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.
ค้นหาในสคริปต์สำหรับ "spx"
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
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.
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.
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.
(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"
SHYY TFC SPX Sectors list This script provides a clean, configurable table displaying real-time data for the major SPX sectors, key indices, and market sentiment indicators such as VIX and the 10-year yield (US10Y).
It includes 16 columns with two rows:
* The top row shows the sector/asset symbol.
* The bottom row shows the most recent daily close price.
Each price cell is dynamically color-coded based on:
* Direction (green/red) during regular trading hours
* Separate colors during extended hours (pre-market or post-market)
* VIX values greater than 30 trigger a distinct background highlight
Users can fully control the position of the table on the chart via input settings. This flexibility allows traders to place the table in any screen corner or center without overlapping key price action.
The script is designed for:
* Monitoring broad market health at a glance
* Understanding sector performance in real-time
* Spotting risk-on/risk-off behavior (via SPY, QQQ, VIX, US10Y)
Unlike traditional watchlists, this table visually encodes directional movement and trading session context (regular vs. extended hours), making it highly actionable for intraday, swing, or macro-level analysis.
All data is pulled using `request.security()` on daily candles and uses pure Pine logic without external dependencies.
To use:
1. Add the indicator to your chart.
2. Adjust the table position via the input dropdown.
3. Read sector strength or weakness directly from the table.
Relative Strength vs SPX
This indicator calculates the ratio of the current chart's price to the S&P 500 Index (SPX), providing a measure of the stock's relative strength compared to the broader market.
Key Features:
Dynamic High/Low Detection: Highlights periods when the ratio makes a new high (green) or a new low (red) based on a user-defined lookback period.
Customizable Lookback: The lookback period for detecting highs and lows can be adjusted in the settings for tailored analysis.
Visual Overlay: The ratio is plotted in a separate pane, allowing easy comparison of relative strength trends.
This tool is useful for identifying stocks outperforming or underperforming the S&P 500 over specific timeframes.
Normalized SP100/SP400 Ratio with Shiller PE Ratio (CAPE Ratio)This indicator is designed to observe market concentration and overall valuation by combining the Shiller CAPE Ratio with the SP100/SP400 ratio.
Blue Line: Represents the Shiller CAPE Ratio, which reflects the overall market valuation.
Yellow Line: Represents the SP100/SP400 ratio, which indicates market concentration.
The combination of these two metrics provides insight into market dynamics. Historically, on the SPX monthly chart, when the yellow line (SP100/SP400 ratio) crosses below the blue line (CAPE Ratio), it has been followed by a period of stock market gains.
Justification for Combination:
The Shiller CAPE Ratio is a widely recognized indicator of market valuation, providing a long-term perspective on whether the market is overvalued or undervalued. The SP100/SP400 ratio, on the other hand, measures the concentration of the market by comparing the largest 100 companies to the next 400 mid-sized companies.
By normalizing both metrics and analyzing their relationship, this script provides a unique perspective on market movements. The crossunder of the SP100/SP400 ratio below the CAPE Ratio may signal a shift in market sentiment or concentration, often leading to potential market rallies. This combination is not just a simple merger of indicators but rather a thoughtful integration that adds value by highlighting periods where market concentration and valuation dynamics align.
KST-Based MACDAs a follow-up to my previous script:
I am posting a stand-alone KST-based MACD.
Note that this indicator is highly laggy. Specific care must be taken when using it.
The MACD-Signal crossing is quite delayed but it is a definite confirmation.
For earlier signs, the Histogram must be analyzed. A shift from Green-White signals the 1st Bear Signal.
A MACD-Signal crossing signals the 2nd Bear SIgnal.
The same applies for bull-signs.
This indicator is useful for long-term charts on which one might want to pinpoint clear, longterm divergences.
Standard RSI, Stochastic RSI and MACD are notoriously problematic when trying to pinpoint long-term divergences.
Finally, this indicator is not meant for pinpointing entry-exit positions. I find it useful for macro analysis. In my experience, the decreased sensitivity of this indicator can show very strong signs, that can be quite laggy.
Inside the indicator there is a setting for "exotic calculations". This is an attempt to make this chart work in both linear/ negative charts (T10Y2Y) and log charts (SPX)
Tread lightly, for this is hallowed ground.
-Father Grigori
Rsi strategy for BTC with (Rsi SPX)
I hope this strategy is just an idea and a starting point, I use the correlation of the Sp500 with the Btc, this does not mean that this correlation will exist forever!. I love Trading view and I'm learning to program, I find correlations very interesting and here is a simple strategy.
This is a trading strategy script written in Pine Script language for use in TradingView. Here is a brief overview of the strategy:
The script uses the RSI (Relative Strength Index) technical indicator with a period of 14 on two securities: the S&P 500 (SPX) and the symbol corresponding to the current chart (presumably Bitcoin, based on the variable name "Btc_1h_fixed"). The RSI is plotted on the chart for both securities.
The script then sets up two trading conditions using the RSI values:
A long entry condition: when the RSI for the current symbol crosses above the RSI for the S&P 500, a long trade is opened using the "strategy.entry" function.
A short entry condition: when the RSI for the current symbol crosses below the RSI for the S&P 500, a short trade is opened using the "strategy.entry" function.
The script also includes a take profit input parameter that allows the user to set a percentage profit target for closing the trade. The take profit is set using the "strategy.exit" function.
Overall, the strategy aims to take advantage of divergences in RSI values between the current symbol and the S&P 500 by opening long or short trades accordingly. The take profit parameter allows the user to set a specific profit target for each trade. However, the script does not include any stop loss or risk management features, which should be considered when implementing the strategy in a real trading scenario.
ILM COT Financial Table - CFTCUse this indicator on Daily Timeframe
Please refer to the below link for CFTC Financials
www.cftc.gov
This script shows the Financial COT for the respective instrument by deriving the CFTC code.
Option is provided to override the CFTC code
User can also configure the historical CFTC data view
The script calculates the Long% vs Short% for various categories (Dealers/Asset Managers/Leveraged Funds/Other Reportables) and color codes the column appropriately.
The goal of this script is to show all the financial CFTC data on a single page to digest the data better in a tabular form
Fixed the default TradingView Library which has some errors with CFTC code mapping.
For example, SPX CFTC Code #13874+ which is the most important one where big players take positions is not there in the default Library.
VWAP Push StrategyThis strategy is unfortunately not finished yet.
A pretty simple strategy. If price broke through VWAP and had three consecutive candles following the breakthroughs trend, the high of the third candle will be drawn. If this happened after a crossover of the vwap and price breaks through the high of the third candle, strategy will go long. Short will be the same after crossing under the vwap. A long or short will be closed after crossing the vwap in the opposite direction, so the vwap is kind of a trailing stop.
Unfortunately, I could not manage to stop the script from entering multiple times into one drawn high or low. Of course, if a high was crossed the script should wait for a new formed high before entering a new long. If someone would find a solution to this, it would be great, because I think it is a nice strategy .
Should work great scalping 5min charts (when scripting, I used the SPX for reference).
PuetzUWS [time, price] multiFractal mirrors, SPX 1872-2020This script is simply provided because a few rare people may actually be able to use one or two coding ideas. It is not possible to provide useful (description, explanation)s here. Maybe you can find those with a webSearch. If anybody is interested in the basic concept, just copy the code and run with it.
As the original was in violation of PineScript rules, I've removed many links, including :
- documentation of my code
- external sources of code
- blog solutions to Pine script programming
- math, science references, people
Hopefully it will won't be rejected this time, if so, too bad. I only made it through 10% of the conceptual objectives, and I do not believe any of the rest of the concepts are do-able in Pine Script. The current coding is (incomplete, unstable) but does give a faint idea of my "first step" intents. I have stopped all work, as I have to get back to my real projects (nothing to do with markets).
Volatility Calculator for Daily Top and Bottom RangeWith the usage of ATR, applied on the close of the daily candle, I am calculated the volatility channels for the TOP and BOTTOM
Based on this logic, we can estimate, with a huge confidence factor, where the prices are going to be compressed for the trading day.
Having said that, lets take a look at the data gathered among the most important financial markets:
SPX
TOP CROSSES : 2116
BOT CROSSES : 1954
Total Daily Candles : 18908
Occurance ratio = 0.215
NDX
TOP CROSSES : 1212
BOT CROSSES : 1183
Total Daily Candles : 9386
Occurance ratio = 0.255
DIA
TOP CROSSES : 759
BOT CROSSES : 769
Total Daily Candles : 6109
Occurance ratio = 0.25
DXY
TOP CROSSES : 1597
BOT CROSSES : 1598
Total Daily Candles : 13156
Occurance ratio = 0.243
DAX
TOP CROSSES : 1878
BOT CROSSES : 1848
Total Daily Candles : 13155
Occurance ratio = 0.283
BTC USD
TOP CROSSES : 416
BOT CROSSES : 417
Total Daily Candles : 4290
Occurance ratio = 0.194
ETH USD
TOP CROSSES : 247
BOT CROSSES : 268
Total Daily Candles : 2452
Occurance ratio = 0.21
EUR USD
TOP CROSSES : 820
BOT CROSSES : 805
Total Daily Candles : 7489
Occurance ratio = 0.217
GOLD
TOP CROSSES : 1722
BOT CROSSES : 1569
Total Daily Candles : 13747
Occurance ratio = 0.239
USOIL
TOP CROSSES : 1077
BOT CROSSES : 1089
Total Daily Candles : 10231
Occurance ratio = 0.212
US 10Y
TOP CROSSES : 1302
BOT CROSSES : 1365
Total Daily Candles : 9075
Occurance ratio = 0.294
Based on this, we can assume with a very high confidence ( 70-80%) that the market is going to stay, within the range created from the BOT and TOP ATR points.
PClose Levels 2.0This script plots the levels generated via a combination of SPX 2Y Quartiles for everyday, red days, and green days. It is intended for use solely with SPX.
These quartiles are also sorted by VIX averages into bands that expand and contract with VIX.
It gives us an idea of what levels to potentially expect resistance/support fairly well, but is designed to be used in conjunction with other indicators and macroeconomic information.
Green Dashed is your Expected Max Range (EMR+) based on Green Day averages.
Green Dotted is your Expected Range (ER+) based on full dataset averages.
Green solid lines are POS2 and POS1, based on Green Day averages.
White Dotted is your Expected Move (EM), based on full dataset averages.
Red solid lines are NEG1 and NEG2, based on Red Day averages.
Red Dotted is your Expected Range (ER-) based on full dataset averages.
Red Dashed is your Expected Max Range (EMR-) based on Red Day averages.
VIX SPX & XJOVix is a volatility indicator that lets traders know when to be cautious.
This indicator shows the volatility for the US market as well as the Australian market on seperate lines.
Blue lines are Vix for SPX (S&P 500)
If blue indicator goes above 30, high volatility is present and caution should be taken.
Green lines are Vix for XJO (ASX 200)
If green indicator goes above 20, high volatility is present and caution should be taken.
S&P Sector Advance/Decline Weighted -Tom1traderEnjoy, enhance your trading (I hope), copy or adapt to your needs and keep smiling!
Thanks to @MartinShkreli. The sector variables and the "repaint" option (approx lines 20 through 32 of this script) are used directly from your script "Sectors"
RECOMMENDATION: Update the sector weightings -inputs are provided. They change as often as monthly and the
annual changes are certainly significant. When updating weighting percentages use the decimal value. I.E. 29% is .29
Good on any time frame. Especially SPY, SPX and ES scalpers and 0DTE options traders may like this a lot.
This gives good signals on S & P and related (ES, SPY) and indicates / plots differently than the AD line or ratio.
Each sector's entire % weight is added or subtracted depending of whether that sector advanced or declined.
Example: Information Tech weight at 29% so that % of 500 (145) is added if InfoTech is up a penny and subtracted if it is
down a penny. All sectors processed the same way so that for a given bar/candle the value will be between +500 (all
sectors up) and -500 (all sectors down). This weighted AD line of sectors is scaled to +/- 350 and plotted as a red/green line
along with aqua/fuchsia columns of its 5 period ema. The line is actual sector behavior and the columns seem to make a
good signal with column zero crosses standing out.
The columns aqua / fuchsia are a 5 period ema of the Sector AD line and give pretty good signals at
zero cross for SPX. I colored the AD red green line also to emphasize the times it opposes the ema
for example the histo/colums zero cross signal is NOT true when the AD line is showing all or most sectors
going the other way.
For readability, the AD line itself is scaled to 350. This lets the columns of the ema stand out better. The hlines at
350 and at 175 give an idea for the AD green red line how much of the sector's weight is up or down.
350 is all sectors up (advancing) and -350 is all sectors down (declining). The hlines at +/- 175 seem to outline
a more or less "neutral" zone. For example in an uptrend with most of the AD level positive and the columns positive;
a negative spike that does not pass the -175 line and returns positive does not seem to impact the price as much as
a deeper negative spike.
S&P Sector CorrelationScript for Macro:
This indicator shows the 9 day average of the correlation of the 11 S&P500 sectors with the security.
Recommend you use the indicator on SPX or SPY, but you can change the values to be compared.
GLHF
- DPT
vol_premiaThis script shows the volatility risk premium for several instruments. The premium is simply "IV30 - RV20". Although Tradingview doesn't provide options prices, CBOE publishes 30-day implied volatilities for many instruments (most of which are VIX variations). CBOE calculates these in a standard way, weighting at- and out-of-the-money IVs for options that expire in 30 days, on average. For realized volatility, I used the standard deviation of log returns. Since there are twenty trading periods in 30 calendar days, IV30 can be compared to RV20. The "premium" is the difference, which reflects market participants' expectation for how much upcoming volatility will over- or under-shoot recent volatility.
The script loads pretty slow since there are lots of symbols, so feel free to delete the ones you don't care about. Hopefully the code is straightforward enough. I won't list the meaning of every symbols here, since I might change them later, but you can type them into tradingview for data, and read about their volatility index on CBOE's website. Some of the more well-known ones are:
ES: S&P futures, which I prefer to the SPX index). Its implied volatility is VIX.
USO: the oil ETF representing WTI future prices. Its IV is OVX.
GDX: the gold miner's ETF, which is usually more volatile than gold. Its IV is VXGDX.
FXI: a china ETF, whose volatility is VXFXI.
And so on. In addition to the premium, the "percentile" column shows where this premium ranks among the previous 252 trading days. 100 = the highest premium, 0 = the lowest premium.
S&P15 = 33.0% of SPXThis indicator shows what the top 15 stocks in the SPX is doing in a chart form.
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.
