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Quantitative Backtesting Panel + ROI Table - LongsThis script is an aggregate of a backtesting panel with quantitative metrics, ROI table and open ROI reader. It also contains a mechanism for having a fixed percentage stop loss, similar to native TV backtester. For longs only. Backtesting Panel: - Certain metrics are color coded, with green being good performance, orange being neutral, red being undesirable. • ROI : return with the system, in % • ROI(COMP=1): return if money is compounded at a rate of 100% • Hit rate: accuracy of the system, as a % • Profit factor: gross profit/gross loss • Maximum drawdown: the maximum value from a peak to a successive trough of the system's equity curve • MAE: Maximum Adverse Excursion. The biggest loss of a trade suffered while the position is still open • Total trades: total number of closed trades • Max gain/max loss: shows the biggest win over the biggest loss suffered • Sharpe ratio: measures the performance of the system with adjusted risk (no comparison to risk-free asset) • CAGR: Compound Annual Growth Rate. The mean annual rate of growth of the system of n years (provided n>1) • Kurtosis: measures how heavily the tails of the distribution differ from that of a normal distribution (symmetric on both sides of mean where mean=0, standard deviation=1). A normal distribution has a kurtosis of 3, and skewness of 0. The kurtosis indicates whether or not the tails of the returns contain extreme values • Skewness: measures the symmetry of the distribution of returns - Leptokurtic: K > 0. Having more kurtosis than a normal distribution. It's stretched up and to the side too (2nd pic down). High kurtosis (leptokurtic) is bad as the wider tails (called heavy tails) suggest there is relatively high probability of extreme events - Mesokurtic: K =0. Having the same kurtosis as a normal distribution - Platykurtic: K < 0. Having less kurtosis than a normal distribution. This suggests there are light tails and fewer extreme events in the distribution - Skewness is good: +/- 0.5 (fairly symmetrical) - Skewness is average: -1 to -0.5 or 0.5 to 1 (moderately skewed) - Skewness is bad: > +/- 1 (highly skewed) Evolving ROI table: - The table of ROI values evolve with the year and month. The sum of each year is given. Please avoid using it on non-cryptocurrencies or any market whose trading session is not 24/7 Open ROI reader: - At the top center is the open ROI of a trade
อินดิเคเตอร์ Pine Script™
โดย bitmexstorm
5
LibIndicadoresUteisLibrary "LibIndicadoresUteis" Collection of useful indicators. This collection does not do any type of plotting on the graph, as the methods implemented can and should be used to get the return of mathematical formulas, in a way that speeds up the development of new scripts. The current version contains methods for stochastic return, slow stochastic, IFR, leverage calculation for B3 futures market, leverage calculation for B3 stock market, bollinger bands and the range of change. estocastico(PeriodoEstocastico)   Returns the value of stochastic   Parameters:      PeriodoEstocastico : Period for calculation basis   Returns: Float with the stochastic value of the period estocasticoLento(PeriodoEstocastico, PeriodoMedia)   Returns the value of slow stochastic   Parameters:      PeriodoEstocastico : Stochastic period for calculation basis      PeriodoMedia : Average period for calculation basis   Returns: Float with the value of the slow stochastic of the period ifrInvenenado(PeriodoIFR, OrigemIFR)   Returns the value of the RSI/IFR Poisoned of Guima   Parameters:      PeriodoIFR : RSI/IFR period for calculation basis      OrigemIFR : Source of RSI/IFR for calculation basis   Returns: Float with the RSI/IFR value for the period calculoAlavancagemFuturos(margem, alavancagemMaxima)   Returns the number of contracts to work based on margin   Parameters:      margem : Margin for contract unit      alavancagemMaxima : Maximum number of contracts to work   Returns: Integer with the number of contracts suggested for trading calculoAlavancagemAcoes(alavancagemMaxima)   Returns the number of batches to work based on the margin   Parameters:      alavancagemMaxima : Maximum number of batches to work   Returns: Integer with the amount of lots suggested for trading bandasBollinger(periodoBB, origemBB, desvioPadrao)   Returns the value of bollinger bands   Parameters:      periodoBB : Period of bollinger bands for calculation basis      origemBB : Origin of bollinger bands for calculation basis      desvioPadrao : Standard Deviation of bollinger bands for calculation basis   Returns: Two-position array with upper and lower band values ​​respectively theRoc(periodoROC, origemROC)   Returns the value of Rate Of Change   Parameters:      periodoROC : Period for calculation basis      origemROC : Source of calculation basis   Returns: Float with the value of Rate Of Change
ไลบรารี Pine Script™
โดย Fabricio_Guima
BpaLibrary "Bpa" TODO: library of Brooks Price Action concepts isBreakoutBar(atr, high, low, close, open, tail, size)   TODO: check if the bar is a breakout based on the specified conditions   Parameters:      atr : TODO: atr value      high : TODO: high price      low : TODO: low price      close : TODO: close price      open : TODO: open price      tail : TODO: decimal value for a percent that represent the size of the tail of the bar that cant be preceeded to be considered strong close      size : TODO: decimal value for a percent that represents by how much the breakout bar should be bigger than others to be considered one   Returns: TODO: boolean value, true if breakout bar, false otherwise
ไลบรารี Pine Script™
โดย yohtza
11
Fed Net Liquidity Indicator (24-Oct-2022 update)This indicator is an implementation of the USD Liquidity Index originally proposed by Arthur Hayes based on the initial implementation of jlb05013, kudos to him! I have incorporated subsequent additions (Standing Repo Facility and Central Bank Liquidity Swaps lines) and dealt with some recent changes in reporting units from TradingView. This is a macro indicator that aims at tracking how much USD liquidity is available to chase financial assets: - When the FED is expanding liquidity, financial asset prices tend to increase - When the FED is contracting liquidity, financial asset prices tend to decrease Here is the current calculation: Net Liquidity = (+) The Fed’s Balance Sheet (FRED:WALCL) (-) NY Fed Total Amount of Accepted Reverse Repo Bids (FRED:RRPONTTLD) (-) US Treasury General Account Balance Held at NY Fed (FRED:WTREGEN) (+) NY Fed - Standing Repo Facility (FRED:RPONTSYD) (+) NY Fed - Central Bank Liquidity Swaps (FRED:SWPT)
อินดิเคเตอร์ Pine Script™
โดย PragmaticMonkey
2
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.
อินดิเคเตอร์ Pine Script™
โดย ILuvMarkets
4
LibraryCOTLibrary "LibraryCOT" This library provides tools to help Pine programmers fetch Commitment of Traders (​COT) data for futures. rootToCFTCCode(root)   Accepts a futures root and returns the relevant CFTC code.   Parameters:      root : Root prefix of the future's symbol, e.g. "ZC" for "ZC1!"" or "ZCU2021".   Returns: The part of a COT ticker corresponding to `root`, or "" if no CFTC code exists for the `root`. currencyToCFTCCode(curr)   Converts a currency string to its corresponding CFTC code.   Parameters:      curr : Currency code, e.g., "USD" for US Dollar.   Returns: The corresponding to the currency, if one exists. optionsToTicker(includeOptions)   Returns the part of a COT ticker using the `includeOptions` value supplied, which determines whether options data is to be included.   Parameters:      includeOptions : A "bool" value: 'true' if the symbol should include options and 'false' otherwise.   Returns: The part of a COT ticker: "FO" for data that includes options and "F" for data that doesn't. metricNameAndDirectionToTicker(metricName, metricDirection)   Returns a string corresponding to a metric name and direction, which is one component required to build a valid COT ticker ID.   Parameters:      metricName : One of the metric names listed in this library's chart. Invalid values will cause a runtime error.      metricDirection : Metric direction. Possible values are: "Long", "Short", "Spreading", and "No direction". Valid values vary with metrics. Invalid values will cause a runtime error.   Returns: The part of a COT ticker ID string, e.g., "OI_OLD" for "Open Interest" and "No direction", or "TC_L" for "Traders Commercial" and "Long". typeToTicker(metricType)   Converts a metric type into one component required to build a valid COT ticker ID. See the "Old and Other Futures" section of the CFTC's Explanatory Notes for details on types.   Parameters:      metricType : Metric type. Accepted values are: "All", "Old", "Other".   Returns: The part of a COT ticker. convertRootToCOTCode(mode, convertToCOT)   Depending on the `mode`, returns a CFTC code using the chart's symbol or its currency information when `convertToCOT = true`. Otherwise, returns the symbol's root or currency information. If no COT data exists, a runtime error is generated.   Parameters:      mode : A string determining how the function will work. Valid values are: "Root": the function extracts the futures symbol root (e.g. "ES" in "ESH2020") and looks for its CFTC code. "Base currency": the function extracts the first currency in a pair (e.g. "EUR" in "EURUSD") and looks for its CFTC code. "Currency": the function extracts the quote currency ("JPY" for "TSE:9984" or "USDJPY") and looks for its CFTC code. "Auto": the function tries the first three modes (Root -> Base Currency -> Currency) until a match is found.      convertToCOT : "bool" value that, when `true`, causes the function to return a CFTC code. Otherwise, the root or currency information is returned. Optional. The default is `true`.   Returns: If `convertToCOT` is `true`, the part of a COT ticker ID string. If `convertToCOT` is `false`, the root or currency extracted from the current symbol. COTTickerid(COTType, CTFCCode, includeOptions, metricName, metricDirection, metricType)   Returns a valid TradingView ticker for the COT symbol with specified parameters.   Parameters:      COTType : A string with the type of the report requested with the ticker, one of the following: "Legacy", "Disaggregated", "Financial".      CTFCCode : The for the asset, e.g., wheat futures (root "ZW") have the code "001602".      includeOptions : A boolean value. 'true' if the symbol should include options and 'false' otherwise.      metricName : One of the metric names listed in this library's chart.      metricDirection : Direction of the metric, one of the following: "Long", "Short", "Spreading", "No direction".      metricType : Type of the metric. Possible values: "All", "Old", and "Other".   Returns: A ticker ID string usable with `request.security()` to fetch the specified Commitment of Traders data.
ไลบรารี Pine Script™
โดย ILuvMarkets
1
TradingWolfLibaryLibrary "TradingWolfLibary" getMA(int, string)   Gets a Moving Average based on type   Parameters:      int : length The MA period      string : maType The type of MA   Returns: A moving average with the given parameters minStop(float, simple, float, string)   Calculates and returns Minimum stop loss   Parameters:      float : entry price (Close if calculating on the entry candle)      simple : int Calculate how many bars back to look at swings      float : Minimum Stop Loss allowed (Should be x 0.01) if input      string : Direciton of trade either "Long" or "Short"   Returns: Stop Loss Value
ไลบรารี Pine Script™
โดย TradingWolf
Correlation ZonesThis indicator highlights zones with strong, weak and negative correlation. Unlike standard coefficient indicator it will help to filter out noise when analyzing dependencies between two assets. With default input setting Correlation_Threshold=0.5: - Zones with correlation above 0.5, will be colored in green (strong correlation) - Zones with correlation from -0.5 to 0.5 will be colored grey (weak correlation) - Zones with correlation below -0.5 will be colore red (strong negative correlation) Input parameter "Correlation_Threshold" can be modified in settings. Provided example demonstrates BTCUSD correlation with NASDAQ Composite . I advice to use weekly timeframe and set length to 26 week for this study
อินดิเคเตอร์ Pine Script™
โดย dkaravaev
Kendall Rank Correlation Coefficient (alt)This is a non-parametric correlation statistical test, which is less sensitive to magnitude and more to direction, hence why some people call this a "concordance test". This indicator was originally created by Alex Orekhov (everget), if you like this one, please show the original author some love: This version is extended by tartigradia (2022) to make it more readily useable: * Update to pinescript v5 * Default compare to current symbol (instead of only fixed symbols) * Add 1.0, 0.0 and -1.0 correlation levels lines. This indicator plots both the Kendall correlation in orange, and the more classical parametric Pearson correlation in purple for comparison. Either can be disabled in the Style tab.
อินดิเคเตอร์ Pine Script™
โดย tartigradia
Three Linear Regression ChannelsPlot three linear regression channels using alexgrover 's Computing The Linear Regression Using The WMA And SMA indicator for the linear regression calculations. Settings Length : Number of inputs to be used Source : Source input of the indicator Midline Colour : The colour of the midline Channel One, Two, and Three Multiplicative Factor : Multiplication factor for the RMSE, determine the distance between the upper and lower level Channel One, Two, and Three Colour : The channel's lines colour Usage For usage details, please refer to alexgrover 's Computing The Linear Regression Using The WMA And SMA indicator.
อินดิเคเตอร์ Pine Script™
โดย Fuwn
1
Multi-Optimized Linear Regression ChannelA take on alexgrover 's Optimized Linear Regression Channel script which allows users to apply multiple linear regression channel with unique multiplicative factors. Multiplicative Factors Adjust the amount of channels and multiplicative factors of existing or additional channels using the "Mults" input. An input of "1" creates a single linear regression channel with the multiplicative factor of one. An input of "4" creates a single linear regression channel with the multiplicative factor of four. An input of "1,4" creates two linear regression channels with multiplicative factors of one and four. An input of "1,2,3" creates three linear regression channels with multiplicative factors of one, two, and three.
อินดิเคเตอร์ Pine Script™
โดย Fuwn
2
KernelFunctionsLibrary "KernelFunctions" This library provides non-repainting kernel functions for Nadaraya-Watson estimator implementations. This allows for easy substitution/comparison of different kernel functions for one another in indicators. Furthermore, kernels can easily be combined with other kernels to create newer, more customized kernels. Compared to Moving Averages (which are really just simple kernels themselves), these kernel functions are more adaptive and afford the user an unprecedented degree of customization and flexibility. rationalQuadratic(_src, _lookback, _relativeWeight, _startAtBar)   Rational Quadratic Kernel - An infinite sum of Gaussian Kernels of different length scales.   Parameters:      _src : The source series.      _lookback : The number of bars used for the estimation. This is a sliding value that represents the most recent historical bars.      _relativeWeight : Relative weighting of time frames. Smaller values result in a more stretched-out curve, and larger values will result in a more wiggly curve. As this value approaches zero, the longer time frames will exert more influence on the estimation. As this value approaches infinity, the behavior of the Rational Quadratic Kernel will become identical to the Gaussian kernel.      _startAtBar : Bar index on which to start regression. The first bars of a chart are often highly volatile, and omitting these initial bars often leads to a better overall fit.   Returns: yhat The estimated values according to the Rational Quadratic Kernel. gaussian(_src, _lookback, _startAtBar)   Gaussian Kernel - A weighted average of the source series. The weights are determined by the Radial Basis Function (RBF).   Parameters:      _src : The source series.      _lookback : The number of bars used for the estimation. This is a sliding value that represents the most recent historical bars.      _startAtBar : Bar index on which to start regression. The first bars of a chart are often highly volatile, and omitting these initial bars often leads to a better overall fit.   Returns: yhat The estimated values according to the Gaussian Kernel. periodic(_src, _lookback, _period, _startAtBar)   Periodic Kernel - The periodic kernel (derived by David Mackay) allows one to model functions that repeat themselves exactly.   Parameters:      _src : The source series.      _lookback : The number of bars used for the estimation. This is a sliding value that represents the most recent historical bars.      _period : The distance between repititions of the function.      _startAtBar : Bar index on which to start regression. The first bars of a chart are often highly volatile, and omitting these initial bars often leads to a better overall fit.   Returns: yhat The estimated values according to the Periodic Kernel. locallyPeriodic(_src, _lookback, _period, _startAtBar)   Locally Periodic Kernel - The locally periodic kernel is a periodic function that slowly varies with time. It is the product of the Periodic Kernel and the Gaussian Kernel.   Parameters:      _src : The source series.      _lookback : The number of bars used for the estimation. This is a sliding value that represents the most recent historical bars.      _period : The distance between repititions of the function.      _startAtBar : Bar index on which to start regression. The first bars of a chart are often highly volatile, and omitting these initial bars often leads to a better overall fit.   Returns: yhat The estimated values according to the Locally Periodic Kernel.
ไลบรารี Pine Script™
โดย jdehorty
11
AmitN STDEV V5Often, a trader would like to predict the range for the next certain amount of period. This is useful for doing short strangles, Iron Fy, Iron Condor strategies. This script calculates the price range for the next 'X' number of candles on the given timeframe based on Standard Deviation formulae. It gives this range on 1 standard deviation and 2 standard deviations. ----------------------------------------------------------- 1SD Range : Probability of expiry in that range is 68 % 2SD Range : Probability of expiry in that range is 95 % ----------------------------------------------------------- From the settings, you can choose the "lookback" period which is used to calculate the next price prediction based on those many candles. The range is plotted in the form of lines. It marks the range and also the difference between spot and the range-value.
อินดิเคเตอร์ Pine Script™
โดย amitni82
ahpuhelperLibrary "ahpuhelper" Helper Library for Auto Harmonic Patterns UltimateX. It is not meaningful for others. This is supposed to be private library. But, publishing it to make sure that I don't delete accidentally. Some functions may be useful for coders. insert_open_trades_table_column(showOpenTrades, table_id, column, colors, values, intStatus, harmonicTrailingStartState, lblSizeOpenTrades)   add data to open trades table column   Parameters:      showOpenTrades : flag to show open trades table      table_id : Table Id      column : refers to pattern data      colors : backgroud and text color array      values : cell values      intStatus : status as integer      harmonicTrailingStartState : trailing Start state as per configs      lblSizeOpenTrades : text size   Returns: nextColumn populate_closed_stats(ClosedStatsPosition, bullishCounts, bearishCounts, bullishRetouchCounts, bearishRetouchCounts, bullishSizeMatrix, bearishSizeMatrix, bullishRR, bearishRR, allPatternLabels, flags, rowMain, rowHeaders)   populate closed stats for harmonic patterns   Parameters:      ClosedStatsPosition : Table position for closed stats      bullishCounts : Matrix containing bullish trade stats      bearishCounts : Matrix containing bearish trade stats      bullishRetouchCounts : Matrix containing bullish trade stats for those which retouched entry      bearishRetouchCounts : Matrix containing bearish trade stats for those which retouched entry      bullishSizeMatrix : Matrix containing data about size of bullish patterns      bearishSizeMatrix : Matrix containing data about size of bearish patterns      bullishRR : Matrix containing Risk Reward data of bullish patterns      bearishRR : Matrix containing Risk Reward data of bearish patterns      allPatternLabels : array containing pattern labels      flags : display flags      rowMain : Pattern header data      rowHeaders : header grouping data   Returns: void get_rr_details(patternTradeDetails, harmonicTrailingStartState, disableTrail, breakEvenTrail)   calculate and return risk reward based on targets and stops   Parameters:      patternTradeDetails : array containing stop, entry and targets      harmonicTrailingStartState : trailing point      disableTrail : If set, ignores trailing point      breakEvenTrail : If set, trailing does not go beyond breakeven.   Returns: nextColumn
ไลบรารี Pine Script™
โดย Trendoscope
2