Portfolio Metrics... Standard Deviation Jensen's Alpha Beta Expected Return (CAPM, Ra) Sharpe Ratio Treynor Ratio
Hello traders, today I wanted to present you something special. I present you the Exertion Meter! Created from scratch, this idea is based on a theory of mine called "Exertion". Exertion occurs when price moves beyond the previous bar's range thus it has "exerted itself". The idea is that when price moves a lot, it exerts a lot of energy which eventually leads...
This indicator plots Standard deviation levels and Fib. Pivot Points. I prefer to use only SD levels but Fib. levels also come handy in providing support and resistance. How to use this indicator: You have to manually enter instrument's Closing Price / Settlement Price and VIX closing price to draw each day's levels. For NQ, I use VXN closign price and for ES...
A new idea of mine that I am presently experimenting on for my trades. The DVI bands is based on my previously published DVI script: The Directional Volume Index (DVI) is defined as follows: DVI = VWMA (len1) - SMA (len2), where by default, len1==len2 The position of the DVI above/below the current price provides volume confirmation of the direction...
This indicator is standard deviation bands using a live analysis adaptation of Richard Arms' Volume Adjusted Moving Average as their basis. VAMA utilizes a period length that is based on volume increments rather than time. • SampleN - N volume bars used as sample to calculate average volume , 0 equals all bars. • VAMA Source - Price used for volume...
Indicator tracks percentage distance between current price and its historical deviations, to produce premium and discount zones, suggest mean reversions,cooldowns and pullbacks Script so far is traditional,simple, and straight forward ,tinkered it real quick on friend request after failing to find properly done and intuitive work on Bollinger Bands % in pine...
As a second alternatively based trendline script this is the Standard Deviation vesrion. This script draws trendlines from the pivot points in the price chart. The angle of the trendlines is determined by (a percentage of) the Standard Deviation. The angle follows the change in price, compared to the StDev at the moment where the pivot point is detected The...
VWAP Standard Deviation Multi-Time Frame indicator shows VWAP , 1 standard deviation price from the VWAP, 2 standard deviation price from the VWAP and 3 standard deviation price from the VWAP These lines are value regions and usually act as great support and resistance . For best results allow the VWAP to develop in the beginning of the time frame, for almost...
The Trend Analysis Indicator was created by Adam White (Stocks & Commodities V. 10:8 (358-360)) and this is not to be confused with the Trend Analysis Index which was also created by Adam White. The stock is trending when it is above the signal and loses steam when it falls below the signal. Generally you should buy when it is above it's signal and sell when it...
The Variable Length Moving Average was created by George R. Arrington Ph.D. (Stocks & Commodities V. 9:6 (219-223)) and I'm really loving this indicator. It is a great moving average that hugs the price very closely and it is fully adjustable to your needs. It detects signals extremely well and I have color coded the moving average line to make it very easy to...
BACKGROUND McMillan Volatility Bands are an alternative approach to John Bollinger's "Bollinger Band" study and developed by world-renowned options trader and author Lawrence G. McMillan. Given his background in options trading, it was natural for Lawrence to approach any volatility-based study in the same manner options are priced --using Black-Scholes model....
This moving average was originally developed by professor Andreas Uhl in 2005 (The paper in German: www.buero-uhl.de). Here is the guy himself: wavelab.at The strength of the CMA is that the current value of the time series must exceed the current volatility-dependent threshold, so that the filter increases or falls, avoiding false signals in weak phases. The...
This indicator shows a Key Level Support & Resistance level and VWAP that reset on your choice of the Bitcoin's halving date. Optional Key Calculation Mode: - Start with first (2012) or second (2016) halving date. - Start with first and reset on the second (Halving to halving mode) - Start with every next halving simultaneously (Halving + halving mode) Labels...
This indicator shows a Key Level Support & Resistance level and VWAP that resets on your choice of the stock's Earnings , Dividends or Splits release date. A maximum of 8 bands calculated using a factor of the anchored VWAP's standard deviation can be displayed. Note The script is designed for stock-trading only. Credits Inspired by timwest , LazyBear 's ...
This script creates a STDEV in a candle format so you can see the Change in a candle format and compare it with the actual price candle. Is very similar to SMU RSI and SMU ROC. The interesting part is to see the full effect of traditional indicators in a candle format rather than a simple plot format. Very interesting view in SPX. There is a very big clue in the...
This is a fun little project that allows you to anchor the Volume Weighed Average Price (VWAP) to a specific day and plot up to 4 standard deviations up or down. I've also added a Volume Weighted Moving Average (VWMA) plot and accompanying cloud to more easily visualize how volume-based momentum affects trends. Typically, you'll see price respecting the VWMA...
█ WARNING Improvements to the following Pine built-ins have deprecated the vast majority of this publication's functions, as the built-ins now accept "series int" `length` arguments: ta.wma() ta.linreg() ta.variance() ta.stdev() ta.correlation() NOTE For an EMA function that allows a "series int" argument for `length`, please see `ema2()` in...
Has alerts for the TD 9 function, also the black is Z score and blue is STD Dev Also the moon functionality of Ichimoonku is built into this as well because sometimes I just want to see the cycles of moon with TD9 ; see that script (Ichimoonku) for more info on moon functionality. Much love Enjoy GL HF xoxo Snoop