Linear Regression Trend Navigator [QuantAlgo]🟢 Overview
The Linear Regression Trend Navigator is a trend-following indicator that combines statistical regression analysis with adaptive volatility bands to identify and track dominant market trends. It employs linear regression mathematics to establish the underlying trend direction, while dynamically adjusting trend boundaries based on standard deviation calculations to filter market noise and maintain trend continuity. The result is a straightforward visual system where green indicates bullish conditions favoring buy/long positions, and red signals bearish conditions supporting sell/short trades.
🟢 How It Works
The indicator operates through a three-phase computational process that transforms raw price data into adaptive trend signals. In the first phase, it calculates a linear regression line over the specified period, establishing the mathematical best-fit line through recent price action to determine the underlying directional bias. This regression line serves as the foundation for trend analysis by smoothing out short-term price variations while preserving the essential directional characteristics.
The second phase constructs dynamic volatility boundaries by calculating the standard deviation of price movements over the defined period and applying a user-adjustable multiplier. These upper and lower bounds create a volatility-adjusted channel around the regression line, with wider bands during volatile periods and tighter bands during stable conditions. This adaptive boundary system operates entirely behind the scenes, ensuring the trend signal remains relevant across different market volatility regimes without cluttering the visual display.
In the final phase, the system generates a simple trend line that dynamically positions itself within the volatility boundaries. When price action pushes the regression line above the upper bound, the trend line adjusts to the upper boundary level. Conversely, when the regression line falls below the lower bound, the trend line moves to the lower boundary. The result is a single colored line that transitions between green (rising trend line = buy/long) and red (declining trend line = sell/short).
🟢 How to Use
Green Trend Line: Upward momentum indicating favorable conditions for long positions, buy signals, and bullish strategies
Red Trend Line: Downward momentum signaling optimal timing for short positions, sell signals, and bearish approaches
Rising Green Line: Accelerating bullish momentum with steepening angles indicating strengthening upward pressure and potential for trend continuation
Declining Red Line: Intensifying bearish momentum with increasing negative slopes suggesting persistent downward pressure and shorting opportunities
Flattening Trend Lines: Gradual reduction in slope regardless of color may indicate approaching consolidation or momentum exhaustion requiring position review
🟢 Pro Tips for Trading and Investing
→ Entry/Exit Timing: Trade exclusively on band color transitions rather than price patterns, as each color change represents a statistically-confirmed shift that has passed through volatility filtering, providing higher probability setups than traditional technical analysis.
→ Parameter Optimization for Asset Classes: Customize the linear regression period based on your trading style. For example, use 5-10 bars for day trading to capture short-term statistical shifts, 14-20 for swing trading to balance responsiveness with stability, and 25-50 for position trading to filter out medium-term noise.
→ Volatility Calibration Strategy: Adjust the standard deviation multiplier according to market volatility. For instance, increase to 2.0+ during high-volatility periods like earnings or news events to reduce false signals, decrease to 1.0-1.5 during stable market conditions to maintain sensitivity to genuine trends.
→ Cross-Timeframe Statistical Validation: Apply the indicator across multiple timeframes simultaneously, using higher timeframes for directional bias and lower timeframes for entry timing.
→ Alert-Based Systematic Trading: Use built-in alerts to eliminate discretionary decision-making and ensure you capture every statistically-significant trend change, particularly effective for traders who cannot monitor charts continuously.
→ Risk Allocation Based on Signal Strength: Increase position sizes during periods of strong directional movement while reducing exposure during frequent band color changes that indicate statistical uncertainty or ranging conditions.
포트폴리오 관리
Omega Ratio -> PROFABIGHI_CAPITAL🌟 Overview
This Omega Ratio → PROFABIGHI_CAPITAL implements advanced probability-weighted risk-return measurement providing superior portfolio performance analysis through gain-to-loss ratio assessment.
It provides Enhanced Omega Ratio calculation with target return benchmarking , Cumulative gain and loss analysis for comprehensive risk assessment , EMA smoothing for trend clarity and signal enhancement , and Dynamic threshold-based visualization with performance classification for institutional-grade portfolio evaluation and risk management.
🔧 Advanced Probability-Based Risk Framework
- Professional Omega Ratio implementation measuring probability-weighted gains versus losses for superior risk-return analysis
- Source Selection Architecture with customizable price input enabling close, high, low, or other price sources for flexible analysis adaptation
- Calculation Period Management with adjustable lookback period balancing statistical significance versus market responsiveness for reliable measurement
- Target Return Configuration enabling custom performance benchmarks against specific return objectives and investment goals
- EMA Smoothing Framework reducing market noise while preserving trend identification through exponential moving average filtering
- Dynamic Threshold System with strong and weak performance classification boundaries for objective portfolio assessment
- High-Precision Measurement using three decimal place accuracy for detailed ratio tracking and performance monitoring
📊 Omega Ratio Calculation Engine
- Periodic Returns Computation calculating bar-to-bar percentage changes for accurate return measurement across different timeframes and market conditions
- Target Return Conversion transforming percentage input into decimal values for proper mathematical comparison and threshold application
- Cumulative Gains Analysis measuring total returns above target threshold for positive performance assessment and alpha generation tracking
- Cumulative Losses Assessment calculating total returns below target threshold for comprehensive downside risk measurement and evaluation
- Gain-to-Loss Ratio Calculation implementing Omega formula as ratio of cumulative gains to cumulative losses for probability-weighted performance
- Zero-Division Protection handling edge cases where no losses occur through proper mathematical validation and na value management
- Statistical Accuracy using proper mathematical methodology for reliable ratio calculation and trend identification
🔬 Advanced Statistical Implementation Framework
- Cumulative Return Accumulation tracking total gains above target and total losses below target over calculation period
- Threshold-Based Separation categorizing returns as gains or losses relative to target return for accurate performance classification
- Mathematical Precision [/b> implementing proper excess return calculations above and below target thresholds with statistical accuracy
- Loop-Based Calculation using efficient iteration through historical returns for cumulative gain and loss measurement
- Null Value Handling using nz() function to manage missing values and ensure continuous calculation reliability
- Edge Case Management preventing calculation errors through comprehensive validation and mathematical safeguards
- Performance Optimization using efficient calculation methods for real-time ratio updates and system responsiveness
📈 EMA Smoothing and Signal Enhancement
- Exponential Moving Average Application filtering short-term noise while maintaining sensitivity to genuine performance changes
- Smoothing Period Configuration balancing signal clarity versus responsiveness through adjustable EMA length parameters
- Trend Persistence Analysis identifying sustained performance improvements or deteriorations through smoothed ratio evolution
- Signal Quality Enhancement reducing false signals while preserving important trend changes for reliable decision making
- Null Value Protection using default values when raw ratio is undefined to ensure continuous smoothed output
- Real-Time Updates providing current smoothed Omega values for immediate performance assessment and portfolio monitoring
🎨 Dynamic Performance Visualization System
- Performance-Based Color Coding using green for strong performance above upper threshold and red for weak performance below lower threshold
- Neutral Zone Display showing gray coloring for performance between thresholds indicating moderate risk-return characteristics
- Threshold Reference Lines displaying strong and weak performance boundaries through horizontal dashed lines for clear classification
- Dynamic Line Styling using prominent line width for clear trend identification and professional chart presentation
- Real-Time Color Adaptation adjusting visualization based on current performance relative to threshold configurations
- Professional Chart Integration implementing institutional-grade visual elements for serious portfolio analysis and performance tracking
⚖️ Probability-Weighted Risk Assessment
- Gain-to-Loss Ratio Focus measuring probability-weighted performance through cumulative excess returns for comprehensive evaluation
- Target Return Benchmarking comparing performance against specific return objectives rather than risk-free rates
- Asymmetric Performance Recognition acknowledging different magnitudes of gains versus losses for realistic risk assessment
- Statistical Robustness using proper mathematical formulation for reliable probability-weighted return calculation
- Performance Classification Framework providing objective strong/weak performance thresholds for systematic portfolio evaluation
- Trend Analysis Capability identifying improving or deteriorating risk-return characteristics through smoothed ratio trending
🔍 Advanced Configuration Management
- Flexible Source Selection accommodating different price sources for various analysis requirements and asset characteristics
- Adaptive Calculation Periods allowing adjustment for different market conditions, volatility regimes, and analysis timeframes
- Target Return Customization enabling comparison against specific performance objectives and investment mandates
- Smoothing Parameter Control balancing signal clarity versus responsiveness through adjustable EMA periods
- Performance Threshold Management setting custom strong and weak performance boundaries for specific strategy requirements
- Precision Control Configuration using three decimal places for accurate ratio measurement and detailed performance tracking
📊 Professional Portfolio Analysis Applications
- Strategy Performance Evaluation measuring probability-weighted returns for trading strategy assessment and optimization
- Portfolio Comparison Analysis comparing multiple strategies or assets using standardized Omega measurements
- Risk Management Integration identifying periods of poor risk-return performance for strategy adjustment and improvement
- Target Return Achievement tracking performance against specific return objectives for goal-based investment management
- Performance Monitoring Framework continuous assessment of strategy effectiveness through smoothed ratio trending and analysis
- Institutional-Grade Measurement providing professional portfolio management metrics for serious investment evaluation
🔧 Technical Implementation Excellence [/b>
- Mathematical Accuracy implementing proper Omega Ratio formula with correct statistical methodology and calculation precision
- Computational Efficiency using optimized loops and calculations for real-time performance measurement and system responsiveness
- Error Prevention Framework incorporating comprehensive validation and edge case handling for reliable operation
- Memory Management efficient variable usage and calculation methods for optimal indicator performance and resource utilization
- Real-Time Processing providing immediate updates with each new bar for current performance assessment and monitoring
- Professional Standards Compliance following institutional portfolio analysis methodology for serious risk management applications
✅ Key Takeaways
- Advanced Omega Ratio implementation providing probability-weighted risk-return measurement superior to traditional volatility-based metrics
- Target return benchmarking enabling performance comparison against specific investment objectives rather than risk-free alternatives
- EMA smoothing system reducing market noise while preserving important trend signals for clearer performance interpretation
- Dynamic threshold-based visualization providing objective performance classification through color-coded strong/weak boundaries
- Professional statistical implementation using proper mathematical methodology for institutional-grade probability-weighted analysis
- Flexible configuration options accommodating different analysis requirements, performance targets, and market conditions
- Comprehensive portfolio management integration enabling continuous strategy performance monitoring and optimization for superior investment outcomes
IU Trade ManagementDESCRIPTION
IU Trade Management is a powerful utility tool designed to help traders manage their trades with precision and clarity. It provides automated Stop Loss, Take Profit, and Break Even calculations using multiple customizable methods. Along with clear SL/TP plotting on the chart, it also displays a detailed trade status table that tracks every important detail including entry price, SL/TP levels, break-even, PNL, and trade duration. This tool is perfect for traders who want to manage risk and rewards visually and systematically.
USER INPUTS :
-Entry Candle Time: Default 20 Jul 2021 00:00 +0300 (select the candle from which the trade begins)
- Entry Price: Default 2333 (define the price at which the trade is executed)
- Trade Direction: Default Long (choose between Long or Short)
- SL/TP Method: Default ATR (options: ATR, Points/Pips, Percentage %, Standard Deviation, Highest/Lowest, Previous High/Low)
- Risk to Reward: Default 3 (set custom risk-to-reward ratio)
- Use Break Even: Default false (option to enable break-even)
- Plot Break Even Line: Default false (option to display BE line)
- RTR of Break Even Point: Default 2 (factor used for BE calculation)
SL/TP Method Specific Inputs:
- ATR Length: Default 14
- ATR Factor: Default 2
- Points/Pips: Default 100
- Percentage: Default 1%
- Standard Deviation Length: Default 20
- Standard Deviation Factor: Default 2
- Highest/Lowest Length: Default 10
Trade Status Table Settings:
- Show Trade Status: Default true
- Table Size: Default small (options: normal, tiny, small, large)
- Table Position: Default top right
- Frame Width: Default 2
- Table Color: Default black
- Frame Color: Default gray
- Border Width: Default 2
- Border Color: Default gray
- Text Color: Default purple (RGB 212, 0, 255)
HOW TO USE THE INDICATOR:
1. Set the entry candle time and entry price manually.
2. Select whether the trade is Long or Short.
3. Choose the preferred SL/TP calculation method (ATR, Percentage, Points, STD, High/Low, Previous High/Low).
4. Define your risk-to-reward ratio and enable break-even if required.
5. The indicator will automatically plot your Entry, Stop Loss, Take Profit, and Break Even levels on the chart.
6. A detailed trade management table will appear, showing trade direction, SL, TP, PNL (points and %), SL/TP method, and total trade time.
WHY IT IS UNIQUE:
- Offers multiple methods to calculate SL and TP (ATR, Percentage, Points, Standard Deviation, High/Low, Previous High/Low)
- Built-in Break Even functionality for risk-free trade management
- Real-time PNL tracking in both points and percentage
- Trade status table for complete transparency on all trade details
- Visual plotting of SL, TP, and Entry with color-coded zones for clarity
HOW USER CAN BENEFIT FROM IT :
- Helps traders manage risk and reward with discipline
- Eliminates guesswork by automating SL and TP levels
- Provides clear visual guidance on trade exits and risk management
- Enhances decision-making with live trade tracking and performance statistics
- Suitable for manual traders as a trade manager and for strategy developers as a risk management reference
Binance Funding Rate - InvertedThe Funding Rate Formula
-Binance uses this formula every 8 hours:
-Funding Rate = Premium Index + clamp(Interest Rate - Premium Index, -0.05%, +0.05%)
-Breaking this down:
Premium Index:
-Measures the difference between futures price and spot price
-Interest Rate: Fixed at 0.01% per 8 hours (0.03% daily)
-Clamp Function: Limits the adjustment to ±0.05%, preventing extreme swings
When futures trade above spot (bullish sentiment), the funding rate becomes positive and longs pay shorts. When futures trade below spot (bearish sentiment), it becomes negative and shorts pay longs. This mechanism keeps perpetual futures prices aligned with spot prices.
How to Read This Indicator
The Inverted Display:
-This indicator flips the traditional display to make it more intuitive:
-Green bars pointing up = Negative funding (shorts paying) = Bullish pressure
-Red bars pointing down = Positive funding (longs paying) = Bearish pressure
The Clamp Lines:
-Green line at bottom: Maximum positive funding (-0.06% inverted)
-Red line at top: Maximum negative funding (+0.04% inverted)
-When bars hit these lines and turn blue/orange, it signals extreme market positioning
Practical Trading Applications
1. Identifying Market Extremes
-Small bars (near zero): Balanced market
-Growing bars: Building directional bias
-Bars at clamp lines: Maximum pain for one side, potential reversal
2. Timing Entries/Exits
-Blue bars at bottom: Longs are capitulating, consider buying
-Orange bars at top: Shorts are capitulating, consider selling
-But remember: extremes can persist longer than expected
3. Managing Costs
Check the Data Window (hover over chart) for:
-Actual Funding %: What you'll pay/receive
-Cumulative Fund %: Total impact over your selected period
-If holding positions against the funding direction, you're paying fees 3 times daily
Optimal Usage
-Timeframe: Use 30-minute to 8-hour charts only
-30m: Most responsive to changes
-4h: Cleaner trends
-8h: Aligns with funding periods
Auto-Clamp Setting: Keep enabled - it automatically adjusts the clamp ranges for different timeframes
Risk Considerations
-Funding ≠ Price Direction: High funding doesn't guarantee immediate reversal
-Costs Accumulate: 0.01% three times daily = 10.95% annually
-Whipsaw Risk: Funding can reverse quickly during volatile periods
-Not Standalone: Always confirm with price action and volume
Simple Decision Framework
-Persistent red bars + holding longs = You're bleeding fees
-Persistent green bars + holding shorts = You're bleeding fees
-Bars hitting clamps = Extreme positioning, watch for reversal
-Bars crossing zero = Sentiment shifting
Data Window Values
To see detailed metrics:
-Move cursor over any candle
-Or press Alt+D (Windows) / Option+D (Mac) to open Data Window panel
Key values to monitor:
-Actual Funding %: Real rate (not inverted)
-Cumulative Fund %: Your P&L impact from funding
-Momentum: Rate of change in funding
Remember: This indicator shows market positioning extremes, not guaranteed reversal points. Extreme funding can persist during strong trends. Use it as one input among several for decision-making, not as a sole trading signal.
Fearless R:RFearless R:R – Precision Risk/Reward Visualization
Fearless R:R is a clean and powerful risk management tool designed to help traders plan and execute trades with discipline. It lets you set your Entry, Take Profit, and Stop Loss levels directly on the chart, then automatically calculates and displays:
Risk/Reward ratio in real-time
Percentage distance to TP and SL
Position sizing based on account equity and risk %
Fees and slippage impact
Current P/L tracking as price moves
The indicator also anchors your setup visually on the chart with shaded RR zones, price-scale labels, and a compact info table. Dedicated alert conditions are included for Entry Hit, Take Profit Hit, and Stop Loss Hit, allowing you to automate trade management notifications.
Whether you’re scalping or swing trading, Fearless R:R keeps your focus on structured decision-making and consistent execution.
RotationSUITE [BitAura]𝐑otation𝑺𝑼𝑰𝑻𝑬
This Pine Script® indicator is a dynamic, multi-asset rotation system designed to optimize portfolio allocation by selecting the strongest-performing cryptocurrency from a user-defined basket of up to four assets, with USD as a cash position. By leveraging two complementary relative strength strategies and a proprietary Confidence Score, the system adapts to changing market conditions to aim for superior risk-adjusted returns compared to a buy-and-hold approach.
Logic and Core Concepts
The system’s goal is to allocate capital to the strongest asset at any given time, dynamically switching between two strategies based on market conditions:
1. Ratios System (Primary Strategy)
Mechanism : Performs relative strength analysis by evaluating the trend of each asset pair (e.g., BTCUSD/ETHUSD, BTCUSD/SOLUSD) using a universal trend-capturing function.
Scoring : Each asset earns points based on how many other assets (including USD) it outperforms.
Allocation : Allocates 100% of the portfolio to the asset with the highest score, following a "long the strongest" approach.
2. Alpha System (Defensive Strategy)
Mechanism : Measures each asset’s alpha (excess return relative to market risk, or beta) against a broad market benchmark. A fast trend-following model confirms momentum.
Allocation : Allocates to the asset with the highest positive alpha and confirmed momentum, or to USD if no asset meets the criteria.
3. Confidence Score (Decision Engine)
Monitors the Ratios System’s performance.
High Confidence : Uses the Ratios System for allocation during strong trends.
Low Confidence : Switches to the Alpha System or USD during choppy or corrective markets.
Features
Dynamic Strategy Switching : Seamlessly transitions between Ratios and Alpha systems based on the Confidence Score.
Customizable Asset Basket : Supports up to four user-defined crypto assets (e.g., INDEX:BTCUSD , INDEX:ETHUSD , CRYPTO:SOLUSD , CRYPTO:SUIUSD ).
Comprehensive Visuals :
Performance Metrics Table : Displays Sharpe, Sortino, Omega, Max Drawdown, and Profit Factor for the system, its sub-strategies, and individual assets’ buy-and-hold performance.
Rotation Matrix : Shows pairwise trend scores for the Ratios System and alpha/trend data for the Alpha System.
Allocation Table : Indicates the current portfolio allocation (in %).
Equity Curve Analysis : Plots equity curves for the system, sub-strategies, and buy-and-hold for comparison.
Configurable Alerts : Notifies users of changes in allocation or Confidence Score.
Pine Script v6 : Utilizes advanced features like matrices and table formatting for enhanced usability.
How to Use
Add to Chart : Apply the indicator to any chart (the chart’s ticker does not affect calculations).
Configure Assets : In the settings ( Inputs -> Majors Rotation System Tickers ), define up to four crypto assets. Defaults include INDEX:BTCUSD , INDEX:ETHUSD , CRYPTO:SOLUSD , and CRYPTO:SUIUSD .
Set Allocation Type : Choose Aggressive (100% to top asset), Moderate (80/20 split), or Conservative (60/40 split) in the settings.
Monitor Output : The Portfolio Allocations table shows the current allocation. Use the Performance Metrics and Rotation Matrix tables for deeper insights.
Analyze Equity : Enable equity curve plots in the settings to visualize performance.
Set Alerts : Right-click a plot, select "Add alert," and choose "Confidence Score changed" or "Calculated Portfolio Allocations Changed" to receive notifications.
The system uses robust trend and alpha functions, tested across various timeframes (4h, 8h, 12h) and asset pools to ensure reliability.
Notes
The script is closed-source
Ensure the chart uses a standard price series (not Heikin Ashi or other non-standard types) for accurate results.
The script avoids lookahead bias by using barmerge.lookahead_off in request.security() calls.
Performance metrics are calculated only on the last confirmed bar to optimize runtime efficiency.
Disclaimer : This script is for educational and analytical purposes only and does not constitute financial advice. Trading involves significant risk, and past performance is not indicative of future results. Always conduct your own research and apply proper risk management.
Stop Loss vs Take Profit Probability and EVThis stop loss and take profit calculator uses a Monte Carlo simulation to calculate the probability of hitting your Stop Loss or Take Profit levels across different time horizons (expressed in bars).
It provides data-driven insights to optimize your risk management and position sizing by showing Expected Value for each scenario.
As a quant, I love using statistical data to help my decisions and get better EV from my trades.
🔬 How It's Calculated
Monte Carlo Simulation: Runs 1,000-10,000 price simulations using a random walk model
Volatility Analysis: Combines ATR-based and Historical Volatility for accurate price movement modeling
Expected Value: Calculates profit/loss expectation using formula: (TP_Probability × Reward) - (SL_Probability × Risk)
Time Horizons: Tests multiple timeframes (1, 5, 10, 20, 50 bars) to find optimal holding periods
Risk/Reward Ratios: Automatically calculates and displays R:R ratios for quick assessment
💡 Use Cases
Position Sizing - Determine optimal risk per trade based on Expected Value
Time Horizon Optimization - Find the best holding period for your strategy
Stop Loss Placement - Validate SL levels using probability analysis
Take Profit Optimization - Set TP levels with statistical backing
Strategy Backtesting - Compare different R:R setups before entering trades
Risk Management - Avoid trades with negative Expected Value
Swing vs Day Trading - Choose timeframes with highest success probability
🎯 How to Use
Setup Trade: Enter your entry price, stop loss, and take profit levels
You can add or remove time horizons denominated in bars. Say you are looking at 1h candles, adding a 24-bar time horizon means you are looking into 24 hours
Choose Direction: Select Long or Short position
Review Table
Analyze Expected Value: Focus on positive EV scenarios (green background)
Optimize Timing: Select time horizons with best risk/reward profile
Adjust Parameters: Modify volatility calculation method and simulation count if needed
Examples
Here's how you can read the tables.
Example 1:
In this chart, we are analyzing the TP and SL probabilities as well as the EV (expected value) for a stock. I want to check what the likelihood is that my SL and TP get triggered over the next 5 days. The stock market is open for 6.5 hours per day, which is 13 bars in this 30-minute bar chart. 26 bars is 2 days, 39 bars is 3 days and so on.
Although this trade is more likely to trigger my SL than my TP, in some of the time horizons we have a positive expected value because of the risk/reward of our trade (i.e. distance of the SL and TP from the price) and the probability of hitting SL and TP.
Example 2:
In this example, we have applied the indicator to gold. Because the TP is much closer to the price, the probability of hitting the TP is much higher.
We can also observe that the expected Value in the shorter time frames is better than in the longer ones. This can give us some clues to set up our trade. If we know that the EV is positive, we can allocate more to that specific trade.
Enjoy, and please let me know your feedback! 😊🥂
Auterio Trade Info Table With this tool you can easily mark out your trades directly on the chart using simple lines. The indicator will automatically display key trade information such as:
Entry, stop, and target levels,Time and date of the trade, Direction (Long/Short),Trading pair,Risk-to-Reward ratio (RRR)
Stop and target in pips
📊 Portafoglio Orizzontale (5 Tickers, Breakeven e Net ROI)📊 Horizontal Portfolio (5 Tickers, Breakeven & Net ROI)
This advanced indicator allows you to monitor the real-time status of your portfolio, displaying crucial data for up to 5 tickers directly on your chart. Designed to offer clarity and control, the "Horizontal Portfolio" includes the calculation of breakeven price, net profit/loss (Net P/L), and Net Return on Investment (Net ROI), also taking into account commissions and capital gains tax.
Key Features:
Multi-Ticker Monitoring: Keep an eye on up to 5 assets simultaneously, with customizable inputs for symbol, entry price, and quantity.
Breakeven Calculation: Instantly find out at what price you need to sell to cover all costs (including entry and exit commissions).
Net P/L and Net ROI: View your profit/loss and return on investment already net of commissions and Capital Gains Tax (CGT), offering a realistic view of your performance.
Flexible Commissions: Configure both entry and exit commissions as either a fixed value or a percentage of the transaction value.
Customizable Taxation: Set the Capital Gains Tax (CGT) percentage for each individual ticker to get precise Net P/L calculations.
Table Positioning: Choose where to position the information table on the chart (e.g., Top Right, Bottom Left, Middle Center) so it doesn't obstruct your analysis.
Customizable Colors: Adapt the header, text, and background colors of the table, as well as colors for gains, losses, and breakeven, for better readability and integration with your chart theme.
Why Use It?
With the "Horizontal Portfolio," you get a compact yet powerful dashboard that provides all the essential information to make informed decisions about your investments. No more switching between different windows or spreadsheets: everything you need is at your fingertips, directly on your TradingView chart.
How It Works:
Enter your trade details (symbol, entry price, quantity, commissions, and CGT) in the indicator settings. The table will automatically update with current prices, showing you the real-time status of each position.
Add this tool to your arsenal today and take your portfolio monitoring to the next level!
Sharpe Ratio -> PROFABIGHI_CAPITAL🌟 Overview
The Sharpe Ratio → PROFABIGHI_CAPITAL indicator applies comprehensive risk-adjusted performance analysis combining statistical return measurement, volatility assessment, and performance tracking . It integrates daily return calculation, rolling statistical analysis, and exponential smoothing across (Return Analysis, Risk Assessment, Performance Optimization) with advanced threshold-based visualization capabilities . The indicator features dynamic color-coded plotting , comprehensive threshold management , and integrated annualization factors for complete risk-adjusted performance analysis and systematic market performance identification.
⚙️ General Settings
– Source Selection : Custom price source input for return calculation analysis.
– Sharpe Rolling Period : Configurable period length for rolling statistical calculations.
– Smoothing Period (EMA) : Exponential moving average period for signal smoothing.
– Strong Line Threshold : Upper threshold level for strong performance identification.
– Weak Line Threshold : Lower threshold level for weak performance identification.
📊 Core Calculation Components
The indicator features comprehensive risk-adjusted analysis through systematic calculation modules:
- Daily Return Calculation : Percentage-based daily price change measurement
- Rolling Mean Analysis : Moving average of daily returns over specified period
- Volatility Assessment : Rolling standard deviation calculation for risk measurement
- Raw Sharpe Computation : Risk-adjusted return ratio with zero-division protection
- Exponential Smoothing : EMA-based signal refinement for noise reduction
- Annualization Process : Crypto-optimized annualization for standardized metrics
📈 Advanced Performance Analysis Framework
Return Analysis:
- Daily Return Computation : Precise percentage change calculation from source prices
- Rolling Mean Calculation : Statistical average of returns over rolling window
- Trend Direction Assessment : Performance momentum through return analysis
- Signal Consistency Tracking : Sustained performance measurement over time
Risk Assessment:
- Volatility Measurement : Rolling standard deviation of daily returns
- Risk-Adjusted Scaling : Sharpe ratio calculation with volatility normalization
- Zero-Division Protection : Mathematical safeguards for stable calculation
- Statistical Stability : Consistent risk metrics across market conditions
Performance Optimization:
- Signal Smoothing : EMA-based noise reduction for cleaner signals
- Annualization Process : Crypto market optimization for accurate annual metrics
- Threshold Integration : Performance classification through configurable levels
- Dynamic Assessment : Real-time performance evaluation and classification
📏 Threshold Configuration System
– Strong Performance Threshold : Configurable upper level for excellent risk-adjusted returns
– Weak Performance Threshold : Configurable lower level for poor risk-adjusted returns
– Dynamic Color Mapping : Green for strong, red for weak, gray for neutral performance
– Visual Threshold Lines : Dashed horizontal reference lines for threshold identification
– Performance Classification : Automatic categorization based on threshold relationships
📋 Advanced Mathematical Integration
Statistical Foundation :
- Return Calculation : Precise daily percentage change methodology
- Rolling Statistics : Moving window approach for dynamic assessment
- Standard Deviation : Volatility measurement for risk quantification
- Ratio Computation : Risk-adjusted performance through Sharpe methodology
Smoothing Technology :
- Exponential Moving Average : Advanced smoothing for signal clarity
- Noise Reduction : Statistical filtering for cleaner performance signals
- Trend Preservation : Smoothing while maintaining directional accuracy
- Responsive Adjustment : Dynamic adaptation to changing market conditions
🎨 Visual Features
– Dynamic Line Plotting : Color-coded Sharpe ratio line with performance-based coloring
– Threshold Reference Lines : Dashed horizontal lines for strong and weak performance levels
– Performance Color Coding : Green for strong, red for weak, gray for neutral performance
– Line Weight Optimization : Enhanced visibility with optimized line width
– Professional Formatting : Price format with precision for accurate display
🔍 Advanced Features
– Risk-Free Rate Optimization : Zero risk-free rate assumption for crypto market analysis
– Mathematical Protection : Zero-division safeguards for stable calculation
– Rolling Window Analysis : Dynamic statistical assessment over configurable periods
– Performance Optimization : Efficient calculation methods for smooth operation
– Threshold-Based Classification : Automatic performance categorization system
– Annualization Accuracy : Crypto-specific factors for precise annual metrics
– Signal Reliability : EMA smoothing for consistent performance signals
🔔 Signal Generation & Analysis
– Strong Performance Signals : Green line indication when Sharpe ratio exceeds strong threshold
– Weak Performance Alerts : Red line indication when Sharpe ratio falls below weak threshold
– Neutral Zone Identification : Gray line indication for performance between thresholds
– Threshold Cross Confirmations : Performance level transition identification
– Risk-Adjusted Momentum : Smoothed Sharpe ratio trend analysis for sustained performance
– Volatility-Adjusted Returns : Risk-normalized performance measurement for accurate assessment
– Statistical Significance : Rolling period analysis for statistically meaningful signals
– Performance Consistency : EMA smoothing for reliable signal generation
By utilizing comprehensive risk-adjusted performance analysis and threshold-based visualization , the Sharpe Ratio → PROFABIGHI_CAPITAL indicator provides systematic performance measurement with advanced statistical accuracy , offering complete risk-reward optimization through rigorous mathematical analysis , volatility assessment , and annualized performance tracking .
Calculator - AOC📊 Calculator - AOC Indicator 🚀
The Calculator - AOC indicator is a powerful and user-friendly tool designed for TradingView to help traders plan and visualize trades with precision. It calculates key trade metrics, displays entry, take-profit (TP), stop-loss (SL), and liquidation levels, and provides a clear overview of risk management and potential profits. Perfect for both novice and experienced traders! 💡
✨ Features
📈 Trade Planning: Input your Entry Price, Take Profit (TP), Stop Loss (SL), and Trade Direction (Long/Short) to visualize your trade setup on the chart.
💰 Risk Management: Set your Initial Capital and Risk per Trade (%) to calculate the optimal Position Size and Risk Amount for each trade.
⚖️ Leverage Support: Define your Leverage to compute the Required Margin and Liquidation Price, ensuring you stay aware of potential risks.
📊 Risk/Reward Ratio: Automatically calculates the Risk-to-Reward Ratio to evaluate trade profitability.
🎨 Visuals: Displays Entry, TP, SL, and Liquidation levels as lines and boxes on the chart, with customizable Line Width, Line Style, and Label Size.
✅ Trade Validation: Checks if your trade setup is valid (e.g., correct TP/SL placement) and highlights issues like potential liquidation risks with color-coded statuses (Correct ✅, Incorrect ❌, or Liquidation ⚠️).
📋 Summary Table: A clean, top-right table summarizes key metrics: Capital, Risk %, Risk Amount, Position Size, Potential Profit, Risk/Reward, Margin, Liquidation Price, Trade Status, and % to TP/SL.
🖌️ Customization: Adjust Line Extension (Bars) for how far lines extend, and choose from Solid, Dashed, or Dotted line styles for a personalized chart experience.
🛠️ How to Use
Add to Chart: Apply the indicator to your TradingView chart.
Configure Inputs:
Accountability: Set your Initial Capital and Risk per Trade (%).
Target: Enter Entry Price, TP, and SL prices.
Leverage: Specify your leverage (e.g., 10x).
Direction: Choose Long or Short.
Display Settings: Customize Line Width, Line Style, Label Size, and Line Extension.
Analyze: The indicator plots Entry, TP, SL, and Liquidation levels on the chart and displays a table with all trade metrics.
Validate: Check the Trade Status in the table to ensure your setup is valid or if adjustments are needed.
🎯 Why Use It?
Plan Smarter: Visualize your trade setup and understand your risk/reward profile instantly.
Stay Disciplined: Precise position sizing and risk calculations help you stick to your trading plan.
Avoid Mistakes: Clear validation warnings prevent costly errors like incorrect TP/SL placement or liquidation risks.
User-Friendly: Intuitive visuals and a summary table make trade analysis quick and easy.
📝 Notes
Ensure Entry, TP, and SL prices align with your trade direction to avoid "Incorrect" or "Liquidation" statuses.
The indicator updates dynamically on the latest bar, ensuring real-time visuals.
Best used with proper risk management to maximize trading success! 💪
Happy trading! 🚀📈
ActivTrades - Crypto Fear & Greed Index - Ion Jauregui📌 ActivTrades – Crypto Fear & Greed Index
This indicator recreates a Crypto Fear & Greed Index directly on TradingView, allowing traders to monitor overall market sentiment in the cryptocurrency market. It is designed for informational purposes and should be used together with your own analysis and risk management.
🔎 How it works
The index is calculated by combining five components into a single score (0–100):
RSI, Volatility, Volume Activity, Momentum, Altcoin Dominance
Each component is normalized and weighted to form the index.
📊 Interpretation
• Below 40 → Fear Zone (market sentiment is cautious, risk-off).
• Above 60 → Greed Zone (market sentiment is aggressive, risk-on).
• 40–60 → Neutral sentiment.
Shaded backgrounds and reference lines help visualize these zones, and can be toggled in the settings.
⚠️ Notes
• This tool does not generate buy or sell signals.
• It is meant to provide a sentiment overview of the crypto market.
• Works best on the daily chart of BTCUSDT, but can be applied to other timeframes.
*******************************************************************************************
The information provided does not constitute investment research. The material has not been prepared in accordance with the legal requirements designed to promote the independence of investment research and such should be considered a marketing communication.
All information has been prepared by ActivTrades ("AT"). The information does not contain a record of AT's prices, or an offer of or solicitation for a transaction in any financial instrument. No representation or warranty is given as to the accuracy or completeness of this information.
Any material provided does not have regard to the specific investment objective and financial situation of any person who may receive it. Past performance and forecasting are not a synonym of a reliable indicator of future performance. AT provides an execution-only service. Consequently, any person acting on the information provided does so at their own risk. Political risk is unpredictable. Central bank actions can vary. Platform tools do not guarantee success.
INDICATORS RISK ADVICE: The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by ActivTrades. This script intends to help follow the trend and filter out market noise. This script is meant for the use of international users. This script is not meant for the use of Spain users.
SP500 Weekly Posture Ribbon (EMA10W)Check if the SP500 is bullish or bearish. Do not buy stocks when SP500 is bearish.
Long-Term Trend & Valuation Model [Backquant]Long-Term Trend & Valuation Model
Invite-only. A universal long-term valuation strategy and trend model built to work across markets, with an emphasis on crypto where cycles and volatility are large. Intended primarily for the 1D timeframe. Inputs should be adjusted per asset to reflect its structure and volatility.
If you would like to checkout the simplified and open source valuation, check out:
What this is
A two-layer framework that answers two different questions.
• The Valuation Engine asks “how extended is price relative to its own long-term regime” and outputs a centered oscillator that moves positive in supportive conditions and negative in deteriorating conditions.
• The Trend Model asks “is the market actually trending in a sustained direction” and converts several independent subsystems into a single composite score.
The combination lets you separate “where we are in the cycle” from “what to do about it” so allocation and timing can be handled with fewer conflicts.
Design philosophy
Crypto and many risk assets move in multi-month expansions and contractions. Short tools flip often and can be misleading near regime boundaries. This model favors slower, high-confidence information, then summarizes it in simple visuals and alerts. It is not trying to catch every swing. It is built to help you participate in the meat of long uptrends, de-risk during deteriorations, and identify stretched conditions that deserve caution or patience.
Valuation Engine, high level
The Valuation Engine blends several slow signals into one measure. Exact transforms, windows, and weights are private, but the categories below describe the intent. Each input is standardized so unlike units can be combined without one dominating.
Momentum quality — favors persistent, orderly advances over erratic spikes. Helps distinguish trend continuation from noise.
Mean-reversion pressure — detects when price is far from a long anchor or when oscillators are pulling back toward equilibrium.
Risk-adjusted return — long-window reward to variability. Encourages time in market when advances are efficient rather than merely fast.
Volume imbalance — summarizes whether activity is expanding with advances or with declines, using a slow envelope to avoid day-to-day churn.
Trend distance — expresses how stretched price is from a structural baseline rather than from a short moving average.
Price normalization — a long z-score of price to keep extremes comparable across cycles and symbols.
How the Valuation Engine is shaped
Standardization — components are put on comparable scales over long windows.
Composite blend — standardized parts are combined into one reading with protective weighting. No single family can override the rest on its own.
Smoothing — optional moving average smoothing to reduce whipsaw around zero or around the bands.
Bounded scaling — the composite is compressed into a stable, interpretable range so the mid zone and extremes are visually consistent. This reduces the effect of outliers without hiding genuine stress.
Volatility-aware re-expansion — after compression, the series is allowed to swing wider in high-volatility regimes so “overbought” and “oversold” remain meaningful when conditions change.
Thresholds — fixed OB/OS levels or dynamic bands that float with recent dispersion. Dynamic bands use k times a rolling standard deviation. Fixed bands are simple and comparable across charts.
How to read the Valuation Oscillator
Above zero suggests a supportive backdrop. Rising and positive often aligns with uptrends that are gaining participation.
Below zero suggests deterioration or risk aversion. Falling and negative often aligns with distribution or with trend exhaustion.
Touches of the upper band show stretch on the optimistic side. Repeated tags without breakdown often occur late in cycles, especially in crypto.
Touches of the lower band show stretch on the pessimistic side. They are common in washouts and early bases.
Visual elements
Valuation Oscillator — colored by sign for instant context.
OB/OS guides — fixed or dynamic bands.
Background and bar colors — optional, tied to the sign of valuation for quick scans.
Summary table — optional, shows the standardized contribution of the major categories and the final composite score with a simple status icon.
Trend Model, composite scoring
The trend side aggregates several independent subsystems. Each subsystem issues a vote: long, short, or neutral. Votes are averaged into a composite score. The exact logic of each subsystem is intentionally abstracted. The families below describe roles, not formulas.
Long-horizon price state — checks where price sits relative to multiple structural baselines and whether those baselines are aligned.
Macro regime checks — favors sustained risk-on behavior and penalizes persistent deterioration in breadth or volatility structure.
Ultimate confirmation — a conservative filter that only votes when directional evidence is persistent.
Minimalist sanity checks — keep the model responsive to obvious extremes and prevent “stuck neutral” states.
Higher timeframe or overlay inputs — optional votes that consider slower contexts or relative strength to stabilize borderline periods.
You define two cutoffs for the composite: above the long threshold the state is Long , below the short threshold the state is Short , in between is Cash/Neutral . The script paints a signal line on price for an at-a-glance view and provides alerts when the composite crosses your thresholds.
How it can be used
Cycle framing in crypto — use deep negative valuation as accumulation context, then look for the composite trend to move through your long threshold. Late in cycles, extended positive valuation with weakening composite votes is a caution cue for de-risking or tighter management.
Regime-based allocation — increase risk or loosen take-profits when the composite is firmly Long and valuation is rising. Decrease risk or rotate to stable holdings when the composite is Short and valuation is falling.
Signal gating — run shorter-term entry systems only in the direction of the composite. This reduces counter-trend trades and improves holding discipline during strong uptrends.
Sizing overlay — scale position sizes by the magnitude of the valuation reading. Smaller sizes near the upper band during aging advances, larger sizes near zero after strong resets.
DCA context — for long-only accumulation, schedule heavier adds when valuation is negative and stabilizing, then lighten or pause adds when valuation is very positive and flattening.
Cross-asset rotation — compare symbols on 1D with the same fixed bands. Favor assets with positive valuation that are also in a Long composite state.
Interpreting common patterns
Early build-out — valuation rises from below zero, but the composite is still neutral. This is often the base-building phase. Patience and staged entries can make sense.
Healthy advance — valuation positive and trending up, composite firmly Long. Pullbacks that keep valuation above zero are usually opportunities rather than trend breaks.
Late-cycle stretch — valuation pinned near the upper band while the composite starts to weaken toward neutral. Consider trimming, tightening risk, or shifting to a “let the market prove it” stance.
Distribution and unwind — valuation negative and falling, composite Short. Rallies are treated as counter-trend until both turn.
Settings that matter
Timeframe
This model is intended for 1D as the primary view. It can be inspected on higher or lower frames, but the design choices assume daily bars for crypto and other risk assets.
Asset-specific tuning
Inputs should be adjusted per asset. Coins with high variability benefit from longer lookbacks and slightly wider dynamic bands. Lower-volatility instruments can use shorter windows and tighter bands.
Valuation side
Lookback lengths — longer values make the oscillator steadier and more cycle-aware. Shorter values increase sensitivity but create more mid-zone noise.
Smoothing — enable to reduce flicker around zero and around the bands. Disable if you want faster warnings of regime change.
Dynamic vs fixed thresholds — dynamic bands float with recent dispersion and keep OB/OS comparable across regimes. Fixed bands are simple and make inter-asset comparison easy.
Scaling and re-expansion — keep this enabled if you want extremes to remain interpretable when volatility rises.
Trend side
Composite thresholds — widen the neutral zone if you want fewer flips. Tighten thresholds if you want earlier signals at the cost of more transitions.
Visibility — use the price-pane signal line and bar coloring to keep the regime in view while you focus on structure.
Alerts
Valuation OB/OS enter and exit — the oscillator entering or leaving stretched zones.
Zero-line crosses — valuation turning positive or negative.
Trend flips — composite crossing your long or short threshold.
Strengths
Separates “valuation context” from “trend state,” which improves decisions about when to add, reduce, or stand aside.
Composite voting reduces reliance on any single indicator family and improves robustness across regimes.
Volatility-aware scaling keeps signals interpretable during quiet and wild markets.
Clear, configurable visuals and alerts that support long-horizon discipline rather than frequent toggling.
Final thoughts
This is a universal long-term valuation strategy and trend model that aims to keep you aligned with the dominant regime while giving transparent context for stretch and risk. For crypto on 1D, it helps map accumulation, expansion, distribution, and unwind phases with a single, consistent language. Tune lookbacks, smoothing, and thresholds to the asset you trade, let the valuation side tell you where you are in the cycle, and let the composite trend side tell you what stance to hold until the market meaningfully changes.
Rolling Performance Toolkit (Returns, Correlation and Sharpe)This script provides a flexible toolkit for evaluating rolling performance metrics between any asset and a benchmark.
Features:
Library-based: Built on a custom utilities library for consistent return and statistics calculations.
Rolling Window Control: Choose the lookback period (in days) to calculate metrics.
Multiple Modes: Toggle between Rolling Returns, Rolling Correlation, and Rolling Sharpe Ratio.
Benchmark Comparison: Compare your selected ticker against a benchmark (default: S&P 500 / SPX), but you can easily switch to any symbol.
Risk-Free Rate Options: Choose from zero, a constant annual % rate, or a proxy symbol (default: US03M – 3-Month Treasury Yield).
Annualized Sharpe: Sharpe ratios are annualized by default (×√252) for intuitive interpretation.
This tool is useful for traders and investors who want to monitor relative performance, diversification benefits, or risk-adjusted returns over time.
Beta -> PROFABIGHI_CAPITAL🌟 Overview
The Beta → PROFABIGHI_CAPITAL indicator calculates the systematic risk measurement of any asset relative to a chosen benchmark using statistical correlation analysis and variance decomposition methodology . It combines return calculation, covariance analysis, and variance measurement across (Asset Returns, Benchmark Returns, Correlation Analysis) with rolling window calculations. The indicator features automated beta coefficient calculation , zero-division protection , and benchmark comparison analysis for enhanced systematic risk assessment and market correlation identification.
⚙️ General Settings
– Lookback Period : Number of bars for calculating rolling statistics and correlations (1-500 bars, default: 30).
– Benchmark Symbol : Reference market index for beta calculation (default: CRYPTO:BTCUSD).
– Overlay Setting : False - displays as separate pane oscillator for clear beta visualization.
📊 Beta Calculation Components & Methods
The indicator calculates systematic risk metrics using advanced statistical methods:
- Asset Returns : Rate of change calculation for current asset percentage movements per bar
- Benchmark Returns : Rate of change calculation for benchmark percentage movements per bar
- Mean Asset Returns : Simple moving average of asset returns over lookback period
- Mean Benchmark Returns : Simple moving average of benchmark returns over lookback period
- Covariance Calculation : Manual computation measuring how asset and benchmark move together
- Benchmark Variance : Manual calculation of benchmark return volatility and dispersion
- Beta Coefficient : Systematic risk measure derived from covariance divided by benchmark variance
📈 Advanced Statistical Features
Correlation Analysis Framework:
- Return Decomposition : Separation of asset returns into systematic and unsystematic components
- Market Sensitivity : Measurement of asset responsiveness to benchmark movements
- Risk Attribution : Identification of market-related versus asset-specific risk factors
Rolling Window Analysis:
- Dynamic Lookback : Continuously updated statistics over specified period for current relevance
- Adaptive Calculation : Real-time recalculation with each new bar for evolving correlation analysis
- Statistical Smoothing : Moving average application for return volatility reduction
Mathematical Protection:
- Zero-Division Safety : Built-in protection preventing calculation errors when benchmark variance equals zero
- Error Handling : Returns appropriate values when statistical calculations become undefined
- Robust Framework : Maintains functionality across all market conditions and correlation scenarios
📏 Signal Levels & Interpretation
– Beta = 1 (Gray Dash) : Asset moves in perfect correlation with benchmark (same volatility)
– Beta > 1 (Above Line) : Asset exhibits higher volatility than benchmark (amplified movements)
– Beta < 1 (Below Line) : Asset exhibits lower volatility than benchmark (dampened movements)
– Beta = 0 (Zero Line) : No correlation between asset and benchmark movements
– Negative Beta : Inverse correlation - asset moves opposite to benchmark direction
📋 Beta Interpretation Framework
Systematic Risk Analysis :
- Beta > 1.0 : High Beta Asset - greater systematic risk and volatility than market
- Beta = 1.0 : Market Beta - moves in line with benchmark volatility
- Beta < 1.0 : Low Beta Asset - lower systematic risk and volatility than market
- Beta ≈ 0 : Market Neutral - minimal correlation with benchmark movements
- Negative Beta : Hedge Asset - provides portfolio diversification through inverse correlation
Portfolio Management Applications :
- Risk Assessment : Understanding asset's contribution to portfolio systematic risk
- Diversification Analysis : Identifying correlation patterns for portfolio construction
- Hedging Strategy : Utilizing beta relationships for risk management
- Asset Selection : Choosing assets based on desired beta characteristics
🎨 Visual Features
– Beta Line : Blue line plot with 2-pixel thickness showing beta coefficient evolution
– Reference Line : Horizontal dashed gray line at beta = 1 for market correlation reference
– Separate Pane Display : Independent oscillator visualization for focused beta analysis
– Dynamic Scaling : Automatic y-axis adjustment to accommodate beta value ranges
🔍 Advanced Features
– Multi-Asset Compatibility : Works across all asset classes and market instruments
– Benchmark Flexibility : Any tradable symbol can serve as correlation benchmark
– Real-Time Updates : Continuous beta recalculation with each new price bar
– Statistical Accuracy : Manual covariance and variance calculations ensuring precision
– Rolling Window Methodology : Maintains specified lookback period for all calculations
– Correlation Sensitivity : Responsive to changing market relationships and correlations
🔔 Beta Applications & Signals
– High Beta Identification : Assets with beta > 1.2 indicating high market sensitivity
– Low Beta Recognition : Assets with beta < 0.8 indicating defensive characteristics
– Beta Stability Analysis : Monitoring beta consistency over time for reliability assessment
– Correlation Breakdown : Identifying periods when historical correlations change
– Risk Management : Using beta values for position sizing and portfolio risk control
– Market Regime Detection : Beta changes often signal shifting market conditions
By utilizing precise statistical correlation analysis and systematic risk measurement , the Beta → PROFABIGHI_CAPITAL indicator provides mathematically robust market sensitivity analysis , offering accurate identification of systematic risk exposure through rigorous covariance calculation , variance analysis , and benchmark correlation assessment .
Alpha -> PROFABIGHI CAPITAL🌟 Overview
The Alpha → PROFABIGHI CAPITAL indicator calculates the excess return performance of any asset relative to a chosen benchmark using beta coefficient analysis and risk-adjusted return measurement . It combines covariance calculation, variance analysis, and return averaging across (Asset Returns, Benchmark Returns, Beta Coefficient) with rolling window calculations. The indicator features automated alpha generation detection through statistical correlation analysis and zero-division protection for reliable performance measurement.
⚙️ General Settings
– Lookback Period : Number of bars for calculating rolling statistics and correlations (1-500 bars, default: 30).
– Benchmark Symbol : Reference market index for comparison (default: CRYPTO:BTCUSD).
– Overlay Setting : False - displays as separate pane oscillator for clear alpha visualization.
📊 Alpha Calculation Components & Methods
The indicator calculates multiple performance metrics using statistical methods:
- Asset Returns : Rate of change calculations for current asset price movements per bar
- Benchmark Returns : Rate of change calculations for benchmark price movements per bar
- Mean Asset Returns : Simple moving average of asset returns over lookback period
- Mean Benchmark Returns : Simple moving average of benchmark returns over lookback period
- Covariance Calculation : Manual computation measuring how asset and benchmark move together
- Benchmark Variance : Manual calculation of benchmark return volatility and dispersion
- Beta Coefficient : Covariance divided by benchmark variance with zero-division protection
- Alpha Calculation : Mean asset returns minus beta multiplied by mean benchmark returns
📈 Advanced Statistical Features
Rolling Window Analysis:
- Dynamic Lookback : All calculations use specified lookback period for current relevance
- Continuous Updates : Statistics recalculated with each new bar for real-time analysis
- Moving Averages : Simple moving average calculations for return smoothing
Security Data Integration:
- Multi-Symbol Processing : Fetches benchmark data using security request function
- Timeframe Matching : Uses current chart timeframe for benchmark data synchronization
- Close Price Focus : Utilizes closing prices for both asset and benchmark calculations
Mathematical Protection:
- Zero-Division Check : Conditional logic prevents division by zero in beta calculation
- NA Value Handling : Returns 'na' when benchmark variance equals zero
- Robust Framework : Maintains functionality when calculations become undefined
📏 Signal Levels & Interpretation
– Positive Alpha (Green) : Asset returns exceed beta-adjusted benchmark performance
– Negative Alpha (Red) : Asset returns fall below beta-adjusted benchmark performance
– Zero Line Reference : Horizontal dashed line marking neutral alpha level
– Alpha Magnitude : Higher absolute values indicate stronger relative performance
– Color-Coded Display : Automatic green/red formatting based on positive/negative values
📋 Mathematical Framework
Core Calculation Process :
- Return Calculation : Rate of change for both asset and benchmark over single periods
- Mean Return Smoothing : Simple moving averages applied to return streams
- Covariance Formula : Average of return products minus product of mean returns
- Variance Formula : Average of squared returns minus squared mean returns
- Beta Derivation : Covariance divided by benchmark variance
- Alpha Formula : Asset mean return minus beta times benchmark mean return
🎨 Visual Features
– Alpha Line Plot : Main alpha visualization with 2-pixel line thickness
– Conditional Coloring : Green for positive alpha, red for negative alpha values
– Enhanced Visibility : Thick line format for clear trend identification
– Zero Reference Line : Gray dashed horizontal line at zero level
– Separate Display Pane : Independent oscillator panel below price chart
🔍 Advanced Features
– Real-Time Calculation : Updates automatically with each new price bar
– Manual Statistical Computation : Direct covariance and variance calculations for precision
– Benchmark Flexibility : Any tradable symbol can serve as performance reference
– Error Prevention : Built-in zero-division protection for reliable operation
– Multi-Asset Compatibility : Works across different asset classes and markets
– Rolling Window Methodology : Maintains specified lookback period for all calculations
🔔 Performance Signals
– Alpha Positive Crossover : When alpha value moves above zero line
– Alpha Negative Crossover : When alpha value moves below zero line
– Sustained Alpha Trends : Consistent positive or negative alpha over multiple periods
– Alpha Magnitude Changes : Increasing or decreasing strength of relative performance
– Beta-Adjusted Comparison : Performance measurement accounting for systematic risk correlation
By utilizing rolling statistical calculations and beta-adjusted return analysis , the Alpha → PROFABIGHI CAPITAL indicator provides mathematically sound relative performance measurement , offering accurate identification of excess return generation through systematic covariance and variance analysis with comprehensive zero-division protection .
Mean Reversion Channel [QuantAlgo]🟢 Overview
The Mean Reversion Channel indicator is a range-bound trading system that combines dynamic price channels with momentum-weighted analysis to identify optimal mean reversion opportunities. It creates adaptive upper and lower reversion zones based on recent price action and volatility, while incorporating a momentum-biased equilibrium line that shifts based on volume-weighted price momentum. This creates a three-tier system where traders and investors can identify overbought and oversold conditions within established ranges, detect momentum exhaustion points, and anticipate channel breakouts or breakdowns. This indicator is particularly valuable for strategic dollar cost averaging (DCA) strategies, as it helps identify optimal accumulation zones during oversold conditions and provides tactical risk management levels for systematic investment approaches across different market conditions and asset classes.
🟢 How It Works
The indicator employs a four-stage calculation process that transforms raw price and volume data into actionable mean reversion signals. First, it establishes the base channel by calculating the highest high and lowest low over a user-defined lookback period, creating the foundational price range for mean reversion analysis. This channel adapts continuously as new price data becomes available, ensuring the system remains relevant to current market conditions.
In the second stage, the system calculates volume-weighted momentum by combining price momentum with volume activity. The momentum calculation takes the price change over a specified period and multiplies it by the volume ratio (current volume versus 20-period average volume, for instance) and a volume factor multiplier. This creates momentum readings that are more significant during high-volume periods and less influential during low-volume conditions.
The third stage creates the dynamic reversion zones using Average True Range (ATR) calculations. The upper reversion zone is positioned below the channel high by an ATR-based distance, while the lower reversion zone is positioned above the channel low. These zones contract when momentum is negative (upper zone) or positive (lower zone), creating asymmetric reversion bands that adapt to momentum conditions.
The final stage establishes the momentum-biased equilibrium line by calculating the midpoint between the reversion zones and adjusting it based on momentum bias. When momentum is positive, the equilibrium shifts upward; when negative, it shifts downward. This creates a dynamic reference level that helps identify when price action is moving against the prevailing momentum trend, signaling potential mean reversion opportunities.
🟢 How to Use
1. Mean Reversion Signal Identification
Lower Reversion Zone Signals: When price reaches or falls below the lower reversion zone with bearish momentum, the system generates potential long/buy entry signals indicating oversold conditions within the established range.
Upper Reversion Zone Signals: When price reaches or exceeds the upper reversion zone with bullish momentum, the system generates potential short/sell entry signals indicating overbought conditions.
2. Equilibrium Line Analysis and Momentum Exhaustion
Equilibrium Breaks: The dynamic equilibrium line serves as a momentum bias indicator within the channel. Price crossing above equilibrium suggests shifting to bullish bias, while breaks below indicate bearish bias development within the mean reversion framework.
Momentum Exhaustion Signals: The system identifies momentum exhaustion when price breaks through the equilibrium line opposite to the prevailing momentum direction. Bullish exhaustion occurs when price falls below equilibrium despite positive momentum, while bearish exhaustion happens when price rises above equilibrium during negative momentum periods.
3. Channel Expansion and Breakout Detection
Channel Boundary Breaks: When price breaks above the upper reversion zone or below the lower reversion zone, it signals potential channel expansion or false breakout conditions. These events often precede significant trend changes or range expansion phases.
Range Expansion Alerts: Breaks above the channel high or below the channel low indicate potential breakout from the mean reversion range, suggesting trend continuation or new directional movement beyond the established boundaries.
🟢 Pro Tips for Trading and Investing
→ Strategic DCA Optimization: Use the lower reversion zone as primary accumulation levels for dollar cost averaging strategies. When price reaches oversold conditions with bearish momentum exhaustion signals, it often represents optimal entry points for systematic investment programs, allowing investors to accumulate positions at statistically favorable price levels within the established range.
→ DCA Pause and Acceleration Signals : Monitor equilibrium line breaks to adjust DCA frequency and amounts. When price consistently trades below equilibrium with momentum exhaustion signals, consider accelerating DCA intervals or increasing investment amounts. Conversely, when price reaches upper reversion zones, consider pausing or reducing DCA activity until more favorable conditions return.
→ Momentum Divergence Detection: Watch for divergences between price action and momentum readings within the channel. When price makes new lows but momentum shows improvement, or price makes new highs with deteriorating momentum, these signal high-probability mean reversion setups ideal for contrarian investment approaches.
→ Alert-Based Systematic Investing/Trading: Utilize the comprehensive alert system for automated DCA triggers. Set up alerts for lower reversion zone touches combined with momentum exhaustion signals to create systematic entry points that remove emotional decision-making from long-term investment strategies, particularly effective for volatile assets where timing improvements can significantly impact overall returns.
RDT Buy/Sell Signals Scalp 1MExit alerts for scalps for the 1m chart.
An alert is triggered, if a 1m candle ended and a 3/8 EMA cross was created in the according direction (depending on whether Long or Short Exit alert is set).
Entry alerts basically work the same. I've never ever used them so far though, since it never made sense the way I trade.
More infos: www.reddit.com
15/30M Alerts"X Candle Close":
Same as in 5m Enter alert: it's really helpful to wait for a 15m/30m candle to be confirmed, to see f. e. whether a candle really broke a support / resistance or not - and to prevent making bad decisions.
More infos: www.reddit.com
1D Exit Alerts"A Daily Exit LONG" + "B Daily Exit SHORT":
I'm not using this one anymore since they often make me worry more than necessary, and I focus more on aiming to reach specific price targets, or using the 5m Exit alerts instead.
Also swing trades require less time-sensitive operations than day trades, so for me personally they felt a bit redundant.
But maybe it helps some of you:
There are 4 conditions that trigger it. As with 5m Exit Alerts, the triggering reasons show up in the exit alert message (unfortunately only as a number, since alert messages can't have "dynamic text" in TradingView).
Here are the conditions sorted from best to worst:
Gap Up / Down. Better check SPY and the stock whether a Gap Reversal is likely to happen (aka get out) or whether the stock will keep going higher / lower.
Earnings: End of day or Tomorrow morning. Alert is triggered at beginning of morning before earnings, and then again 15m before market close.
Mental stop loss: Broke daily EMA 8 or SMA - in the wrong direction....
Wrong direction: Broke below / above yesterday's Low / High. It's not immediately triggered, but only after re-touching VWAP again, to prevent too impulsive exits.
As with 5m Exit alerts: Always consider how the market and stock looks like, then decide whether to exit or not! These are meant to make you look at the chart, not to FOMO-exit.
"X Candle Close":
Same as in 1D Enter alert: Is triggered 15m before market close (I put it in here as well because I kept forgetting whether I put this one into Enter or Exit alerts...)
More infos: www.reddit.com
