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!
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!
릴리즈 노트:
Fixed a label size issue
릴리즈 노트:
Got a bit creative with plots - added a diamond line to help visualize the VaR price level and the corresponding CVaR price level.
릴리즈 노트:
Improved VaR and CVaR plot
릴리즈 노트:
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.
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.
릴리즈 노트:
Color additions
릴리즈 노트:
Included fundamental ratios/statistics. These labels, and accompanying lines, can be hidden in the user inputs tab!
릴리즈 노트:
릴리즈 노트:
Added a few volume measures
Added a few volume measures
릴리즈 노트:
Added more fundamental statistics. There is an options to hide the blue labels in the user input tab
릴리즈 노트:
Added calculations for Q1, Q2, Q3, and Q4 earnings releases.
Added calculations for Q1, Q2, Q3, and Q4 earnings releases.
릴리즈 노트:
Fixed a dashed line
릴리즈 노트:
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.
Fiscal quarters are highlighted during the period, in addition to a description - "surprise" or "miss" - of the company's earnings performance during that quarter.
릴리즈 노트:
Added earnings actual and earnings estimate number in the top right.
릴리즈 노트:
The script will now stamp the year/month/day that earnings occur!
릴리즈 노트:
Worked on aesthetics - a checkmark appear when a company exceeds earnings estimates; an "X" appears when a company underperforms estimates.
릴리즈 노트:
Included additional volume measures for ER sessions, and sessions within close proximity of ER sessions, which can be adjusted in the user input tab!
릴리즈 노트:
Compliant with memory calculation changes
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