Inizia

Statistics

Correlation HeatMap [TradingFinder] Sessions Data Science Stats🔵 Introduction n financial markets, correlation describes the statistical relationship between the price movements of two assets and how they interact over time. It plays a key role in both trading and investing by helping analyze asset behavior, manage portfolio risk, and understand intermarket dynamics. The Correlation Heatmap is a visual tool that shows how the correlation between multiple assets and a central reference asset (the Main Symbol) changes over time. It supports four market types forex, stocks, crypto, and a custom mode making it adaptable to different trading environments. The heatmap uses a color-coded grid where warmer tones represent stronger negative correlations and cooler tones indicate stronger positive ones. This intuitive color system allows traders to quickly identify when assets move together or diverge, offering real-time insights that go beyond traditional correlation tables. 🟣 How to Interpret the Heatmap Visually ? Each cell represents the correlation between the main symbol and one compared asset at a specific time. Warm colors (e.g. red, orange) suggest strong negative correlation as one asset rises, the other tends to fall. Cool colors (e.g. blue, green) suggest strong positive correlation both assets tend to move in the same direction. Lighter shades indicate weaker correlations, while darker shades indicate stronger correlations. The heatmap updates over time, allowing users to detect changes in correlation during market events or trading sessions. One of the standout features of this indicator is its ability to overlay global market sessions such as Tokyo, London, New York, or major equity opens directly onto the heatmap timeline. This alignment lets traders observe how correlation structures respond to real-world session changes. For example, they can spot when assets shift from being inversely correlated to moving together as a new session opens, potentially signaling new momentum or macro flow. The customizable symbol setup (including up to 20 compared assets) makes it ideal not only for forex and crypto traders but also for multi-asset and sector-based stock analysis. 🟣 Use Cases and Advantages Analyze sector rotation in equities by tracking correlation to major indices like SPX or DJI. Monitor altcoin behavior relative to Bitcoin to find early entry opportunities in crypto markets. Detect changes in currency alignment with DXY across trading sessions in forex. Identify correlation breakdowns during market volatility, signaling possible new trends. Use correlation shifts as confirmation for trade setups or to hedge multi-asset exposure 🔵 How to Use Correlation is one of the core concepts in financial analysis and allows traders to understand how assets behave in relation to one another. The Correlation Heatmap extends this idea by going beyond a simple number or static matrix. Instead, it presents a dynamic visual map of how correlations shift over time. In this indicator, a Main Symbol is selected as the reference point for analysis. In standard modes such as forex, stocks, or crypto, the symbol currently shown on the main chart is automatically used as the main symbol. This allows users to begin correlation analysis right away without adjusting any settings. The horizontal axis of the heatmap shows time, while the vertical axis lists the selected assets. Each cell on the heatmap shows the correlation between that asset and the main symbol at a given moment. This approach is especially useful for intermarket analysis. In forex, for example, tracking how currency pairs like OANDA:EURUSD EURUSD, FX:GBPUSD GBPUSD, and PEPPERSTONE:AUDUSD AUDUSD correlate with TVC:DXY DXY can give insight into broader capital flow. If these pairs start showing increasing positive correlation with DXY say, shifting from blue to light green it could signal the start of a new phase or reversal. Conversely, if negative correlation fades gradually, it may suggest weakening relationships and more independent or volatile movement. In the crypto market, watching how altcoins correlate with Bitcoin can help identify ideal entry points in secondary assets. In the stock market, analyzing how companies within the same sector move in relation to a major index like SP:SPX SPX or DJ:DJI DJI is also a highly effective technique for both technical and fundamental analysts. This indicator not only visualizes correlation but also displays major market sessions. When enabled, this feature helps traders observe how correlation behavior changes at the start of each session, whether it's Tokyo, London, New York, or the opening of stock exchanges. Many key shifts, breakouts, or reversals tend to happen around these times, and the heatmap makes them easy to spot. Another important feature is the market selection mode. Users can switch between forex, crypto, stocks, or custom markets and see correlation behavior specific to each one. In custom mode, users can manually select any combination of symbols for more advanced or personalized analysis. This makes the heatmap valuable not only for forex traders but also for stock traders, crypto analysts, and multi-asset strategists. Finally, the heatmap's color-coded design helps users make sense of the data quickly. Warm colors such as red and orange reflect stronger negative correlations, while cool colors like blue and green represent stronger positive relationships. This simplicity and clarity make the tool accessible to both beginners and experienced traders. 🔵 Settings Correlation Period: Allows you to set how many historical bars are used for calculating correlation. A higher number means a smoother, slower-moving heatmap, while a lower number makes it more responsive to recent changes. Select Market: Lets you choose between Forex, Stock, Crypto, or Custom. In the first three options, the chart’s active symbol is automatically used as the Main Symbol. In Custom mode, you can manually define the Main Symbol and up to 20 Compared Symbols. Show Open Session: Enables the display of major trading sessions such as Tokyo, London, New York, or equity market opening hours directly on the timeline. This helps you connect correlation shifts with real-world market activity. Market Mode: Lets you select whether the displayed sessions relate to the forex or stock market. 🔵 Conclusion The Correlation Heatmap is a robust and flexible tool for analyzing the relationship between assets across different markets. By tracking how correlations change in real time, traders can better identify alignment or divergence between symbols and gain valuable insights into market structure. Support for multiple asset classes, session overlays, and intuitive visual cues make this one of the most effective tools for intermarket analysis. Whether you’re looking to manage portfolio risk, validate entry points, or simply understand capital flow across markets, this heatmap provides a clear and actionable perspective that you can rely on.
Indicatore Pine Script®
di TFlab
3
Daily Manipulation Probability Dashboard📜 Summary Tired of getting stopped out on a "Judas Swing" just before the price moves in your intended direction? This indicator is designed to give you a statistical edge by quantifying the daily manipulation move. The Daily Manipulation Probability Dashboard analyzes thousands of historical trading days to reveal the probability of the initial "stop-hunt" or "fakeout" move reaching certain percentage levels. It presents this data in a clean, intuitive dashboard right on your chart, helping you make more data-driven decisions about stop-loss placement and entry timing. 🧠 The Core Concept The logic is simple but powerful. For every trading day, we measure two things: Amplitude Above Open (AAO): The distance price travels up from the daily open (High - Open). Amplitude Below Open (ABO): The distance price travels down from the daily open (Open - Low). The indicator defines the "Manipulation" as the smaller of these two moves. The idea is that this smaller move often acts as a liquidity grab to trap traders before the day's primary, larger move ("Distribution") begins. This tool focuses exclusively on providing deep statistical insight into this crucial manipulation phase. 🛠️ How to Use This Tool This dashboard is designed to be a practical part of your daily analysis and trade planning. 1. Smarter Stop-Loss Placement This is the primary use case. The "Prob. (%)" column tells you the historical chance of the manipulation move being at least a certain size. Example: If the table shows that for EURUSD, the ≥ 0.25% level has a probability of 30%, you can flip this information: there is a 70% probability that the daily manipulation move will be less than 0.25%. Action: Placing your stop-loss just beyond a level with a low probability gives you a statistically sound buffer against typical stop-hunts. 2. Entry Timing and Patience The live arrow (→) shows you where the current day's manipulation falls. Example: If the arrow is pointing at ≥ 0.10% and you know there is a high probability (e.g., 60%) of the manipulation reaching ≥ 0.20%, you might wait for a deeper pullback before entering, anticipating that the "Judas Swing" hasn't completed yet. 3. Assessing Daily Character Quickly see if the current day's action is unusual. If the manipulation move is already in a very low probability zone (e.g., > 1.00%), it might indicate that your Bias is wrong, or signal a high-volatility day or a potential trend reversal. 📊 Understanding the Dashboard Ticker: The top-right shows the current symbol you are analyzing. → (Arrow): Points to the row that corresponds to the current, live day's manipulation amplitude. Manip. Level: The percentage threshold being analyzed (e.g., ≥ 0.20%). Days Analyzed: The raw count of historical days where the manipulation move met or exceeded this level. Prob. (%): The key statistic. The cumulative probability of the manipulation move being at least the size of the level. ⚙️ Settings Position: Choose where you want the dashboard to appear on your chart. Text Size: Adjust the font size for readability. Max Historical Days to Analyze: Set the number of past daily candles to include in the statistical analysis. A larger number provides a more robust sample size. I believe this tool provides a unique, data-driven edge for intraday traders across all markets (Forex, Crypto, Stocks, Indices). Your feedback and suggestions are highly welcome! - @traderprimez
Indicatore Pine Script®
di traderprimez
8
Sat Stacking Strategies Simulation (SSSS)Sat Stacking Strategies Simulation (SSSS) This indicator simulates and compares different Bitcoin stacking strategies over time, allowing you to visualize performance, cost basis, and stacking behavior directly on your chart. Core Features: Three Stacking Strategies • Trend-Based – Stack only when price is above/below a long-term SMA. • Stack the Dip – Buy during sharp pullbacks or oversold conditions. • Price Zone – Stack only in “cheap”, “fair”, or “expensive” zones based on a simulated Short-Term Holder (STH) cost basis. Always Stack Benchmark Compare your chosen strategy against a simple “Always Stack” approach for a real-world DCA reference. Performance Metrics Table Track: • Total Fiat Added • Total BTC Accumulated • Current Value • Average Cost per BTC • PnL % • CAGR • Sharpe Ratio & Stdev • Stack Events & Time Underwater Advanced Options • Simulate cash-secured puts on unused fiat. • Simulate covered calls on BTC holdings. • Roll over unused stacking amounts for future buys. This tool is designed for Bitcoiners, stackers, and DCA enthusiasts who want to backtest and visualize their stacking plan—whether you keep it simple or go full quant. Sometimes the best alpha is just showing up every week with your wallet open… and occasionally wearing a helmet. 🪖💰
Indicatore Pine Script®
di piriya33
1
Crypto Options Greeks & Volatility Analyzer [BackQuant]Crypto Options Greeks & Volatility Analyzer Overview The Crypto Options Greeks & Volatility Analyzer is a comprehensive analytical tool that calculates Black-Scholes option Greeks up to the third order for Bitcoin and Ethereum options. It integrates implied volatility data from VOLMEX indices and provides multiple visualization layers for options risk analysis. Quick Introduction to Options Trading Options are financial derivatives that give the holder the right, but not the obligation, to buy or sell an underlying asset at a predetermined price (strike price) within a specific time period (expiration date). Understanding options requires grasping two fundamental concepts: Call Options : Give the right to buy the underlying asset at the strike price. Calls increase in value when the underlying price rises above the strike price. Put Options : Give the right to sell the underlying asset at the strike price. Puts increase in value when the underlying price falls below the strike price. The Language of Options: Greeks Options traders use "Greeks" - mathematical measures that describe how an option's price changes in response to various factors: Delta : How much the option price moves for each $1 change in the underlying Gamma : How fast delta changes as the underlying moves Theta : Daily time decay - how much value erodes each day Vega : Sensitivity to implied volatility changes Rho : Sensitivity to interest rate changes These Greeks are essential for understanding risk. Just as a pilot needs instruments to fly safely, options traders need Greeks to navigate market conditions and manage positions effectively. Why Volatility Matters Implied volatility (IV) represents the market's expectation of future price movement. High IV means: Options are more expensive (higher premiums) Market expects larger price swings Better for option sellers Low IV means: Options are cheaper Market expects smaller moves Better for option buyers This indicator helps you visualize and quantify these critical concepts in real-time. Back to the Indicator Key Features & Components 1. Complete Greeks Calculations The indicator computes all standard Greeks using the Black-Scholes-Merton model adapted for cryptocurrency markets: First Order Greeks: Delta (Δ) : Measures the rate of change of option price with respect to underlying price movement. Ranges from 0 to 1 for calls and -1 to 0 for puts. Vega (ν) : Sensitivity to implied volatility changes, expressed as price change per 1% change in IV. Theta (Θ) : Time decay measured in dollars per day, showing how much value erodes with each passing day. Rho (ρ) : Interest rate sensitivity, measuring price change per 1% change in risk-free rate. Second Order Greeks: Gamma (Γ) : Rate of change of delta with respect to underlying price, indicating how quickly delta will change. Vanna : Cross-derivative measuring delta's sensitivity to volatility changes and vega's sensitivity to price changes. Charm : Delta decay over time, showing how delta changes as expiration approaches. Vomma (Volga) : Vega's sensitivity to volatility changes, important for volatility trading strategies. Third Order Greeks: Speed : Rate of change of gamma with respect to underlying price (∂Γ/∂S). Zomma : Gamma's sensitivity to volatility changes (∂Γ/∂σ). Color : Gamma decay over time (∂Γ/∂T). Ultima : Third-order volatility sensitivity (∂²ν/∂σ²). 2. Implied Volatility Analysis The indicator includes a sophisticated IV ranking system that analyzes current implied volatility relative to its recent history: IV Rank : Percentile ranking of current IV within its 30-day range (0-100%) IV Percentile : Percentage of days in the lookback period where IV was lower than current IV Regime Classification : Very Low, Low, High, or Very High Color-Coded Headers : Visual indication of volatility regime in the Greeks table Trading regime suggestions based on IV rank: IV Rank > 75%: "Favor selling options" (high premium environment) IV Rank 50-75%: "Neutral / Sell spreads" IV Rank 25-50%: "Neutral / Buy spreads" IV Rank < 25%: "Favor buying options" (low premium environment) 3. Gamma Zones Visualization Gamma zones display horizontal price levels where gamma exposure is highest: Purple horizontal lines indicate gamma concentration areas Opacity scaling : Darker shading represents higher gamma values Percentage labels : Shows gamma intensity relative to ATM gamma Customizable zones : 3-10 price levels can be analyzed These zones are critical for understanding: Pin risk around expiration Potential for explosive price movements Optimal strike selection for gamma trading Market maker hedging flows 4. Probability Cones (Expected Move) The probability cones project expected price ranges based on current implied volatility: 1 Standard Deviation (68% probability) : Shown with dashed green/red lines 2 Standard Deviations (95% probability) : Shown with dotted green/red lines Time-scaled projection : Cones widen as expiration approaches Lognormal distribution : Accounts for positive skew in asset prices Applications: Strike selection for credit spreads Identifying high-probability profit zones Setting realistic price targets Risk management for undefined risk strategies 5. Breakeven Analysis The indicator plots key price levels for options positions: White line : Strike price Green line : Call breakeven (Strike + Premium) Red line : Put breakeven (Strike - Premium) These levels update dynamically as option premiums change with market conditions. 6. Payoff Structure Visualization Optional P&L labels display profit/loss at expiration for various price levels: Shows P&L at -2 sigma, -1 sigma, ATM, +1 sigma, and +2 sigma price levels Separate calculations for calls and puts Helps visualize option payoff diagrams directly on the chart Updates based on current option premiums Configuration Options Calculation Parameters Asset Selection : BTC or ETH (limited by VOLMEX IV data availability) Expiry Options : 1D, 7D, 14D, 30D, 60D, 90D, 180D Strike Mode : ATM (uses current spot) or Custom (manual strike input) Risk-Free Rate : Adjustable annual rate for discounting calculations Display Settings Greeks Display : Toggle first, second, and third-order Greeks independently Visual Elements : Enable/disable probability cones, gamma zones, P&L labels Table Customization : Position (6 options) and text size (4 sizes) Price Levels : Show/hide strike and breakeven lines Technical Implementation Data Sources Spot Prices : INDEX:BTCUSD and INDEX:ETHUSD for underlying prices Implied Volatility : VOLMEX:BVIV (Bitcoin) and VOLMEX:EVIV (Ethereum) indices Real-Time Updates : All calculations update with each price tick Mathematical Framework The indicator implements the full Black-Scholes-Merton model: Standard normal distribution approximations using Abramowitz and Stegun method Proper annualization factors (365-day year) Continuous compounding for interest rate calculations Lognormal price distribution assumptions Alert Conditions Four categories of automated alerts: Price-Based : Underlying crossing strike price Gamma-Based : 50% surge detection for explosive moves Moneyness : Deep ITM alerts when |delta| > 0.9 Time/Volatility : Near expiration and vega spike warnings Practical Applications For Options Traders Monitor all Greeks in real-time for active positions Identify optimal entry/exit points using IV rank Visualize risk through probability cones and gamma zones Track time decay and plan rolls For Volatility Traders Compare IV across different expiries Identify mean reversion opportunities Monitor vega exposure across strikes Track higher-order volatility sensitivities Conclusion The Crypto Options Greeks & Volatility Analyzer transforms complex mathematical models into actionable visual insights. By combining institutional-grade Greeks calculations with intuitive overlays like probability cones and gamma zones, it bridges the gap between theoretical options knowledge and practical trading application. Whether you're: A directional trader using options for leverage A volatility trader capturing IV mean reversion A hedger managing portfolio risk Or simply learning about options mechanics This tool provides the quantitative foundation needed for informed decision-making in cryptocurrency options markets. Remember that options trading involves substantial risk and complexity. The Greeks and visualizations provided by this indicator are tools for analysis - they should be combined with proper risk management, position sizing, and a thorough understanding of options strategies. As crypto options markets continue to mature and grow, having professional-grade analytics becomes increasingly important. This indicator ensures you're equipped with the same analytical capabilities used by institutional traders, adapted specifically for the unique characteristics of 24/7 cryptocurrency markets.
Indicatore Pine Script®
di BackQuant
4
TRI - Quick Analysis"TRI - Quick Analysis" is a multi-indicator dashboard designed to give traders an immediate overview of market momentum, trend strength, volume flow, and volatility. It visually summarizes key technical indicators in a compact table, including: RSI (momentum) MACD Histogram (trend momentum) ADX + SuperTrend (trend strength & direction) StochRSI (oversold/overbought) CCI (price deviation) CMF (volume flow) MFI (volume-weighted momentum) OBV (cumulative volume pressure) ATR (volatility) %B Bollinger (position within Bollinger Bands) Each value is color-coded (green, red, blue) based on whether it's favorable, unfavorable, or neutral for a potential long position. At the bottom of the table, a summary score dynamically aggregates signals from all indicators and provides a simple trading score. This tool is designed for discretionary traders looking for a quick, color-coded insight into current market conditions without relying on a single signal.
Indicatore Pine Script®
di riccardo_tempesta
Multi-Ticker TableMulti-Ticker Table A customizable TradingView indicator that displays a clean, organized table of up to 10 user-defined ticker symbols with their current daily price, daily dollar change, and daily percentage change. Key features include: Enable/disable individual tickers with custom symbols Customizable font sizes and colors for header and body rows Customizable table background colors for header and data rows Flexible table positioning anywhere on the chart (top/middle/bottom × left/center/right) Highlights positive changes in green and negative changes in red for quick visual analysis Hides chart candles to display the table as a standalone dashboard Ideal for traders who want a quick, at-a-glance summary of multiple markets or instruments without cluttering the chart.
Indicatore Pine Script®
di d1re
Hann Window FIR Filter Ribbon [BigBeluga]🔵 OVERVIEW The Hann Window FIR Filter Ribbon is a trend-following visualization tool based on a family of FIR filters using the Hann window function. It plots a smooth and dynamic ribbon formed by six Hann filters of progressively increasing length. Gradient coloring and filled bands reveal trend direction and compression/expansion behavior. When short-term trend shifts occur (via filter crossover), it automatically anchors visual support/resistance zones at the nearest swing highs or lows. 🔵 CONCEPTS Hann FIR Filter: A finite impulse response filter that uses a Hann (cosine-based) window for weighting past price values, resulting in a non-lag, ultra-smooth output. hannFilter(length)=> var float hann = na // Final filter output float filt = 0 float coef = 0 for i = 1 to length weight = 1 - math.cos(2 * math.pi * i / (length + 1)) filt += price * weight coef += weight hann := coef != 0 ? filt / coef : na Ribbon Stack: The indicator plots 6 Hann FIR filters with increasing lengths, creating a smooth "ribbon" that adapts to price shifts and visually encodes volatility. Gradient Coloring: Line colors and fill opacity between layers are dynamically adjusted based on the distance between the filters, showing momentum expansion or contraction. Dynamic Swing Zones: When the shortest filter crosses its nearest neighbor, a swing high/low is located, and a triangle-style level is anchored and projected to the right. Self-Extending Levels: These dynamic levels persist and extend until invalidated or replaced by a new opposite trend break. 🔵 FEATURES Plots 6 Hann FIR filters with increasing lengths (controlled by Ribbon Size input). Automatically colors each filter and the fill between them with smooth gradient transitions. Detects trend shifts via filter crossover and anchors visual resistance (red) or support (green) zones. Support/resistance zones are triangle-style bands built around recent swing highs/lows. Levels auto-extend right and adapt in real time until invalidated by price action. Ribbon responds smoothly to price and shows contraction or expansion behavior clearly. No lag in crossover detection thanks to FIR architecture. Adjustable sensitivity via Length and Ribbon Size inputs. 🔵 HOW TO USE Use the ribbon gradient as a visual trend strength and smooth direction cue. Watch for crossover of shortest filters as early trend change signals. Monitor support/resistance zones as potential high-probability reaction points. Combine with other tools like momentum or volume to confirm trend breaks. Adjust ribbon thickness and length to suit your trading timeframe and volatility preference. 🔵 CONCLUSION Hann Window FIR Filter Ribbon blends digital signal processing with trading logic to deliver a visually refined, non-lagging trend tool. The adaptive ribbon offers insight into momentum compression and release, while swing-based levels give structure to potential reversals. Ideal for traders who seek smooth trend detection with intelligent, auto-adaptive zone plotting.
Indicatore Pine Script®
di BigBeluga
2
Square-root Decay Volume ProfileThis indicator displays a custom price profile that mimics a volume profile using occurrence-based weighting rather than actual volume. It counts how often the selected price source (e.g., close) falls within each price bin over a lookback period. What makes it unique is the use of square-root time decay: more recent price occurrences are given greater importance, while older data is discounted proportionally to the inverse square root of its age. Each bin's relative weight is visualized as a horizontal bar aligned to the right edge of the chart, showing where price has "spent time" more recently. This allows traders to identify areas of interest, balance zones, and potential support/resistance levels based on decayed price density. Key Features: Square-root decay weighting favors recent price action Adjustable lookback period, bin count, and histogram width Works with any price source (close, hl2, etc.) Plots boxes directly on the chart for clear visualization This tool is especially useful for discretionary traders seeking a price-centric alternative to traditional volume profiles, with an added emphasis on recency.
Indicatore Pine Script®
di Tradenometry
Recession Warning Model [BackQuant]Recession Warning Model Overview The Recession Warning Model (RWM) is a Pine Script® indicator designed to estimate the probability of an economic recession by integrating multiple macroeconomic, market sentiment, and labor market indicators. It combines over a dozen data series into a transparent, adaptive, and actionable tool for traders, portfolio managers, and researchers. The model provides customizable complexity levels, display modes, and data processing options to accommodate various analytical requirements while ensuring robustness through dynamic weighting and regime-aware adjustments. Purpose The RWM fulfills the need for a concise yet comprehensive tool to monitor recession risk. Unlike approaches relying on a single metric, such as yield-curve inversion, or extensive economic reports, it consolidates multiple data sources into a single probability output. The model identifies active indicators, their confidence levels, and the current economic regime, enabling users to anticipate downturns and adjust strategies accordingly. Core Features - Indicator Families : Incorporates 13 indicators across five categories: Yield, Labor, Sentiment, Production, and Financial Stress. - Dynamic Weighting : Adjusts indicator weights based on recent predictive accuracy, constrained within user-defined boundaries. - Leading and Coincident Split : Separates early-warning (leading) and confirmatory (coincident) signals, with adjustable weighting (default 60/40 mix). - Economic Regime Sensitivity : Modulates output sensitivity based on market conditions (Expansion, Late-Cycle, Stress, Crisis), using a composite of VIX, yield-curve, financial conditions, and credit spreads. - Display Options : Supports four modes—Probability (0-100%), Binary (four risk bins), Lead/Coincident, and Ensemble (blended probability). - Confidence Intervals : Reflects model stability, widening during high volatility or conflicting signals. - Alerts : Configurable thresholds (Watch, Caution, Warning, Alert) with persistence filters to minimize false signals. - Data Export : Enables CSV output for probabilities, signals, and regimes, facilitating external analysis in Python or R. Model Complexity Levels Users can select from four tiers to balance simplicity and depth: 1. Essential : Focuses on three core indicators—yield-curve spread, jobless claims, and unemployment change—for minimalistic monitoring. 2. Standard : Expands to nine indicators, adding consumer confidence, PMI, VIX, S&P 500 trend, money supply vs. GDP, and the Sahm Rule. 3. Professional : Includes all 13 indicators, incorporating financial conditions, credit spreads, JOLTS vacancies, and wage growth. 4. Research : Unlocks all indicators plus experimental settings for advanced users. Key Indicators Below is a summary of the 13 indicators, their data sources, and economic significance: - Yield-Curve Spread : Difference between 10-year and 3-month Treasury yields. Negative spreads signal banking sector stress. - Jobless Claims : Four-week moving average of unemployment claims. Sustained increases indicate rising layoffs. - Unemployment Change : Three-month change in unemployment rate. Sharp rises often precede recessions. - Sahm Rule : Triggers when unemployment rises 0.5% above its 12-month low, a reliable recession indicator. - Consumer Confidence : University of Michigan survey. Declines reflect household pessimism, impacting spending. - PMI : Purchasing Managers’ Index. Values below 50 indicate manufacturing contraction. - VIX : CBOE Volatility Index. Elevated levels suggest market anticipation of economic distress. - S&P 500 Growth : Weekly moving average trend. Declines reduce wealth effects, curbing consumption. - M2 + GDP Trend : Monitors money supply and real GDP. Simultaneous declines signal credit contraction. - NFCI : Chicago Fed’s National Financial Conditions Index. Positive values indicate tighter conditions. - Credit Spreads : Proxy for corporate bond spreads using 10-year vs. 2-year Treasury yields. Widening spreads reflect stress. - JOLTS Vacancies : Job openings data. Significant drops precede hiring slowdowns. - Wage Growth : Year-over-year change in average hourly earnings. Late-cycle spikes often signal economic overheating. Data Processing - Rate of Change (ROC) : Optionally applied to capture momentum in data series (default: 21-bar period). - Z-Score Normalization : Standardizes indicators to a common scale (default: 252-bar lookback). - Smoothing : Applies a short moving average to final signals (default: 5-bar period) to reduce noise. - Binary Signals : Generated for each indicator (e.g., yield-curve inverted or PMI below 50) based on thresholds or Z-score deviations. Probability Calculation 1. Each indicator’s binary signal is weighted according to user settings or dynamic performance. 2. Weights are normalized to sum to 100% across active indicators. 3. Leading and coincident signals are aggregated separately (if split mode is enabled) and combined using the specified mix. 4. The probability is adjusted by a regime multiplier, amplifying risk during Stress or Crisis regimes. 5. Optional smoothing ensures stable outputs. Display and Visualization - Probability Mode : Plots a continuous 0-100% recession probability with color gradients and confidence bands. - Binary Mode : Categorizes risk into four levels (Minimal, Watch, Caution, Alert) for simplified dashboards. - Lead/Coincident Mode : Displays leading and coincident probabilities separately to track signal divergence. - Ensemble Mode : Averages traditional and split probabilities for a balanced view. - Regime Background : Color-coded overlays (green for Expansion, orange for Late-Cycle, amber for Stress, red for Crisis). - Analytics Table : Optional dashboard showing probability, confidence, regime, and top indicator statuses. Practical Applications - Asset Allocation : Adjust equity or bond exposures based on sustained probability increases. - Risk Management : Hedge portfolios with VIX futures or options during regime shifts to Stress or Crisis. - Sector Rotation : Shift toward defensive sectors when coincident signals rise above 50%. - Trading Filters : Disable short-term strategies during high-risk regimes. - Event Timing : Scale positions ahead of high-impact data releases when probability and VIX are elevated. Configuration Guidelines - Enable ROC and Z-score for consistent indicator comparison unless raw data is preferred. - Use dynamic weighting with at least one economic cycle of data for optimal performance. - Monitor stress composite scores above 80 alongside probabilities above 70 for critical risk signals. - Adjust adaptation speed (default: 0.1) to 0.2 during Crisis regimes for faster indicator prioritization. - Combine RWM with complementary tools (e.g., liquidity metrics) for intraday or short-term trading. Limitations - Macro indicators lag intraday market moves, making RWM better suited for strategic rather than tactical trading. - Historical data availability may constrain dynamic weighting on shorter timeframes. - Model accuracy depends on the quality and timeliness of economic data feeds. Final Note The Recession Warning Model provides a disciplined framework for monitoring economic downturn risks. By integrating diverse indicators with transparent weighting and regime-aware adjustments, it empowers users to make informed decisions in portfolio management, risk hedging, or macroeconomic research. Regular review of model outputs alongside market-specific tools ensures its effective application across varying market conditions.
Indicatore Pine Script®
di BackQuant
3