This script looks to distinguish replicable sequences and correlations between releases and price. The indicator calculates the average 1-session to 20-session performance of an asset prior to an release, and the 1-session to 20-session performance of an asset subsequent an 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 surprise, miss, and in general. 20 sessions is the maximum value!
Also measured is the average performance of an asset before and after , in addition to the average performance following an surprise "green earnings" and the average performance following an 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 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 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 misses, or may have only traded publicly for a short while. If true, the resulting /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!
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.
Added a few volume measures
Added calculations for Q1, Q2, Q3, and Q4 earnings releases.
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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