Earnings Price Move Cheat Sheet [KT]

업데이트됨

Hello!
This script looks to distinguish replicable sequences and correlations between earnings releases and price. The indicator calculates the average 1-session to 20-session performance of an asset prior to an earnings release, and the 1-session to 20-session performance of an asset subsequent an earnings release.

You can select the number of sessions the script calculates for asset performance.

In the image above the script calculates the average 1-session performance following an earnings surprise, earnings miss, and in general. 20 sessions is the maximum value!

Also measured is the average performance of an asset before and after earnings, in addition to the average performance following an earnings surprise "green earnings" and the average performance following an earnings miss "red earnings".

I included VaR and CVaR calculations - using the historical method - in the script. For those of you unfamiliar with the metrics, both look to quantify the risk of financial loss for a portfolio, or even a particular position.

The script also calculates the 1st - 5th percentile for earnings losses. A more comprehensive explanation of the metrics is stored in tooltips in the user input tab.

The script also calculates the highest high and lowest low following an earnings release, up to 20 sessions, and calculates the difference between the two.

Keep in mind that a company might not have a significant number of earnings misses, or may have only traded publicly for a short while. If true, the resulting earnings/price calculations *will* be misleading - there is an insufficient sample size; no correlations are ascertainable.

I will be working on this script more, so let me know if there is anything you would like included!

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Fixed a label size issue

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Got a bit creative with plots - added a diamond line to help visualize the VaR price level and the corresponding CVaR price level.

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Improved VaR and CVaR plot

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Made use of Pine's new table.merge_cells feature to spice up the table!

Included an option to plot VaR and CVaR lines across all historical price data.

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Color additions

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Included fundamental ratios/statistics. These labels, and accompanying lines, can be hidden in the user inputs tab!

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Added a few volume measures

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Added more fundamental statistics. There is an options to hide the blue labels in the user input tab

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Added calculations for Q1, Q2, Q3, and Q4 earnings releases.

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Fixed a dashed line

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Added some cool features in the top right corner of the chart!

Fiscal quarters are highlighted during the period, in addition to a description - "surprise" or "miss" - of the company's earnings performance during that quarter.

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Added earnings actual and earnings estimate number in the top right.

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The script will now stamp the year/month/day that earnings occur!

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Worked on aesthetics - a checkmark appear when a company exceeds earnings estimates; an "X" appears when a company underperforms estimates.

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Included additional volume measures for ER sessions, and sessions within close proximity of ER sessions, which can be adjusted in the user input tab!

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Compliant with memory calculation changes

오픈 소스 스크립트

진정한 TradingView 정신에 따라, 이 스크립트의 저자는 트레이더들이 이해하고 검증할 수 있도록 오픈 소스로 공개했습니다. 저자에게 박수를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 출판물에서 이 코드를 재사용하는 것은 하우스 룰에 의해 관리됩니다. 님은 즐겨찾기로 이 스크립트를 차트에서 쓸 수 있습니다.