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Options Decay Speed for 0DTEUse only for: SPX, 5 minutes time frame This indicator is complementing options 0DTE strategy - selling options for SPX index in the same day as they are expiring. Output of the indicator (red or green color of the curve) indicates whether is profitable to sell options at given moment at delta and VIX specified in the parameters. Changing parameter "Candles" is not recommended. Main thought is that options expire with certain speed (theta decay) when stock doesnt move. When stock moves in unfavorable direction slowly enough, decay speed can compensate for disadvantage coming from option delta. Intuitively there must be certain speed of stock value change (expressed in stock value per 5 minutes) that is exactly compensating theta decay. This indicator calculates those two values (details below) and shows, where theta decay is faster than stock movement in the last hour and thus favorable to sell options. Indicator gets its result from comparing two values: 1) volatility in the form of highest high and lowest low for past 12 candles (one hour in total) divided by 12 - meaning average movement of stock expressed in 2) speed of options value decay in form of combination of theta decay and option delta. Formulas are approximation of Black-Scholes model as Pine script doesnt allow for advanced functions. Approximations are accurate to 2 decimal points from market open to one hour before market close and will not indicate green when accuracy is not sufficient. Its value is also expressed in so its mutualy comparable. My focus was not on code elegance but on practical usability. Written by Ondřej Škop.
Indicatore Pine Script®
di OnSkop
13
Double Vwap - JDThis indicator (The "Volume-Volatility weighted Average Price" or "Double Vwap") gives an alternative to the well known standard VWAP line with some special sauce. The standard VWAP sometimes lags on big price moves, when there's not much volume "underneath them". This indicator tries to combat that by adding the option to weigh in large price moves in the calculation, even without large volume, and can give you faster targets after big "pumps" and "dumps". Enjoy! JD. #nottradingadvice #DYOR
Indicatore Pine Script®
di Duyck
17
Moving percentiles channelThis script plots moving percentiles of past price distribution, creating a channel useful for trend and volatility analysis, and for operational purposes also. Percentiles are more robust than common moving averages when it comes to address noise during lateral price movements. Percentiles included: - 10th - 25th (= 1st quartile) - 50th (= median) - 75th (= 3rd quartile) - 90th You can choose between 2 methods to compute percentiles: - Linear interpolation - Nearest rank (Check pinescript reference manual for more details) The script also let you plot one Moving average, useful for comparison with the median. Supported MA: - SMA - EMA - WMA - VWMA - Hull - Arnaud Legoux - Least squares An example of operational rule could be: - Buy when observing crossovers between price and 3rd quartile, and viceversa, sell when observing crossunders between price and 1st quartile. - Close buy positions when observing crossunder between price and median, and viceversa. However these are only simple example for teaching purpose. I suggest you to create your own strategy. Hope you enjoy the script. Please support and follow me if you like my work. More content will be added in the future. @Bezzus
Indicatore Pine Script®
di Bezzus
MobilityThe indicator measure realized mobility of the underlying in the terms of V.Kurbakovsky. It is not an exact realization without access to bid and ask prices, but you can choose source prices in the settings window. The indicator can be used to estimate the degree of variation of the underlying price in volatility trading. It is advised to use it on a 1M (1 minute) timeframe. In the calculations the mobility will be normalized to a day. In Minutes in period setting you can specify the number of the estimating periods during MOEX trading session, which is 810 minutes. Thus, mobility is measured in points per day.
Indicatore Pine Script®
di tashik
TimeSync by KingThies TimeSync by Kingthies Written in Pine v4 Applies one function that was published in the Tradingview Pinescript Manual The Motivation behind this script - Time is 50% of your chart. Many ignore it entirely. This should help give an idea on how to read it and incorporate it in their analysis. TimeSync by KingThies takes a simple concept and turns it into a visual tracking system of when timeframes of significant impact, all close at the same time. By utilizing several high time-frames, we see overlaps in periods and more significant events occurring when multiple periods close at once. The TFs included are 3D,1W,2W and 1M. When users use the timeframes above intraday, the resolution for these HTF's is shown. When using the LTFs, anything lower than 1D/is intraday, the user sees a similar concept but comprised of the 4H, 6H,8H and 10H charts. Users can adjust the settings to show the HTFs in sync AND also factor in if the event was on a business quarter or new year, which adds more significance to the occurrence. By seeing when these periods end in sync, we can assume more volatility is present in a given market, presenting various opportunities for traders to take advantage of a given situation. Apologies in advance for any questions that come up - I will do my best to reply or respond here on Tradingview.com. Additional Resources for this topic can be found in my account signature, located at the bottom of this post.
Indicatore Pine Script®
di kingthies
4
Rate Of Change - Weekly SignalsRate of Change - Weekly Signals This indicator gives a potential "buy signal" using Rate of Change of SPX and VIX together, using the following criteria: SPX Weekly ROC(10) has been BELOW -9 and now rises ABOVE -5 *PLUS* VIX Weekly ROC(10) has been ABOVE +80 and now falls BELOW +10 The background will turn RED when ROC(SPX) is below -9 and ROC(VIX) is above +80. The background will turn GREEN when ROC(SPX) is above -5 and ROC(VIX) is below +10. So the potential "buy signal" is when you start to get GREEN BARS AFTER RED - usually with some white/empty bars in between...but wait for the green. This indicates that the volatility has settled down, and the market is starting to turn up. This indicator gives excellent entry points, but be careful of the occasional false signals. See Nov. 2001 and Nov. 2008, in both cases the market dropped another 25-30% before the final bottom was formed. Always have an exit strategy, especially when buying in after a downtrend. How I use this indicator, pretty much as shown in the preview. Weekly SPX as the main chart with some medium/long moving averages to identify the trend, VIX added as a "Compare Symbol" in red, and then the Weekly ROC signals below. For the ROC graphs, you can show SPX+VIX together, SPX alone, or VIX alone. I prefer to display them separately because they don't scale well together (VIX crowds out the SPX when it spikes). Background color is still based on both SPX/VIX together, regardless of which graph is shown. Note that there is no VIX data available on Trading View prior to 1990, so for those dates the formula is using only ROC(SPX) and the assigned thresholds (-9 and -5, or whatever you choose).
Indicatore Pine Script®
di nj_guy72
1
[mya] ATR FilteredATR Filtered for NNFX trading. A classic Average True Range (ATR) indicator with a simple feature to filter out the spikes. The ATR value is the tool to determine your TP and SL on daily time-frame, specifically in the NNFX way of trading. VP mentions in his podcast that when the ATR spikes up you have 2 options: 1. wait 14 candles for the ATR to normalize, 2. use the ATR value prior to the spike. ATR spikes are easy to spot (thus easy to exclude) for an itraday flash crash. On the other hand when volatility increases over several candles (as in the Covid-19 shock) it can be difficult to determine which ATR value to base your TP/SL on. In definition of standard deviation, 95.4% of the value will fall within the 2 sigma bands. Therefore the rest 4.6% can be filtered out as an extreme value (a spike). The ATR in this indicator will plot the standard ATR value in normal condition, then when the ATR spike happens it will stay at the highest value at the point, when the ATR exceeded its 2 sigma band. The filtering will reset when the ATR comes back down below the extended highest value. *Disclaimer: Use at your own risk. I am not a programmer, just another guy trying to beat this game. Let's go get it.
Indicatore Pine Script®
di myataro
3
Full Candle Outside BB [Bishnu103]Bollinger band defines volatility range based on the current market condition. If a full candle is created outside BB then it is highly volatile and it may reverse to the mean, i.e. middle BB. Buy - when a green candle is created below lower BB (alert candle) and price goes above high of it. Buy SL - low of alert candle Target 1 - middle band Target 2- upper band Sell - when a red candle is cerated above upper BB (alert candle) and price goes below low of it Sell SL - high of alert candle Target 1 - middle band Target 2 - lower band ************************************************************************************************************************************************************************************ Disclaimer: This is in-progress strategy. I plan to work further and improve this. So please use this in the live market very carefully and based on your own risk factors. ************************************************************************************************************************************************************************************
Strategia Pine Script®
di Bishnu103
6
Mean Deviation IndexThe Mean Deviation Index (MDX) is used to see how much price is deviating from the mean. This indicator takes both volatility and mean deviation in consideration. It uses the standard deviation of the ATR to filter an EMA, and uses this as the mean. It then only plots > or < 0 if price is more than one x ATR away from the mean. If index is positive, the background turns green, meaning price is more than 1 x ATR above the mean. If the index is negative, the background turns red, meaning price is more than 1 x ATR below the mean. This setting can be changed by changing the setting "ATR Multiplier", but the default is 1 x ATR. There are two main ways to use this index. 1. Use it aggressively to find trends (by combining it with other indicators) by entereding each time the background changes color to green for longs or red for shorts. 2. Use it spot breakouts, waiting for a pullback, and then entering on the next move in the same direction. In this context for a short, you wait for the background color to turn green, then wait for the index to pull back, and then enter once it starts moving up again.
Indicatore Pine Script®
di lejmer
17
BO - Bar M15 Signal* This script show the signal base on volatility of previous bar M15 to trade Binary Option. * Rule of Signal is below: A. Rule 1: Wait for prices created temporary peak and bottom Row 18: 10 minutes till close B. Rule 2: Reversal previous bar's direction 1. Put Signal - Row 22 - 25: - Delay 5' after bar M15 open - previous bar's direction is upward - price less than previous close - temporary bottom greater than previous open 2. Call Signal - Row 29 - 32: - Delay 5' after bar M15 open - previous bar's direction is downward - price greater than previous close - temporary peak less than previous open C. Rule 3: Follow previous bar's direction 1. Put Signal - Row 37 - 40: - Delay 5' after bar M15 open - previous bar's direction is downward - price greater than previous open - temporary peak less than previous peak 2. Call Signal - Row 43 - 46: - Delay 5' after bar M15 open - previous bar's direction is upward - price less than previous open - temporary bottom greater than previous bottom
Indicatore Pine Script®
di inno14
3
Trend Follower | jhThis is a trend following system that combines 3 indicators which provide different functionalities, also a concept conceived by VP's No Nonsense FX / NNFX method. 1. Baseline The main baseline filter is an indicator called Modular Filter created by Alex Grover - www.tradingview.com - Alex Grover - Modular Filter ------- That's the moving average like baseline following price, filtering long and short trends and providing entry signals when the price crosses the baseline. Entry signal indicated with arrows. 2. Volume/Volatility, I will called it Trend Strength The next indicator is commonly known as ASH, Absolute Strength Histogram. This indicator was shared by VP as a two line cross trend confirmation indicator, however I discovered an interesting property when I modified the calculation of the histogram. - Alex Grover Absolute Strength ------- My modification and other info here - Absolute Strength Histogram v2 ------- I simplified the display of the trend strength by plotting squares at the bottom of the chart. - Lighted Squares shows strength - Dimmed Squares shows weakness 3. Second Confirmation / Exits / Trailing Stop Finally the last indicator is my usage of QQE (Qualitative Quantitative Estimation), demonstrated in my QQE Trailing Line Indicator - QQE Trailing Line for Trailing Stop ------- Three usages of this amazing indicator, serving as : - Second trend confirmation - Exit signal when price crosses the trailing line - Trailing stop when you scaled out the second trade This indicator is plotted with crosses. Additional plots and information Bar Color - Green for longs, Red for shorts, White when the baseline direction conflicts with the QQE trailing line direction - When it's white, it's usually ranging and not trending, ASH will also keep you off ranging periods. ------- ATR Filter - White circles along the baseline, they will show up if the price has moved more than one ATR from the baseline - The default allowance is 1 ATR. ------- The previous and current ATR value - Label on the right side of the chart showing the previous and current value of ATR Adding my Didi and ASH indicators up on this screenshot Didi Index Improved with QQE
Indicatore Pine Script®
di jiehonglim
34
Low Pass Channel [DW]This is an experimental study designed to attenuate higher frequency oscillations in price and volatility with minimal lag. In this study, a single pole low pass filter is used. The low pass filter's cutoff period is determined either by a fixed user input, or by using an Instantaneous Frequency Measurement (IFM) algorithm. Most radar warning, electronic countermeasures, and electronic intelligence systems employ IFM to identify threats, map the electronic battlefield, and implement deceptive countermeasures. The IFM technique used for this study was devised by John Ehlers. It calculates In Phase and Quadrature (IQ) components using the Hilbert Transform and uses them to determine the dominant price cycle. To generate the channel, the same filter approach is applied to true range then added to and subtracted from the price filter. Custom bar colors are included for simple wave and trend indication.
Indicatore Pine Script®
di DonovanWall
11
Developing Range v1.0Developing Range v1.0 ---------------------------- Azimuth Dynamics Scalping tool for help finding potentially high probability reactive levels. I suggest using on a 5min chart. GRAY BAND: yesterday's High-Low range BLUE BAND: today's Developing Range. Mean of today's High-Low range so far and yesterday's High-Low range, this is calculated for each of today's bars THIN BLUE LINE: the mean of today's range median and yesterday's range median. Note: we do not use the DAILY bar via 'security()' to obtain today's high and low. This would essentially be forward looking, instead we use iteration to check from the current bar back to midnight, bar by bar. This then allows a developing range to be established as the day prints new highs and lows. Inspired by volatility trading textbook.
Indicatore Pine Script®
di azimuthdynamics
3
Spread PercentThis indicator shows the percent change between the highs and the lows (or optionally the open and close) of each candle. You may also set a low and a high percent threshold to better highlight the candles that exceed your desired spread percent. Red signifies low spread, green is high spread - these are unrelated to the color of the candle body. There is also the option to display a moving average of the spread percent at your desired length which is a representation of volatility over time. This is not only helpful for historical analysis over time, but this can also be a time saver if you are trying to calculate the measured distance of a move. Save clicks - no more needing to use the measuring tool. The settings of the indicator on the chart above are: - Measure Candle Body Only? - No - Highlight Thresholds? - Yes - Thresholds Based on Moving Averages? - Yes - Low Percent Threshold - 3.0 - High Percent Threshold - 7.0 - Show Moving Average? - Yes - Moving Average Length - 5
Indicatore Pine Script®
di mcrypt28
1
Average True Range Multiplied (Volatility Stop)Plots crosses above and below the current price giving you the ability to quickly set your stop loss (or the 1st profit target) depending on a custom variable by which the average true range is multiplied with the option to specify the length as well as the type of the moving average (RMA, SMA, EMA or WMA) that are taking into account. Optionally, you can disable showing of the crosses on the chart and just let the indicator display the calculated value by itself.
Indicatore Pine Script®
di skullp
Extended Recursive Bands - Maximum Efficiency With Extra OptionsIntroducing A New Calculation For Efficient Bands Calculation ! Here it is ! The Recursive Bands Indicator, an indicator specially created to be extremely efficient, i think you already know that calculation time is extra important in algorithmic trading, and this is the principal motivation for the creation of the proposed indicator. Originally described in my paper "Pierrefeu, Alex (2019): Recursive Bands - A New Indicator For Technical Analysis" , the indicator framework has been widely used in my previous uploaded indicators, however it would have been a shame to not upload it, however user experience being a major concern for me, i decided to add extra options, which explain the term "extended". On The Indicator Calculation You can skip this part if it doesn't interest you. The calculation of the indicator is based on recursion, but i want to explain the mathematical formula described in the paper. I've seen some users trying to remake it from the calculations, however there was always something weird, and i understand, mathematical notations are always a bit weird, even myself don't always write them correctly/understand them, however this one is relatively simple to understand. First lets explain each elements of the calculation : α = smoothing constant, or 2/(length+1) max/min = maximum and minimum function, max return the greatest input value while min return the lowest one, for example : max(4,2) = 4 while min(4,2) = 2 the "||" notation mean taking the absolute value, for example : |-1| = abs(-1) = 1 The calculation after the max/min function is called the correction factor, and is the core of the indicator. The last two variables are just here to provide an initial value for upper and lower, basically when we start our calculations we will assign the value of the closing price for upper and lower. The motivation behind using a smoothing constant in range of (0,1) was to tell the reader that the indicator is easily made adaptive, this is what i did on my adaptive trailing stop indicator by using the efficiency ratio as smoothing variable, the user can use 1/length instead of the provided calculation for alpha. If you interested on the indicator main logic, it is actually really simple, by using upper = max(price,upper) and lower = min(price,lower) we would get the maximum/minimum price value at time t , therefore upper can only be greater or equal than its precedent value, while lower can only be lower or equal than its precedent value, in order to fix that we subtract/sum upper/lower with a value, this allow the upper band to be lower than its precedent value and lower to be greater than its precedent value, this is the role of the correction factor. The Indicator The indicator display one upper and one lower band, every common usages applied to bands indicators such as support/resistance, breakout, trailing stop...etc, can also be applied to this one. length control how reactive the bands are, higher values of length will make the bands cross the price less often. In order to provide more flexibility for the user i added the option to use various methods for the calculation of the indicator, therefore the indicator can use the average true range, standard deviation, average high-low range, and one totally exclusive method specially designed for this indicator. Classic Method This option make the indicator use its classical calculation, this is the most efficient method of all. Atr Method (atr) This method use the average true range as correction factor, notice that lower values of length can still produce wide band. Standard Deviation Method (stdev) This method use a biased estimate of the standard deviation as correction factor. The method produce smoother bands that converge more slowly toward the price in comparison with the classic correction factor. Average High-Low Range Method (ahlr) This method use the average of the high-low range as correction factor, extremely similar to the average true range. Rising Falling Volatility (rfv) Method A new method created for this indicator, this correction factor use the absolute prices changes when price value is greater/lower than any length past values of the price, this allow to have more boxy shaped bands, work best with greater values of length. The bands can be in contact with this method, a possible fix in the future. Conclusion The recursive band indicator is one of my greatest indicators in my opinion (i would love to have yours), as you can see the idea behind it is extremely simple and allow for a super efficient band indicator, which was the original motivation behind it, in order to provide more fun for the users i also added more option for the correction factor, this allow the user to be creative and not get stuck with the original calculation. Like the trend step indicator family we have almost ended our series on the recursive band framework, 1 more trailing stop will be added in the future, and then we'll have more "boring" stuff until i find something cool again, it shouldn't be long ;) Thanks for reading !
Indicatore Pine Script®
di alexgrover
18