Alpha & Beta Indicators for Portfolio Performance
β = Σ Correlation (RP, RM) * (σP/σM)
α P = E(RP) –
RP = Portfolio Return (or Investment Return)
RM = Market Return (or Benchmark Index)
RF = Risk-Free Rate
How to use the Indicator
RM = SPX (Default)
The Market Return for the indicator has the options of $SPX, $NDX, or $DJI (S&P 500, Nasdaq 100,...
The Alpha-Sutte model is an ongoing project run by Ansari Saleh Ahmar, a lecturer and researcher at Universitas Negeri Makassar in Indonesia, that attempts to make forecasts for time series like how Arima and Holt-Winters models do. Currently Ahmar and his team have conducted research and published papers comparing the efficacy of the Alpha-Sutte and other models,...
this code is untested use at your own risk...
applying timed price change over the square to predict price expansion or contraction of the range, it is not predicting the future price only the range that is possible for the price to be in within a margin of error of possibility, with that said i think its very unlikely for price to fall outside the range, due to...
This script plots two moving averages but is mostly designed to highlight a fill strength gradient. The fill strength gradient shows a more opaque fill based on the current percentage difference of the current difference to the maximum difference in two MAs in a trend.
Citation: PinceCoders - Slight modification on color functions
Beta is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors.
The market portfolio of all investable assets has a beta of exactly 1 (here the S&P500). A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment...
The alpha parameter of this moving average decreases with every new bar on the chart, so it will become more slowly and slowly in course of time. Can act like additional support/resistance line but works in an acceptable way on weekly and monthly timeframes only.
Alpha is a measure of the active return on an investment, the performance of that investment compared to the S&P500 index, where 0.01 = 1%
alpha < 0: the investment has earned too little for its risk (or, was too risky for the return)
alpha = 0: the investment has earned a return adequate for the risk taken
alpha > 0: the investment has a return in...
USE ON DAILY TIMEFRAME TO DETECT MOMO STOCKS & ETFs AND TRADE THEM
This Strategy goes long when Sharpe Ratio is > 1 and Alpha against the S&P500 is generated. It exits when conditions break away. Strategy can be adapted to run intraday, it however needs different (lower) trigger levels.
examples to try this on: GER30, NAS100, JPN225, AAPL, IBB, TSLA, etc.
Alpha Bands, this is a new idea I've been playing with recently in all my indicators.
In layman terms we are here using mult to multiply length of the plot to replicate effect of multi time frame plot. Under the hood it is basically fast ma crossing over slow one but with this simple multiplier introduction is able to give it properties of higher TF ma's but...
Market Breadth + Adaptive Presets is built for Cryptocurrency, Equity and Forex markets.
This indicator is included in the Alpha Bronze suite and used for quickly referencing the rest of the market against whatever asset you are currently viewing.
The formula is adaptive to all of the markets it supports and should produce similar results...
The Bull/Bear Power has been built for entries that compliment the current trend. It judes the perceived downside/upside volatility and shows point of reversal to whichever side has lost the required amount of momentum in the required time period.
Example of how to use this:
- There is a strong uptrend that has been identified and this signals a bottom while...
The Range MA is built off of algebraic formulas, using a reliable and reactive averaging methodology we have been able to develop. It should create consistency across most if not all markets and timeframes.
This is indicator #1 in the ALpha Silver suite used for determination of trend and momentum .
The menu contains an input showing its...
Introducing “Trend King”.
The alpha generating strategy built for Crypto.
“Trend King” combines 4 proprietary indicators. It buys and sells based on:
The strategy was built on 2 years of BitMEX data (XBTUSD) and backtested on 9 years of Bitcoin data (BLX). Finally,...