RSI / Stoch / SRSI / MFI / Aroon Overlay [SigmaDraconis]Combines 4 popular indicators (RSI, Stoch, SRSI, MFI) and 1 peculiar one (Aroon) in 1 for those who want to save indicators but not only.
This is an evolution of my (simpler) "RSI / Stoch / Stoch RSI (SRSI) Overlay " that you can find on my scripts.
Added bands for oversold/overbought areas (70/30 common for RSI and 80/20 for SRSI and MFI), as well as a middle 50 horizontal line.
Neutral bands around 55-45 added as well that can be hidden for less clutter. I also recommend a more transparent coloring for these since Pine script doesn't allow default transparency for horizontal lines.
By default only RSI and Stoch are activated, you can activate Aroon, MFI and SRSI on the inputs window.
Some extra notes:
* RSI, Stoch and MFI can help to strengthen one's decision as well as Aroon to predict a possible trend reversal, SRSI can show when RSI has high probability of being topped or bottomed when oversold/overbought but don't forget to look at volume and how the trend progresses that can keep SRSI above 80 or below 20 while RSI and price continues to trend, divergences are most helpful here to find possible reversal areas.
* This chart depicts some interesting divergences, as well as Stoch tops and bottoms and confluences between RSI/MFI and Stoch on some over-extended tops and bottoms that shown being good reversal zones.
RSI resistances are shown as well, failing to break above 60 or the neutral zone (this is a bearish BTC trend chart after all) or failing to gain support to break up certain levels (RSI notes a more bullish trend when consistently above 60 and more bearish below 40).
If you like it and use it to profit, please tip me below :)
Tip jars:
BTC: 15nMBiEGVrdGcu9C1h6QRcTNRvugHkqrMQ
ETH: 0xC33845946c48B61fBCbEA0367ec2238CaF2b73bc
BTS: sigma-draconis
스크립트에서 "市值60亿的股票"에 대해 찾기
Chop and explodeThe purpose of this script is to decipher chop zones from runs/movement/explosion
The chop is RSI movement between 40 and 60
tight chop is RSI movement between 45 and 55. There should be an explosion after RSI breaks through 60 (long) or 40 (short). Tight chop bars are colored black, a series of black bars is tight consolidation and should explode imminently. The longer the chop the longer the explosion will go for. tighter the better.
Loose chop (whip saw/yellow bars) will range between 40 and 60.
the move begins with blue bars for long and purple bars for short.
Couple it with your trading system to help stay out of chop and enter when there is movement. Use with "Simple Trender."
Best of luck in all you do. Get money.
Build A BotThis is the Robot we built during the 60 Minute Build-A-Bot webinar on September 12, 2018. We had a great time, and a lot of participation and the best part was that we finished up this robot and even ran a backtest in exactly 60 minutes! We built this robot based on recommendations and suggestions from those who were attending live. Lots of pieces in this robot, but you can always tinker with it, remove stuff, add things, whatever you want!
This version uses the CCI as a trigger for trade entry. The other version uses the Hull Moving Average as a trigger for trade entry.
Volume Zone Oscillator and Price Zone (VZO/PZO) [NeoButane]" Volume Precedes Price is the conceptual idea for the oscillator."
"The main idea of the VZO was to try to change the OBV to look like an oscillator rather than an indicator, also to include time; primarily to identify which zone the volume is located in during a specific period "
How to read this indicator:
Positive reading -> bullish
Negative reading -> bearish
-60 or 60 is seen as the limit of the oscillator range, and a pullback should be expected from there.
Plus and minus signs have been added to the top and bottom for VZO and PZO, with an adjustable threshold to trigger.
Alert conditions have been added to this indicator for ease of use.
Volume Zone Oscillator, write-up by the author (recommended reading)
http:capitalsynergy.com/resources/IFTA09VZO.pdf
Volume Zone Oscillator, uses and formula
https:www.investopedia.com/articles/active-trading/072815/how-interpret-volume-zone-oscillator.asp
Price Zone Oscillator, uses and formula
https:www.investopedia.com/terms/p/price-zone-oscillator.asp
Fib,Guppy Multiple MA(FGMMA)(A/D & Volume Weight,SMA,EMA)[cI8DH]Features:
- 3 + 12 MAs (12 is chosen because Guppy has 12 MAs)
- MA types can be set to Simple, Exponential, Weighted, and Smoothed
- Volume weight can be applied to all available MAs (the built-in VWMA uses Simple MA)
- It is possible to count in only effective portions of the volume in the equation by using Accum/Dist Volume Weight
- Secondary smoothing (useful when volume weight is enabled)
- Predefined MA sets based on Fibonacci sequence (2,3,5,8,.., 377), Guppy (3,5,8,10,12,15 &30,35,40,45,50,60), and cI8DH (2,3,5,8,12,17 & 30,34,39,45,52,60)
Recommended settings:
- hlc3 as input source captures all the essential information encapsulated in a candle. I'd use hlc3 as the default option. In uptrend, "low" and in downtrend, "high" might give more relevant results when using MAs for structural analysis of a market. For commonly used MAs (EMA20, SMA50,100,200), "close" should be used due to their self-fulfilling prophecy effect.
- When you have volume weight above 0, you may want to use secondary smoothing.
- Try not to use Simple MA for smaller lengths (below 20). Sharp changes in the past (right before the period specified by the length) will affect the current value of MA dramatically leading to confusion.
- I am using the first 3 MAs for SMA 50,100,200. You can disable them from the MA type selector all at once when using Fib or Guppy ribbons.
MA-based analysis:
There are different ways of structuring a market. Geometrical (trend lines, channels, fans, patterns, etc) and Fib retracement-based structuring is very common among traders. MAs give an alternative way of analyzing markets. MA ribbons such as Guppy (6 slow and 6 fast-moving MAs) are popular for analyzing market flow. IMO default Guppy sets are a bit random as the numbers do not have an elegant sequence. So I proposed my sets based on increasing sequene spacing (+1). These two MA ribbons are good for market flow analysis but the spacing of the MAs are not ideal for structuring a market. Ribbons based on the Fib sequence is a better choice for structuring a market. This is the equivalent of Fib channels but in a more dynamic form. Among other things, MA Fib ribbon can be used to assess market momentum and to compare different stages of a market. Here are two "educational-only" examples:
Notes:
- Smoothed MA with length L = Exponential MA with length 2*L-1
- Read the background section in my ADP indicator to understand how A/D Volume is calculated
Better RSI with bullish / bearish market cycle indicator This script improves the default RSI. First. it identifies regions of the RSI which are oversold and overbought by changing the color of RSI from white to red. Second, it adds additional reference lines at 20,40,50,60, and 80 to better gauge the RSI value. Finally, the coolest feature, the middle 50 line is used to indicate which cycle the price is currently at. A green color at the 50 line indicates a bullish cycle, a red color indicators a bearish cycle, and a white color indicates a neutral cycle.
The cycles are determined using the RSI as follows:
if RSI is overbought, cycle switches to bullish until RSI falls below 40, at which point it becomes neutral
if RSI is oversold, cycle switches bearish until RSI rises above 60, at which point it becomes neutral
a neutral cycle is exited at either overbought or oversold conditions
Very useful, please give it a try and let me know what you think
MG - Multiple time frame Stochastic RSIAllows user to view stochastic RSI from two different time frames.
Each stochastic RSI indicator is fully customizable, offering the following options:
- Timeframe
- RSI source
- RSI length
- Stochastic length
- Stochastic average length
- Stochastic smoothing length
Usage:
Comparing stochastic RSI across two different time frames can sharpen trades. For example, if you configure a 60 min and 5/15 min stochastic RSI pair, you might enter a long trade when the 60 min stoch RSI crosses up and exit / take profit when the 5 min stock RSI crosses down.
NG [Simple Harmonic Oscillator]The SHO is a bounded oscillator for the simple harmonic index that calculates the period of the market’s cycle.
The oscillator is used for short and intermediate terms and moves within a range of -100 to 100 percent.
The SHO has overbought and oversold levels at +40 and -40, respectively.
At extreme periods, the oscillator may reach the levels of +60 and -60.
The zero level demonstrates an equilibrium between the periods of bulls and bears.
The SHO oscillates between +40 and -40.
The crossover at those levels creates buy and sell signals.
In an uptrend, the SHO fluctuates between 0 and +40 where the bulls are controlling the market.
On the contrary, the SHO fluctuates between 0 and -40 during downtrends where the bears controlthe market.
Reaching the extreme level -60 in an uptrend is a sign of weakness.
Ichimoku Cloud w/SelIchimoku Cloud with selection for:
Regular:
conversionPeriods = 9,
basePeriods = 26
laggingSpan2Periods = 52,
displacement = 26
Crypto:
conversionPeriods = 10,
basePeriods = 30,
laggingSpan2Periods = 60,
displacement = 30
Crypto Doubled:
conversionPeriods = 20,
basePeriods = 60,
laggingSpan2Periods = 120,
displacement = 30
3 Linear Regression CurveFast 3LRC - 15/30/60 standard settings - 15/30 give a lot of noise, but give you a some time to prepare for the 60 to flip
DEMA Double Exponential Moving Average Strategy@Moneros 2017
Based on The DEMA is a fast-acting moving average that is more responsive to market changes than a traditional moving average
en.wikipedia.org
!!!! IN ORDER TO AVOID REPAITING ISSUES !!!!
!!!! DO NOT VIEW IN LOWER RESOLUTIONS THAN res/2 PARAMETER !!!!
for example res = 120 view >= 60m res = 60 view >= 30m
the length of the DEMA sampling shouldn't be longer than a candle
Best profits tested on BTCUSD
res = 105 slowPeriod = 2 fastPeriod = 32
res = 125 slowPeriod = 3 fastPeriod = 21
res = 120 slowPeriod = 2 fastPeriod = 32
res = 130 slowPeriod = 1 fastPeriod = 24
res = 40 slowPeriod = 4 fastPeriod = 93
res = 60 slowPeriod = 1 fastPeriod = 67
BTCUSD
RSI in Bull and Bear Market V2.0RSI oversold at 60/40 in bullish market
And Overbought at 40/60 in Bearish market
for more info of this Strategy
WaveTrend [MastroFran]Great indicator to show short term price movements. 5 day moving average oscillator. When green crosses red and under the 60 mark, buy with caution. when over the 60 mark and red crosses green sell immediately for highest profits.
Hersheys CoCo VolumeCoCo Volume shows you volume movement of your symbol after subtracting the movement from another symbol, preferrably the sector or market the stock belongs to.
My latest update to my CoCoVolume Indicator. It calculates today's volume percent over the 60 period average for both your symbol and index, and displays that difference. If the percent is over the max it highlights the color, showing BIG action for that stock.
The last version was calculating the percent volume difference from yesterday to today for the stock and index and displaying the difference. The prior method had large swings on low volume stocks... this one shows the independent volume action much better. The default values will suit most stocks.
You can set three variables...
- the index symbol, default is SPY
- the period for averaging, default is 60
- the max volume percent, default is 500
Good trading!
Brian Hershey
close-hl2 Price actionStill not tested, but looks very good ; it is the difference between EMA median price and EMA close in different time frame, I used 240, 60, and the current Time frame ,plus one more customed period ; can forcast the price movement , but it s not in scale, so it can not show how much higher or lower the price can goes but just the next direction. I think intraday on 5 ,15 ,60 better then high frame.If you need to try on Daily frame have to change the period to higher then Daily
Everyday 0002 _ MAC 1st Trading Hour WalkoverThis is the second strategy for my Everyday project.
Like I wrote the last time - my goal is to create a new strategy everyday
for the rest of 2016 and post it here on TradingView.
I'm a complete beginner so this is my way of learning about coding strategies.
I'll give myself between 15 minutes and 2 hours to complete each creation.
This is basically a repetition of the first strategy I wrote - a Moving Average Crossover,
but I added a tiny thing.
I read that "Statistics have proven that the daily high or low is established within the first hour of trading on more than 70% of the time."
(source: )
My first Moving Average Crossover strategy, tested on VOLVB daily, got stoped out by the volatility
and because of this missed one nice bull run and a very nice bear run.
So I added this single line: if time("60", "1000-1600") regarding when to take exits:
if time("60", "1000-1600")
strategy.exit("Close Long", "Long", profit=2000, loss=500)
strategy.exit("Close Short", "Short", profit=2000, loss=500)
Sweden is UTC+2 so I guess UTC 1000 equals 12.00 in Stockholm. Not sure if this is correct, actually.
Anyway, I hope this means the strategy will only take exits based on price action which occur in the afternoon, when there is a higher probability of a lower volatility.
When I ran the new modified strategy on the same VOLVB daily it didn't get stoped out so easily.
On the other hand I'll have to test this on various stocks .
Reading and learning about how to properly test strategies is on my todo list - all tips on youtube videos or blogs
to read on this topic is very welcome!
Like I said the last time, I'm posting these strategies hoping to learn from the community - so any feedback, advice, or corrections is very much welcome and appreciated!
/pbergden
猛の掟・初動完成版//@version=5
indicator("猛の掟・初動スクリーナー_完成版", overlay=true)
// =============================
// 入力パラメータ
// =============================
emaLenShort = input.int(5, "短期EMA", minval=1)
emaLenMid = input.int(13, "中期EMA", minval=1)
emaLenLong = input.int(26, "長期EMA", minval=1)
macdFastLen = input.int(12, "MACD Fast", minval=1)
macdSlowLen = input.int(26, "MACD Slow", minval=1)
macdSignalLen = input.int(9, "MACD Signal", minval=1)
macdZeroTh = input.float(0.2, "MACDゼロライン近辺とみなす許容値", step=0.05)
volMaLen = input.int(5, "出来高平均日数", minval=1)
volMinRatio = input.float(1.3, "出来高倍率(初動判定しきい値)", step=0.1)
volStrongRatio = input.float(1.5, "出来高倍率(本物/三点シグナル用)", step=0.1)
highLookback = input.int(60, "直近高値の参照本数", minval=10)
pullbackMin = input.float(5.0, "押し目最小 ", step=0.5)
pullbackMax = input.float(15.0, "押し目最大 ", step=0.5)
breakLookback = input.int(15, "レジブレ後とみなす本数", minval=1)
wickBodyMult = input.float(2.0, "ピンバー:下ヒゲが実体の何倍以上か", step=0.5)
// ★ シグナル表示 ON/OFF
showMou = input.bool(true, "猛シグナルを表示")
showKaku = input.bool(true, "確シグナルを表示")
// =============================
// 基本指標計算
// =============================
emaShort = ta.ema(close, emaLenShort)
emaMid = ta.ema(close, emaLenMid)
emaLong = ta.ema(close, emaLenLong)
= ta.macd(close, macdFastLen, macdSlowLen, macdSignalLen)
volMa = ta.sma(volume, volMaLen)
volRatio = volMa > 0 ? volume / volMa : 0.0
recentHigh = ta.highest(high, highLookback)
prevHigh = ta.highest(high , highLookback)
pullbackPct = recentHigh > 0 ? (recentHigh - close) / recentHigh * 100.0 : 0.0
// ローソク足
body = math.abs(close - open)
upperWick = high - math.max(open, close)
lowerWick = math.min(open, close) - low
// =============================
// A：トレンド条件
// =============================
emaUp = emaShort > emaShort and emaMid > emaMid and emaLong > emaLong
goldenOrder = emaShort > emaMid and emaMid > emaLong
aboveEma2 = close > emaLong and close > emaLong
trendOK = emaUp and goldenOrder and aboveEma2
// =============================
// B：MACD条件
// =============================
macdGC = ta.crossover(macdLine, macdSignal)
macdNearZero = math.abs(macdLine) <= macdZeroTh
macdUp = macdLine > macdLine
macdOK = macdGC and macdNearZero and macdUp
// =============================
// C：出来高条件
// =============================
volInitOK = volRatio >= volMinRatio // 8条件用
volStrongOK = volRatio >= volStrongRatio // 三点シグナル用
volumeOK = volInitOK
// =============================
// D：ローソク足パターン
// =============================
isBullPinbar = lowerWick > wickBodyMult * body and lowerWick > upperWick and close >= open
isBullEngulf = close > open and open < close and close > open
isBigBullCross = close > emaShort and close > emaMid and open < emaShort and open < emaMid and close > open
candleOK = isBullPinbar or isBullEngulf or isBigBullCross
// =============================
// E：価格帯（押し目＆レジブレ）
// =============================
pullbackOK = pullbackPct >= pullbackMin and pullbackPct <= pullbackMax
isBreakout = close > prevHigh and close <= prevHigh
barsSinceBreak = ta.barssince(isBreakout)
afterBreakZone = barsSinceBreak >= 0 and barsSinceBreak <= breakLookback
afterBreakPullbackOK = afterBreakZone and pullbackOK and close > emaShort
priceOK = pullbackOK and afterBreakPullbackOK
// =============================
// 8条件の統合
// =============================
allRulesOK = trendOK and macdOK and volumeOK and candleOK and priceOK
// =============================
// 最終三点シグナル
// =============================
longLowerWick = lowerWick > wickBodyMult * body and lowerWick > upperWick
macdGCAboveZero = ta.crossover(macdLine, macdSignal) and macdLine > 0
volumeSpike = volStrongOK
finalThreeSignal = longLowerWick and macdGCAboveZero and volumeSpike
buyConfirmed = allRulesOK and finalThreeSignal
// =============================
// 描画
// =============================
plot(emaShort, color=color.new(color.yellow, 0), title="EMA 短期(5)")
plot(emaMid, color=color.new(color.orange, 0), title="EMA 中期(13)")
plot(emaLong, color=color.new(color.blue, 0), title="EMA 長期(26)")
// シグナル表示（ON/OFF付き）
plotshape(showMou and allRulesOK, title="猛の掟 8条件クリア候補", location=location.belowbar, color=color.new(color.lime, 0), text="猛")
plotshape(showKaku and buyConfirmed, title="猛の掟 最終三点シグナル確定", location=location.belowbar, color=color.new(color.yellow, 0), text="確")
// =============================
// アラート条件
// =============================
alertcondition(allRulesOK, title="猛の掟 8条件クリア候補", message="猛の掟 8条件クリア候補シグナル発生")
alertcondition(buyConfirmed, title="猛の掟 最終三点シグナル確定", message="猛の掟 最終三点シグナル＝買い確定")
GOLDEN RSI （70-50-30）The fluctuation range has been expanded. Theoriginal author only set it between 40 and 60, but arange of 30 to 70 would be more reasonableAdditionally, a 50 median line has been added withinthe fluctuation range
Bitcoin Multibook v1.0 [Apollo Algo]Bitcoin Multibook v1.0 by Apollo Algo is an advanced market depth and order flow visualization tool that brings professional-grade multi-exchange order book analysis to TradingView. Inspired by Bookmap's multibook functionality and built upon LucF's original single "Tape" indicator concept, this tool aggregates real-time trading data from multiple Bitcoin exchanges into a unified tape display.
Credits & Attribution
This indicator is an evolution of the original "Tape" indicator created by LucF (TradingView: @LucF). The multibook enhancement and Bitcoin-specific optimizations were developed by Apollo Algo to provide traders with institutional-grade market microstructure visibility across major Bitcoin trading venues.
Purpose & Philosophy
Bitcoin leads the entire cryptocurrency market. By monitoring order flow across the primary Bitcoin exchanges simultaneously, traders gain crucial insights into:
Cross-exchange arbitrage opportunities
Institutional order flow patterns
Market maker positioning
True market sentiment beyond single-exchange data
Key Features
📊 Multi-Exchange Data Aggregation
Real-time tape from 3 major exchanges:
Binance (BTCUSDT)
Coinbase (BTCUSD)
Kraken (BTCUSD)
Customizable source inputs for any trading pair
Synchronized price and volume tracking
Exchange name identification in tape display
📈 Advanced Tape Display
Dynamic tape visualization with configurable line quantity (0-50 lines)
Directional flow indicators (＋/－ symbols for price changes)
Exchange identification for each trade
Volume precision control (0-16 decimal places)
Flexible positioning (9 screen positions available)
Real-time only operation for accurate order flow
🎯 Volume Delta Analysis
Real-time cumulative volume delta calculation
Divergence detection (price vs. volume direction)
Colored visual feedback for market sentiment
Total session delta displayed in footer
Cross-exchange delta aggregation
🚨 Smart Alert System
Marker 1: Volume Delta Bumps (⬆⬇)
Triggers on consecutive volume delta increases
Identifies momentum acceleration points
Filters out divergent movements
Marker 2: Volume Delta Thresholds (⇑⇓)
Fires when delta exceeds user-defined thresholds
Catches significant order imbalances
Excludes divergence conditions
Marker 3: Large Volume Detection (⤊⤋)
Highlights unusually large individual trades
Spots potential institutional activity
Direction-specific triggers
Configure Data Sources
Adjust exchange pairs if needed (e.g., for altcoin analysis)
Leave blank to disable specific exchanges
Use format: EXCHANGE:SYMBOL
Customize Display
Set tape line quantity based on screen size
Position the table for optimal visibility
Choose color scheme (text or background)
Adjust text size for readability
Configure Alerts
Enable desired markers (1, 2, or 3)
Set volume thresholds appropriate for your timeframe
Choose direction (Longs, Shorts, or Both)
Create TradingView alerts on marker signals
Trading Applications
Scalping (1-5 min)
Monitor tape speed for momentum shifts
Watch for cross-exchange divergences
Track large volume clusters
Use Marker 1 for quick momentum trades
Day Trading (5-60 min)
Identify accumulation/distribution phases
Spot institutional positioning
Confirm breakout validity with volume delta
Use Marker 2 for significant imbalances
Swing Trading (1H+)
Analyze volume delta trends
Detect smart money rotation
Time entries with order flow confirmation
Use Marker 3 for institutional footprints
Advanced Techniques
Cross-Exchange Arbitrage Detection
When price disparities appear between exchanges:
Immediate Opportunity: Price differences > 0.1%
Bot Activity: Rapid convergence patterns
Liquidity Vacuum: One exchange leading others
Divergence Trading Strategies
Volume delta diverging from price direction:
Absorption: Strong hands entering (price down, delta up)
Distribution: Smart money exiting (price up, delta down)
Reversal Setup: Sustained divergence over multiple bars
Institutional Footprint Recognition
Large volume characteristics:
Simultaneous Spikes: Same timestamp across exchanges
TWAP Patterns: Consistent volume over time
Iceberg Orders: Repeated same-size trades
Pine Script v6 Enhancements
Type Safety Improvements
Strict boolean type handling
Explicit type declarations
Enhanced error checking
Performance Optimizations
Improved request.security() function
Better memory management with arrays
Optimized table rendering
Modern Syntax Updates
indicator() instead of study()
Namespaced math functions (math.round())
Typed input functions (input.int(), input.float())
Performance Considerations
System Requirements
Real-time Data: Essential for tape operation
Multiple Security Calls: May impact performance
Array Operations: Memory intensive with high line counts
Table Rendering: CPU usage increases with tape size
Optimization Tips
Reduce tape lines for better performance
Increase volume filter to reduce noise
Disable unused markers
Use text-only coloring for faster rendering
Absorption RatioThe Hidden Connections Between Markets
Financial markets are not isolated islands. When panic spreads, seemingly unrelated assets suddenly begin moving in lockstep. Stocks, bonds, commodities, and currencies that normally provide diversification benefits start falling together. This phenomenon, where correlations spike during crises, has devastated portfolios throughout history. The Absorption Ratio provides a quantitative measure of this hidden fragility.
The concept emerged from research at State Street Associates, where Mark Kritzman, Yuanzhen Li, Sebastien Page, and Roberto Rigobon developed a novel application of principal component analysis to measure systemic risk. Their 2011 paper in the Journal of Portfolio Management demonstrated that when markets become tightly coupled, the variance explained by the first few principal components increases dramatically. This concentration of variance signals elevated systemic risk.
What the Absorption Ratio Measures
Principal component analysis, or PCA, is a statistical technique that identifies the underlying factors driving a set of variables. When applied to asset returns, the first principal component typically captures broad market movements. The second might capture sector rotations or risk-on/risk-off dynamics. Additional components capture increasingly idiosyncratic patterns.
The Absorption Ratio measures the fraction of total variance absorbed or explained by a fixed number of principal components. In the original research, Kritzman and colleagues used the first fifth of the eigenvectors. When this fraction is high, it means a small number of factors are driving most of the market movements. Assets are moving together, and diversification provides less protection than usual.
Consider an analogy: imagine a room full of people having independent conversations. Each person speaks at different times about different topics. The total "variance" of sound in the room comes from many independent sources. Now imagine a fire alarm goes off. Suddenly everyone is talking about the same thing, moving in the same direction. The variance is now dominated by a single factor. The Absorption Ratio captures this transition from diverse, independent behavior to unified, correlated movement.
The Implementation Approach
TradingView does not support matrix algebra required for true principal component analysis. This implementation uses a closely related proxy: the average absolute correlation across a universe of major asset classes. This approach captures the same underlying phenomenon because when assets are highly correlated, the first principal component explains more variance by mathematical necessity.
The asset universe includes eight ETFs representing major investable categories: SPY and QQQ for large cap US equities, IWM for small caps, EFA for developed international markets, EEM for emerging markets, TLT for long-term treasuries, GLD for gold, and USO for oil. This selection provides exposure to equities across geographies and market caps, plus traditional diversifying assets.
From eight assets, there are twenty-eight unique pairwise correlations. The indicator calculates each using a rolling window, takes the absolute value to measure coupling strength regardless of direction, and averages across all pairs. This average correlation is then transformed to match the typical range of published Absorption Ratio values.
The transformation maps zero average correlation to an AR of 0.50 and perfect correlation to an AR of 1.00. This scaling aligns with empirical observations that the AR typically fluctuates between 0.60 and 0.95 in practice.
Interpreting the Regimes
The indicator classifies systemic risk into four regimes based on AR levels.
The Extreme regime occurs when the AR exceeds 0.90. At this level, nearly all asset classes are moving together. Diversification has largely failed. Historically, this regime has coincided with major market dislocations: the 2008 financial crisis, the 2020 COVID crash, and significant correction periods. Portfolios constructed under normal correlation assumptions will experience larger drawdowns than expected.
The High regime, between 0.80 and 0.90, indicates elevated systemic risk. Correlations across asset classes are above normal. This often occurs during the build-up to stress events or during volatile periods where fear is spreading but has not reached panic levels. Risk management should be more conservative.
The Normal regime covers AR values between 0.60 and 0.80. This represents typical market conditions where some correlation exists between assets but diversification still provides meaningful benefits. Standard portfolio construction assumptions are reasonable.
The Low regime, below 0.60, indicates that assets are behaving relatively independently. Diversification is working well. Idiosyncratic factors dominate returns rather than systematic risk. This environment is favorable for active management and security selection strategies.
The Relationship to Portfolio Construction
The implications for portfolio management are significant. Modern portfolio theory assumes correlations are stable and uses historical estimates to construct efficient portfolios. The Absorption Ratio reveals that this assumption is violated precisely when it matters most.
When AR is elevated, the effective number of independent bets in a diversified portfolio shrinks. A portfolio holding stocks, bonds, commodities, and real estate might behave as if it holds only one or two positions during high AR periods. Position sizing based on normal correlation estimates will underestimate portfolio risk.
Conversely, when AR is low, true diversification opportunities expand. The same nominal portfolio provides more independent return streams. Risk can be deployed more aggressively while maintaining the same effective exposure.
Component Analysis
The indicator separately tracks equity correlations and cross-asset correlations. These components tell different stories about market structure.
Equity correlations measure coupling within the stock market. High equity correlation indicates broad risk-on or risk-off behavior where all stocks move together. This is common during both rallies and selloffs driven by macroeconomic factors. Stock pickers face headwinds when equity correlations are elevated because individual company fundamentals matter less than market beta.
Cross-asset correlations measure coupling between different asset classes. When stocks, bonds, and commodities start moving together, traditional hedges fail. The classic 60/40 stock/bond portfolio, for example, assumes negative or low correlation between equities and treasuries. When cross-asset correlation spikes, this assumption breaks down.
During the 2022 market environment, for instance, both stocks and bonds fell significantly as inflation and rate hikes affected all assets simultaneously. High cross-asset correlation warned that the usual defensive allocations would not provide their expected protection.
Mean Reversion Characteristics
Like most risk metrics, the Absorption Ratio tends to mean-revert over time. Extremely high AR readings eventually normalize as panic subsides and assets return to more independent behavior. Extremely low readings tend to rise as some level of systematic risk always reasserts itself.
The indicator tracks AR in statistical terms by calculating its Z-score relative to the trailing distribution. When AR reaches extreme Z-scores, the probability of normalization increases. This creates potential opportunities for strategies that bet on mean reversion in systemic risk.
A buy signal triggers when AR recovers from extremely elevated levels, suggesting the worst of the correlation spike may be over. A sell signal triggers when AR rises from unusually low levels, warning that complacency about diversification benefits may be excessive.
Momentum and Trend
The rate of change in AR carries information beyond the absolute level. Rapidly rising AR suggests correlations are increasing and systemic risk is building. Even if AR has not yet reached the high regime, acceleration in coupling should prompt increased vigilance.
Falling AR momentum indicates normalizing conditions. Correlations are decreasing and assets are returning to more independent behavior. This often occurs in the recovery phase following stress events.
Practical Application
For asset allocators, the AR provides guidance on how much diversification benefit to expect from a given allocation. During high AR periods, reducing overall portfolio risk makes sense because the usual diversifiers provide less protection. During low AR periods, standard or even aggressive allocations are more appropriate.
For risk managers, the AR serves as an early warning indicator. Rising AR often precedes large market moves and volatility spikes. Tightening risk limits before correlations reach extreme levels can protect capital.
For systematic traders, the AR provides a regime filter. Mean reversion strategies may work better during high AR periods when panics create overshooting. Momentum strategies may work better during low AR periods when trends can develop independently across assets.
Limitations and Considerations
The proxy methodology introduces some approximation error relative to true PCA-based AR calculations. The asset universe, while representative, does not include all possible diversifiers. Correlation estimates are inherently backward-looking and can change rapidly.
The transformation from average correlation to AR scale is calibrated to match typical published ranges but is not mathematically equivalent to the eigenvalue ratio. Users should interpret levels directionally rather than as precise measurements.
Correlation regimes can persist longer than expected. Mean reversion signals indicate elevated probability of normalization but do not guarantee timing. High AR can remain elevated throughout extended crisis periods.
References
Kritzman, M., Li, Y., Page, S., and Rigobon, R. (2011). Principal Components as a Measure of Systemic Risk. Journal of Portfolio Management, 37(4), 112-126.
Kritzman, M., and Li, Y. (2010). Skulls, Financial Turbulence, and Risk Management. Financial Analysts Journal, 66(5), 30-41.
Billio, M., Getmansky, M., Lo, A., and Pelizzon, L. (2012). Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors. Journal of Financial Economics, 104(3), 535-559.
猛の掟・初動スクリーナー_完成版//@version=5
indicator("猛の掟・初動スクリーナー_完成版", overlay=true)
// =============================
// 入力パラメータ
// =============================
emaLenShort = input.int(5, "短期EMA", minval=1)
emaLenMid = input.int(13, "中期EMA", minval=1)
emaLenLong = input.int(26, "長期EMA", minval=1)
macdFastLen = input.int(12, "MACD Fast", minval=1)
macdSlowLen = input.int(26, "MACD Slow", minval=1)
macdSignalLen = input.int(9, "MACD Signal", minval=1)
macdZeroTh = input.float(0.2, "MACDゼロライン近辺とみなす許容値", step=0.05)
volMaLen = input.int(5, "出来高平均日数", minval=1)
volMinRatio = input.float(1.3, "出来高倍率(初動判定しきい値)", step=0.1)
volStrongRatio = input.float(1.5, "出来高倍率(本物/三点シグナル用)", step=0.1)
highLookback = input.int(60, "直近高値の参照本数", minval=10)
pullbackMin = input.float(5.0, "押し目最小 ", step=0.5)
pullbackMax = input.float(15.0, "押し目最大 ", step=0.5)
breakLookback = input.int(15, "レジブレ後とみなす本数", minval=1)
wickBodyMult = input.float(2.0, "ピンバー:下ヒゲが実体の何倍以上か", step=0.5)
// ★ シグナル表示 ON/OFF
showMou = input.bool(true, "猛シグナルを表示")
showKaku = input.bool(true, "確シグナルを表示")
// =============================
// 基本指標計算
// =============================
emaShort = ta.ema(close, emaLenShort)
emaMid = ta.ema(close, emaLenMid)
emaLong = ta.ema(close, emaLenLong)
= ta.macd(close, macdFastLen, macdSlowLen, macdSignalLen)
volMa = ta.sma(volume, volMaLen)
volRatio = volMa > 0 ? volume / volMa : 0.0
recentHigh = ta.highest(high, highLookback)
prevHigh = ta.highest(high , highLookback)
pullbackPct = recentHigh > 0 ? (recentHigh - close) / recentHigh * 100.0 : 0.0
// ローソク足
body = math.abs(close - open)
upperWick = high - math.max(open, close)
lowerWick = math.min(open, close) - low
// =============================
// A：トレンド条件
// =============================
emaUp = emaShort > emaShort and emaMid > emaMid and emaLong > emaLong
goldenOrder = emaShort > emaMid and emaMid > emaLong
aboveEma2 = close > emaLong and close > emaLong
trendOK = emaUp and goldenOrder and aboveEma2
// =============================
// B：MACD条件
// =============================
macdGC = ta.crossover(macdLine, macdSignal)
macdNearZero = math.abs(macdLine) <= macdZeroTh
macdUp = macdLine > macdLine
macdOK = macdGC and macdNearZero and macdUp
// =============================
// C：出来高条件
// =============================
volInitOK = volRatio >= volMinRatio // 8条件用
volStrongOK = volRatio >= volStrongRatio // 三点シグナル用
volumeOK = volInitOK
// =============================
// D：ローソク足パターン
// =============================
isBullPinbar = lowerWick > wickBodyMult * body and lowerWick > upperWick and close >= open
isBullEngulf = close > open and open < close and close > open
isBigBullCross = close > emaShort and close > emaMid and open < emaShort and open < emaMid and close > open
candleOK = isBullPinbar or isBullEngulf or isBigBullCross
// =============================
// E：価格帯（押し目＆レジブレ）
// =============================
pullbackOK = pullbackPct >= pullbackMin and pullbackPct <= pullbackMax
isBreakout = close > prevHigh and close <= prevHigh
barsSinceBreak = ta.barssince(isBreakout)
afterBreakZone = barsSinceBreak >= 0 and barsSinceBreak <= breakLookback
afterBreakPullbackOK = afterBreakZone and pullbackOK and close > emaShort
priceOK = pullbackOK and afterBreakPullbackOK
// =============================
// 8条件の統合
// =============================
allRulesOK = trendOK and macdOK and volumeOK and candleOK and priceOK
// =============================
// 最終三点シグナル
// =============================
longLowerWick = lowerWick > wickBodyMult * body and lowerWick > upperWick
macdGCAboveZero = ta.crossover(macdLine, macdSignal) and macdLine > 0
volumeSpike = volStrongOK
finalThreeSignal = longLowerWick and macdGCAboveZero and volumeSpike
buyConfirmed = allRulesOK and finalThreeSignal
// =============================
// 描画
// =============================
plot(emaShort, color=color.new(color.yellow, 0), title="EMA 短期(5)")
plot(emaMid, color=color.new(color.orange, 0), title="EMA 中期(13)")
plot(emaLong, color=color.new(color.blue, 0), title="EMA 長期(26)")
// シグナル表示（ON/OFF付き）
plotshape(showMou and allRulesOK, title="猛の掟 8条件クリア候補", location=location.belowbar, color=color.new(color.lime, 0), text="猛")
plotshape(showKaku and buyConfirmed, title="猛の掟 最終三点シグナル確定", location=location.belowbar, color=color.new(color.yellow, 0), text="確")
// =============================
// アラート条件
// =============================
alertcondition(allRulesOK, title="猛の掟 8条件クリア候補", message="猛の掟 8条件クリア候補シグナル発生")
alertcondition(buyConfirmed, title="猛の掟 最終三点シグナル確定", message="猛の掟 最終三点シグナル＝買い確定")
P_Multi-ORB & Session Breakers// WHAT THIS SCRIPT DOES:
// 1. Opening Range Breakout (ORB):
// - Calculates High/Low of the first 5 mins (9:30-9:35 AM EST).
// - Calculates High/Low of the first 60 mins (9:30-10:30 AM EST).
// - Draws infinite lines for breakout levels.
//
// 2. Session Liquidity Breakers:
// - Tracks High/Low of ASIA & LONDON sessions.
// - Alerts and labels when subsequent sessions break these levels.
//
// HOW TO USE:
// - Optimized for 5m or 15m charts on NQ/ES.
// - This version is colored for WHITE/LIGHT background charts.
CRR - GANAEMAs on the chart (visual trend)
EMA 15 (white), 30 (yellow), 200 (red).
2️⃣ DASH Engine 1m–5m–15m (+ 1H and 1D)
For each TF (1m, 5m, 15m) it calculates a bull/bear score using:
EMA structure (15, 30, 50, 100, 200).
MACD.
RSI.
Relationship with EMA 30 and VWAP.
FVG in favor.
ATR change (volatility **increasing**).
From this it derives:
t1 (1m), t2 (5m), t3 (15m),
t4 (1H) and t5 (1D) (only for EMA200).
It detects:
ALL BULL → “BULLISH - BUYS ONLY”.
ALL BEAR → “BEARISH - SELLS ONLY”.
Otherwise → “NEUTRAL / MIXED”.
In addition:
Calculates BULL TF vs BEAR TF (%) between 1m–5m–15m.
Displays a visual bar 🐂🟩 vs 🐻🟥.
3️⃣ GOLD News (manual)
Special bar that says:
Neutral
BUY (positive)
SELL (negative)
Paints the HUD with color according to the news you select.
4️⃣ NO RETRACEMENT Alerts (beast mode 💣)
Very strict conditions using the 5 TFs:
BUY NO RETRACEMENT if:
4 or more TFs in bull mode (bullTF_all >= 4),
1m ultra bull (EMA bull, RSI>60, MACD bull, high volume, price above EMA15 and VWAP, FVG ≥ 0).
SELL NO RETRACEMENT is the same but bearish.
Creates alerts:
CRR BUY NO RETRACEMENT
CRR SELL NO RETRACEMENT
5️⃣ PRO LITE Patterns: Double Top / Double Bottom
Detects double tops and double bottoms with:
Minimum bar distance.
Tolerance in %. Optional filters:
MACD, RSI, ATR (volatility), volume, FVG.
If everything aligns:
Plots SELL at double top.
Plots BUY at double bottom.
6️⃣ TOP Indicators Block (SMI + WaveTrend + Supertrend)
SMI (momentum), WaveTrend, and Supertrend:
Counts which are in bull mode and which are in bear mode.
Displays:
TOP IND: BULLS XX% | BEARS YY%.
7️⃣ Integrated Internal SMC Module
Structure HH, LH, HL, LL.
BMS (break of structure) and ChoCH (change of character).
Filter with ATR + volume + MACD + gaps.
Internal Fibonacci of the last range (38.2, 50, 61.8).
Dotted yellow lines of the current range (swing high/low).
🧠 In short:
It's your command center for XAUUSD:
Global mode (buy only / sell only / mixed),
% of timeframes favoring bulls/bears,
gold news,
no-lag alerts,
filtered double top/bottom,
TOP indicators,
and complete SMC (structure + BMS/ChoCH + Fibonacci + range)...
all integrated into a single CRAZY RAY RAY HUD
