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SPX Fair Value Bands V2An updated version of the SPX Fair Value Bands script from dharmatech and based on the net liquidity concept by MaxJAnderson . Now with full customization of parameters through the settings (Dialog Box) and allowing the options to the use of 1) Standard Bands based on Offsets of the Fair Value 2) Bollinger Bands 3) Keltner Channels to better capture buy/sell areas rather than relying on noisy unreliably (and unevenly) updated data from the Treasury/Fed. ================================== Net Liquidity's importance in the new post-COVID QE to QT regime as described MaxJAnderson ---------------- " In past cycles, size of Fed's balance sheet changed a lot, while TGA and RRP changed relatively little. So size of balance sheet roughly equated Net Liquidity. (The Treasury General Account) TGA and (Reverse Repo) RRP didn't matter. They were rounding errors by comparison. But starting in 2020, relative changes in TGA and RRP have been THREE TIMES LARGER than the change in size of the Fed's balance sheet. As result, changes in TGA and RRP have taken over as the primary drivers Net Liquidity. This is new, and changes the game significantly. Again - the size of the Fed's balance sheet doesn't matter. What matters is the portion of it that's available to circulate in the economy (Net Liquidity). And ever since 2020, the Treasury and Reverse Repo have become what controls that. Not the size of Fed's balance sheet. ---------------- The idea that follows is simple,short when $SPX reaches extreme levels of overvaluation, and close out when SPX returns to being undervalued. Here's the formulas I currently use to determine fair value: Fair Value = (Fed Bal Sheet - TGA - RRP)/1.1 - 1625 And here's the trading rules I currently follow: Short when diff of $SPX - Fair Value > 350 Close when diff of $SPX - Fair Value < 150 When one of these rules is triggered upon market close on a given day, trades are entered at open of the following day "
Indicatore Pine Script®
di TraderLeibniz
6
SPX Intraday Mood IndicatorThe SPX Intraday Mood Indicator tries to gauge the intraday market direction of the S&P 500 (SPX) by focusing on internal market data. Based on the 0DTE Mood Indicator concept. Overall strength/weakness is converted into a directional Mood Percentage which can help with choosing a trade type. Use at your own risk and discretion. Potential trade ideas offer no guarantees. Intraday Charts Only. Turn off extended hours data. Only works on SPX. This first version is untested and I am only sharing it to gather feedback on its accuracy, use at your own risk.
Indicatore Pine Script®
di millerrh
50
SPX ATR14 indicator This indicator works well on SPX 500 Needs to be inverted so Red is at the bottom Levels of pullbacks are used to determine trend . Pullback to the Green zone normal Bull Market Pullback to the Brown Zone are warning of potential Bear Market , but if it holds , just a deeper correction within a Bull Market Pullbacks into the Red , Bear Market . In Bear , wait until indicator is forming a reversal trend up and price should make a divergence by either making a new low or retesting previous low. The Blue MA is the 33 MA and can be used as a form of stop trend indicator on the cross below the MA
Indicatore Pine Script®
di Vitalsigns
2
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
Expected SPX Movement by timeframeTHIS INDICATOR ONLY WORKS FOR SP:SPX CHART This code will help you to measure the expected movement of SP:SPX in a previously selected timeframe based on the current value of VIX index E.g. if the current value of VIX is 30 we calculate first the expected move of the next 12 months. If you selected the Daily timeframe it will calculate the expected move of SPX in the next Day by dividing the current VIX Value by the squared root of 252 (The 252 value corresponds to the approximate amount of trading sessions of the year) If you selected the Weekly timeframe it will calculate the expected move of SPX in the next Week by dividing the current VIX Value by the squared root of 52 (The 52 value corresponds to the amount of weeks of the year) If you selected the Monthly timeframe it will calculate the expected move of SPX in the next Week by dividing the current VIX Value by the squared root of 12 (The 12 value corresponds to the amount of months of the year) For lower timeframes you have to calculate the amount of ticks in each trading session of the year in order to get that specific range Once you have that calculation it it'll provide the range expressed as percentage of the expected move for the following period. This script will plot that information in a range of 2 lines which represents the expected move of the SPX for the next period The red flag indicator tells if that period closed between the 2 previous values marked by the range
Indicatore Pine Script®
di rhvarelav
SectorsThis script attempts to show the relative strength of the 11 sectors in the SPX, which can be accomplished in three ways: 1. Sectors - displays all sector indices as they appear normally 2. Sector Relativity - displays each sector divided by the sum of the other 10 sectors 3. Sector Alpha - displays the alpha of each sector as compared to the sum of the other 10 sectors I have seen some other iterations of this script that compare each sector to the SPX as a whole, a couple problems with that: 1. SPX sector weightings are unequal and change quarterly, meaning you will get an inaccurate depiction of relative sector strength across time. 2. Even if using an equal-weight SPX, you would be comparing a sector to itself as all 11 sectors are included in the SPX, not just the complementary 10 you are looking to compare one sector to. For more information on the sectors in the SPX or the calculation of Alpha, visit the links at the top of the script. *Includes an option for repainting -- default value is true, meaning the script will repaint the current bar. False = Not Repainting = Value for the current bar is not repainted, but all past values are offset by 1 bar. True = Repainting = Value for the current bar is repainted, but all past values are correct and not offset by 1 bar. In both cases, all of the historical values are correct, it is just a matter of whether you prefer the current bar to be realistically painted and the historical bars offset by 1, or the current bar to be repainted and the historical data to match their respective price bars. As explained by TradingView,`f_security()` is for coders who want to offer their users a repainting/no-repainting version of the HTF data.
Indicatore Pine Script®
di MartinShkreIi
11
BTC & SPX vs Yield Curve: Recession Risk ZonesBTC & SPX vs Yield Curve – Recession Risk Zones This tool helps you track Bitcoin (BTC) and the S&P 500 (SPX) against key macro signals from the U.S. yield curve to spot potential recession risks. 🟪 Color Legend: 🔴 Red = Yield curve is inverted (warning starts) 🟡 Yellow = Projected 6–18 month recession risk (if inversion still active) 🟠 Orange = Active 6–18 month risk window (after inversion ends) 💜 Fuchsia = Real historical U.S. recessions 📈 What’s Plotted: 🔵 BTCUSD (blue line) – Normalized price 🟢 S&P 500 (green line) – Normalized price 🟠 10Y–2Y Yield Spread – Macro signal for risk ✅ Use it to: Spot macro pressure zones See how BTC and SPX behave around economic stress Stay cautious when red/orange/yellow areas appear Let me know if you'd like to enable toggles to hide/show BTC or SPX independently!
Indicatore Pine Script®
di Korax
Volatility Inverse Correlation CandleThis is an educational tool that can help you find direct or inverse relations between two assets. In this case I am using VIX and SPX . The way it works is the next one : So I am looking at the current open value of VIX in comparison with the previous close ( if it either above or below) and after on the SPX I am looking into the history and see for example which type of candle we had in respect with the opening value from VIX . So for example, lets imagine that today is monday, and the weekly open value from VIX was higher than previous friday close value. Now I am going to see with the inverse correlation , if based on this idea, the current weekly candle from SPX finished in a bear candle. The same can be applied for the bearish situation, so if we had an open from VIX lower than previous close, we are looking to check the SPX bull candle accuracy. At the same time, for a different type of calculation I have added an internal lookup into heikin ashi values. If you have any questions please let me know !
Indicatore Pine Script®
di exlux
vix_vx_regressionAn example of the linear regression library, showing the regression of VX futures on the VIX. The beta might help you weight VX futures when hedging SPX vega exposure. A VX future has point multiplier of 1000, whereas SPX options have a point multiplier of 100. Suppose the front month VX future has a beta of 0.6 and the front month SPX straddle has a vega of 8.5. Using these approximations, the VX future will underhedge the SPX straddle, since (0.6 * 1000) < (8.5 * 100). The position will have about 2.5 ($250) vega. Use the R^2 (coefficient of determination) to check how well the model fits the relationship between VX and VIX. The further from one this value, the less useful the model. (Note that the mini, VXM futures also have a 100 point multiplier).
Indicatore Pine Script®
di taylor_o
Buffett IndicatorThis is an open-source version of the Buffett indicator. The old version was code-protected and broken, so I created another version. It's computed simply as the entire SPX 500 capitalization divided by the US GDP. Since TradingView does not have data for the SPX 500 capitalization, I used quarterly values of SPX devisors as a proxy. I tried to create another version of the Buffett indicator for other countries/indexes, but I can't find the data. If you can help me find data for index divisors, I can add more choices to this indicator. It's interesting to see how this indicator's behavior has changed in the last few years. Levels that looked crazy are not so crazy anymore. 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
1
Market Inner Strength IndexThe "Market Inner Strength Index" is an indicator designed to visually represent the market strength by analyzing the six major sectors: XLK, XLV, XLF, XLY, XLC and XLI. These sectors represent more than 80% of the SPX index, making their performance crucial for understanding overall market conditions. The indicator calculates the individual strengths of these sectors and combines them to provide an overall market strength index, helping to identify scenarios of sector rotation, euphoria, or panic. Rationale: The six major sectors (XLK, XLV, XLF, XLY, XLC, XLI) are essential as they encompass a significant portion of the SPX index. Typically, money rotates among these sectors, meaning some sectors grow while others decline. Rare occasions where all sectors move in the same direction can indicate market-wide euphoria (upwards) or panic (downwards). The Market Inner Strength Index helps track sector performance and identify these scenarios. Methodology: Script requests current timeframe data for each of the sectors and assigns scores, based on its performance. It will work best on the daily and higher timeframes but can also be used on the lower timeframes. Score assignment: If the sector is green (positive performance) for the given timeframe, it receives positive points. If the sector is red (negative performance), it receives negative points. If the current close price is above the previous period high, additional positive points are assigned. If the current close price is below the previous period low, additional negative points are assigned. The scores for the six sectors are averaged to compute a total score, which is plotted on the chart. A table displays the performance of each sector, color-coded based on their scores for the last period. Parameters: Neutral Zone : Define the neutral zone threshold. Heikin Ashi : Option to use Heikin Ashi candles instead of normal ones. Show Divergency : Option to show divergences on the chart. Divergence occurs when the SPY is bullish, but the sector score is bearish, or vice versa. This option will only work on SPY chart. Sector selections : Enable/disable specific sectors in score calculation.
Indicatore Pine Script®
di hermes_trisme
2
True Range/Expected MoveThis indicator plots the ratio of True Range/Expected Move of SPX. True Range is simple the high-low range of any period. Expected move is the amount that SPX is predicted to increase or decrease from its current price based on the current level of implied volatility. There are several choices of volatility indexes to choose from. The shift in color from red to green is set by default to 1 but can be adjusted in the settings. Red bars indicate the true range was below the expected move and green bars indicate it was above. Because markets tend to overprice volatility it is expected that there would be more red bars than green. If you sell SPX or SPY option premium red days tend to be successful while green days tend to get stopped out. On a 1D chart it is interesting to look at the clusters of bar colors.
Indicatore Pine Script®
di robertsullivan1956
1
Investments/swing trading strategy for different assetsStop worrying about catching the lowest price, it's almost impossible!: with this trend-following strategy and protection from bearish phases, you will know how to enter the market properly to obtain benefits in the long term. Backtesting context: 1899-11-01 to 2023-02-16 of SPX by Tvc. Commissions: 0.05% for each entry, 0.05% for each exit. Risk per trade: 2.5% of the total account For this strategy, 5 indicators are used: One Ema of 200 periods Atr Stop loss indicator from Gatherio Squeeze momentum indicator from LazyBear Moving average convergence/divergence or Macd Relative strength index or Rsi Trade conditions: There are three type of entries, one of them depends if we want to trade against a bearish trend or not. ---If we keep Against trend option deactivated, the rules for two type of entries are:--- First type of entry: With the next rules, we will be able to entry in a pull back situation: Squeeze momentum is under 0 line (red) Close is above 200 Ema and close is higher than the past close Histogram from macd is under 0 line and is higher than the past one Once these rules are met, we enter into a buy position. Stop loss will be determined by atr stop loss (white point) and break even(blue point) by a risk/reward ratio of 1:1. For closing this position: Squeeze momentum crosses over 0 and, until squeeze momentum crosses under 0, we close the position. Otherwise, we would have closed the position due to break even or stop loss. Second type of entry: With the next rules, we will not lose a possible bullish movement: Close is above 200 Ema Squeeze momentum crosses under 0 line Once these rules are met, we enter into a buy position. Stop loss will be determined by atr stop loss (white point) and break even(blue point) by a risk/reward ratio of 1:1. Like in the past type of entry, for closing this position: Squeeze momentum crosses over 0 and, until squeeze momentum crosses under 0, we close the position. Otherwise, we would have closed the position due to break even or stop loss. ---If we keep Against trend option activated, the rules are the same as the ones above, but with one more type of entry. This is more useful in weekly timeframes, but could also be used in daily time frame:--- Third type of entry: Close is under 200 Ema Squeeze momentum crosses under 0 line Once these rules are met, we enter into a buy position. Stop loss will be determined by atr stop loss (white point) and break even(blue point) by a risk/reward ratio of 1:1. Like in the past type of entries, for closing this position: Squeeze momentum crosses over 0 and, until squeeze momentum crosses under 0, we close the position. Otherwise, we would have closed the position due to break even or stop loss. Risk management For calculating the amount of the position you will use just a small percent of your initial capital for the strategy and you will use the atr stop loss for this. Example: You have 1000 usd and you just want to risk 2,5% of your account, there is a buy signal at price of 4,000 usd. The stop loss price from atr stop loss is 3,900. You calculate the distance in percent between 4,000 and 3,900. In this case, that distance would be of 2.50%. Then, you calculate your position by this way: (initial or current capital * risk per trade of your account) / (stop loss distance). Using these values on the formula: (1000*2,5%)/(2,5%) = 1000usd. It means, you have to use 1000 usd for risking 2.5% of your account. We will use this risk management for applying compound interest. In settings, with position amount calculator, you can enter the amount in usd of your account and the amount in percentage for risking per trade of the account. You will see this value in green color in the upper left corner that shows the amount in usd to use for risking the specific percentage of your account. Script functions Inside of settings, you will find some utilities for display atr stop loss, break evens, positions, signals, indicators, etc. You will find the settings for risk management at the end of the script if you want to change something. But rebember, do not change values from indicators, the idea is to not over optimize the strategy. If you want to change the initial capital for backtest the strategy, go to properties, and also enter the commisions of your exchange and slippage for more realistic results. If you activate break even using rsi, when rsi crosses under overbought zone break even will be activated. This can work in some assets. ---Important: In risk managment you can find an option called "Use leverage ?", activate this if you want to backtest using leverage, which means that in case of not having enough money for risking the % determined by you of your account using your initial capital, you will use leverage for using the enough amount for risking that % of your acount in a buy position. Otherwise, the amount will be limited by your initial/current capital--- Some things to consider USE UNDER YOUR OWN RISK. PAST RESULTS DO NOT REPRESENT THE FUTURE. DEPENDING OF % ACCOUNT RISK PER TRADE, YOU COULD REQUIRE LEVERAGE FOR OPEN SOME POSITIONS, SO PLEASE, BE CAREFULL AND USE CORRECTLY THE RISK MANAGEMENT Do not forget to change commissions and other parameters related with back testing results! Some assets and timeframes where the strategy has also worked: BTCUSD : 4H, 1D, W SPX (US500) : 4H, 1D, W GOLD : 1D, W SILVER : 1D, W ETHUSD : 4H, 1D DXY : 1D AAPL : 4H, 1D, W AMZN : 4H, 1D, W META : 4H, 1D, W (and others stocks) BANKNIFTY : 4H, 1D, W DAX : 1D, W RUT : 1D, W HSI : 1D, W NI225 : 1D, W USDCOP : 1D, W
Strategia Pine Script®
di StrategiesForEveryone
4
Top 40 constituents of S&P 500 IndexDisplays real-time candles of top 40 constituents of S&P 500 Index ( TVC:SPX ) for a given time frame, side-by-side. This gives an overall idea of breadth and depth of market movements in the time-frame. Please note that, this is not a standard chart rendered bar-wise and may take time to load as it requests multiple securities. You could modify the contents, from settings, to include stocks from your portfolio or indices of different sectors.
Indicatore Pine Script®
di iravan
2
Vix Jump for Selling Puts or Buying CallsThis script aims to identify optimal times when to write Puts for premium, for example using the SPX Weeklies model or simply buying Calls. Not perfect but provides some additional confidence when playing Puts on SPX or the Wheel on SPY. What it does: We compare current VIX with a lookback VIX for X% delta. If there is a jump of say 20% over a defined period then that would indicate an opportunity to sell Puts, run a straddle or buy Calls. We use VVIX as a check to stop to many false positives ie VVIX falls of faster than VIX. You can also use this loosely as a bottom finder.
Indicatore Pine Script®
di jroche1973
3
ADD for SPX intraday (NYSE Adv-Decl) -Tom1traderThis is the NYSE Advancers - decliners which the SPX pretty much follows. You can chart it like any index (ADD -NYSE $ADV MINUS $DECL) but I find it more useful in a separate panel with colors for direction. The level gives an idea of days move (example: plus or minus 500 is not much movement through the session) but I follow the direction as when more stocks advance (green) or decline (red) the index tends to track it pretty closely. On SPX, SPY and correlateds - very useful for intra-day trading (Scalping or 0DTE option trades) but not for higher time frames at all. If you chart the ADD in a chart and compare 5 minute to daily you will see what I mean. I left it at 5 minutes timeframe which displays well on any intraday chart. You can change it by changing the "5" in the security function on line 13 to what you want ("1" 1 minute, "15" 15 minutes) or change it to timeframe.period (no quotes) so that it will follow the timeframe of the current chart. I like 5 min as it displays better on higher timeframes i.e. 15 min. or hour. A simple moving average with a length of 10 is added to help gauge momemtum. Hope this helps with trading or scripting ideas, questions or feed back welcome. Keep Smiling.
Indicatore Pine Script®
di Tom1trader
7
(JS)S&P 500 Volatility Oscillator For Options 2.0I am going to start taking requests to open source my indicators and they will also be updated to Version 4 of Pinescript. I added some features to the original code such the ability to smooth the oscillator and select the look back periods for the historical volatility. Link to original: Original post: "The idea for this started here: www.tradingview.com with the user @dime This should only be used on SPX or SPY (though you could use it on other things for correlation I suppose) given that the instrument used to create this calculation is derived from the S&P 500 (thank you VIX ). There's a lot of moving parts here though, so allow me to explain... First: The main signal is when Implied Volatility (from VIX ) drops beneath Historical Volatility - which is what you want to see so you aren't purchasing a ton of premium on long options. Green and above 0 means that IV% has dropped lower than Historical Volatility . (this signal, for example, would suggest using a Long Call or Put depending on your sentiment) Second: The green line running underneath zero is the bottom portion of the "Average True Range" derived from the values used to create the oscillator. the closer the bottom histogram is to the green line, the more "normal" IV% is. Obviously, if this gets far away from the line then it could be setting up nicely to short options and sell the IV premium to someone else. (this signal, for example, would suggest using something like a Bull Put Spread) Third: The red background along with the white line that drops down below zero signals when (and how far) the IV% from 3 months out (from VIX3M ) is less than the current IV%. This would signal the current environment has IV way too high, a signal to short options once again (and don't take any long option positions!). Tried to make this simple, yet effective. If you trade options on SPX , SPY , even ES1! futures - this is a tool tailored specifically for you! As I said before, if you want you can use it for correlation on other securities. Any other ideas or suggestions surrounding this, please let me know! Enjoy! Feb 17, 2019 Release Notes: Cosmetic update for a much cleaner look: -Replaced the "HIGH IV" with a simlple "H" -Now the white line is constantly showing you the relationship between VIX and VIX3M - when VIX is greater than VIX3M the background still goes red -However, now when VIX drops below Historical Volatility, the background is bright green -When both above are true - it's dark green -The Average True Range on the bottom is now a series of crosses"
Indicatore Pine Script®
di J-Streak
4