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LibraryCOT█  OVERVIEW This library is a Pine programmer's tool that provides functions to access Commitment of Traders (​COT) data for futures. Four of our scripts use it:  • Commitment of Traders: Legacy Metrics  • Commitment of Traders: Disaggregated Metrics  • Commitment of Traders: Financial Metrics  • Commitment of Traders: Total If you do not program in Pine and want to use ​COT data, please see the indicators linked above. █  CONCEPTS Commitment of Traders ​(​COT) data is tallied by the Commodity ​Futures Trading Commission (CFTC) , a US federal agency that oversees the trading of derivative markets such as futures in the US. It is weekly data that provides traders with information about open interest for an asset. The CFTC oversees derivative markets traded on different exchanges, so ​COT data is available for assets that can be traded on CBOT, ​CME, NYMEX, COMEX, and ICEUS. Accessing ​COT data from a Pine script requires the generation of a ticker ID string for use with request.security() . The ticker string must be encoded in a special format that includes both CFTC and TradingView-specific content. The format of the ticker IDs is somewhat complex; this library's functions make their generation easier. Note that if you know the ​COT ticker ID string for specific data, you can enter it from the chart's "Symbol Search" dialog box. A ticker for ​COT data in Pine has the following structure: COT:__<_metricDirection><_metricType> where an underscore prefixing a component name inside <> is only included if the component is not a null string, and:        Is a digit representing the type of the COT report the data comes from: "" for legacy COT data, "2" for disaggregated data and "3" for financial data.        Is a six digit code that represents a commodity. Example: wheat futures (root "ZW") have the code "001602".        Is either "F" if the report data should exclude Options data, or "FO" if such data is included.        Is the TradingView code of the metric. This library's `metricNameAndDirectionToTicker()` function creates both     the and components of a ​COT ticker from the metric names and directions listed in the above chart.     The different metrics are explained in the CFTC's Explanatory Notes .        Is the direction of the metric: "Long", "Short", "Spreading" or "No direction".     Not all directions are applicable to all metrics. The valid ones are listed next to each metric in the above chart.        Is the type of the metric, possible values are "All", "Old" and "Other".     The difference between the types is explained in the "Old and Other Futures" section of the CFTC's Explanatory Notes . As an example, the Legacy report Open Interest data for ZW futures (options included) in the old standard has the ticker "COT:001602_FO_OI_OLD". The same data using the current standard without futures has the ticker "COT:001602_F_OI". █  USING THE LIBRARY The first functions in the library are helper functions that generate components of a ​COT ticker ID. The last function, `COTTickerid()`, is the one that generates the full ticker ID string by calling some of the helper functions. We use it like this in our example: exampleTicker = COTTickerid( COTType = "Legacy", CFTCCode = convertRootToCOTCode("Auto"), includeOptions = false, metricName = "Open Interest", metricDirection = "No direction", metricType = "All") This library's chart displays the valid values for the `metricName` and `metricDirection` arguments. They vary for each of the three types of ​COT data (the `COTType` argument). The chart also displays the ​COT ticker ID string in the `exampleTicker` variable. Look first. Then leap. The library's functions are: rootToCFTCCode(root)   Accepts a futures root and returns the relevant CFTC code.   Parameters:      root : Root prefix of the future's symbol, e.g. "ZC" for "ZC1!"" or "ZCU2021".   Returns: The part of a COT ticker corresponding to `root`, or "" if no CFTC code exists for the `root`. currencyToCFTCCode(curr)   Converts a currency string to its corresponding CFTC code.   Parameters:      curr : Currency code, e.g., "USD" for US Dollar.   Returns: The corresponding to the currency, if one exists. optionsToTicker(includeOptions)   Returns the part of a COT ticker using the `includeOptions` value supplied, which determines whether options data is to be included.   Parameters:      includeOptions : A "bool" value: 'true' if the symbol should include options and 'false' otherwise.   Returns: The part of a COT ticker: "FO" for data that includes options and "F" for data that doesn't. metricNameAndDirectionToTicker(metricName, metricDirection)   Returns a string corresponding to a metric name and direction, which is one component required to build a valid COT ticker ID.   Parameters:      metricName : One of the metric names listed in this library's chart. Invalid values will cause a runtime error.      metricDirection : Metric direction. Possible values are: "Long", "Short", "Spreading", and "No direction".       Valid values vary with metrics. Invalid values will cause a runtime error.   Returns: The part of a COT ticker ID string, e.g., "OI_OLD" for "Open Interest" and "No direction",     or "TC_L" for "Traders Commercial" and "Long". typeToTicker(metricType)   Converts a metric type into one component required to build a valid COT ticker ID.   See the "Old and Other Futures" section of the CFTC's Explanatory Notes for details on types.   Parameters:      metricType : Metric type. Accepted values are: "All", "Old", "Other".   Returns: The part of a COT ticker. convertRootToCOTCode(mode, convertToCOT)   Depending on the `mode`, returns a CFTC code using the chart's symbol or its currency information when `convertToCOT = true`.   Otherwise, returns the symbol's root or currency information. If no COT data exists, a runtime error is generated.   Parameters:      mode : A string determining how the function will work. Valid values are:       "Root": the function extracts the futures symbol root (e.g. "ES" in "ESH2020") and looks for its CFTC code.       "Base currency": the function extracts the first currency in a pair (e.g. "EUR" in "EURUSD") and looks for its CFTC code.       "Currency": the function extracts the quote currency ("JPY" for "TSE:9984" or "USDJPY") and looks for its CFTC code.       "Auto": the function tries the first three modes (Root -> Base Currency -> Currency) until a match is found.      convertToCOT : "bool" value that, when `true`, causes the function to return a CFTC code.       Otherwise, the root or currency information is returned. Optional. The default is `true`.   Returns: If `convertToCOT` is `true`, the part of a COT ticker ID string.     If `convertToCOT` is `false`, the root or currency extracted from the current symbol. COTTickerid(COTType, CTFCCode, includeOptions, metricName, metricDirection, metricType)   Returns a valid TradingView ticker for the COT symbol with specified parameters.   Parameters:      COTType : A string with the type of the report requested with the ticker, one of the following: "Legacy", "Disaggregated", "Financial".      CTFCCode : The for the asset, e.g., wheat futures (root "ZW") have the code "001602".      includeOptions : A boolean value. 'true' if the symbol should include options and 'false' otherwise.      metricName : One of the metric names listed in this library's chart.      metricDirection : Direction of the metric, one of the following: "Long", "Short", "Spreading", "No direction".      metricType : Type of the metric. Possible values: "All", "Old", and "Other".   Returns: A ticker ID string usable with `request.security()` to fetch the specified Commitment of Traders data. █ AVAILABLE METRICS Different COT types provide different metrics. The table of all metrics available for each of the types can be found below. +------------------------------+------------------------+ | Legacy (​COT) Metric Names | Directions | +------------------------------+------------------------+ | Open Interest | No direction | | Noncommercial Positions | Long, Short, Spreading | | Commercial Positions | Long, Short | | Total Reportable Positions | Long, Short | | Nonreportable Positions | Long, Short | | Traders Total | No direction | | Traders Noncommercial | Long, Short, Spreading | | Traders Commercial | Long, Short | | Traders Total Reportable | Long, Short | | Concentration Gross ​LT 4 TDR | Long, Short | | Concentration Gross ​LT 8 TDR | Long, Short | | Concentration Net ​LT 4 TDR | Long, Short | | Concentration Net ​LT 8 TDR | Long, Short | +------------------------------+------------------------+ +-----------------------------------+------------------------+ | Disaggregated (COT2) Metric Names | Directions | +-----------------------------------+------------------------+ | Open Interest | No Direction | | Producer Merchant Positions | Long, Short | | Swap Positions | Long, Short, Spreading | | Managed Money Positions | Long, Short, Spreading | | Other Reportable Positions | Long, Short, Spreading | | Total Reportable Positions | Long, Short | | Nonreportable Positions | Long, Short | | Traders Total | No Direction | | Traders Producer Merchant | Long, Short | | Traders Swap | Long, Short, Spreading | | Traders Managed Money | Long, Short, Spreading | | Traders Other Reportable | Long, Short, Spreading | | Traders Total Reportable | Long, Short | | Concentration Gross LE 4 TDR | Long, Short | | Concentration Gross LE 8 TDR | Long, Short | | Concentration Net LE 4 TDR | Long, Short | | Concentration Net LE 8 TDR | Long, Short | +-----------------------------------+------------------------+ +-------------------------------+------------------------+ | Financial (COT3) Metric Names | Directions | +-------------------------------+------------------------+ | Open Interest | No Direction | | Dealer Positions | Long, Short, Spreading | | Asset Manager Positions | Long, Short, Spreading | | Leveraged Funds Positions | Long, Short, Spreading | | Other Reportable Positions | Long, Short, Spreading | | Total Reportable Positions | Long, Short | | Nonreportable Positions | Long, Short | | Traders Total | No Direction | | Traders Dealer | Long, Short, Spreading | | Traders Asset Manager | Long, Short, Spreading | | Traders Leveraged Funds | Long, Short, Spreading | | Traders Other Reportable | Long, Short, Spreading | | Traders Total Reportable | Long, Short | | Concentration Gross LE 4 TDR | Long, Short | | Concentration Gross LE 8 TDR | Long, Short | | Concentration Net LE 4 TDR | Long, Short | | Concentration Net LE 8 TDR | Long, Short | +-------------------------------+------------------------+
Libreria Pine Script®
di TradingView
22
Black-76 Options on Futures [Loxx]Black-76 Options on Futures is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options on Futures. The options sensitivities (Greeks) are the partial derivatives of the Black-Scholes-Merton ( BSM ) formula. Analytical Greeks for our purposes here are broken down into various categories: Delta Greeks: Delta, DDeltaDvol, Elasticity Gamma Greeks: Gamma, GammaP, DGammaDvol, Speed Vega Greeks: Vega , DVegaDvol/Vomma, VegaP Theta Greeks: Theta Rate/Carry Greeks: Rho futures option Probability Greeks: StrikeDelta, Risk Neutral Density (See the code for more details) Black-Scholes-Merton Option Pricing The Black-Scholes-Merton model can be "generalized" by incorporating a cost-of-carry rate b. This model can be used to price European options on stocks, stocks paying a continuous dividend yield, options on futures , and currency options: c = S * e^((b - r) * T) * N(d1) - X * e^(-r * T) * N(d2) p = X * e^(-r * T) * N(-d2) - S * e^((b - r) * T) * N(-d1) where d1 = (log(S / X) + (b + v^2 / 2) * T) / (v * T^0.5) d2 = d1 - v * T^0.5 b = r ... gives the Black and Scholes (1973) stock option model. b = r — q ... gives the Merton (1973) stock option model with continuous dividend yield q. b = 0 ... gives the Black (1976) futures option model. <== this is the one used for this indicator! b = 0 and r = 0 ... gives the Asay (1982) margined futures option model. b = r — rf ... gives the Garman and Kohlhagen (1983) currency option model. Inputs S = Stock price. X = Strike price of option. T = Time to expiration in years. r = Risk-free rate d = dividend yield v = Volatility of the underlying asset price cnd (x) = The cumulative normal distribution function nd(x) = The standard normal density function convertingToCCRate(r, cmp ) = Rate compounder gImpliedVolatilityNR(string CallPutFlag, float S, float x, float T, float r, float b, float cm , float epsilon) = Implied volatility via Newton Raphson gBlackScholesImpVolBisection(string CallPutFlag, float S, float x, float T, float r, float b, float cm ) = implied volatility via bisection Implied Volatility: The Bisection Method The Newton-Raphson method requires knowledge of the partial derivative of the option pricing formula with respect to volatility ( vega ) when searching for the implied volatility . For some options (exotic and American options in particular), vega is not known analytically. The bisection method is an even simpler method to estimate implied volatility when vega is unknown. The bisection method requires two initial volatility estimates (seed values): 1. A "low" estimate of the implied volatility , al, corresponding to an option value, CL 2. A "high" volatility estimate, aH, corresponding to an option value, CH The option market price, Cm , lies between CL and cH . The bisection estimate is given as the linear interpolation between the two estimates: v(i + 1) = v(L) + (c(m) - c(L)) * (v(H) - v(L)) / (c(H) - c(L)) Replace v(L) with v(i + 1) if c(v(i + 1)) < c(m), or else replace v(H) with v(i + 1) if c(v(i + 1)) > c(m) until |c(m) - c(v(i + 1))| <= E, at which point v(i + 1) is the implied volatility and E is the desired degree of accuracy. Implied Volatility: Newton-Raphson Method The Newton-Raphson method is an efficient way to find the implied volatility of an option contract. It is nothing more than a simple iteration technique for solving one-dimensional nonlinear equations (any introductory textbook in calculus will offer an intuitive explanation). The method seldom uses more than two to three iterations before it converges to the implied volatility . Let v(i + 1) = v(i) + (c(v(i)) - c(m)) / (dc / dv (i)) until |c(m) - c(v(i + 1))| <= E at which point v(i + 1) is the implied volatility , E is the desired degree of accuracy, c(m) is the market price of the option, and dc/ dv (i) is the vega of the option evaluaated at v(i) (the sensitivity of the option value for a small change in volatility ). Things to know Only works on the daily timeframe and for the current source price. You can adjust the text size to fit the screen
Indicatore Pine Script®
di loxx
VIX: Backwardation Vs ContangoVIX: Backwardation Vs Contango Quickly visualize Contango vs Backwardation in the S&P 500 Volatility Index by plotting the prices of the futures contracts over the next 9 months Note: indicator does not map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot TO UPDATE(every few months recommended): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old contract labels (bottom); add new contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly This is one of several similar indicators: Meats | Metals | Grains | VIX Tips: -Right click and reset chart if you can't see the plot; or if you have trouble with the scaling. -Right click and pin to Scale A to plot on the same scale as price --Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot updated 15th June 2022 © twingall
Indicatore Pine Script®
di twingall
1
Meats: Backwardation/CantangoMEATS: Live Cattle , Feeder Cattle, Lean Hogs (LE, GF , HE) Quickly visualize carrying charge market vs backwardized market by comparing the price of the next 2 years of futures contracts. Carrying charge (contract prices increasing into the future) = normal, representing the costs of carrying/storage of a commodity. When this is flipped to Backwardation (contract prices decreasing into the future): its a bullish sign: Buyers want this commodity, and they want it NOW. Note: indicator does NOT map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot There's likely some more efficient way to write this; e.g. when plotting for Live Cattle (LE); 8 of the security requests are redundant; but they are still made; and can make this slower to load TO UPDATE(once a year will do): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old contract labels (bottom); add new contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly This is one of three similar indicators: Meats | Metals | Grains -If you want to build from this; to work on other commodities ; be aware that Tradingview limits the number of contract calls to 40 (hence the 3 seperate indicators) Tips: -Right click and reset chart if you can't see the plot; or if you have trouble with the scaling. -Right click and add to new scale if you prefer this not to overlay directly on price. Or move to new pane below. --Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot updated 15th June 2022 © twingall
Indicatore Pine Script®
di twingall
Forward Curve Visualization ToolProvide the spot symbol and the futures product root, and the script automatically scans all relevant contracts for you—no more tedious manual searches. The result is a clean, intuitive chart showing the live forward curve in real time. It also detects contango or backwardation conditions (based on spot < F1 < F2 < F3). Future Features: Plot historical snapshots of the curve (1 day, 1 week, or 1 month ago) to understand market trends over time. Display additional metrics such as annualized basis, cost of carry (CoC), and even volume or open interest for deeper insights. If you trade futures and watch the forward curve, this script will give you the actionable data you need and get more ideas or features you’d like to see. Let’s build them together! Disclaimer Please remember that past performance may not be indicative of future results. Due to various factors, including changing market conditions, the strategy may no longer perform as well as in historical backtesting. This post and the script don’t provide any financial advice.
Indicatore Pine Script®
di QuantNomad
7
Metals:Backwardation/ContangoMETALS: Gold , Silver , Copper ( GC , SI, HG) Quickly visualize carrying charge market vs backwardized market by comparing the price of the next 2 years of futures contracts. Carrying charge (contract prices increasing into the future) = normal, representing the costs of carrying/storage of a commodity. When this is flipped to Backwardation (contract prices decreasing into the future): its a bullish sign: Buyers want this commodity, and they want it NOW. Note: indicator does not map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot There's likely some more efficient way to write this; e.g. when plotting for Gold ( GC ); 21 of the security requests are redundant; but they are still made; and can make this slower to load TO UPDATE(once a year will do): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old contract labels (bottom); add new contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly This is one of three similar indicators: Meats | Metals | Grains -If you want to build from this; to work on other commodities ; be aware that Tradingview limits the number of contract calls to 40 (hence the 3 seperate indicators) Tips: -Right click and reset chart if you can't see the plot; or if you have trouble with the scaling. -Right click and add to new scale if you prefer this not to overlay directly on price. Or move to new pane below. --Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot updated 15th June 2022 © twingall
Indicatore Pine Script®
di twingall
5
Grains:Backwardation/ContangoGRAINS: Wheat , Soybeans , Corn (ZW, ZS, ZC ) Quickly visualize carrying charge market vs backwardized market by comparing the price of the next 2 years of futures contracts. Carrying charge (contract prices increasing into the future) = normal, representing the costs of carrying/storage of a commodity. When this is flipped to Backwardation (contract prices decreasing into the future): its a bullish sign: Buyers want this commodity, and they want it NOW. The above chart shows a nice example of backwardation. Note: indicator does not map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot There's likely some more efficient way to write this; e.g. when plotting for Wheat (ZW); 15 of the security requests are redundant; but they are still made; and can make this slower to load TO UPDATE(once a year will do): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old contract labels (bottom); add new contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly This is one of three similar indicators: Meats | Metals | Grains -If you want to build from this; to work on other commodities ; be aware that Tradingview limits the number of contract calls to 40 (hence the 3 seperate indicators) Tips: -Right click and reset chart if you can't see the plot; or if you have trouble with the scaling. -Right click and add to new scale if you prefer this not to overlay directly on price. Or move to new pane below. --Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot updated 15th June 2022 © twingall
Indicatore Pine Script®
di twingall
2
Settlement priceThis script is meant to be used intraday, on futures products. It charts the previous day/week/month settlement price as a constant level intraday. The settlement price of a product is calculated by the exchange at the end of each day. It is shown in the D/W/M chart as the close price. The settlement price does not coincide with the last close price intraday, thus creating the need of a script like this. The settlement price can be a pivotal price in intraday futures trading, as it can act as support or resistance You can select the resolution of the settlement by the "Resolution" input
Indicatore Pine Script®
di konidtaly88
8
Cumulative Intraday Volume with Long/Short LabelsThis indicator calculates a running total of volume for each trading day, then shows on the price chart when that total crosses levels you choose. Every day at 6:00 PM Eastern Time, the total goes back to zero so it always reflects only the current day’s activity. From that moment on, each time a new candle appears the indicator looks at whether the candle closed higher than it opened or lower. If it closed higher, the candle’s volume is added to the running total; if it closed lower, the same volume amount is subtracted. As a result, the total becomes positive when buyers have dominated so far today and negative when sellers have dominated. Because futures markets close at 6 PM ET, the running total resets exactly then, mirroring the way most intraday traders think in terms of a single session. Throughout the day, you will see this running total move up or down according to whether more volume is happening on green or red candles. Once the total goes above a number you specify (for example, one hundred thousand contracts), the indicator will place a small “Long” label at that candle on the main price chart to let you know buying pressure has reached that level. Similarly, once the total goes below a negative number you choose (for example, minus one hundred thousand), a “Short” label will appear at that candle to signal that selling pressure has reached your chosen threshold. You can set these threshold numbers to whatever makes sense for your trading style or the market you follow. Because raw volume alone never turns negative, this design uses candle direction as a sign. Green candles (where the close is higher than the open) add volume, and red candles (where the close is lower than the open) subtract volume. Summing those signed volume values tells you in a single number whether buying or selling has been stronger so far today. That number resets every evening, so it does not carry over any buying or selling from previous sessions. Once you have this indicator on your chart, you simply watch the “summed volume” line as it moves throughout the day. If it climbs past your long threshold, you know buyers are firmly in control and a long entry might make sense. If it falls past your short threshold, you know sellers are firmly in control and a short entry might make sense. In quieter markets or times of low volume, you might use a smaller threshold so that even modest buying or selling pressure will trigger a label. During very active periods, a larger threshold will prevent too many signals when volume spikes frequently. This approach is straightforward but can be surprisingly powerful. It does not rely on complex formulas or hidden statistical measures. Instead, it simply adds and subtracts daily volume based on candle color, then alerts you when that total reaches levels you care about. Over several years of historical testing, this formula has shown an ability to highlight moments when intraday sentiment shifts decisively from buyers to sellers or vice versa. Because the indicator resets every day at 6 PM, it always reflects only today’s sentiment and remains easy to interpret without carrying over past data. You can use it on any intraday timeframe, but it works especially well on five-minute or fifteen-minute charts for futures contracts. If you want a clear gauge of whether buyers or sellers are dominating in real time, and you prefer a rule-based method rather than a complex model, this indicator gives you exactly that. It shows net buying or selling pressure at a glance, resets each session like most intraday traders do, and marks the moments when that pressure crosses the levels you decide are important. By combining a daily reset with signed volume, you get a single number that tells you precisely what the crowd is doing at any given moment, without any of the guesswork or hidden calculations that more complicated indicators often carry.
Indicatore Pine Script®
di QuantByBoji
CL Live lotsize ROOSTER📄 Description: This is a utility script designed for manual futures traders who enter with market orders and want to size their positions precisely based on $ risk. ⚙️ Features: ✅ Calculates live contract size based on: A fixed dollar risk amount (e.g. $100) A manually set static stop-loss price The live market price as your entry ✅ Uses a configurable risk-reward ratio (e.g. 1:3) ✅ Plots entry, stop, and target levels on the chart ✅ Displays calculated contract size as a floating label 🎯 Why this tool? Built to support fast execution workflows , this tool helps traders who: Enter trades at candle close or open Want to pre-calculate their market order size before the signal Prefer a visual, consistent, real-time R:R validation system Avoid fumbling with the long/short position tool at the last second 🔧 Settings: Static Stop-Loss Price: Enter the price level where you'd place your SL Account Risk ($): How much you’re willing to risk per trade Risk-Reward Ratio: Set your target multiplier (e.g. 3 for 3R)
Indicatore Pine Script®
di Therooster123
DNSE VN301!, SMA & EMA Cross StrategyDiscover the tailored Pinescript to trade VN30F1M Future Contracts intraday, the strategy focuses on SMA & EMA crosses to identify potential entry/exit points. The script closes all positions by 14:25 to avoid holding any contracts overnight. HNX:VN301! www.tradingview.com Setting & Backtest result: 1-minute chart, initial capital of VND 100 million, entering 4 contracts per time, backtest result from Jan-2024 to Nov-2024 yielded a return over 40%, executed over 1,000 trades (average of 4 trades/day), winning trades rate ~ 30% with a profit factor of 1.10. The default setting of the script: A decent optimization is reached when SMA and EMA periods are set to 60 and 15 respectively while the Long/Short stop-loss level is set to 20 ticks (2 points) from the entry price. Entry & Exit conditions: Long signals are generated when ema(15) crosses over sma(60) while Short signals happen when ema(15) crosses under sma(60). Long orders are closed when ema(15) crosses under sma(60) while Short orders are closed when ema(15) crosses over sma(60). Exit conditions happen when (whichever came first): Another Long/Short signal is generated The Stop-loss level is reached The Cut-off time is reached (14:25 every day) *Disclaimers: Futures Contracts Trading are subjected to a high degree of risk and price movements can fluctuate significantly. This script functions as a reference source and should be used after users have clearly understood how futures trading works, accessed their risk tolerance level, and are knowledgeable of the functioning logic behind the script. Users are solely responsible for their investment decisions, and DNSE is not responsible for any potential losses from applying such a strategy to real-life trading activities. Past performance is not indicative/guarantee of future results, kindly reach out to us should you have specific questions about this script. --------------------------------------------------------------------------------------- Khám phá Pinescript được thiết kế riêng để giao dịch Hợp đồng tương lai VN30F1M trong ngày, chiến lược tập trung vào các đường SMA & EMA cắt nhau để xác định các điểm vào/ra tiềm năng. Chiến lược sẽ đóng tất cả các vị thế trước 14:25 để tránh giữ bất kỳ hợp đồng nào qua đêm. Thiết lập & Kết quả backtest: Chart 1 phút, vốn ban đầu là 100 triệu đồng, vào 4 hợp đồng mỗi lần, kết quả backtest từ tháng 1/2024 tới tháng 11/2024 mang lại lợi nhuận trên 40%, thực hiện hơn 1.000 giao dịch (trung bình 4 giao dịch/ngày), tỷ lệ giao dịch thắng ~ 30% với hệ số lợi nhuận là 1,10. Thiết lập mặc định của chiến lược: Đạt được một mức tối ưu ổn khi SMA và EMA periods được đặt lần lượt là 60 và 15 trong khi mức cắt lỗ được đặt thành 20 tick (2 điểm) từ giá vào. Điều kiện Mở và Đóng vị thế: Tín hiệu Long được tạo ra khi ema(15) cắt trên sma(60) trong khi tín hiệu Short xảy ra khi ema(15) cắt dưới sma(60). Lệnh Long được đóng khi ema(15) cắt dưới sma(60) trong khi lệnh Short được đóng khi ema(15) cắt lên sma(60). Điều kiện đóng vị thể xảy ra khi (tùy điều kiện nào đến trước): Một tín hiệu Long/Short khác được tạo ra Giá chạm mức cắt lỗ Lệnh chưa đóng nhưng tới giờ cut-off (14:25 hàng ngày) *Tuyên bố miễn trừ trách nhiệm: Giao dịch hợp đồng tương lai có mức rủi ro cao và giá có thể dao động đáng kể. Chiến lược này hoạt động như một nguồn tham khảo và nên được sử dụng sau khi người dùng đã hiểu rõ cách thức giao dịch hợp đồng tương lai, đã đánh giá mức độ chấp nhận rủi ro của bản thân và hiểu rõ về logic vận hành của chiến lược này. Người dùng hoàn toàn chịu trách nhiệm về các quyết định đầu tư của mình và DNSE không chịu trách nhiệm về bất kỳ khoản lỗ tiềm ẩn nào khi áp dụng chiến lược này vào các hoạt động giao dịch thực tế. Hiệu suất trong quá khứ không chỉ ra/cam kết kết quả trong tương lai, vui lòng liên hệ với chúng tôi nếu bạn có thắc mắc cụ thể về chiến lược giao dịch này.
Strategia Pine Script®
di DNSE
2
Fed Fund Futures Custom AverageThis indicator helps traders track the expected average interest rate for the upcoming 12 months based on Fed Fund Futures. It calculates the average price of the next 12 monthly futures contracts and also shows the spread against the 1-Year US Treasury yield (US01Y). This can be useful for understanding market expectations regarding interest rate changes and identifying trading opportunities related to interest rate movements.
Indicatore Pine Script®
di ekaymak
Failed Breakdown Detection'Failed Breakdowns' are a popular set up for long entries. In short, the set up requires: 1) A significant low is made ('initial low') 2) Initial low is undercut with a new low 3) Price action then 'reclaims' the initial low by moving +8-10 points from the initial low This script aims at detecting such set ups. It was coded with the ES Futures 15 minute chart in mind but may be useful on other instruments and time frames. Business Logic: 1) Uses pivot lows to detect 'significant' initial lows 2) Uses amplitude threshold to detect a new low beneath the initial low; used /u/ben_zen script for this 3) Looks for a valid reclaim - a green candle that occurs within 10 bars of the new low 4) Price must reclaim at least 8 points for the set up to be valid 5) If a signal is detected, the initial low value (pivot low) is stored in array that prevents duplicate signals from being generated. 6) FBD Signal is plotted on the chart with "X" 7) Pivot low detection is plotted on the chart with "P" and a label 8) New lows are plotted on the chart with a blue triangle Notes: User input - My preference is to use the defaults as is, but as always feel free to experiment - Can modify pivot length but in my experience 10/10 work best for pivot lows - New low detection - 55 bars and 0.05 amplitude work well based on visual checks of signals - Can modify the number of points needed to reclaim a low, and the # of bars limit under which this must occur. Alerts: - Alerts are available for detection of new lows and detection of failed breakdowns - Alerts are also available for these signals but only during 7:30PM-4PM EST - 'prime time' US trading hours Limitations: - Current version of the script only compares new lows to the most recent pivot low, does not look at anything prior to that - Best used as a discretionary signal Visit /u/ben_zen's Profile: www.tradingview.com Profile Link www.tradingview.com
Indicatore Pine Script®
di xfuturesgod
19
Arbitrage B3's IBOV FuturesThis indicator was made to calculate and show the spread between the B3's Ibovespa Futures and B3's Ibovespa Index increased by the Interest until the contract expiration date. The orange line "Arbitrage" is the spread. Inputs: Annual Interest Rate (%) -> Interest Rate that you want to be used to calculate the Interest of B3's IBOV Index. Working Days Until Contract Expires -> How many business days you have between your actual date and the expiration date of the Futures. Recommended TimeFrame to evaluate the "Arbitrage": 1 MIN
Indicatore Pine Script®
di luizgubarichello
Future Risk CalculatorCreated out of revenge against the difficulty of controlling psychology, greed, and risk management. Designed for cryptocurrency futures trading by following the risk management principles from Kevin Sailly. Very welcome if there are suggestions and input to improve the quality of this "indicator". Please use wisely. How to use: 1. Open indicator settings. 2. Fill out all the forms. (Note: I make Max Loss Risk only has 5 options. Because, you know, to control the greed. You can choose by considering your risk profiles and market condition) 3. All of the information and calculation will appear on the label (right side of the bar chart) and top-right box. 4. You can adjust the three prices (target, entry, and stop) by clicking any part of the indicator. There will be three dots in the middle of the chart window (align with three prices). Click that dots and drag them up/down to customize according to your wishes. The price order must be correct, for LONG direction the price order from the top is target-entry-stop. Vice versa for SHORT direction. There will be "SETUP ERROR" text in the top-right box if the price order is not correct. "Never, ever argue with your trading system." (by Michael Covel) Regards, Ircham
Indicatore Pine Script®
di i_am_ian
4
Stock trending strategy This is a long only strategy designed maily for stock markets and futures. In general it works best with 1h, however it can be optimized with other timeframes as well. Components: VWAP MACD histogram EMA 9 Rules for entry Long : For VWAP: close is above the vwap daily EMA: close is above the moving average MACD histogram is above 0 Short: For VWAP: close is belowthe vwap daily EMA: close is below the moving average MACD histogram is below 0 Rules for exit This strategy does not have any risk management inside. Instead it exits whenver it receives an opposite signal form the original one used for entry. If you have any questions let me know !
Strategia Pine Script®
di exlux
VIX Implied Move Bands for ES/Emini futuresThis script uses the close of the VIX on a daily resolution to provide the 'implied move' for the E-mini SP500 futures. While it can be applied to any equity index, it's crucial to know that the VIX is calculated using SPX options, and may not reflect the implied volatility of other indices. The user can adjust the length of the moving average used to calculate the bands, the window of days used to calculate the implied move, and the multiplier that effects the width of the bands.
Indicatore Pine Script®
di CSC1
7
Casa_SessionsLibrary "Casa_Sessions" Advanced trading session management library that enhances TradingView's default functionality: Key Features: - Accurate session detection for futures markets - Custom session hour definitions - Drop-in replacements for standard TradingView session functions - Flexible session map customization - Full control over trading windows and market hours Perfect for traders who need precise session timing, especially when working with futures markets or custom trading schedules. SetSessionTimes(session_type_input, custom_session_times_input, syminfo_type, syminfo_root, syminfo_timezone)   Parameters:      session_type_input (simple string) : Input string for session selection: - 'Custom': User-defined session times - 'FX-Tokyo': Tokyo forex session - 'FX-London': London forex session - 'FX-New York': NY forex session - 'Overnight Session (ON)': After-hours trading - 'Day Session (RTH)': Regular trading hours      custom_session_times_input (simple string) : Session parameter for custom time windows Only used when session_type_input is 'Custom'      syminfo_type (simple string)      syminfo_root (simple string)      syminfo_timezone (simple string)   Returns: session_times: Trading hours for selected session session_timezone: Market timezone (relevant for forex) getSessionMap()   Get futures trading session hours map Keys are formatted as 'symbol:session', examples: - 'ES:market' - Regular trading hours (RTH) - 'ES:overnight' - Extended trading hours (ETH) - 'NQ:market' - NASDAQ futures RTH - 'CL:overnight' - Crude Oil futures ETH   Returns: Map Key: Symbol:session identifier Value: Session hours in format "HH:MM-HH:MM" getSessionString(session, symbol, sessionMap)   Returns a session string representing the session hours (and days) for the requested symbol (or the chart's symbol if the symbol value is not provided). If the session string is not found in the collection, it will return a blank string.   Parameters:      session (string) : A string representing the session hour being requested. One of: market (regular trading hours), overnight (extended/electronic trading hours), postmarket (after-hours), premarket      symbol (string) : The symbol to check. Optional. Defaults to chart symbol.      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided. inSession(session, sessionMap, barsBack)   Returns true if the current symbol is currently in the session parameters defined by sessionString.   Parameters:      session (string) : A string representing the session hour being requested. One of: market (regular trading hours), overnight (extended/electronic trading hours), postmarket (after-hours), premarket      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided.      barsBack (int) : Private. Only used by futures to check islastbar. Optional. The default is 0. ismarket(sessionMap)   Returns true if the current bar is a part of the regular trading hours (i.e. market hours), false otherwise. Works for futures (TradingView's methods do not).   Parameters:      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided.   Returns: bool isfirstbar()   Returns true if the current bar is the first bar of the day's session, false otherwise. If extended session information is used, only returns true on the first bar of the pre-market bars. Works for futures (TradingView's methods do not).   Returns: bool islastbar()   Returns true if the current bar is the last bar of the day's session, false otherwise. If extended session information is used, only returns true on the last bar of the post-market bars. Works for futures (TradingView's methods do not).   Returns: bool ispremarket(sessionMap)   Returns true if the current bar is a part of the pre-market, false otherwise. On non-intraday charts always returns false. Works for futures (TradingView's methods do not).   Parameters:      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided.   Returns: bool ispostmarket(sessionMap)   Returns true if the current bar is a part of the post-market, false otherwise. On non-intraday charts always returns false. Works for futures (TradingView's methods do not).   Parameters:      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided.   Returns: bool isfirstbar_regular(sessionMap)   Returns true on the first regular session bar of the day, false otherwise. The result is the same whether extended session information is used or not. Works for futures (TradingView's methods do not).   Parameters:      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided.   Returns: bool islastbar_regular(sessionMap)   Returns true on the last regular session bar of the day, false otherwise. The result is the same whether extended session information is used or not. Works for futures (TradingView's methods do not).   Parameters:      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided.   Returns: bool isovernight(sessionMap)   Returns true if the current bar is a part of the pre-market or post-market, false otherwise. On non-intraday charts always returns false.   Parameters:      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided.   Returns: bool getSessionHighAndLow(session, sessionMap)   Returns a tuple containing the high and low print during the specified session.   Parameters:      session (string) : The session for which to get the high & low prints. Defaults to market.      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided.   Returns: A tuple containing getSessionHigh(session, sessionMap)   Convenience function to return the session high. Necessary if you want to call this function from within a request.security expression where you can't return a tuple.   Parameters:      session (string) : The session for which to get the high & low prints. Defaults to market.      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided.   Returns: The high of the session getSessionLow(session, sessionMap)   Convenience function to return the session low. Necessary if you want to call this function from within a request.security expression where you can't return a tuple.   Parameters:      session (string) : The session for which to get the high & low prints. Defaults to market.      sessionMap (map) : The map of futures session hours. Optional. Uses default if not provided.   Returns: The low of the session
Libreria Pine Script®
di Mupsje
ATR | LOTSIZE | Risk (Futures)This Pine Script is a futures-specific trading utility designed to help F\&O (Futures and Options) traders quickly assess the volatility and position sizing for any selected stock on the chart — even if it's not a futures chart. What the Script Does: * Automatically detects the futures symbol for the underlying equity using a dynamic mapping system. * Calculates the ATR (Average True Range) of the futures contract using either SMA or EMA. * Fetches the Lot Size (Point Value) of the futures instrument. * Computes risk per lot by multiplying ATR with lot size (Risk = ATR × Lot Size). * Displays all 3 values — ATR, Lot Size, and Risk in INR — in a compact table on the chart. Why This Is Useful for F\&O Traders: * ✅ Quick Risk Assessment: Helps traders understand how much is at risk per lot without switching to the actual futures chart. * ✅ Position Sizing: Provides data to calculate how many lots to trade based on a defined risk per trade. * ✅ Volatility Awareness:ATR gives insights into how much the stock typically moves, guiding stop-loss and target placements. * ✅ Efficient Workflow:No need to load separate futures charts or lookup lot sizes manually — saves time and reduces error. This tool is ideal for discretionary and systematic traders who want risk and volatility context for every trade, especially in the NSE Futures & Options segment.
Indicatore Pine Script®
di vighnesh15b
UM Futures Dashboard with Moving Average DirectionUM Futures Dashboard with Moving Average Direction Description : This futures dashboard gives you quick glance of all “major” futures prices and percentage changes. The text color and trends are based on your configured moving average type and length. The dashboard will display LONG in green text when the configure MA is trending higher and SHORT in red when the configured MA is trending lower. The dashboard also includes the VIX futures roll yield and VIX futures status of Contango or Backwardation. I have included the indicator twice on the sample chart to illustrate different table settings. I also included an 8 period WMA overlay on the price chart since this is the default of the dashboard. (The Moving Average color change is another one of my indicators titled “UM EMA SMA WMA HMA with Directional Color Change”) Defaults and Configuration : The default MA type is the Weighted Moving Average, (WMA) with a daily setting of 8. Choices include WMA, SMA, and EMA. The table location defaults to the upper right corner in landscape mode. It can also be set to “flip” to portrait mode. I have added the table to the chart twice to illustrate the table orientations. Table location, orientation, timeframe, moving average type and length are user-configurable. The configured dashboard timeframe is independent of the chart timeframe. Percentage changes and Moving Averages are based on the configured dashboard timeframe. Alerts : Alerts can be configured on the directional change of the dashboard moving average. For example, if the daily 8 period weighted moving average begins trending higher it will turn from red to green. This color change would fire a LONG alert. A color trend change of the weighted moving average from green to red would fire a SHORT alert. Alerts are disabled by default but can be set for any or all of the futures contracts included. Suggested Uses : If you follow or trade futures, add this dashboard indicator to your chart layout. Configure your favorite moving average. Use this to quickly see where all the major futures are trading. This saved me from thumbing through the CNBC app on my phone. One thing I do is to “stretch” moving average to a smaller timeframe. For example, if you like the 8 period WMA on the daily, try the 192 WMA on the hourly. ( The daily 8 period WMA is roughly a 192 WMA on an hourly chart) This can smooth out some of the violent price action and give better entries/exits. Setup a FUTURES indicator template. I do this with the dashboard and couple other of my favorite indicators. Suggested Settings : Daily charts: 8 WMA
Indicatore Pine Script®
di UnderwearMillionaire