The Price of Hard MoneyIf we calculate “the price of hard money” (the market capitalization weighted price of gold plus Bitcoin); we get this chart.
Since 2017, Bitcoin’s share of hard money growth has been increasing, we can see it visibly on the gold chart by a widening delta between the price of hard money and the Gold price. We can also see some interesting technical behaviours.
In 2021, Hard Money broke out and held this breakout above the 2011 Gold high. Only later in 2022 did a correction of 20% occur – typical of Golds historic volatility in periods of inflation and high interest rates.
Hard Money is at major support and we have evidence for a fundamental shift in investor capital flows away from gold and into Bitcoin.
This Indicator is useful:
- To track the market capitalization of Gold (estimated), Bitcoin and combined market capitalization of Hard Money.
- To track the price action and respective change in investor flows from Gold to Bitcoin .
Provided Bitcoin continues to suck more value out of gold with time, this chart will be useful for tracking price action of the combined asset classes into the years to come.
Cerca negli script per "2022年+美股英伟达+交易税费+计算方法"
RSI and MA with Trailing Stop Loss and Take Profit (by Coinrule)The relative strength index is a momentum indicator used in technical analysis. It measures the speed and magnitude of a coin's recent price changes to evaluate overvalued or undervalued conditions in the price of that coin. The RSI is displayed as an oscillator (a line graph essentially) on a scale of zero to 100. When the RSI reaches oversold levels, it can provide a signal to go long. When the RSI reaches overbought levels, it can mark a good exit point or alternatively, an entry for a short position. Traditionally, an RSI reading of 70 or above indicates an overbought situation. A reading of 30 or below indicates an oversold condition.
A moving average (MA) calculates the average of a selected range of prices, usually closing prices, by the number of periods in that range. Essentially it is used to help smooth out price data by creating a constantly updated average price.
The Strategy enters and closes trades when the following conditions are met:
Entry Conditions:
RSI is greater than 50
MA9 is greater than MA50
RSI increases by 5
Exit Conditions:
Price increases by 1% trailing
Price decreases by 2% trailing
This strategy is back-tested from 1 January 2022 to simulate how the strategy would work in a bear market. The strategy provides good returns.
The strategy assumes each order is using 30% of the available coins to make the results more realistic and to simulate you only ran this strategy on 30% of your holdings. A trading fee of 0.1% is also taken into account and is aligned to the base fee applied on Binance.
Seasonal tendency: week-on-week % change and 10yr Averages-shows week-on-week % change, and 10yr averages of these % changes
-scan across the 10yr averages to get a good idea of the seasonality of an asset
-best used on commodities with strong seasonal tendencies (Gold, Wheat, Coffee, Lean hogs etc)
-works only on daily timeframe
-by default it will compare SMA(length) in the following way, BTC: Sunday cf previous Sunday | ES/Gold: Monday cf previous Monday
-for most assets, 5 daily bars in a week (SMA(5)) => that's the default. For BTC can change this to 7.
~~inputs:
-change input year to show any previous decade of asset's history; the table will display over that year on the chart
-choose expression for Average of % change week on week: SMA, ohlc4, vwma, vwap (default SMA)
-choose number of daily bars in a week (i.e. SMA length)
-change label sizes/colors
~~notes:
-When applied to current year: will print the 10yr average for previous weeks in the year; 9yr average for future weeks in the year
-drawings and SMA plot on the above chart are just to show visually how the week's average is calculated, and how this lines up with the label
-current week of year will highlight in large font orange by default
-the first 2 weeks of the year are omitted because of a bug i can't figure out, which throws out bad numbers.
-cannot print all the values for each of previous 10yrs; 'code too long' error. Could likely do this via using matrices but would require a rewrite
17th Dec 2022
@twingall
Fast EMA above Slow EMA with MACD (by Coinrule)An exponential moving average ( EMA ) is a type of moving average (MA) that places a greater weight and significance on the most recent data points. The exponential moving average is also referred to as the exponentially weighted moving average . An exponentially weighted moving average reacts more significantly to recent price changes than a simple moving average simple moving average ( SMA ), which applies an equal weight to all observations in the period.
Moving average convergence divergence ( MACD ) is a trend-following momentum indicator that shows the relationship between two moving averages of a security’s price. The MACD is calculated by subtracting the 26-period exponential moving average ( EMA ) from the 12-period EMA .
The result of that calculation is the MACD line. A nine-day EMA of the MACD called the "signal line," is then plotted on top of the MACD line, which can function as a trigger for buy and sell signals. Traders may buy the coin when the MACD crosses above its signal line and sell—or short—the security when the MACD crosses below the signal line. Moving average convergence divergence ( MACD ) indicators can be interpreted in several ways, but the more common methods are crossovers, divergences, and rapid rises/falls.
The Strategy enters and closes the trade when the following conditions are met:
LONG
The MACD histogram turns bullish
EMA8 is greater than EMA26
EXIT
Price increases 3% trailing
Price decreases 1% trailing
This strategy is back-tested from 1 January 2022 to simulate how the strategy would work in a bear market and provides good returns.
Pairs that produce very strong results include AXSUSDT on the 5-minute timeframe. This short timeframe means that this strategy opens and closes trades regularly.
Additionally, the trailing stop loss and take profit conditions can also be changed to match your needs.
The strategy assumes each order is using 30% of the available coins to make the results more realistic and to simulate you only ran this strategy on 30% of your holdings. A trading fee of 0.1% is also taken into account and is aligned to the base fee applied on Binance.
Ichimoku Cloud with MACD and Trailing Stop Loss (by Coinrule)The Ichimoku Cloud is a collection of technical indicators that show support and resistance levels, as well as momentum and trend direction. It does this by taking multiple averages and plotting them on a chart. It also uses these figures to compute a “cloud” that attempts to forecast where the price may find support or resistance in the future.
The Ichimoku Cloud was developed by Goichi Hosoda, a Japanese journalist, and published in the late 1960s. It provides more data points than the standard candlestick chart. While it seems complicated at first glance, those familiar with how to read the charts often find it easy to understand with well-defined trading signals.
The Ichimoku Cloud is composed of five lines or calculations, two of which comprise a cloud where the difference between the two lines is shaded in.
The lines include a nine-period average, a 26-period average, an average of those two averages, a 52-period average, and a lagging closing price line.
The cloud is a key part of the indicator. When the price is below the cloud, the trend is down. When the price is above the cloud, the trend is up.
The above trend signals are strengthened if the cloud is moving in the same direction as the price. For example, during an uptrend, the top of the cloud is moving up, or during a downtrend, the bottom of the cloud is moving down.
The MACD is a trend following momentum indicator and provides identification of short-term trend direction. In this variation it utilises the 12-period as the fast and 26-period as the slow length EMAs, with signal smoothing set at 9.
This strategy combines the Ichimoku Cloud with the MACD indicator to better enter trades.
Long/Exit orders are placed when three basic signals are triggered.
Long Position:
Tenkan-Sen is above the Kijun-Sen
Chikou-Span is above the close of 26 bars ago
Close is above the Kumo Cloud
MACD line crosses over the signal line
Exit Position:
Price increases 3% trailing
Price decreases 3% trailing
The script is backtested from 1 June 2022 and provides good returns.
The strategy assumes each order is using 30% of the available coins to make the results more realistic and to simulate you only ran this strategy on 30% of your holdings. A trading fee of 0.1% is also taken into account and is aligned to the base fee applied on Binance.
Rule Of 20 - Fair Value Estimation by Inflation & Earnings (TG)The Rule Of 20 is a heuristic calculation to find the fair value of an asset or market given its earnings and current inflation.
Its calculation is straightforward: the fair multiple of the price or price-to-earnings ratio of a stock should be 20 minus the rate of inflation.
In math terms: fair_price-to-earnings_ratio = (20 - inflation) ; fair_value = current_price * fair_price-to-earnings_ratio / real_price-to-earnings_ratio
For example, if a stock or index was trading on 11 times earnings and inflation was 2%, then the theory would be that the fair price-to-earnings ratio would be 20-2 = 18, which is much higher than the real price-to-earnings ratio of 11, and hence the asset would be undervalued.
Conversely, a market or company that was trading on 18 times price-to-earnings ration when inflation was 8% was seen as overvalued, because of the fair price-to-earnings ratio being 20-8=12, hence much lower than the real price-to-earnings ratio of 18.
We can then project the delta between the fair PE and real PE onto the asset's value to obtain the projected fair value, which may be a target of future value the asset may reach or hover around.
For example, as of 1st November 2022, SPX stood at 3871.97, with a PE ratio of 20.14 and an inflation in the US of 7.70. Using the Rule Of 20, we find that the fair PE ratio is 20-7.7=12.3, which is much lower than the current PE ratio of 20.14 by 39%! This may indicate a future possibility of a further downside risk by 39% from current valuation levels.
The origins of this rule are unknown, although the legendary US fund manager Peter Lynch is said to have been an active proponent when he was directing the Fidelity’s Magellan fund from 1977 to 1990.
For more infos about the Rule Of 20, reading this article is recommended: www.sharesmagazine.co.uk
This indicator implements the Rule Of 20 on any asset where the Financials are availble to TradingView, and also for the entire SP:SPX index as a way to assess the wider US stock market. Technically, the calculation is a bit different for the latter, as we cannot access earnings of SPX through Financials on TradingView, so we access it using the QUANDL:MULTPL/SP500_PE_RATIO_MONTH ticker instead.
By default are displayed:
current asset value in red
fair asset value according to the Rule Of 20 in white for SPX, or different shades of purple/maroon for other assets. Note that for SPX there is only one calculation, whereas for other assets there are multiple different ways to calculate earnings, so different fair values can be computed.
fair price-to-earnings ratio (PE ratio) in light grey.
real price-to-earnings ratio in darker grey.
This indicator can be used on SP:SPX ticker, and on most NASDAQ:* tickers, since they have Financials integrated in TradingView. Stocks tickers from other exchanges may not provide Financials data, so this indicator won't work then. If this happens, try to find the same ticker on NASDAQ instead.
Note that by default, only the US stock market is considered. If you want to consider stocks or assets in other regions of the world, please change the inflation ticker to a ticker that reflect the target region's inflation.
Also adding a table to ease interpretation was considered, but then the Timeframe MTF parameter would not work, and since the big advantage of this indicator is to allow for historical comparisons, the table was dropped.
Enjoy, and keep in mind that all models are wrong, but some are useful.
Trade safely!
TG
[ChasinAlts] A New Beginning[MO]Hello Tradeurs, firstly let me say this… Please do not think that this dump is over (so I want to gift you one of the best gifts I CAN gift you at the PERFECT TIME...which is now) but I believe it to be the final one before a New Beginning is upon us. I hope that anybody that sees this within the next day or so listens to me when I tell you this… Follow the instructions below, IF ANYTHING, just to set the alert to be notify you so you can see why I’m about to tell you everything that I’m about to tell you. That being that this indicator is pure magic…..BUT you must stay in your lane when using it (ie. ultimately, understand its use case) and most importantly, how many people you expose it to. The good thing about it is it produces very few alerts. In fact, it was built SOLELY to find the very tips of MAJOR dumps/pumps (with its current default settings). I honestly cannot remember where I acquired the code so if anyone recognizes it please direct me to the source so I can give a shoutout. In the past it has been so astonishingly accurate that I didn’t want to publish it but I've just been...in the mood I suppose recently.
Now…it is SPECIFICALLY meant for the 1min TF. I’ll say it again… It is meant for ONE MINUTE CHARTS…it was built for 1min charts, it will only work as well as I’m describing to you on the…you guessed it…ONE MINUTE CHART (again, with the default settings how they are, that is). If any of you use it for this present dump (November 8, 2022) and want to thank me for it or speak very highly about it or give it a bunch of likes… DO NOT!!! I will reword this so you fully comprehend my urgency on this matter. I do not want this indicator getting out for every Joe Schmoe (or stupid YouTuber) to use and spread because the manipulators will see to it that it will no longer work. Things that will happen that will cause it to gain the popularity that I do not want it to have are the following:
1) You "like" the indicator in TradingView to show appreciation/that your using it so that it will show up in your indicators list (to get past this you need to select all of the text of the script on the indicator's page and copy and paste it into the “Pine Editor”. Then select "save" and name it as you wish. Now, it is in your indicator list under the name that you saved it as.
2) You *favorite* the indicator in TradingView
3) You leave comments in the comments section on the indicators page in TradingView (I really do love hearing comments about anything regarding my indicators(positive or negative..though I haven't gotten any negative yet SO BRING IT ON), even though I don’t get too many of them, so if you are grateful (or hateful) PLEASE message me privately (and really I truly truly do appreciate getting comments/messages so if it has benefited you make sure to message me as I might have more for those that do express their gratitude) and tell me anything that you want to tell me or ask me anything that you wanna ask me there).
One major thing that will help to suppress its popularity will be that if anybody goes back on historical charts to see its accuracy they most likely will not be able to go far back enough on the 1min TF to be able to Witness its efficacy so I'm banking on that helping to keep a lid on things.
The settings used (as well as the TF used) really should not be changed if using it for its intended purpose. On little dumps that last for a few hours os so will produce points somewhere in the 40 to 60 range at the dumps/pumps peak. Each coin is worth one point and there are 40 coins per set and 2 sets (that you will have to link together) and when the under the hood indicator is triggered for that coin it will add a point to the score. With the settings how they are and on the 1min TF(if I hadn't mentioned it yet. lol) a good point alert threshold to use to catch the apex of heavy pumps/dumps would be between 70 to 80 points(80 is max). Ultimately is the users choice to input the alert threshold of points in the indicators settings(default is 72). If you’re trying to nail the very bottom of a hard pump/dump, DO NOT fall for times where it peaks at 50 to 60. You’re looking for 70 or above.
*** This is the most important thing to do as you will not receive an alert if you do not do this correctly. You have to add the indicator two times to the chart. One of the indicators needs to be under “Coin Set 1“ and the other under “Coin Set 2“. Now, in “Set 1“ you need to go to the setting entitled “Select New Beginning Count Plot from drop-down“ and you need to open the drop-down and select the plot entitled “A New Beginning Count Plot”. This will link both the indicators and since there are 40 coins per iteration of the script, when you link them it could give you a max of 80 points total at the very peak of a very strong dump...which will obviously be rare. You CAN use only one copy of the script (but need to change the alert setting to a MAX of 40) but in my experience it's best to use both of them and to link them. It gives you a more well-rounded outcome. Good luck my people and always remember...Much love...Much Love. May the force be with your trades. -ChasinAlts out.
[ChasinAlts]Top-Wicked Good S/R LinesHello Tradeurs, as per usual, I hope everyone is having a FAN-FRIGGIN-TASTIC day. With the soon incoming bull market approaching fast(Nov 7, 2022), there are a few ideas that I've really been trying to push out to help nail a few coins as they are near their bottom peak of this closing Bear Market. This one may seem very similar to the last one I posted but I think this one takes the cake...esp when you see the next script from my 'Market Overview' series that I will be publishing shortly after this one as it is utilizing this new script for a market scanner that will be SUPER legit and profitable. Though it is alway nice to be noticed, I'm glad that I'm relatively unpopular so the few people that are now following me can have some time to make some money with some of these scripts I'm trying to pump out for the benefit of the community. I will rarely give my full analysis of how I take in and utilize these scripts but I can tell you, QUITE A FEW of them are money in the bank. Esp these last few I've done/am doing and even more-so the ones that are soon to come (I'm speaking of about the next 3-4 that I will be attempting to pump out in this next VERY IMPORTANT week.). One more thing I'll add before going to the script is a little alpha(Im pretty certain this is the way it is going but NOTHING is EVERY 100% in life). What I believe should be realized is the bottoming out of MANY of the crypto coins at the VERY bottom of a LONG TERM Cup and Handle (so it seems but shat can still change in the blink of an eye). Thus there are quite a few coins that I believe have already bottomed and wont be returning to said bottom for a few years or so but there are also quite a few still at the brink of the bottomest part before the real market breakout occurs. My goal with these scripts coming out this week to help you all find those coins that have yet to hit their very bottom (thus the ATH/ATL script recently published). Going back in history looking for the lowest points of long term Cup & Handles I will point out 2 key things. Near the center/bottomest part of these historical CnH you will see either Double Bottoms OR a Huge dump and then its V-shaped recovery. After these print the point of no return has occurred where only a few coins will be going lower than these Double Bottoms/V-Shaped recoveries. So the time is at hand. Now that many coins are seemingly pumping after this long consolidation, I believe we need to keep a keen eye out for THE FINAL RUG PULL (as soon as enough degenerates are leveraging Long their entire savings.). What Im saying is be ready for this final rug pull to finally be seeing these Double Bottoms/V-Shaped recoveries VERY soon. DO NOT waste all your capital yet and MAKE SURE to use stop losses or else rather than stop losses you will be burdened with MUCH WORSE losses. Im currently not even in the market bc I am waiting on said rug pull. Ok for the Script now.
This script is similar to the last one but with the previous one, one general set of settings can produce VASTLY different results (might have 2 S/R lines on one coin and 80 on another). I wanted to fix that with this script, turn it into a "Market Overview" Scanner and create alerts for the MO Scanner to be able to get alerted any time a coin is passing its largest wick S/R levels bc DULY NOTE...it is VERY rare that a coin will blow past it if it hasn't approached it recently. That means that a small retrace of 3-5%(or more) is EASY to acquire (with leverage that can really add up with how many coins are in the Kucoin Margin Coin list that I have in my scanners). Now, once price does shoot through a level you best be sure to be looking down the line for a retest of the S/R level it blew past before as they are MANY times the retest level and price will be coming back to it before continuing
in the direction it was going. Depending on the TF your using this could be a few hours to a few days to a few weeks...you get it. With this script you can choose to draw S/R lines 2 ways: 1) by having it plot S/R lines on the end of the largest 2(3,4,5..however many you choose) wicks that the chart has access to. For the scanner ill just be putting the largest 2-3 wicks and set alerts when coming up to them/crossing them & 2) having it draw S/R lines on the ends of the largest X% of wicks. it will be erasing the lines and drawing new ones on each new candle occurrence so the same general settings will no longer be producing VASTLY diff amounts of S/R lines and will be way more consistent amongst the coins for better utilization with the scanner (when I publish it). There is also a Wick Max Cutoff % so for those coins that had it's first few hours printing 100% sized wicks...you can choose to ignore them so they are not taking up one of your top spots for the S/R lines. There is similarly a Wick % min Size that can be selected so if you’re using the top % setting, it will help decrease those coins that can be still plotting 30 lines even though the top 3% of the largest wicks are set in the settings. Hope Im being clear but it's easy enough. I believe in you and your capabilities of comprehending it all and getting it all figured out. So this script is for a visualization for the scanner that I will be uploading soon-after. It's always nice to get a few comments if my ideas/scripts have been helpful to you and please don't hold back if you have something to tell me that I screwed up on (I am still rather new to this coding thing but I like to think I at least have some fresh ideas that aren’t out there in the public library). Talk to you soon and may the force be with your trades. Peace and love people...peace and love. -ChasinAlts out.
Simple RSI and SMA Long and Short (by Coinrule)The relative strength index ( RSI ) is a momentum indicator used in technical analysis . RSI measures the speed and magnitude of a security's recent price changes to evaluate overvalued or undervalued conditions in the price of that security. The RSI is displayed as an oscillator (a line graph) on a scale of zero to 100. The RSI can do more than point to overbought and oversold securities. It can also indicate securities that may be primed for a trend reversal or corrective pullback in price. It can signal when to buy and sell. Traditionally, an RSI reading of 70 or above indicates an overbought situation. A reading of 30 or below indicates an oversold condition.
A simple moving average ( SMA ) calculates the average of a selected range of prices, usually closing prices, by the number of periods in that range.
The Strategy enters and closes the trade when the following conditions are met:
LONG
SMA100 is greater than SMA150
RSI is greater than 50
SHORT
SMA100 is less than SMA150
RSI is less than 50
When a long position is opened, it remains open until the conditions for a short are met at which point the long position is closed and the short position is opened. Then, when the conditions for the long position are met, the short will be closed and a long will be opened.
This strategy is back tested from 1 January 2022 to simulate how the strategy would work in a bear market. The strategy provides good returns.
The strategy assumes each order is using 30% of the available coins to make the results more realistic and to simulate you only ran this strategy on 30% of your holdings. A trading fee of 0.1% is also taken into account and is aligned to the base fee applied on Binance.
[ChasinAlts] All-Timers [MO]*** PLEASE NOTE: THIS SCRIPT WILL MAKE TV's SERVERS FLEX IT'S MUSCLES SO IT WILL SLOW DOWN OTHER PROCESSES WITHIN TV (HIDE THEM IF NECESSARY TO REGAIN THE SPEED/FUNCTION...OR DELETE THEM...WHAT DO I CARE???) ESP IF YOU HAVE 3-4 ITERATIONS AS I DO TO SHOW THE WHOLE KUCOIN MARGIN MARKET ***
G'day Tradeurs, Hope everyone is having a FAN-FRIGGIN-TASTIC DAY!!! Right now (November 2nd, 2022) is a GREAT time to look for coins that are near their ALL-Time Low
due to the incoming bull market rearing its head around the corner (I'd wait for ONE MORE big dump to be safe though). And how GREAT would it be to even have
$50 of a coin with 10X leverage (I wouldn't suggest this to others though) at the near bottom said market? That is the reason for me publishing this.
This is a quick little scanner script thats part of my "Market Overview" series. Nothing monumental or advanced regarding the ATH/ATL calculations.
Perhaps one thing slightly different here than others is both the % from ATH and % from ATL is calculated and the result is the % that the price is between it's ATH/ATL.
So, it will show the All Time High/All Time Low BUT ONLY to the extent that the TF will allow. Ie. For the Free Planned Users, they can only get data as far back as
5,000 bars would provide. Thus, the ATH/ATL will not show the ACTUAL ATH/ATL but the highest high/lowest low within the last 5,000 bars. So if you want to get more
granular then I suggest you going with a Lower TF but if you want to see the ACTUAL ATH/ATL then the Daily TF or higher is what you're looking for. Make sure to note
that when a coin's plot is staying even with the 0 or 100 line(0 being the ATL within the TF and vise versa) that means the coin is pushing the ATH/ATL further than it
previously was, Also, as with many of my other scripts, I've included a coin filter that will either allow or disallow the plot to be printed depending on if the
"Printed Bar Count" is selected and if it's % is above the threshold (set by the user). This filter will pretty much be useless on the higher TF so don't expect a change
in the data output if you're using a HTF and have that filter selected for use. Elaboration on the inner-workings of MOST inputs can be found in the tooltips provided
along side it and viewed within the settings menu by hovering your curser over the little circled "i" next to the appropriate setting (or near it if the tooltips are
referencing each other or other inputs around itself). May the force be with your trades (in my best Darth Vader voice). Toodles. -ChasinAlts
Fed Net Liquidity Indicator (24-Oct-2022 update)This indicator is an implementation of the USD Liquidity Index originally proposed by Arthur Hayes based on the initial implementation of jlb05013, kudos to him!
I have incorporated subsequent additions (Standing Repo Facility and Central Bank Liquidity Swaps lines) and dealt with some recent changes in reporting units from TradingView.
This is a macro indicator that aims at tracking how much USD liquidity is available to chase financial assets:
- When the FED is expanding liquidity, financial asset prices tend to increase
- When the FED is contracting liquidity, financial asset prices tend to decrease
Here is the current calculation:
Net Liquidity =
(+) The Fed’s Balance Sheet (FRED:WALCL)
(-) NY Fed Total Amount of Accepted Reverse Repo Bids (FRED:RRPONTTLD)
(-) US Treasury General Account Balance Held at NY Fed (FRED:WTREGEN)
(+) NY Fed - Standing Repo Facility (FRED:RPONTSYD)
(+) NY Fed - Central Bank Liquidity Swaps (FRED:SWPT)
Kendall Rank Correlation Coefficient (alt)This is a non-parametric correlation statistical test, which is less sensitive to magnitude and more to direction, hence why some people call this a "concordance test".
This indicator was originally created by Alex Orekhov (everget), if you like this one, please show the original author some love:
This version is extended by tartigradia (2022) to make it more readily useable:
* Update to pinescript v5
* Default compare to current symbol (instead of only fixed symbols)
* Add 1.0, 0.0 and -1.0 correlation levels lines.
This indicator plots both the Kendall correlation in orange, and the more classical parametric Pearson correlation in purple for comparison. Either can be disabled in the Style tab.
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
Catching the Bottom (by Coinrule)This script utilises the RSI and EMA indicators to enter and close the trade.
The relative strength index (RSI) is a momentum indicator used in technical analysis. RSI measures the speed and magnitude of a security's recent price changes to evaluate overvalued or undervalued conditions in the price of that security. The RSI is displayed as an oscillator (a line graph) on a scale of zero to 100. The RSI can do more than point to overbought and oversold securities. It can also indicate securities that may be primed for a trend reversal or corrective pullback in price. It can signal when to buy and sell. Traditionally, an RSI reading of 70 or above indicates an overbought situation. A reading of 30 or below indicates an oversold condition.
An exponential moving average (EMA) is a type of moving average (MA) that places a greater weight and significance on the most recent data points. The exponential moving average is also referred to as the exponentially weighted moving average. An exponentially weighted moving average reacts more significantly to recent price changes than a simple moving average simple moving average (SMA), which applies an equal weight to all observations in the period.
The strategy enters and exits the trade based on the following conditions.
ENTRY
RSI has a decrease of 3.
RSI <40.
EMA100 has crossed above the EMA50.
EXIT
RSI is greater than 65.
EMA9 has crossed above EMA50.
This strategy is back tested from 1 April 2022 to simulate how the strategy would work in a bear market and provides good returns.
Pairs that produce very strong results include ETH on the 5m timeframe, BNB on 5m timeframe, XRP on the 45m timeframe, MATIC on the 30m timeframe and MATIC on the 2H timeframe.
The strategy assumes each order is using 30% of the available coins to make the results more realistic and to simulate you only ran this strategy on 30% of your holdings. A trading fee of 0.1% is also taken into account and is aligned to the base fee applied on Binance.
Bearish Market Indicator V2Definition
Have you ever wonder whether if the stock/index/market is "bearish" ? A Bearish Market Indicator (B.M.I) is not a new concept, the definition is simply 20% lower from the recent (term: short-term, recent: usually within a year, a.k.a 1 year) highs (closing price with in the recent period or within in a year or simply a 52-Week High). It is called “bearish” by definition when the closing price is below 20% from the highest price within the year (52-Week high: Green Line). To visualize the “20%” below the recent highs, there is a plot (line: light yellow color in the middle) called a Bearish Market By Definition Value. For example, the SPX 500 has been in a bearish market which is why there is a purple color highlight over the 52-Week High (green line) since September 21, 2022 because the closing price is below the Bearish Market By Definition Value (light yellow color) or “20% below the recent highs”. Finally, there is a red line under in the graph and it is the lowest price within a year. So when you hear, “this ticker is at a 52-Week Low”, you know what it means.
Line Summary:
Green Color Line = 52-Week High
Yellow Color Line = 20% away from the 52-Week High or Bearish Market By Definition Value
Red Color Line = 52-Week Low
Color Summary:
Red Color = Bad
Saturated Red Color = Very Bad
Purple Color = Bearish (It may look pink: red + purple)
White Color = Less Bad (That’s because there is no certainty only probability)
Green Color = Not too Bad (That’s because there is no certainty only probability)
Now to more complicated Metrics
>> If you do not like the technical indicators, go to the indicator settings, uncheck the tables. Otherwise, please continue reading. <<
Pre-requisites
+ Understand that the indicators are lagging indicators.
+ Using it under “D” or “Day” interval
+ Already Understand: Moving Averages, Stochastic-RSI, RSI, Super Trend and MACD.
+ Please be aware that this might not be compatible with traders!
Indicators
This B.M.I is fused (comprised, combined) with multiple indicators:
- Moving Averages
I would not rely just on the Moving Averages (MA) since it is a lagging indicator. The values are derived by finding the differences with respect to the MAs (between the closing price and with the respect MA).
- Stochastic-RSI
Stochastic and RSI combo with RSI-Color coating. The first value is the rsi-stochastic-k followed by the rsi-stochastic-d both are compartmentalized with “|”.
Parameter:
Numbers > 80 Not Good
Numbers < 20 Is it time? (You can manually verify the lines (k, d) or the values from them)
- Relative Strength Index (RSI)
The first value is the rsi followed by the rsi-ma both are compartmentalized with “|”. It is also coated with RSI-color.
Parameter:
Numbers > 70 Overbought | Color Red
If the RSI > RSI’s MA = Green
If the RSI < RSI’s MA = Red
Numbers < 30 Oversold | Color Red
- Moving Averages Convergence Divergence (MACD)
The first value is the MACD-line followed by the signal-line both are compartmentalized with “|”.
Macd-line > signal line = green
Macd-line < signal line = red
- Supertrend (please look up from the documentation; i can not embed the link)
Think of this way, you’re riding a wave. If the wave is climbing, expect the price to follow.
Direction < 0 = Green
Direction > 0 = Red
- Other Trend similar to supertrend
This is similar to the Super Trend according the some. Imagine you’re drawing a trend line manually within 6 months.
Within the period, the line gets smoothed over and over til the n=9.
> If the closing is less than the 9th value, it implies the trend is slowing down.
Usage
Adjustments
+ Since there are different holidays from different countries, you can change the BMI-Period from the indicator settings “BMI-4khansolo”.
+ You can hide Technical Indicator Tables, it is also under the settings (see above).
> This will show red over the 52-Week high if it tests for positive .
Purpose
Do you like eating the same food over and over? No! I love different food! I also love a variety of indicators. Especially, I love having MULTIPLE indicators presented in one canvas at the same time (personalized).
After spending a lot of time, I want to share my “FOOD” which is made of different ingredients (indicators) with someone who appreciates food! This Makes me a chef isn't it? Yes! Chef!
Questions?
If you have questions or spotted errors, please comment them below so that I can improve.
Sources
All the materials (i.e., functions like ta.rsi, etc...) used in here are available in the platform.
All the references or sources materials are commented with the code since the I am not allowed to put them here.
Normalized VolumeOVERVIEW
The Normalized Volume indicator is a technical indicator that gauges the amount of volume currently present in the market, relative to the average volume in the market. The purpose of this indicator is to filter out with-trend signals during ranging/non-trending/consolidating conditions.
CONCEPTS
This indicator assists traders in capitalizing on the assumption that trends are more likely to start during periods of high volume compared to periods of low volume. This is because high volume indicates that there are bigger players currently in the market, which is necessary to begin a sustained trending move.
So, to determine whether the current volume is "high", it is compared to an average volume for however number of candles back the user specifies.
If the current volume is greater than the average volume, it is reasonable to assume we are in a high-volume period. Thus, this is the ideal time to enter a trending trade due to the assumption that trends are more likely to start during these high-volume periods.
More information on this indicator can be found on NNFX's video on it in his Indicator Profile series and on Stonehill Forex's blog post on it .
HOW DO I READ THIS INDICATOR
When the column's color is red, don't take any trend trades since the current volume is less than the average volume experienced in the market.
When the column's color is green, take all valid with-trend trades since the current volume is greater than the average volume experienced in the market.
Candlestick Pattern Criteria and Analysis Indicator█ OVERVIEW
Define, then locate the presence of a candle that fits a specific criteria. Run a basic calculation on what happens after such a candle occurs.
Here, I’m not giving you an edge, but I’m giving you a clear way to find one.
IMPORTANT NOTE: PLEASE READ:
THE INDICATOR WILL ALWAYS INITIALLY LOAD WITH A RUNTIME ERROR. WHEN INITIALLY LOADED THERE NO CRITERIA SELECTED.
If you do not select a criteria or run a search for a criteria that doesn’t exist, you will get a runtime error. If you want to force the chart to load anyway, enable the debug panel at the bottom of the settings menu.
Who this is for:
- People who want to engage in TradingView for tedious and challenging data analysis related to candlestick measurement and occurrence rate and signal bar relationships with subsequent bars. People who don’t know but want to figure out what a strong bullish bar or a strong bearish bar is.
Who this is not for:
- People who want to be told by an indicator what is good or bad or buy or sell. Also, not for people that don’t have any clear idea on what they think is a strong bullish bar or a strong bearish bar and aren’t willing to put in the work.
Recommendation: Use on the candle resolution that accurately reflects your typical holding period. If you typically hold a trade for 3 weeks, use 3W candles. If you hold a trade for 3 minutes, use 3m candles.
Tldr; Read the tool tips and everything above this line. Let me know any issues that arise or questions you have.
█ CONCEPTS
Many trading styles indicate that a certain candle construct implies a bearish or bullish future for price. That said, it is also common to add to that idea that the context matters. Of course, this is how you end up with all manner of candlestick patterns accounting for thousands of pages of literature. No matter the context though, we can distill a discretionary trader's decision to take a trade based on one very basic premise: “A trader decides to take a trade on the basis of the rightmost candle's construction and what he/she believes that candle construct implies about the future price.” This indicator vets that trader’s theory in the most basic way possible. It finds the instances of any candle construction and takes a look at what happens on the next bar. This current bar is our “Signal Bar.”
█ GUIDE
I said that we vet the theory in the most basic way possible. But, in truth, this indicator is very complex as a result of there being thousands of ways to define a ‘strong’ candle. And you get to define things on a very granular level with this indicator.
Features:
1. Candle Highlighting
When the user’s criteria is met, the candle is highlighted on the chart.
The following candle is highlighted based on whether it breaks out, breaks down, or is an inside bar.
2. User-Defined Criteria
Criteria that you define include:
Candle Type: Bull bars, Bear bars, or both
Candle Attributes
Average Size based on Standard Deviation or Average of all potential bars in price history
Search within a specific price range
Search within a specific time range
Clarify time range using defined sessions and with or without weekends
3. Strike Lines on Candle
Often you want to know how price reacts when it gets back to a certain candle. Also it might be true that candle types cluster in a price region. This can be identified visually by adding lines that extend right on candles that fit the criteria.
4. User-Defined Context
Labeled “Alternative Criteria,” this facet of the script allows the user to take the context provided from another indicator and import it into the indicator to use as a overriding criteria. To account for the fact that the external indicator must be imported as a float value, true (criteria of external indicator is met) must be imported as 1 and false (criteria of external indicator is not met) as 0. Basically a binary Boolean. This can be used to create context, such as in the case of a traditional fractal, or can be used to pair with other signals.
If you know how to code in Pinescript, you can save a copy and simply add your own code to the section indicated in the code and set your bull and bear variables accordingly and the code should compile just fine with no further editing needed.
Included with the script to maximize out-of-the-box functionality, there is preloaded as alternative criteria a code snippet. The criteria is met on the bull side when the current candle close breaks out above the prior candle high. The bear criteria is met when the close breaks below the prior candle. When Alternate Criteria is run by itself, this is the only criteria set and bars are highlighted when it is true. You can qualify these candles by adding additional attributes that you think would fit well.
Using Alternative Criteria, you are essentially setting a filter for the rest of the criteria.
5. Extensive Read Out in the Data Window (right side bar pop out window).
As you can see in the thumbnail, there is pasted a copy of the Data Window Dialogue. I am doubtful I can get the thumbnail to load up perfectly aligned. Its hard to get all these data points in here. It may be better suited for a table at this point. Let me know what you think.
The primary, but not exclusive, purpose of what is in the Data Window is to talk about how often your criteria happens and what happens on the next bar. There are a lot of pieces to this.
Red = Values pertaining to the size of the current bar only
Blue = Values pertaining or related to the total number of signals
Green = Values pertaining to the signal bars themselves, including their measurements
Purple = Values pertaining to bullish bars that happen after the signal bar
Fuchsia = Values pertaining to bearish bars that happen after the signal bar
Lime = Last four rows which are your percentage occurrence vs total signals percentages
The best way I can explain how to understand parts you don’t understand otherwise in the data window is search the title of the row in the code using ‘ctrl+f’ and look at it and see if it makes more sense.
█ [b}Available Candle Attributes
Candle attributes can be used in any combination. They include:
[*}Bodies
[*}High/Low Range
[*}Upper Wick
[*}Lower Wick
[*}Average Size
[*}Alternative Criteria
Criteria will evaluate each attribute independently. If none is set for a particular attribute it is bypassed.
Criteria Quantity can be in Ticks, Points, or Percentage. For percentage keep in mind if using anything involving the candle range will not work well with percentage.
Criteria Operators are “Greater Than,” “Less Than,” and “Threshold.” Threshold means within a range of two numbers.
█ Problems with this methodology and opportunities for future development:
#1 This kind of work is hard.
If you know what you’re doing you might be able to find success changing out the inputs for loops and logging results in arrays or matrices, but to manually go through and test various criteria is a lot of work. However, it is rewarding. At the time of publication in early Oct 2022, you will quickly find that you get MUCH more follow through on bear bars than bull bars. That should be obvious because we’re in the middle of a bear market, but you can still work with the parameters and contextual inputs to determine what maximizes your probability. I’ve found configurations that yield 70% probability across the full series of bars. That’s an edge. That means that 70% of the time, when this criteria is met, the next bar puts you in profit.
#2 The script is VERY heavy.
Takes an eternity to load. But, give it a break, it’s doing a heck of a lot! There is 10 unique arrays in here and a loop that is a bit heavy but gives us the debug window.
#3 If you don’t have a clear idea its hard to know where to start.
There are a lot of levers to pull on in this script. Knowing which ones are useful and meaningful is very challenging. Combine that with long load times… its not great.
#4 Your brain is the only thing that can optimize your results because the criteria come from your mind.
Machine learning would be much more useful here, but for now, you are the machine. Learn.
#5 You can’t save your settings.
So, when you find a good combo, you’ll have to write it down elsewhere for future reference. It would be nice if we could save templates on custom indicators like we can on some of the built in drawing tools, but I’ve had no success in that. So, I recommend screenshotting your settings and saving them in Notion.so or some other solid record keeping database. Then you can go back and retrieve those settings.
#6 no way to export these results into conditions that can be copy/pasted into another script.
Copy/Paste of labels or tables would be the best feature ever at this point. Because you could take the criteria and put it in a label, copy it and drop it into another strategy script or something. But… men can dream.
█ Opportunities to PineCoders Learn:
1. In this script I’m importing libraries, showing some of my libraries functionality. Hopefully that gives you some ideas on how to use them too.
The price displacement library (which I love!)
Creative and conventional ways of using debug()
how to display arrays and matrices on charts
I didn’t call in the library that holds the backtesting function. But, also demonstrating, you can always pull the library up and just copy/paste the function out of there and into your script. That’s fine to do a lot of the time.
2. I am using REALLY complicated logic in this script (at least for me). I included extensive descriptions of this ? : logic in the text of the script. I also did my best to bracket () my logic groups to demonstrate how they fit together, both for you and my future self.
3. The breakout, built-in, “alternative criteria” is actually a small bit of genius built in there if you want to take the time to understand that block of code and think about some of the larger implications of the method deployed.
As always, a big thank you to TradingView and the Pinescript community, the Pinescript pros who have mentored me, and all of you who I am privileged to help in their Pinescripting journey.
"Those who stay will become champions" - Bo Schembechler
YOY[TV1]Year-to-year comparison is a popular and effective way to evaluate a company's financial performance and investment performance.
Any measurable event that repeats yearly can be compared based on YoY.
As a rule, the indicator YoY (year to year) is the number of percentages indicating an increase or regression in relation to the future or past period.
For example, you can compare WM2NS using the YOY (Year to Year) method.
The Offset argument sets the data comparison period. For daily, weekly and monthly timeframes, if Offset is set to 0, it will be determined automatically.
Сравнение Год к году - популярный и эффективный способ оценки финансовых показателей компании и эффективность инвестиций.
Любое измеримое событие, которое повторяется ежегодно можно сравнить на основе YoY.
Как правило, показателем YoY (year to year) является количество процентов указывающее на прирост или регресс по отношению к будущему или прошлому периоду.
Например, вы можете сравнить WM2NS (эмиссию доллара) с помощью метода YOY (Год к году).
Допустим, в 2021 году вы эмитировали А долларов, а в 2022 вы эмитировали Б долларов
Итак итоговой формулой будет: ((Б - А) / А) * 100
Аргумент Offset устанавливает период сравнения данных. Для дневного, недельного и месячного таймфрейма, если Offset установлен в 0, будет определен автоматически.
EMA and MACD with Trailing Stop Loss (by Coinrule)An exponential moving average ( EMA ) is a type of moving average (MA) that places a greater weight and significance on the most recent data points. The exponential moving average is also referred to as the exponentially weighted moving average. An exponentially weighted moving average reacts more significantly to recent price changes than a simple moving average simple moving average ( SMA ), which applies an equal weight to all observations in the period.
Moving average convergence divergence ( MACD ) is a trend-following momentum indicator that shows the relationship between two moving averages of a security’s price. The MACD is calculated by subtracting the 26-period exponential moving average ( EMA ) from the 12-period EMA.
The result of that calculation is the MACD line. A nine-day EMA of the MACD called the "signal line," is then plotted on top of the MACD line, which can function as a trigger for buy and sell signals. Traders may buy the security when the MACD crosses above its signal line and sell—or short—the security when the MACD crosses below the signal line. Moving average convergence divergence ( MACD ) indicators can be interpreted in several ways, but the more common methods are crossovers, divergences, and rapid rises/falls.
The Strategy enters and closes the trade when the following conditions are met:
LONG
The MACD histogram turns bearish
EMA7 is greater than EMA14
EXIT
Price increases 3% trailing
Price decreases 1% trailing
This strategy is back-tested from 1 January 2022 to simulate how the strategy would work in a bear market and provides good returns.
Pairs that produce very strong results include XRPUSDT on the 1-minute timeframe. This short timeframe means that this strategy opens and closes trades regularly
In order to further improve the strategy, the EMA can be changed from 7 and 14 to, say, EMA20 and EMA50. Furthermore, the trailing stop loss can also be changed to ideally suit the user to match their needs.
The strategy assumes each order is using 30% of the available coins to make the results more realistic and to simulate you only ran this strategy on 30% of your holdings. A trading fee of 0.1% is also taken into account and is aligned to the base fee applied on Binance.
ConsoleLibrary "Console"
█ OVERVIEW
An easy way to output messages to a console like table using a a simple "print" function that can be called from anywhere in your code including functions.
█ Supports:
- Scrollable console messages
- Customisable number of displayed messages
- More than one "console" for different types of output if required
- The ability to choose which message to start viewing from (useful if the message list is long)
- The ability to place the console table at different positions on the chart to mitigate against
overwriting an existing table.
█ Limitations:
The "scrollbar" handle is actually a modified time widget handle. As the handle is grabbed and moved left or right across the chart bars, this script calculates the offset of the bar being pointed to from the last bar in the chart and uses that as the console message offset. However, It isn't possible to position this on the last chart bar with code.
So there are two solutions:
1) Manually change timestamp of the variable scrollStart to the current time (roughly)
eg. scrollStart = "25 Dec 2022 14:30 +0000"
2) Use a higher timeframe (Weeks or Months) and visually find the scroll bar. If it is to the right of the chart bars the console output will read NaN. Grab the handle and move it left and it will snap to the last chart candle position. If it is to the left then find it and move it to the right as needed.
█ Notes On Usage
- Import the library as console (the call will be console.print(...) )
- Assign a console variable name and call the console.initialise function
eg. var con1=console.initialise()
- Use the console.print() function to print a message or messages
This takes two parameters:
_consoleName :this is the console name you are printing to
_message: this is the message that you want to display. It is a string and can be built in the normal way using any pinescript string functions like str.tostring() etc
- Use the console.display function to display the messages.
To work as intended this display function should be placed at the last line with the following code
if i_showMessages
....if i_displayTable == "con1"
........display(con1, i_lineOffset, i_rowsToDisplay, i_gotoMsg, posn)
(More "consoles" can be written to and the example code provided with the library shows this in more detail. Also, the indents don't show in these notes)
Lastly, placement of a console.print() without a qualifying "if" statement will occur for every bar. This may be desired. If not then use under an if statement (example in the supplied code).
Happy debugging :)
-----------------------------------------------------------------------------------------------------------
initialise()
initialise: creates the message array
Parameters:
none :
Returns: message array: this is assigned to the "console" identifier
print(_consoleName, _message)
used to output the desired text string to the console
Parameters:
_consoleName : : the message array
_message : : the console message
Returns: none
display(_consoleName, _lineOffset, _rowsToDisplay, _gotoMsg, _posn)
display: placed in the last section of code. Displays the console messages
Parameters:
_consoleName : : the message array
_lineOffset : : the setting of the scroll bar (time widget)
_rowsToDisplay : : how many rows to show in the console table
_gotoMsg : : which message to display from (default is 0)
_posn : : where the console table will be displayed
Returns: none
BTC Dominance Exclude Stablecoins(USDT, USDC, DAI)This index's goal is to show the true bitcoin dominance relative to other risky crypto assets, excluding the diluting effects of those ever-increasing stablecoin(USDT, USDC, DAI)'s market cap. In this index, we can see the BTC dominance has been solid increasing & construct bottom during recent fear/bear.
Xiaolai Chen
Sept 14th 2022
lower_tf█ OVERVIEW
This library is a Pine programmer’s tool containing functions to help those who use the request.security_lower_tf() function. Its `ltf()` function helps translate user inputs into a lower timeframe string usable with request.security_lower_tf() . Another function, `ltfStats()`, accumulates statistics on processed chart bars and intrabars.
█ CONCEPTS
Chart bars
Chart bars , as referred to in our publications, are bars that occur at the current chart timeframe, as opposed to those that occur at a timeframe that is higher or lower than that of the chart view.
Intrabars
Intrabars are chart bars at a lower timeframe than the chart's. Each 1H chart bar of a 24x7 market will, for example, usually contain 60 intrabars at the LTF of 1min, provided there was market activity during each minute of the hour. Mining information from intrabars can be useful in that it offers traders visibility on the activity inside a chart bar.
Lower timeframes (LTFs)
A lower timeframe is a timeframe that is smaller than the chart's timeframe. This framework exemplifies how authors can determine which LTF to use by examining the chart's timeframe. The LTF determines how many intrabars are examined for each chart bar; the lower the timeframe, the more intrabars are analyzed.
Intrabar precision
The precision of calculations increases with the number of intrabars analyzed for each chart bar. As there is a 100K limit to the number of intrabars that can be analyzed by a script, a trade-off occurs between the number of intrabars analyzed per chart bar and the chart bars for which calculations are possible.
█ `ltf()`
This function returns a timeframe string usable with request.security_lower_tf() . It calculates the returned timeframe by taking into account a user selection between eight different calculation modes and the chart's timeframe. You send it the user's selection, along with the text corresponding to the eight choices from which the user has chosen, and the function returns a corresponding LTF string.
Because the function processes strings and doesn't require recalculation on each bar, using var to declare the variable to which its result is assigned will execute the function only once on bar zero and speed up your script:
var string ltfString = ltf(ltfModeInput, LTF1, LTF2, LTF3, LTF4, LTF5, LTF6, LTF7, LTF8)
The eight choices users can select from are of two types: the first four allow a selection from the desired amount of chart bars to be covered, the last four are choices of a fixed number of intrabars to be analyzed per chart bar. Our example code shows how to structure your input call and then make the call to `ltf()`. By changing the text associated with the `LTF1` to `LTF8` constants, you can tailor it to your preferences while preserving the functionality of `ltf()` because you will be sending those string constants as the function's arguments so it can determine the user's selection. The association between each `LTFx` constant and its calculation mode is fixed, so the order of the arguments is important when you call `ltf()`.
These are the first four modes and the `LTFx` constants corresponding to each:
Covering most chart bars (least precise) — LTF1
Covers all chart bars. This is accomplished by dividing the current timeframe in seconds by 4 and converting that number back to a string in timeframe.period format using secondsToTfString() . Due to the fact that, on premium subscriptions, the typical historical bar count is between 20-25k bars, dividing the timeframe by 4 ensures the highest level of intrabar precision possible while achieving complete coverage for the entire dataset with the maximum allowed 100K intrabars.
Covering some chart bars (less precise) — LTF2
Covering less chart bars (more precise) — LTF3
These levels offer a stepped LTF in relation to the chart timeframe with slightly more, or slightly less precision. The stepped lower timeframe tiers are calculated from the chart timeframe as follows:
Chart Timeframe Lower Timeframe
Less Precise More Precise
< 1hr 1min 1min
< 1D 15min 1min
< 1W 2hr 30min
> 1W 1D 60min
Covering the least chart bars (most precise) — LTF4
Analyzes the maximum quantity of intrabars possible by using the 1min LTF, which also allows the least amount of chart bars to be covered.
The last four modes allow the user to specify a fixed number of intrabars to analyze per chart bar. Users can choose from 12, 24, 50 or 100 intrabars, respectively corresponding to the `LTF5`, `LTF6`, `LTF7` and `LTF8` constants. The value is a target; the function will do its best to come up with a LTF producing the required number of intrabars. Because of considerations such as the length of a ticker's session, rounding of the LTF to the closest allowable timeframe, or the lowest allowable timeframe of 1min intrabars, it is often impossible for the function to find a LTF producing the exact number of intrabars. Requesting 100 intrabars on a 60min chart, for example, can only produce 60 1min intrabars. Higher chart timeframes, tickers with high liquidity or 24x7 markets will produce optimal results.
█ `ltfStats()`
`ltfStats()` returns statistics that will be useful to programmers using intrabar inspection. By analyzing the arrays returned by request.security_lower_tf() in can determine:
• intrabarsInChartBar : The number of intrabars analyzed for each chart bar.
• chartBarsCovered : The number of chart bars where intrabar information is available.
• avgIntrabars : The average number of intrabars analyzed per chart bar. Events like holidays, market activity, or reduced hours sessions can cause the number of intrabars to vary, bar to bar.
The function must be called on each bar to produce reliable results.
█ DEMONSTRATION CODE
Our example code shows how to provide users with an input from which they can select a LTF calculation mode. If you use this library's functions, feel free to reuse our input setup code, including the tooltip providing users with explanations on how it works for them.
We make a simple call to request.security_lower_tf() to fetch the close values of intrabars, but we do not use those values. We simply send the returned array to `ltfStats()` and then plot in the indicator's pane the number of intrabars examined on each bar and its average. We also display an information box showing the user's selection of the LTF calculation mode, the resulting LTF calculated by `ltf()` and some statistics.
█ NOTES
• As in several of our recent publications, this script uses secondsToTfString() to produce a timeframe string in timeframe.period format from a timeframe expressed in seconds.
• The script utilizes display.data_window and display.status_line to restrict the display of certain plots.
These new built-ins allow coders to fine-tune where a script’s plot values are displayed.
• We implement a new recommended best practice for tables which works faster and reduces memory consumption.
Using this new method, tables are declared only once with var , as usual. Then, on bar zero only, we use table.cell() calls to populate the table.
Finally, table.set_*() functions are used to update attributes of table cells on the last bar of the dataset.
This greatly reduces the resources required to render tables. We encourage all Pine Script™ programmers to do the same.
Look first. Then leap.
█ FUNCTIONS
The library contains the following functions:
ltf(userSelection, choice1, choice2, choice3, choice4, choice5, choice6, choice7, choice8)
Selects a LTF from the chart's TF, depending on the `userSelection` input string.
Parameters:
userSelection : (simple string) User-selected input string which must be one of the `choicex` arguments.
choice1 : (simple string) Input selection corresponding to "Least precise, covering most chart bars".
choice2 : (simple string) Input selection corresponding to "Less precise, covering some chart bars".
choice3 : (simple string) Input selection corresponding to "More precise, covering less chart bars".
choice4 : (simple string) Input selection corresponding to "Most precise, 1min intrabars".
choice5 : (simple string) Input selection corresponding to "~12 intrabars per chart bar".
choice6 : (simple string) Input selection corresponding to "~24 intrabars per chart bar".
choice7 : (simple string) Input selection corresponding to "~50 intrabars per chart bar".
choice8 : (simple string) Input selection corresponding to "~100 intrabars per chart bar".
Returns: (simple string) A timeframe string to be used with `request.security_lower_tf()`.
ltfStats()
Returns statistics about analyzed intrabars and chart bars covered by calls to `request.security_lower_tf()`.
Parameters:
intrabarValues : (float [ ]) The ID of a float array containing values fetched by a call to `request.security_lower_tf()`.
Returns: A 3-element tuple: [ (series int) intrabarsInChartBar, (series int) chartBarsCovered, (series float) avgIntrabars ].
Ichimoku Cloud and Bollinger Bands (by Coinrule)The Ichimoku Cloud is a collection of technical indicators that show support and resistance levels, as well as momentum and trend direction. It does this by taking multiple averages and plotting them on a chart. It also uses these figures to compute a “cloud” that attempts to forecast where the price may find support or resistance in the future.
The Ichimoku Cloud was developed by Goichi Hosoda, a Japanese journalist, and published in the late 1960s. It provides more data points than the standard candlestick chart. While it seems complicated at first glance, those familiar with how to read the charts often find it easy to understand with well-defined trading signals.
The Ichimoku Cloud is composed of five lines or calculations, two of which comprise a cloud where the difference between the two lines is shaded in.
The lines include a nine-period average, a 26-period average, an average of those two averages, a 52-period average, and a lagging closing price line.
The cloud is a key part of the indicator. When the price is below the cloud, the trend is down. When the price is above the cloud, the trend is up.
The above trend signals are strengthened if the cloud is moving in the same direction as the price. For example, during an uptrend, the top of the cloud is moving up, or during a downtrend, the bottom of the cloud is moving down.
The Bollinger Bands are among the most famous and widely used indicators. A Bollinger Band is a technical analysis tool defined by a set of trendlines plotted two standard deviations (positively and negatively) away from a simple moving average ( SMA ) of a security's price, but which can be adjusted to user preferences. They can suggest when an asset is oversold or overbought in the short term, thus providing the best time for buying and selling it.
This strategy combines the Ichimoku Cloud with Bollinger Bands to better enter trades.
Long orders are placed when these basic signals are triggered.
Long Position:
Tenkan-Sen is above the Kijun-Sen
Chikou-Span is above the close of 26 bars ago
Close is above the Kumo Cloud
The closing price is greater than the upper standard deviation of the Bollinger Bands
Short Position:
Tenkan-Sen is below the Kijun-Sen
Chikou-Span is below the close of 26 bars ago
Close is below the Kumo Cloud
The upper standard deviation of the Bollinger Band is greater than the closing price
The script is backtested from 1 January 2022 and provides good returns.
The strategy assumes each order is using 30% of the available coins to make the results more realistic and to simulate you only ran this strategy on 30% of your holdings. A trading fee of 0.1% is also taken into account and is aligned to the base fee applied on Binance.
This script also works well on BTC 30m/1h, ETH 2h, MATIC 2h/30m, AVAX 1h/2h, SOL 45m timeframes
