution asymmetry VaR — 5th percentile of returns — Lower absolute is better — Value at Risk at 95% confidence. Maximum expected loss in worst 5% of outcomes Ulcer — sqrt(mean(drawdown^2)) — Lower is better — Ulcer Index - root mean square of drawdowns. Penalizes both depth AND duration ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ MONTE CARLO SIMULATION Purpose Monte Carlo simulation tests strategy robustness by randomizing the order of trades while keeping trade returns unchanged. This simulates alternative equity curves to assess outcome variability. Method Extract all historical trade returns Randomly shuffle the sequence (1000+ iterations) Calculate cumulative equity for each shuffle Build distribution of final outcomes Output The stress test table shows: Median Outcome: 50th percentile result 5th Percentile: Worst 5% of outcomes 95th Percentile: Best 95% of outcomes Success Rate: Percentage of simulations that were profitable Interpretation If 95% of simulations are profitable: Strategy is robust If median is far from actual result: High variance/unreliability If 5th percentile shows large loss: High tail risk ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ WALK-FORWARD ANALYSIS Purpose Walk-Forward Analysis (WFA) is the gold standard for detecting strategy overfitting. It simulates real-world trading by dividing historical data into rolling "training" (in-sample) and "validation" (out-of-sample) periods. A strategy that performs well on unseen data is more likely to succeed in live trading. Method The implementation uses a non-overlapping window approach following AmiBroker's gold standard methodology: Segment Calculation: Total trades divided into N windows (default: 12), IS = ~75%, OOS = ~25%, Step = OOS length Window Structure: Each window has IS (training) followed by OOS (validation). Each OOS becomes the next window's IS (rolling forward) Metrics Calculated: CAGR, Sharpe, Sortino, MaxDD, Win Rate, Expectancy, Profit Factor, Payoff Aggregation: IS metrics averaged across all IS periods, OOS metrics averaged across all OOS periods Output IS CAGR: In-sample annualized return OOS CAGR: Out-of-sample annualized return ( THE key metric ) IS/OOS Sharpe: In/out-of-sample risk-adjusted return Success Rate: % of OOS windows that were profitable Interpretation Robust: IS/OOS CAGR gap <20%, OOS Success Rate >80% Some Overfitting: CAGR gap 20-50%, Success Rate 50-80% Severe Overfitting: CAGR gap >50%, Success Rate <50% Key Principles: OOS is what matters — Only OOS predicts live performance Consistency > Magnitude — 10% IS / 9% OOS beats 30% IS / 5% OOS Window count — More windows = more reliable validation Non-overlapping OOS — Prevents data leakage ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ TABLE DISPLAY Main Table — Organized into three sections: Performance Metrics (Cols 0-6): Net Profit, Payoff, Sample Size, Profit Factor, CAGR, Expectancy, Monthly Trade Statistics (Cols 7-14): Avg Duration, Max CW, Max CL, Win, BE, Loss, Frequency, Exposure Risk Metrics (Cols 15-22): Sharpe, Sortino, Max DD, RoR, R², MAR, CVaR, p-value Color Coding 🟢 Green: Excellent performance 🟠 Orange: Acceptable performance ⚪ Gray: Neutral / Fair 🔴 Red: Poor performance ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ IMPLEMENTATION NOTES Data Source: All metrics calculated from strategy.closedtrades , ensuring compatibility with any Pine Script strategy Calculation Timing: All calculations occur on barstate.islastconfirmedhistory to optimize performance Limitations: Requires at least 1 closed trade for basic metrics, 30+ trades for reliable statistical analysis ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ QUICK NOTES ➙ This library has been developed and refined over two years of real-world strategy testing. Every calculation has been validated against industry-standard quantitative finance references. ➙ The entire codebase is thoroughly documented inline. If you are curious about how a metric is calculated or want to understand the implementation details, dive into the source code -- it is written to be read and learned from. ➙ This description focuses on usage and concepts rather than exhaustively listing every exported type and function. The library source code is thoroughly documented inline -- explore it to understand implementation details and internal logic. ➙ All calculations execute on barstate.islastconfirmedhistory to minimize runtime overhead. The library is designed for efficiency without sacrificing accuracy. ➙ Beyond analysis, this library serves as a learning resource. Study the source code to understand quantitative finance concepts, Pine Script advanced techniques, and proper statistical methodology. ➙ Metrics are their own not binary good/bad indicators. A high Sharpe ratio with low sample size is misleading. A deep drawdown during a market crash may be acceptable. Study each function and metric individually -- evaluate your strategy contextually, not by threshold alone. ➙ All strategies face alpha decay over time. Instead of over-optimizing a single strategy on one timeframe and market, build a diversified portfolio across multiple markets and timeframes. Deeptest helps you validate each component so you can combine robust strategies into a trading portfolio. ➙ Screenshots shown in the documentation are solely for visual representation to demonstrate how the tables and metrics will be displayed. Please do not compare your strategy's performance with the metrics shown in these screenshots -- they are illustrative examples only, not performance targets or benchmarks. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ HOW-TO Using Deeptest is intentionally straightforward. Just import the library and call DT.runDeeptest() at the end of your strategy code in main scope. . //@version=6 strategy("My Strategy", overlay=true) // Import the library import Fractalyst/Deeptest/1 as DT // Your strategy logic fastMA = ta.sma(close, 10) slowMA = ta.sma(close, 30) if ta.crossover(fastMA, slowMA) strategy.entry("Long", strategy.long) if ta.crossunder(fastMA, slowMA) strategy.close("Long") // Run the analysis DT.runDeeptest() And yes... it's compatible with any TradingView Strategy! 🪄 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ CREDITS Author: @Fractalyst Font Library: by @fikira - @kaigouthro - @Duyck Community: Inspired by the @PineCoders community initiative, encouraging developers to contribute open-source libraries and continuously enhance the Pine Script ecosystem for all traders. if you find Deeptest valuable in your trading journey, feel free to use it in your strategies and give a shoutout to @Fractalyst -- Your recognition directly supports ongoing development and open-source contributions to Pine Script. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ █ DISCLAIMER This library is provided for educational and research purposes. Past performance does not guarantee future results. Always test thoroughly and use proper risk management. The author is not responsible for any trading losses incurred through the use of this code.
Библиотека Pine Script®
от Fractalyst
20
FX Rate Bias US vs EU 2YFX Rate Bias – US vs EU (2Y) This indicator provides a macro bias framework for FX markets by tracking the 2-year government bond yield differential between the United States and Germany. Rather than displaying the spread as a raw calculation, the script translates interest-rate expectations into a clear directional bias, helping traders understand which currency currently holds a rate advantage. The 2Y segment of the yield curve is highly sensitive to: Central bank expectations Forward guidance Shifts in short-term monetary policy outlook How to use Positive spread → USD rate advantage Negative spread → EUR rate advantage Designed to be used as a contextual macro tool, this indicator helps align technical setups with broader monetary conditions. It is not intended as a standalone entry or signal generator.
Индикатор Pine Script®
от emiurz
MADZ - Moving Average Deviation Z-ScoreMADZ - Moving Average Deviation Z-Score MADZ is a powerful valuation oscillator that measures how far the current price has deviated from a user-selected moving average, expressed in statistical terms as a Z-Score. This normalization makes it easier to identify overvalued and undervalued conditions across different assets, timeframes, and market environments. Overview The indicator works by: Calculating the percentage deviation of price from a customizable moving average (SMA, EMA, WMA, VWMA, HMA, or RMA). Applying a Z-Score transformation to this deviation over a chosen lookback period — showing how many standard deviations the current deviation is from its historical average. Smoothing the result for a clean, responsive oscillator centered around zero. Positive values indicate price is trading above the moving average (potentially overvalued), while negative values suggest price is below (potentially undervalued). The further from zero, the greater the relative valuation extreme. Key Features Customizable base moving average (type and length) Z-Score normalization for statistically meaningful readings Final smoothing for reduced noise Static overbought/oversold levels (default ±1.5) — line changes color when crossed (red above, green below) Dynamic extreme bands (±3σ) — optional display of bands calculated from the oscillator’s own volatility over a user-defined period Extreme zone highlighting — background shading activates only during truly rare valuation events Extreme Zone Highlighting Explained The highlighted extreme zones (background shading) are not based on the fixed static levels. Instead, they signal statistically significant outliers using dynamic bands: Overbought extreme zone (red background): Triggered when MADZ rises above the upper dynamic band (+3 standard deviations of the MADZ line itself over the dynamic length period). Oversold extreme zone (green background): Triggered when MADZ falls below the lower dynamic band (-3 standard deviations). These ±3σ bands adapt to the recent behavior of the oscillator. Because they represent three standard deviations from the mean of MADZ, crossings are rare and often precede major reversals or trend accelerations — making them valuable for spotting potential turning points in valuation extremes. How to Use Use zero-line crosses for trend changes or mean-reversion setups. Watch static level crossings (±1.5 default) for early overbought/oversold warnings. Pay special attention to extreme zone shading — these highlight high-conviction valuation dislocations that may offer superior risk/reward opportunities. Designed on the BTC chart, but can be used on other assets. Settings Moving Average Settings: Type, length, source Z-Score & Smoothing: Lookback period and smoothing length Threshold Levels: Static overbought/oversold thresholds Display Options: Toggle dynamic bands and extreme background highlighting This is an educational tool designed to aid in valuation analysis. The information provided is not financial advice. Always conduct your own research and consider multiple factors before making trading decisions. Trade at your own risk.
Индикатор Pine Script®
от MiesOnCharts
Institutional Intermarket Score PRO V3.3 (Presets)This indicator is built on an unusual, non-traditional intermarket concept and is designed to provide market context rather than trading signals. Institutional Intermarket Score – Indicator Description Overview The Institutional Intermarket Score is a contextual market indicator designed to provide a macro and intermarket perspective on the current market environment. It aggregates information from multiple user-selected correlated and inversely correlated assets to determine whether the broader market context favors risk-on, risk-off, or neutral conditions. This indicator is not a buy or sell signal. It does not attempt to predict short-term price movements, entries, or exits. Its sole purpose is to help the trader understand the broader market context before making any trading decisions. Core Concept Markets do not move in isolation. Institutional participants continuously monitor multiple related markets to assess risk, liquidity, and conviction before deploying capital. This indicator replicates that process by: Monitoring several correlated assets (assets that tend to move in the same direction) Monitoring several inversely correlated assets (assets that typically move in the opposite direction) Combining their behavior into a single, normalized intermarket score The result is a context filter, not a trading system. Asset Groups The indicator supports up to: 5 correlated assets 5 inversely correlated assets All assets are fully configurable by the user and can be enabled or disabled individually. Only active assets are included in all calculations. Market State Evaluation Each asset is evaluated using a Price vs VWAP relationship: Price above VWAP → bullish state Price below VWAP → bearish state This binary state is used consistently across all assets to maintain clarity and robustness. Intermarket Score ---------------------- The Intermarket Score represents the average directional alignment of all active assets and is normalized between -1 and +1. Positive values indicate a risk-on environment Negative values indicate a risk-off environment Values near zero indicate balance, rotation, or uncertainty The score is smoothed to reduce noise and highlight regime persistence rather than short-term fluctuations. Confirmation Metric (X / Y) ---------------------------------- In addition to the score, the indicator calculates a confirmation ratio: Y = total number of active assets X = number of assets aligned with the current regime Alignment is evaluated relative to the current regime: In bullish regimes, assets above VWAP confirm In bearish regimes, assets below VWAP confirm This metric reflects the quality and conviction of the intermarket consensus. High confirmation indicates broad agreement across markets. Low confirmation indicates divergence, uncertainty, or fragile conditions. Heatmap ----------- A compact heatmap visually displays the state of each individual asset: Green indicates alignment with the regime Red indicates opposition Neutral indicates inactive assets This allows immediate identification of: Which markets are confirming Which markets are diverging Whether consensus is broad or fragmented Intended Use ---------------- This indicator is designed to be used: Before evaluating trade setups As a filter, not a trigger In combination with price action, structure, and risk management Typical applications include: Avoiding trades against the broader market context Distinguishing strong trends from fragile moves Identifying periods of institutional alignment or hesitation What This Indicator Is Not It is not a buy or sell indicator It does not provide entry or exit signals It does not predict price direction on its own It does not guarantee profitable trades Any trading decisions remain entirely the responsibility of the user. Summary The Institutional Intermarket Score provides a high-level market image based on assets selected by the user. It reflects context, alignment, and conviction, not timing. Used correctly, it helps traders avoid low-quality trades, understand when markets are aligned or fragmented, and make decisions with greater awareness of the broader environment. It is a decision support tool, not a trading system. This indicator, is still evolving and its structure will continue to develop as new insights are tested...
Индикатор Pine Script®
от ueuito
NY Opening Range [LuckyAlgo] This custom ORM (Opening Range Move) indicator is designed as a tool for traders who focus not just on where a range is, but on the magnitude of the expansion following the initial morning volatility. Here is a summary of the indicator and how it differentiates itself from standard Opening Range Breakout (ORB) tools. Indicator Summary The script captures the high and low of the market during the first 30 minutes of the NY session (09:30–10:00 AM EST). Once this range is set, it tracks the "Expansion Move" - the point distance from the range's boundary to the current session's high or low. It visualizes this through color-coded zones, dynamic labels at the session extremes, and a statistical table that benchmarks today's volatility against the recent past. What specific questions does this indicator answer? While most indicators tell you "the range is broken," this indicator answers quantitative questions vital for trade management: 1. "How far has the market stretched relative to the breakout?" The indicator provides the exact point distance (+/-) from the range high/low. This helps you determine if the move is just beginning or if it has already extended significantly. 2. "Is the current move 'normal' or an outlier?" By using the Stats Table, you can see if the current 40-point move on NQ is typical or if the average move over the last 10 days is actually 80 points. This prevents you from "fading" a move that still has average room to grow, or taking a "pro-trend" trade when the market is already exhausted. 3. "Where is the session extreme located?" The inclusion of the dashed High of Day (HOD) and Low of Day (LOD) lines with attached labels tells you exactly where the "Move" calculation is peaking. If the HOD line hasn't moved for two hours, you know the bullish expansion has stalled. 4. "When is the data no longer relevant?" Because of the 17:00 EST reset logic, the indicator answers the "end of day" question for futures traders. It stops measuring at the settlement/close of the electronic session, ensuring your charts are clean for the overnight (Globex) session or ready for the next morning. Technical Advantage Most scripts use a single "point in time" to reset. This script uses a Trading Window logic, which is much more robust. If a bar is missing at exactly 17:00 due to low volume or a data glitch, the indicator won't "break" or keep drawing old lines - it understands the entire window of time it is allowed to exist in. Credit to @LuxAlgo for his initial Opening Range Breakout indicator used as a base to develop this version.
Индикатор Pine Script®
от LuckyAlgo