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펀더멘털 어낼리시스

Yield Curve Inversion IndicatorIntroduction The last time (as of this publishing) that this indicator detected an inverted interest rate yield curve was on February 20th, 2020 at 12:30pm EST, the afternoon before the S&P500 began one of its largest crashes in US history. The vast majority of major economic recessions since the 1950's have been preceded by an interest rate yield curve inversion. I created this indicator originally as an input to study the impacts of more conservative risk management on quantitative trading strategies following a yield curve inversion event. It is being shared with the community as a quick indicator to check to see the comparative status of short term and long term interest rates, and as an indicator where you can easily check to see if we are experiencing an inverted yield curve in real-time. Background of the significance of an inverted yield curve: "What an inverted yield curve really means is that most investors believe that short-term interest rates are going to fall sharply at some point in the future. As a practical matter, recessions usually cause interest rates to fall. Historically, inversions of the yield curve have preceded recessions in the U.S. Due to this historical correlation, the yield curve is often seen as a way to predict the turning points of the business cycle. When the yield curve inverts, short-term interest rates become higher than long-term rates. This type of yield curve is the rarest of the three main curve types and is considered to be a predictor of economic recession. Because of the rarity of yield curve inversions, they typically draw attention from all parts of the financial world." (www.investopedia.com) Settings and Usage This indicator pulls in pricing data from tickers that represent short term and long term interest rates, and compares them. The red line represents short term interest rates, and the green line represents long term interest rates. When the red line is above the green line, it indicates that we are experiencing a yield curve inversion. Small blue crosses also appear on the bottom of the indicator during an inversion to further highlight the event visually. This indicator pulls in the same information on the same two interest rate tickers regardless of what chart it is applied to. Other Thoughts This script uses the f_secureSecurity function as a best practice. For those that are versed in PineScript, code from this indicator could be adapted to be applied to an interest rate chart that allows custom alerts to be created the moment that there is an inverted interest rate yield curve.
Pine Script™ 인디케이터
TradeAutomation의
Percentile - Price vs FundamentalsThis is done in the same lines of below scripts Drawdown-Price-vs-Fundamentals Drawdown-Range Instead of using drawdown, here we are only plotting percentile of drawdown. Also added few more fundamental stats to the indicator. Also using part of the code from Random-Color-Generator/ to automatically generate colors. This in turn uses code from @RicardoSantos for convering color based on HSL to RGB This is how the study can be used: Study plots percentile of price and each of the listed fundamentals based on history. History can be chose All time or particular window. If any fundamental or price is near 100 - which means it is nearer to its peak. And if something is near its bottom, it is nearer to its 0th percentile. Price of the stock is considered undervalued based on historical levels when it is below most of the fundamentals. Price is considered overvalued based on historical levels when it is above all the fundamentals. Please note, being undervalued does not guarantee immediate mean reversion. Stocks can stay undervalued for prolonged time and can go further down. Similarly overvalued stock can stay overvalued for prolonged time before correcting itself or justifying the position. Hence, further discretion needs to be used while using this study. Few examples: AMZN seems to be trading in range and so are the fundamentals: MSFT at peak along with half of the fundamentals. But, debt levels are going up along with margins reducing. LPX is trading at 15% discount whereas most of the fundamentals are at the peak. FLGT price seems to have gone down further whereas fundamentals look pretty healthy.
Pine Script™ 인디케이터
Trendoscope의
8
Drawdown RangeHello death eaters, presenting a unique script which can be used for fundamental analysis or mean reversion based trades. Process of deriving this table is as below: Find out ATH for given day Calculate the drawdown from ATH for the day and drawdown percentage Based on the drawdown percentage, increment the count of basket which is based on input iNumber of ranges . For example, if number of ranges is 5, then there will be 5 baskets. First basket will fit drawdown percentage 0-20% and each subsequent ones will accommodate next 20% range. Repeat the process from start to last bar. Once done, table will plot how much percentage of days belong to which basket. For example, from the below chart of NASDAQ:AAPL We can deduce following, Historically stock has traded within 1% drawdown from ATH for 6.59% of time. This is the max amount of time stock has stayed in specific range of drawdown from ATH. Stock has traded at the drawdown range of 82-83% from ATH for 0.17% of time. This is the least amount of time the stock has stayed in specific range of drawdown from ATH. At present, stock is trading 2-3% below ATH and this has happened for about 2.46% of total days in trade Maximum drawdown the stock has suffered is 83% Lets take another example of NASDAQ:TSLA Stock is trading at 21-22% below ATH. But, historically the max drawdown range where stock has traded is within 0-1%. Now, if we make this range to show 20 divisions instead of 100, it will look something like this: Table suggests that stock is trading about 20-25% below ATH - which is right. But, table also suggests that stock has spent most number of days within this drawdown range when we divide it by 20 baskets instad of 100. I would probably wait for price to break out of this range before going long or short. At present, it seems a stage ranging stage. I might think about selling PUTs or covered CALLs outside this range. Similarly, if you look at AMEX:SPY , 36% of the time, price has stayed within 5% from ATH - makes it a compelling bull case!! NYSE:BABA is trading at 50-55% below ATH - which is the most it has retraced so far. In general, it is used to be within 15-20% from ATH NOW, Bit of explanation on input options. Number of Ranges : Says how many baskets the drawdown map needs to be divided into. Reference : You can take ATH as reference or chose a time window between which the highest need to be considered for drawdown. This can be useful for megacaps which has gone beyond initial phase of uncertainity. There is no point looking at 80% drawdown AAPL had during 1990s. More approriate to look at it post 2000s where it started making higher impact and growth. Cumulative Percentage : When this is unchecked, percentage division shows 0-nth percentage instad of percentage ranges. For example this is how it looks on SPY: We can see that SPY has remained within 6% from ATH for more than 50% of the time. Hope this is helpful. Happy trading :) PS: this can be used in conjunction with Drawdown-Price-vs-Fundamentals to pick value stocks at discounted price while also keeping an eye on range tendencies of it. Thanks to @mattX5 for the ideas and discussion today :)
Pine Script™ 인디케이터
Trendoscope의
12
Drawdown - Price vs FundamentalsIn this study, we are trying to compare drawdown from ATH of price and fundamentals to understand if price drawdown is really justifyable or if this is the buying opportunity. For example, NYSE:BABA in the chart below shows that price has come down by more than 50%. But, the fundamentals has not changed upto this extent. This may be viewed as buying opportunity from the eyes of fundamental based trader. Similarly NYSE:LPX is trading at 15% below ATH whereas fundamentals are at peak. This again can be considered as buying opportunity. NASDAQ:AAPL on the other hand is trading almost near ATH whereas fundamentals are having higher drawdown. Well, this is just one factor to consider. I am about to release another script which can demonstrate amount of time (in terms of percentage) instrument trades at certain drawdown range. This looks something like this: These two scripts can be used in conjunction to define your fundamental based trade. I can add more funcamentals to the list. But, the higher value of fundamental should correlate to better position. Hence we cannot use things such as PE (which inversely correlates to value). Also need to keep the factor which includes total number of shares in it so that it is not affected by share dilution. Hence, have considered Total Revenue per Share instead of Total Revenue in this script. Thanks to @mattX5 for suggesting fundamental based ideas in this line :)
Pine Script™ 인디케이터
Trendoscope의
4
Relative Fundamental ComparisonWhen dealing with stocks, I like to review basic fundamentals of the company. This script displays the fundamental ratios of base chart stock with three other stocks (I can’t increase the number due to security function limitations). I found it particularly important when dealing with an unknown company. I quickly compare the company with other industry leaders to get a comparative fundamental review. I am very new to Pinescript, so waiting for your comments and review.
Pine Script™ 인디케이터
tanayroy의
Financials on Chart█  OVERVIEW This indicator displays your choice of up to 9 fundamentals on your chart. █  FEATURES You can configure the following attributes of the display:  • Its position on your chart.  • Automatic or custom height and width of rows.  • The size and color of text.  • The default background color (you can override it with a custom color for individual values).  • Conversion of values expressed in USD to one of the major currencies. Financials are normally expressed in quote currency.      Conversion to other currencies is only done when the symbol's quote currency is USD.  • Choose if the currency used for the financials is displayed. Note that some financials are calculated values that are not expressed in currency units.   No currency will be displayed for these values.  • Abbreviate large values. For each value, you may:  • Pick one of the 222 financials available in Pine, or one of five values calculated from the financials (Market Cap, Earnings​ Yield​, P/B Ratio, P/E Ratio​ and Price-To-Sales Ratio).  • Choose a period (see the "i" icon near the first value's fields in the script's inputs for a list of exceptions).  • Specify the value's precision.  • Change the legend displayed with the value.  • Adjust the text's size.  • Use a custom background. █  LIMITATIONS When changing the indicator's inputs, allow a few seconds for the change to be reflected in the display. If your chart displays a symbol for which the configured financials cannot be fetched, an error will occur. Not all periods are available for all fundamentals or for all markets. What financial data is available in Pine? will give you an overview of the available periods for each value. The page also contains the formulas used for the five values we calculate from the financials. This page shows the typical reporting frequency for different countries . █  FINANCIALS See What is Financial Data? and Why does Financial Data differ from other sources? for more information on the data used by this indicator. This lists all the financials. Clicking on one will bring up more information about it: CALCULATED   Market Capitalization   Earnings Yield   Price Book Ratio   Price Earnings Ratio   Price-To-Sales Ratio INCOME STATEMENTS   After tax other income/expense   Average basic shares outstanding   Other COGS   Cost of goods   Deprecation and amortization   Diluted net income available to common stockholders   Diluted shares outstanding   Dilution adjustment   Discontinued operations   Basic EPS   Diluted EPS   EBIT   EBITDA   Equity in earnings   Gross profit   Taxes   Interest capitalized   Interest expense on debt   Non-controlling/minority interest   Net income before discontinued operations   Net income   Non-operating income, excl. interest expenses   Interest expense, net of interest capitalized   Non-operating interest income   Operating income   Operating expenses (excl. COGS)   Miscellaneous non-operating expense   Other operating expenses, total   Preferred dividends   Pretax equity in earnings   Pretax income   Research & development   Selling/general/admin expenses, other   Selling/general/admin expenses, total   Non-operating income, total   Total operating expenses   Total revenue   Unusual income/expense BALANCE​ SHEET​   Accounts payable   Accounts receivable - trade, net   Accrued payroll   Accumulated depreciation, total   Additional paid-in capital/Capital surplus   Tangible book value per share   Book value per share   Capitalized lease obligations   Capital and operating lease obligations   Cash & equivalents   Cash and short term investments   Common equity, total   Common stock par/Carrying value   Current portion of LT debt and capital leases   Deferred income, current   Deferred income, non-current   Deferred tax assets   Deferred tax liabilities   Dividends payable   Goodwill, net   Income tax payable   Net intangible assets   Inventories - finished goods   Inventories - progress payments & other   Inventories - raw materials   Inventories - work in progress   Investments in unconsolidated subsidiaries   Long term debt excl. lease liabilities   Long term debt   Long term investments   Note receivable - long term   Other long term assets, total   Minority interest   Notes payable   Operating lease liabilities   Other common equity   Other current assets, total   Other current liabilities   Other intangibles, net   Other investments   Other liabilities, total   Other receivables   Other short term debt   Paid in capital   Gross property/plant/equipment   Net property/plant/equipment   Preferred stock, carrying value   Prepaid expenses   Provision for risks & charge   Retained earnings   Short term debt excl. current portion of LT debt   Short term debt   Short term investments   Shareholders' equity   Total assets   Total current assets   Total current liabilities   Total debt   Total equity   Total inventory   Total liabilities   Total liabilities & shareholders' equities   Total non-current assets   Total non-current liabilities   Total receivables, net   Treasury stock - common CASHFLOW​   Amortization   Capital expenditures - fixed assets   Capital expenditures   Capital expenditures - other assets   Cash from financing activities   Cash from investing activities   Cash from operating activities   Deferred taxes (cash flow)   Depreciation & amortization (cash flow)   Change in accounts payable   Change in accounts receivable   Change in accrued expenses   Change in inventories   Change in other assets/liabilities   Change in taxes payable   Changes in working capital   Common dividends paid   Depreciation/depletion   Free cash flow   Funds from operations   Issuance/retirement of debt, net   Issuance/retirement of long term debt   Issuance/retirement of other debt   Issuance/retirement of short term debt   Issuance/retirement of stock, net   Net income (cash flow)   Non-cash items   Other financing cash flow items, total   Financing activities - other sources   Financing activities - other uses   Other investing cash flow items, total   Investing activities - other sources   Investing activities - other uses   Preferred dividends paid   Purchase/acquisition of business   Purchase of investments   Repurchase of common & preferred stock   Purchase/sale of business, net   Purchase/sale of investments, net   Reduction of long term debt   Sale of common & preferred stock   Sale of fixed assets & businesses   Sale/maturity of investments   Issuance of long term debt   Total cash dividends paid STATISTICS   Accruals   Altman Z-score   Asset turnover   Beneish M-score   Buyback yield %   Cash conversion cycle   Cash to debt ratio   COGS to revenue ratio   Current ratio   Days sales outstanding   Days inventory   Days payable   Debt to assets ratio   Debt to EBITDA ratio   Debt to equity ratio   Debt to revenue ratio   Dividend payout ratio %   Dividend yield %   Dividends per share - common stock primary issue   EPS estimates   EPS basic one year growth   EPS diluted one year growth   EBITDA margin %   Effective interest rate on debt %   Enterprise value to EBITDA ratio   Enterprise value   Equity to assets ratio   Enterprise value to EBIT ratio   Enterprise value to revenue ratio   Float shares outstanding   Free cash flow margin %   Fulmer H factor   Goodwill to assets ratio   Graham's number   Gross margin %   Gross profit to assets ratio   Interest coverage   Inventory to revenue ratio   Inventory turnover   KZ index   Long term debt to total assets ratio   Net current asset value per share   Net income per employee   Net margin %   Number of employees   Operating earnings yield %   Operating margin %   PEG ratio   Piotroski F-score   Price earnings ratio forward   Price sales ratio forward   Price to free cash flow ratio   Price to tangible book ratio   Quality ratio   Quick ratio   Research & development to revenue ratio   Return on assets %   Return on equity adjusted to book value %   Return on equity %   Return on invested capital %   Return on tangible assets %   Return on tangible equity %   Revenue one year growth   Revenue per employee   Revenue estimates   Shares buyback ratio %   Sloan ratio %   Springate score   Sustainable growth rate   Tangible common equity ratio   Tobin's Q (approximate)   Total common shares outstanding   Zmijewski score █  NOTES This script uses the Pine financial() function to fetch the values it displays. Look first. Then leap.
Pine Script™ 인디케이터
TradingView의
47
Horizontal line for Market open price by NB(ENG) Since meaningful movements starts based on the first bar of the market's opening time (usually GMT + 0), this indicator is creat to be used as a tool to use it as support and resistance. Look at the bar of just 15 minutes passed after market opened, and when the bar closed with positive candlestick then draw horizontal line at high price, when the bar closed negative candlestick then draw horizontal line at low price. I use diffrent colors to help visualization. If you look these at from a distance, you can see sections that are tightly entangled and sections those are not. This makes it possible to distinguish between strong and weak support/resistance sections. For convenience, I put only color and transparency adjustments. No future upgrades are planned. Thanks to ADOL_ for this great idea, and also to Bjorn Mistiaen for helping me to make the source code. (KOR) 마켓의 오픈 시간(보통 GMT 0시)에 첫 바를 기준으로 의미 있는 움직임이 시작되기에 이를 지지와 저항으로 활용하는 도구로 쓰기 위하여 만든 지표입니다. GMT 0시 15분 봉 마감 기준으로, 양봉이면 그 양봉의 고점을 이어 가로줄을 긋고, 음봉이면 저점을 이어 가로줄을 긋습니다. 서로 색을 달리하여 시각화를 돕습니다. 이를 멀리서 보면 촘촘히 얽힌 구간이 나오고 그렇지 않은 구간이 나옵니다. 이를 통해 지지/저항이 강한 구간과 약한 구간을 구별할 수가 있습니다. 편의를 돕기 위해 색과 투명도 조절까지만 넣어 놓았습니다. 추후 업그레이드는 예정되어 있지 않습니다. 이 대단한 아이디어를 주신 ADOL_에게 감사드리며, 소스 코드를 만들게 해주신 Bjorn Mistiaen에게도 감사를 드립니다.
Pine Script™ 인디케이터
NBForever의
8
SPX Excess CAPE YieldHere we are looking at the Excess CAPE yield for the SPX500 over the last 100+ years "A higher CAPE meant a lower subsequent 10-year return, and vice versa. The R-squared was a phenomenally high 0.9 — the CAPE on its own was enough to explain 90% of stocks’ subsequent performance over a decade. The standard deviation was 1.37% — in other words, two-thirds of the time the prediction was within 1.37 percentage points of the eventual outcome: this over a quarter-century that included an equity bubble, a credit bubble, two epic bear markets, and a decade-long bull market." assets.bwbx.io In December of 2020 Dr. Robert Shiller the Yale Nobel Laurate suggested that an improvement on CAPE could be made by taking its inverse (the CAPE earnings yield) and subtracting the us10 year treasury yield. "His model plainly suggests that stocks will do badly over the next 10 years, and that bonds will do even worse. This was the way Shiller put it in a research piece for Barclays Plc in October, (which can be found on SSRN Below): In summary, investors expect a certain return in equities as compensation for investing in a riskier asset class, and as interest rates have declined, the relative expected return for equities has increased dramatically. We believe this may quantitatively help to explain investors current preference for equities over bonds, and as such the quick recoveries we are observing (with the exception of the UK), whilst still in the midst of a pandemic. In the US in particular, we are once again observing stretched valuations and high CAPE ratios compared to history." Sources: papers.ssrn.com www.bloomberg.com The standard trading view disclaimer applies to this post -- please consult your own investment advisor before making investment decisions. This post is for observation only and has no warranty etc. www.tradingview.com Best, JM
Pine Script™ 인디케이터
JM의
2
Outlier Detector with N-Sigma Confidence IntervalsA detrended series that oscilates around zero is obtained after first differencing a time series (i.e. subtracting the closing price for a candle from the one immediately before, for example). Hypothetically, assuming that every detrended closing price is independent of each other (what might not be true!), these values will follow a normal distribution with mean zero and unknown variance sigma squared (assuming equal variance, what is also probably not true as volatility changes over time for different pairs). After studentizing, they follow a Student's t-distribution, but as the sample size increases (back periods > 30, at least), they follow a standard normal distribution. This script was developed for personal use and the idea is spotting candles that are at least 99% bigger than average (using N = 3) as they will cross the upper and lower confidence interval limits. N = 2 would roughly provide a 95% confidence interval.
Pine Script™ 인디케이터
tvjvzl의
14
Value RangeHere is another attempt to chase value based on technical analysis. This is extended version of PE range script published earlier. Instead of just PE, this script contains several other factors which defines value. You can chose which factor to look at from input dialog: Possible value factors included in this script are: Price to Earnings Price to Sales Price to Book PE - Forwarding PS - Forwarding Price to Cashflow Enterprise Value to EBITDA Enterprise Value to Cashflow Some of these can be added to chart directly from financials. But, the script also calculate range based on donchian channel or bollinger bands. Instead of short periods, we are looking for periods in terms of years. Rest of things remain same.
Pine Script™ 인디케이터
Trendoscope의
1
Financial Highlights [Fundamentals]█ OVERVIEW This indicator plot basic key financial data to imitate the presentation format of several popular finance site, make it easier for a quick glance of overall company financial health without switching tabs for every single stocks. █ Financial Data Available: - Revenue & PAT (Profit after Tax) - Net Profit Margin (%) - Gross Profit Margin (%) - Earnings Per Share (EPS) - Dividend █ Features: - Toggle between Quarter/Annual Financial Data (Notes: For Dividends, it will always be plotted based on Annual data, at Financial Year ending period) - Options to plot at either at Quarter/Yearly ending period OR Financial Data published date █ Limitation - The accuracy of the data subject to Tradingview's source, but from my observation it's accurate 95% of the time - Recently published data might not be available immediately. e.g. MYX exchange tends to have 1-3 days lag - More information on Tradingview's financial data can be read here -> www.tradingview.com █ Disclaimer Past performance is not an indicator of future results. My opinions and research are my own and do not constitute financial advice in any way whatsoever. Nothing published by me constitutes an investment recommendation, nor should any data or Content published by me be relied upon for any investment/trading activities. I strongly recommends that you perform your own independent research and/or speak with a qualified investment professional before making any financial decisions. Any ideas to further improve this indicator are welcome :)
Pine Script™ 인디케이터
fareidzulkifli의
15
Stock Value Display//This study is designed to plot estimates for a stock's value: //1) the Price to earnings ratio (PE) value based on the trailing twelve months of data //2) the PE value based future data //3) the Benjamin Graham value based trailing data //4) the Dividend Discount value based on trailing data You can adjust the period of data used to calculate the value between Fiscal Quarter "FQ" and Fiscal Year "FY." The values displayed on the chart are subject to the financial information provided to TradingView. This is intended to be used as a quick reference and should be viewed in context with other analysis prior to making any transaction decisions. As always, happy trading!
Pine Script™ 인디케이터
MakeMoneyCoESTB2020의
5
P1 FundamentalsP1 is because to me, this is a priority 1 indicator, so I have P1 and P2 indicators ordered on the favorite list. What can you check on the selection pane? On “period”, you can show the data related to: the fiscal quarters or the fiscal years. You can select a pack of financial data that I have organized in sections: Revenue & earnings EPS & DPS (EPS, EPS estimate, DPS and dividend payout ratio ) Debt (total debt, total equity and cash & equivalents) Returns (ROE, ROIC, ROA and R&D revenue to ratio) I recommend to just select one of them, in other case the chart is a mess. Any feedback on the code is welcome!!
Pine Script™ 인디케이터
joapen의
3 Weeks Tight - CANSLIM Technical Indicator3 Weeks Tight - Introduction 3 weeks tight is a bullish continuation pattern discovered by IBD's founder, William O'Neil. The pattern can used as an opportunity to add to an existing position as it often occurs after a breakout above a cup with handle or other technical pattern. The 3 weeks tight pattern forms when a stock closes within approximately 1% to 1.5% of the prior week's close for at least two weeks. The reason for the bullishness is that it indciates that investors who moved the stock upward in price since the breakout are not taking profits, the price is holding steady. The buy point is just above the area of resistance formed at the highs of the three weeks plus 10 cents. The ten cent addition to the price is to ensure a push through the resistance at the high of the range. Key Points: It's preferred that closes for each week are in the upper half of the stock's range. Ideally, volume will increase significantly as the stocks moves past the buy point. This pattern generally performs best when the market is in an uptrend. Features: A configurable horizontal bar that spans the 3 week period. A vertical band that highlights the tightness pattern. A label to show the buy price after 3 week tight pattern. Optional alert when the 3 weeks tight pattern is recognized.
Pine Script™ 인디케이터
JohnMuchow의
43
Spitznagel Faustmann RatioThis is a rough version of the Faustmann Ratio metric that Mark Spitznagel presents in The Dao of Capital. The purpose is to conservatively calculate the price of the company (market cap) relative to net worth. Over a medium term horizon, the theory is that companies which have a high ROIC (see my other script) combined with a low Faustmann Ratio (color coded to give you a rough idea) should generally outperform. Please don't take this short summary as an excuse to not read the full book. It's well worth your time. (I am not affiliated with the author in any way.)
Pine Script™ 인디케이터
ianthetechie의
7
Spitznagel ROICThis is a rough version of the Return on Invested Capital metric that Mark Spitznagel presents in The Dao of Capital. The purpose is to calculate the return on real invested capital, conservatively calculated. Over a medium term horizon, the theory is that companies which have a high ROIC (presented here as a decimal value where 0.5 = 50%, 1 = 100%, etc., and color coded as a general guide) combined with a low Faustmann Ratio (see my other script) should generally outperform. Please don't take this short summary as an excuse to not read the full book. It's well worth your time. (I am not affiliated with the author in any way.)
Pine Script™ 인디케이터
ianthetechie의
1