AlphaSignal | MindMarketAlphaSignal — Smart Indicator for Precise Entries
What does AlphaSignal do?
AlphaSignal looks for moments when the price moves too far from its average, volume spikes, and overall market activity increases. When these things line up, it gives you a clean, high-quality trading signal — either to buy or sell.
How it works :
Activity & Volume Detection
It monitors for sudden bursts in trading volume and volatility — clear signs that something important is happening in the market.
Price Deviation with Nadaraya-Watson Envelope
The indicator uses a smooth curve (called the Nadaraya-Watson estimate) to track the average price. When price drifts too far from this curve, it might be ready to snap back. That’s where AlphaSignal starts paying attention.
Signal Rating System
Each potential trade gets a score based on:
Market activity
Volume deviation
How far price is from the NW envelope
(Optionally) Trend strength and momentum via ADX, RSI, MACD
Only if the total score is high enough — a signal is fired.
Advanced Filters (Optional)
Want more confirmation? Turn on ADX, RSI, and MACD checks to avoid weak setups during choppy, low-trend periods.
Cooldown Logic
To avoid overtrading, AlphaSignal waits a set number of bars between signals — you can customize this.
Trading Suggestions (Signal Panel)
AlphaSignal gives you real-time trading guidance with a simple suggestion box:
BUY NOW / SELL NOW
All conditions are met, rating is strong — take action.
PREPARE BUY / PREPARE SELL
No full confirmation yet, but the price is very close to key levels (within 1.5% of the NW envelope). Get ready — a signal might appear soon.
AWAIT BUY / AWAIT SELL
The market is leaning toward a buy or sell, but price isn’t in a good spot yet. Be patient and watch for better positioning.
Alpha
CAPM Alpha & BetaThe CAPM Alpha & Beta indicator is a crucial tool in finance and investment analysis derived from the Capital Asset Pricing Model (CAPM) . It provides insights into an asset's risk-adjusted performance (Alpha) and its relationship to broader market movements (Beta). Here’s a breakdown:
1. How Does It Work?
Alpha:
Definition: Alpha measures the portion of an investment's return that is not explained by market movements, i.e., the excess return over and above what the market is expected to deliver.
Purpose: It represents the value a fund manager or strategy adds (or subtracts) from an investment’s performance, adjusting for market risk.
Calculation:
Alpha is derived from comparing actual returns to expected returns predicted by CAPM:
Alpha = Actual Return − (Risk-Free Rate + β × (Market Return − Risk-Free Rate))
Alpha = Actual Return − (Risk-Free Rate + β × (Market Return − Risk-Free Rate))
Interpretation:
Positive Alpha: The investment outperformed its CAPM prediction (good performance for additional value/risk).
Negative Alpha: The investment underperformed its CAPM prediction.
Beta:
Definition: Beta measures the sensitivity of an asset's returns relative to the overall market's returns. It quantifies systematic risk.
Purpose: Indicates how volatile or correlated an investment is relative to the market benchmark (e.g., S&P 500).
Calculation:
Beta is computed as the ratio of the covariance of the asset and market returns to the variance of the market returns:
β = Covariance (Asset Return, Market Return) / Variance (Market Return)
β = Variance (Market Return) Covariance (Asset Return, Market Return)
Interpretation:
Beta = 1: The asset’s price moves in line with the market.
Beta > 1: The asset is more volatile than the market (higher risk/higher potential reward).
Beta < 1: The asset is less volatile than the market (lower risk/lower reward).
Beta < 0: The asset moves inversely to the market.
2. How to Use It?
Using Alpha:
Portfolio Evaluation: Investors use Alpha to gauge whether a portfolio manager or a strategy has successfully outperformed the market on a risk-adjusted basis.
If Alpha is consistently positive, the portfolio may deliver higher-than-expected returns for the given level of risk.
Stock/Asset Selection: Compare Alpha across multiple securities. Positive Alpha signals that the asset may be a good addition to your portfolio for excess returns.
Adjusting Investment Strategy: If Alpha is negative, reassess the asset's role in the portfolio and refine strategies.
Using Beta:
Risk Management:
A high Beta (e.g., 1.5) indicates higher sensitivity to market movements. Use such assets if you want to take on more risk during bullish market phases or expect higher returns.
A low Beta (e.g., 0.7) indicates stability and is useful in diversifying risk in volatile or bearish markets.
Portfolio Diversification: Combine assets with varying Betas to achieve the desired level of market responsiveness and smooth out portfolio volatility.
Monitoring Systematic Risk: Beta helps identify whether an investment aligns with your risk tolerance. For example, high-Beta stocks may not be suitable for conservative investors.
Practical Application:
Use both Alpha and Beta together:
Assess performance with Alpha (excess returns).
Assess risk exposure with Beta (market sensitivity).
Example: A stock with a Beta of 1.2 and a highly positive Alpha might suggest a solid performer that is slightly more volatile than the market, making it a suitable pick for risk-tolerant, return-maximizing investors.
In conclusion, the CAPM Alpha & Beta indicator gives a comprehensive view of an asset's performance and risk. Alpha enables performance evaluation on a risk-adjusted basis, while Beta reveals the level of market risk. Together, they help investors make informed decisions, build optimal portfolios, and align investments with their risk-return preferences.
Relative Performance SuiteOverview
The Relative Performance Suite (RPS) is a versatile and comprehensive indicator designed to evaluate an asset's performance relative to a benchmark. By offering multiple methods to measure performance, including Relative Performance, Alpha, and Price Ratio, this tool helps traders and investors assess asset strength, resilience, and overall behavior in different market conditions.
Key Features:
✅ Multiple Performance Measures:
Choose from various relative performance calculations, including:
Relative Performance:
Measures how much an asset has outperformed or underperformed its benchmark over a given period.
Relative Performance (Proportional):
A proportional version of relative performance,
factoring in scaling effects.
Relative Performance (MA Based):
Uses moving averages to smooth performance fluctuations.
Alpha:
A measure of an asset’s performance relative to what would be expected based on its beta and the benchmark’s return. It represents the excess return above the risk-free rate after adjusting for market risk.
Price Ratio:
Compares asset prices directly to determine relative value over time.
✅ Customizable Moving Averages:
Apply different moving average types (SMA, EMA, SMMA, WMA, VWMA) to smooth price inputs and refine calculations.
✅ Beta Calculation:
Includes a Beta measure used in Alpha calculation, which users can toggle the visibility of helping users understand an asset's sensitivity to market movements.
✅ Risk-Free Rate Adjustment:
Incorporate risk-free rates (e.g., US Treasury yields, Fed Funds Rate) for a more accurate calculation of Alpha.
✅ Logarithmic Returns Option:
Users can switch between standard returns and log returns for more refined performance analysis.
✅ Dynamic Color Coding:
Identify outperformance or underperformance with intuitive color coding.
Option to color bars based on relative strength, making chart analysis easier.
✅ Customizable Tables for Data Display:
Overview table summarizing key metrics.
Explanation table offering insights into how values are derived.
How to Use:
Select a Benchmark: Choose a comparison symbol (e.g., TOTAL or SPX ).
Pick a Performance Metric: Use different modes to analyze relative performance.
Customize Calculation Methods: Adjust moving averages, timeframes, and log returns based on preference.
Interpret the Colors & Tables: Utilize the dynamic coloring and tables to quickly assess market conditions.
Ideal For:
Traders looking to compare individual asset performance against an index or benchmark.
Investors analyzing Alpha & Beta to understand risk-adjusted returns.
Market analysts who want a visually intuitive and data-rich performance tracking tool.
This indicator provides a powerful and flexible way to track relative asset strength, helping users make more informed trading decisions.
Ultimate Trend SuiteThe Ultimate Trend Suite is a comprehensive trading indicator designed to enhance your market analysis and decision-making process. By integrating multiple technical analysis tools into a single, cohesive package, this indicator provides clear insights into market trends, momentum shifts, volatility conditions, and potential reversal points. It is tailored for traders seeking a deeper understanding of market dynamics without the need to interpret numerous separate indicators.
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Key Features
The indicator offers a range of features that work together to provide a holistic view of the market:
- Dynamic Trend Line: A responsive trend line that adapts to price movements, highlighting the prevailing market direction. It helps you quickly identify whether the market is in an uptrend, downtrend, or consolidation phase.
- Strength and Weakness Dots: Visual markers indicating potential shifts in market momentum. These dots offer early signals of increasing buying (strength) or selling (weakness) pressure.
- Volatility Squeeze Detection: Identifies periods when the market is experiencing low volatility, which often precedes significant price movements. It alerts you to potential breakout opportunities so you can prepare your trading strategy accordingly.
- Reversal Signals: Highlights potential bullish or bearish reversal points in the market, assisting in spotting possible trend changes early for timely entry or exit decisions.
- Trend Bars: Colours the price bars based on the underlying trend direction, providing an immediate visual representation of market sentiment and simplifying chart analysis.
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What Is It For?
The Ultimate Trend Suite is designed to simplify market analysis and enhance trading decisions. By consolidating multiple technical indicators into one, it reduces chart clutter and makes it easier to interpret market conditions. It is suitable for day traders, swing traders, and long-term investors across different markets such as forex, stocks, commodities, and cryptocurrencies. The indicator helps identify high-probability trade setups by highlighting key market conditions like trend strength and volatility compression.
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How to Use
To effectively utilise the Ultimate Trend Suite, it's essential to understand how to interpret its signals and integrate them into your trading strategy.
Interpreting the Dynamic Trend Line
The Dynamic Trend Line adapts to price movements and changes its slope and colour based on market conditions:
- Uptrend Indication: If the Trend Line is sloping upward and possibly changing to a bullish colour, it indicates that the market is in an uptrend. This suggests that buying opportunities may be favorable. Traders might look to enter long positions, expecting prices to continue rising.
- Downtrend Indication: If the Trend Line is sloping downward and possibly changing to a bearish colour, it indicates that the market is in a downtrend. This suggests that selling opportunities or refraining from long positions may be prudent. Traders might consider short positions or protecting existing long positions.
- Consolidation Phase: A sideways-moving Trend Line may indicate a consolidation phase, signaling a lack of clear trend. In such cases, exercising caution and waiting for a breakout is advisable before committing to a new position.
Understanding Strength and Weakness Dots
The Strength and Weakness Dots provide visual cues about potential momentum shifts:
- Strength Dots (Bullish Signals): These appear below the price bars and suggest a potential increase in bullish momentum. When you see these dots, it may be an opportune time to consider entering long positions or adding to existing ones, anticipating that the upward momentum will continue.
- Weakness Dots (Bearish Signals): These appear above the price bars and indicate a potential increase in bearish momentum. These signals may prompt you to consider entering short positions or exiting long positions, expecting that prices may start to decline.
Utilising Volatility Squeeze Detection
The Volatility Squeeze Detection identifies periods of low volatility, which often precedes significant price movements:
- Volatility Squeeze Indication: When a shaded area appears on the chart, it signifies a volatility squeeze. This indicates that the market is experiencing compressed volatility, and a significant price movement may be imminent.
- Preparing for Breakouts: During a volatility squeeze, it's crucial to monitor the market closely for potential breakouts. This period suggests that the market is gathering momentum for a large move in either direction. By combining this information with other indicators or price action analysis, you can anticipate the direction of the breakout and prepare your trading strategy accordingly.
Recognising Reversal Signals
Reversal Signals help identify potential trend changes:
- Bullish Reversal Signal: An "R" symbol appears below a price bar, suggesting that a downtrend may be ending and an upward reversal is possible. You might consider entering a long position or closing a short position, especially if other indicators support this signal. This could be an early indication that buying pressure is increasing.
- Bearish Reversal Signal: An "R" symbol appears above a price bar, indicating that an uptrend may be ending and a downward reversal is possible. In this case, you might consider entering a short position or closing a long position. This suggests that selling pressure is gaining momentum.
Interpreting Trend Bars
Trend Bars provide immediate visual feedback on market sentiment:
- Bullish Trend Bars: Green-coloured bars indicate bullish trends and suggest that upward momentum is present. This visual cue reinforces the signals from the Dynamic Trend Line and Strength Dots, helping you confirm the strength of an uptrend.
- Bearish Trend Bars: Red-coloured bars indicate bearish trends, highlighting downward momentum. This complements signals from the Dynamic Trend Line and Weakness Dots, confirming the strength of a downtrend.
Quantitative Risk Navigator [kikfraben]📊 Quantitative Risk Navigator - Your Financial Performance GPS
Navigate the complexities of financial markets with confidence using the Quantitative Risk Navigator. This indicator provides you with a comprehensive dashboard to assess and understand the risk and performance of your chosen asset.
📈 Key Features:
Alpha and Beta Analysis: Uncover the outperformance (Alpha) and risk exposure (Beta) of your asset compared to a selected benchmark. Know where your investment stands in the market.
Correlation Insights: Understand the relationship between your asset and its benchmark through a clear visualization of correlation trends over different time lengths.
Risk-Return Metrics: Evaluate risk and return simultaneously with Sharpe and Sortino ratios. Make informed decisions by assessing the reward-to-risk ratio of your investment.
Omega Ratio: Gain deeper insights into your asset's performance by analyzing the Omega Ratio, which highlights the distribution of positive and negative returns.
Customizable Visualization: Tailor your chart to focus on specific metrics and time frames. Choose which metrics to display, allowing you to concentrate on the aspects that matter most to you.
Interactive Metrics Table: A user-friendly metrics table provides a quick overview of key values, including average metrics, enabling you to grasp the financial health of your asset at a glance.
Color-Coded Clarity: The indicator employs color-coded visualizations, making it easy to identify bullish and bearish trends, helping you make rapid and informed decisions.
🛠️ How to Use:
Symbol Selection: Choose your base symbol and preferred data source for analysis.
Risk-Free Rate: Input your risk-free rate to fine-tune calculations.
Length Customization: Adjust the lengths for different metrics to align with your analysis preferences.
Whether you're a seasoned trader or just stepping into the financial world, the Quantitative Risk Navigator empowers you to make strategic decisions by providing a comprehensive view of your asset's risk and return profile. Stay in control of your investments with this powerful financial GPS.
🚀 Start Navigating Your Financial Journey Today!
Alpha Beta Gamma IndicatorThe Alpha Beta Gamma Indicator is a technical analysis tool that uses the lowest and highest prices over a specified period to calculate three values - alpha, beta, and gamma. Alpha represents the percentage change from the lowest price over the period, beta represents the percentage change from the highest price over the period, and gamma represents the position of the current price relative to the range between the lowest and highest prices.
This indicator is displayed on the chart with different colors for each value, making it easy to identify the values' direction and strength. The buy and sell signals are generated based on two conditions. The first is when the gamma value is below a specified threshold, indicating a potential buying opportunity. The second is when the alpha value touches the beta value, which suggests that the trend is reversing, and a sell signal is generated.
Traders can adjust the indicator's parameters, such as the length of the period and the buy threshold, to suit their trading style and preferences. The Alpha Beta Gamma Indicator can be used in various financial markets, including stocks, forex, and commodities, to help identify potential trading opportunities and manage risk.
10 MAs Alpha Indicator by MontyThis indicator is a part of the script I coded earlier this month.
The name is to surprise one of our discord member.
I will publish that indicator in a few days as well, but publishing this as a gesture of giving back to the community.
Indicator has:
10 Moving Averages
Adjustable Color, Opacity and Size etc
Shows Labels for each of the MA.
Can be shifted between EMA or SMA
Can be fixed to show a specific TF MA on current Timeframe.
Capital Asset Pricing Model (CAPM) [Loxx]Capital Asset Pricing Model (CAPM) demonstrates how to calculate the Cost of Equity for an underlying asset using Pine Script. This script will only work on the monthly timeframe. While you can change the default inputs, you should study what CAPM is and how this works before doing so. This indicator pulls various types of data from SPY from various timeframes to calculate risk-free rates, market premiums, and log returns. Alpha and Beta are computed using the regression between underlying asset and SPY. This indicator only calculates on the most recent data. If you wish to change this, you'll have to save the script and make adjustments. A few examples where CAPM is used:
Used as the mu factor Geometric Brownian Motion models for options pricing and forecasting price ranges and decay
Calculating the Weighted Average Cost of Capital
Asset pricing
Efficient frontier
Risk and diversification
Security market line
Discounted Cashflow Analysis
Investment bankers use CAPM to value deals
Account firms use CAPM to verify asset prices and assumptions
Real estate firms use variations of CAPM to value properties
... and more
Details of the calculations used here
Rm is calculated using yearly simple returns data from SPY, typically this is just hard coded as 10%.
Rf is pulled from US 10 year bond yields
Beta and Alpha are pulled form monthly returns data of the asset and SPY
In the past, typically this data is purchased from investments banks whose research arms produce values for beta, alpha, risk free rate, and risk premiums. In 2022 ,you can find free estimates for each parameter but these values might not reflect the most current data or research.
History
The CAPM was introduced by Jack Treynor (1961, 1962), William F. Sharpe (1964), John Lintner (1965) and Jan Mossin (1966) independently, building on the earlier work of Harry Markowitz on diversification and modern portfolio theory. Sharpe, Markowitz and Merton Miller jointly received the 1990 Nobel Memorial Prize in Economics for this contribution to the field of financial economics. Fischer Black (1972) developed another version of CAPM, called Black CAPM or zero-beta CAPM, that does not assume the existence of a riskless asset. This version was more robust against empirical testing and was influential in the widespread adoption of the CAPM.
Usage
The CAPM is used to calculate the amount of return that investors need to realize to compensate for a particular level of risk. It subtracts the risk-free rate from the expected rate and weighs it with a factor – beta – to get the risk premium. It then adds the risk premium to the risk-free rate of return to get the rate of return an investor expects as compensation for the risk. The CAPM formula is expressed as follows:
r = Rf + beta (Rm – Rf) + Alpha
Therefore,
Alpha = R – Rf – beta (Rm-Rf)
Where:
R represents the portfolio return
Rf represents the risk-free rate of return
Beta represents the systematic risk of a portfolio
Rm represents the market return, per a benchmark
For example, assuming that the actual return of the fund is 30, the risk-free rate is 8%, beta is 1.1, and the benchmark index return is 20%, alpha is calculated as:
Alpha = (0.30-0.08) – 1.1 (0.20-0.08) = 0.088 or 8.8%
The result shows that the investment in this example outperformed the benchmark index by 8.8%.
The alpha of a portfolio is the excess return it produces compared to a benchmark index. Investors in mutual funds or ETFs often look for a fund with a high alpha in hopes of getting a superior return on investment (ROI).
The alpha ratio is often used along with the beta coefficient, which is a measure of the volatility of an investment. The two ratios are both used in the Capital Assets Pricing Model (CAPM) to analyze a portfolio of investments and assess its theoretical performance.
To see CAPM in action in terms of calculate WACC, see here for an example: finbox.com
Further reading
en.wikipedia.org
VARS 2.0: Volatility Adapted Relative StrengthVARS 2.0 (Volatility Adapted Relative Strength)
Basically, my VARS 2.0 indicator uses a stock's alpha in comparison to the SPX to determine whether there is relative strength on an volatility adjusted basis.
The idea for this indicator owes quite obviously to Matt Caruso . In this indicator I combine his Alpha Bars indicator with my interpretation of his CARS indicator, whose calculations are unknown to me.
The goal of this indicator is to give a representation of an asset's relative strength adjusted to its volatility. To find out if this is not only theoretically superior to a more simple representation such as by means of the classic RS Line , but also practically , this indicator is build.
I made this indicator freely available, so that everyone can make up his own mind about it. The representation with the alpha bars also offers the possibility to keep an eye on the daily relative strength, which is a complement to my former version of it. This time I limited myself to only one alpha timeframe because I believe the strength of the RS can be more clearly captured based on the EMAs. I also believe that the absolute strength of VARS is not the key point for traders, but rather its duration, as this is a sign of institutional accumulation.
Have fun and success trying it out!
Btw. The variables such as alpha and beta and the EMAs, which are used to calculate VARS, are largely freely definable. The default values are to be considered as suggestions.
AlphaTrend Strategy with Trailing SL %this is a modified version of AlphaTrend Strategy with added trailing Stop Loss
this is my first script that I have added to tradingview community
the trailing SL makes it very effective to lower the losses and can improve the overall return
[TTI] Pinch AVWAPs––––History & Credit
This indicator came from studying Alpha trends and the concept from CMT Brian Shannon
–––––What it does
Upon uploading choose two dates from which the script will calculate Anchored VWAP from both dates. The dates can be easily moved for faster adjustment and re-calculation.
–––––How to use it
If you are trading a breakout methodology like myself, look for the "pinch" of the AVWAPs. Preferably, a bottom AVWAP moving up and a top AVWAP moving down. Choose important dates (this is rather subjective) for the AVWAP dates. These can be important events like Earnings or Divident Announcements. Or places where there is a change of structure of the Supply and Demand dynamic.
regressLibrary "regress"
produces the slope (beta), y-intercept (alpha) and coefficient of determination for a linear regression
regress(x, y, len) regress: computes alpha, beta, and r^2 for a linear regression of y on x
Parameters:
x : the explaining (independent) variable
y : the dependent variable
len : use the most recent "len" values of x and y
Returns: : alpha is the x-intercept, beta is the slope, an r2 is the coefficient of determination
Note: the chart does not show anything, use the return values to compute model values in your own application, if you wish.
Market Movers: Sectoral IndexThe indicator will show the Sectors which are leading or lagging NIFTY50 index based on Alpha & Beta values. Stock selection can be done based on the respective Sectors.
Look for alpha & beta values.
Prefer one with high beta.
Greens are leaders & Blues are lagers.
This don't completely indicates a trend, but it can give the overview of a major trend & market movers.
Gray line is the base index NIFTY50, it is Zero.
Turn on Indicator Name Label in Settings > Chart Settings.
In intraday or positions, in a leading Sector there will be a leading stock, spot it out.
Make a sector wise watchlist of stocks.
Use higher or Daily timeframe for Swing trades.
Detailed descriptions are available in my previous Alpha & Beta indicators.
Screener: Alpha & Beta IndexThis is a Index Screener which can short list the major Sectors contributing to NIFTY movement that day.
This helps in sector based trading, in which we can trade in the stocks which falls under that particular sector.
No need to roam around all the stocks in the whole watchlist.
It is recommended to create sector wise watchlist of all sectors. It will be easier to concentrate in only one sector.
For example in IT sector index there are certain stocks which contribute to the movement of IT sector.
This will be available in NSE (or exchange website).
For detailed description check out the descriptions in my previous 2 Alpha and Beta indicators.
Combine and use this screener with my previous Alpha & Beta indicator.
Screener: Alpha & BetaThis is a Live Screener for my previous Alpha & Beta indicator, which filters stocks lively based on the given values.
Use 5min timeframe for Live Intraday.
The default stocks in the screener is selected based on high beta value from F&O listed stocks. It may include other stocks also.
User can input stocks of your choice either through the menu or through the Pine editor.
The maximum number of stocks inputs is only 40. The indicator includes only 20 stocks by default.
More number of stocks can be added but it makes the screener slower to load.
Open the indicator in a sperate tab or window to avoided the loading lag.
It is recommended to choose only 10 to 20 stocks based on the weightage from each sectors.
Beta values are dynamic. It changes from day to day based on the trend and sector.
Update the sock list weekly or twice a week or monthly.
Use investing.com screener(preferably) or TradingView screener for shortlisting beta stocks.
Remember that majority of indicators fails in a sideways market, also every indicator is not 100% accurate.
Alpha & BetaHow to use Alpha(α)?
If Alpha is positive the stock outperforms, if the value is negative means the stock underperforms.
α < 0: The investment has earned too little for its risk (or, was too risky for the return)
α = 0: The investment has earned a return adequate for the risk taken
α > 0: The investment has a return in excess of the reward for the assumed risk
How to use Beta(β)?
β = 1: Exactly as volatile as the index
β > 1: More volatile than the index
β < 1 > 0: Less volatile than the index
β = 0: Uncorrelated to the index
β < 0: Negatively correlated to the index
β > 2: Trending stock
Higher the β higher risk/reward
Example: If the beta is 1.1, the share price is like to move by 10% more than the index
Trading Tip
Choose a stock with Alpha greater than 0 and Beta greater than 1.9 for intraday in 5min timeframe for long positions
Remember that such stocks will have high risk and high reward
Shortlist stocks with Beta greater than 1.9 for next day in 5min timeframe
JamesCart's Feigenbaum Price BandsThis is a part of my Feigenbaum family of scripts. This one however uses the Feigenbaum Alpha constant (the constant of the width of the tein from the subteins) as a proportion of the ROC. Then it uses that to establish a middle point, and 2 resistance and 2 support lines.With the widest lines being R2 and S2. Dark red is R2 and Dark Green is S2. I encourage you to change the time frame to find what is best, I have it set at the minimum of 1.
Portfolio: alpha, beta, stdev, variance, mean, max drawdown...Portfolio Metrics **New**
'returns'
'log returns'
'geometric returns'
portfolio alpha
portfolio beta
portfolio,market correlation
portfolio standard deviation
portfolio variance
mean portfolio returns
maximum drawdown
maximum gain
Portfolio Metrics = α(Jensen's), β, CAPM(Ra), Sharpe, TreynorPortfolio Metrics...
Standard Deviation
Jensen's Alpha
Beta
Expected Return (CAPM, Ra)
Sharpe Ratio
Treynor Ratio
Alpha & BetaAlpha & Beta Indicators for Portfolio Performance
β = Σ Correlation (RP, RM) * (σP/σM)
α P = E(RP) –
Where,
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, Dow 30)
RF = FRED: DTB3
The Risk-Free Rate in the Indicator is set to the 3-Month Treasury Bill: Secondary Market Rate
The Default Timeframe is 1260 or 5-Years (252 Trading Days in One Year)
RP = The symbol you enter
HOWEVER , you can determine your portfolio value by following the following directions below.
Note: I am currently working on an indicator that will allow you to insert the weights of your positions.
Complete Portfolio Analysis Directions
You will first need...
a) spreadsheet application - Google Sheets is Free, but Microsoft Excel will convert ticker symbols to Stocks and Retrieve Data.
b) your current stock tickers, quantity of shares, and last price information
In the spreadsheet,
In the first column list the stock tickers...
AMZN
AAPL
TSLA
In the second column list the quantity of shares you own...
5
10
0.20
In the third column insert the last price
Excel: Three tickers will automatically give you the option to "Convert to Stocks",
after conversion, click once on cell and click the small tab in the upper right-hand of the highlighted cell.
Click the tab and a menu pops up
Find "Price", "Price Extended-Hours", or "Previous Close"...
$3,284.72
$497.48
$2,049.98
Next, multiply the number of shares by the price (Stock Market Value)
Excel: in fourth column type "=(B1*C1)", "=(B2*C2)", "=(B3*C3)"...
= $16,423.60
= $4,974.80
= $410.00
add the three calculated numbers together or click "ΣAutoSum" (Portfolio Market Value)
= $21,808.40
Last, divide the market value of AMZN ($16,423.60) by the Portfolio Market Value ($21,808.40) for each of the stocks.
= 0.7531
= 0.2281
= 0.0188
These values are the weight of the stock in your portfolio.
Go back to TradingView
Enter into the "search box" the following...
AMZN*0.7531 + AAPL*0.2281 + TSLA*0.0188
and click Enter
Now you can use the "Alpha & Beta" Indicator to analyze your entire portfolio!
Alpha BandsAlpha 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 without the usual problem of the TV where multitimeframe MA plots rather crudely if you use security function.
Introducing it as core trend indicator, and around it I've utilized ATR to create simple but complete indicator to give good view of the market state and trend. Due to this setup it can be used for both trending and mean reversion trades, you can also utilize existing ranges for entry, exit and SL.
This indicator is example of how simple little tweaks can turn a age old tools into more advanced solutions.
This is purely for educational purposes, any past or claimed results may not replicate themselves while you trade them so use your own discretion. Author takes no responsibility of individual traders success or loss on this.
Source code will be protected since there is trend on TV where ideas are stolen and sold to unsuspecting retailers.
Fill Strength Gradient [BigBitsIO]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
Trend KingIntroducing “Trend King”.
The alpha generating strategy built for Crypto.
“Trend King” combines 4 proprietary indicators. It buys and sells based on:
Short-term momentum
Long-term momentum
Volume compression
Volatility breakouts
The strategy was built on 2 years of BitMEX data (XBTUSD) and backtested on 9 years of Bitcoin data (BLX). Finally, the strategy was validated on multiple large market cap cryptocurrencies, including Ethereum (ETHUSD), without parameter adjustment.
Strategy backtesting checks include:
Used 0.12% fees. 60% more than the actual BitMex/Binance fees of 0.075%.
No Heikin-Ashi Candles (to avoid fake results)
No Stop-losses (to avoid fake order execution)
Market Orders Only (to avoid fake order execution)
The results speak for them self.
See the positive excess return from the “Trend King” strategy returns versus a simple Bitcoin “Buy-and-Hold” strategy. Best functionality on the Daily and 4HR timeframes.
**For Access: Contact me on TradingView or Twitter.
