Overview: The Simple Volatility Momentum indicator calculates the mean and standard deviation of the changes of price (returns) using various types of moving averages (Incremental, Rolling, and Exponential). With quantifying the dispersion of price data around the mean, statistical insights are provided on the volatility and the movements of price and returns....
Shows the z-Score of log-return (blue line) and volatility (black line). In statistics, the z-score is the number of standard deviations by which a value of a raw score is above or below the mean value. This indicator aggregates z-score based on two indicators: MeanReversion by Logarithmic Returns MeanReversion by Volatility Change the time period in...
Hey there! I've been diving into the book "Paul Wilmott on Quantitative Finance," and I stumbled upon this cool model for calculating and modeling returns. Basically, it helps us figure out how much a price has changed over a set number of periods—I like to use 20 periods as a default. Once we get that rate of change value, we crunch some numbers to find the...
Overview This is a Z-Scored Momentum Indicator. It allows you to understand the volatility of a financial instrument. This indicator calculates and displays the momentum of z-score returns expected value which can be used for finding the regime or for trading inefficiencies. Indicator Purpose: The primary purpose of the "Z-Score Momentum" indicator is to help...
Alpha Trading - Pseudo Laplace Z Score Slowly, very slowly a lot of quant and statistical methods have diffused the world of traditional technical analysis with the world of real math - VEPS (Volatility, Entropy, Probability and Statistics). ‘Alpha Trading' is showing the world how VEPS can show the best probabilities of success with your trading journey. We...
This script is a technical indicator that calculates the year-over-year (YoY) or month-over-month (MoM) returns of a security. The returns are then plotted on a chart, with positive returns colored in green and negative returns colored in red.
Displays monthly and yearly returns in tabular format along with maximum, minimum, average returns and standard deviations. This uses boxes to build the table and as maximum boxes that could be used is 500, it displays up to 32 years of returns. However, for maximum, minimum, average and standard deviation calculations, it uses data from all months since...
this scrip is modified of Performance Table () of TradingView user @BeeHolder = Thank u very much. - @BeeHolder formula is based on daily basis, but my calculation is based on respective day, week and month. - The formula of the calculation is (Current Close - Previous Close) * 100 / Previous Close, where Past value is: 1D = close 1 day before 5D = close 5 day...
Overview The Annual Returns % Comparison indicator aimed to compare the historical annual percentage change of any two symbols. The indicator output shows a column-plot that was developed by two using a pine script table, so each period has pair columns showing the yearly percentage change for entered symbols. Features - Enter date range. - Fill up with any...
(This indicator was designed for the BTC index chart) Designed for Bitcoin. Plots the log of the close/20W SMA with a linear offset m*t, where m is the gradient I've chosen and t is the candle index. Anything above 1 is a mania phase/market cycle top. If it peaks around 0.92 and rolls over, it could be a local/market cycle top. This will obviously not work at...
An indicator that lets you visualize the historical Yearly Percentage returns of any symbol . Key Features: Displays the yearly returns from start to end of each year Displays a table showing all yearly returns for current symbol Displays start of each year as a vertical line Displays up to 5 custom horizontal levels Table Settings: ...
Some time ago I published Monthly returns table. Now It's time for weekly one. To get it work you need a pretty big screen, but I hope it will be useful for some of you. Features of this table includes: Display weekly returns of your strategy, benchmark, and alpha over this benchmark. Select benchmark to be another instrument Select the date from...
This is a script meant for the weekly timeframe . It shows the change between the current close and the close 52 bars ago. I find that this data can be useful for deciding how long to stay in a trade, and for deciding how far a stock is likely to move in a year based on it's historical returns. The High average takes the sum of all positive returns and averages it...
This script attempts to contextualize the instrument's latest return. It asks, "when a return of the same or greater magnitude occurred in the past, in the same direction, what was the following period's return?" By default, the latest return is used. For example, on a daily chart, that would mean "today's" return. However, you can select any return you want...
Very excited to bring this script to the public. This is a very useful table that displays the performance of any strategy you give it in a more detailed view. It runs on all timeframes and at any position on the chart with the replay function. It also updates on tick changes. The table consists of three modes: Simple Equity, Compound Equity and Drawdown. Simple...
RAR - risk adjusted returns. This methodology could be helpful in portfolio creation and position size risk management. We can set our own preference of risk tolerance via the X variable which is the exponent of volatility in our calculations. This gives an unlimited set of example portfolios on a given time-frame that can be sorted from return oriented to...
This is a modified version of this excellent script Monthly Returns in PineScript Strategues by QuantNomad I liked and used the script but wanted to see how strategy performed vs market on each month/year. So I am sharing back. The modification consists in adding Market or Buy & Hold performance between parenthesis inside each cell to better see how strategy...
Alpha Trading - Deviation Log Pro Here at Alpha Trading we love our indicators built on returns. In our view, the only way to play divergences in Trading is divergences between Returns based oscillators and Price. The Alpha Trading Deviation Log Pro displays a mean of log returns, with returns and price both weighted using our proprietary root mean square (RMS)...