“The benchmark [symbol=djy]Dow Jones Industrial Average[/symbol] is off nearly 300 points as of midday today...” “So what? Is that a lot or a little? Should we care?” -Adam H Grimes-
This screener aims to provide Bird-Eye view across sector indices, to find which sector is having significant or 'out-of-norm' move in either direction.
The significance of the move is measured based on Sigma Spikes, a method proposed by Adam H. Grimes, where Standard Deviation of returns used as a baseline.
*You can google his blog or read his book, got some gold in there, especially on how he use indicators for trading
█ Understanding Sigma Spikes
As described by Grimes, moves in markets are only meaningful when we consider what “normal” is for that market.
Without that baseline, the daily change number, and even the percent change on the day doesn’t really mean much.
To overcome that problem, Sigma Spikes, as a measure of , attempt to put todays change in price ( aka return) in context of the standard deviation of 20 days daily's return.
Refer chart below:
1. The blue bars refer to each days return
2. The orange line is 1 time standard deviation of past 20days daily's return (today not included)
3. The red line is 2 time standard deviation of past 20days daily's return (today not included)
Using the ratio of today's return over the Std Deviation, determining your threshold (1,2,3,etc) will be the key that tells if today's move is significant or not.
*Threshold referring to times standard deviation, and different market may require different threshold.
*20 Days period are based on the Lookback Period, adjustable from user input window.
- Scan up to 13 symbols at a time (Bursa ( MYX ) indices are defaulted, but you may change to any symbols/index from the user input setting)
- Due to multiple use of security() function required to call other symbols, expect the screener to be slow at certain times
- Custom Timeframe currently accept only Daily and Weekly. I'll try to include lower timeframe in the next update
Past performance is not an indicator of future results.
My opinions and research are my own and do not constitute financial advice in any way whatsoever.
Nothing published by me constitutes an investment recommendation, nor should any data or Content published by me be relied upon for any investment/trading activities.
I strongly recommends that you perform your own independent research and/or speak with a qualified investment professional before making any financial decisions.
Any ideas to further improve this indicator are welcome :)
Sejalan dengan semangat TradingView, penulis skrip ini telah mempublikasikannya secara open-source, sehingga para trader dapat memahami dan memverifikasinya. Salut untuk sang penulis! Anda dapat menggunakannya secara gratis, tetapi penggunaan kembali kode ini dalam publikasi diatur oleh Tata Tertib. Anda dapat memfavoritkannya untuk dapat menggunakannya didalam sebuah chart.
In the name of all TradingView traders, thank you for your valuable contribution to the TradingView community, and congrats!
- There are 5 columns, i understand the header of each column, but could not figure out the logic behind.
For example, i can see the percentage "return today" and "return 20 days" of a sector in "Sector with Average Gain" that are higher than the one in "Sector with significant Gain".
What are the classification's criteria? On each column, the list is sorted with a certain criteria?
- "Sigma" means the x standard deviation of past 20 days? Does it mean if Sigma is high, it means there is a high volatility? If not, could you explain further?
- "Scan for: Today Sigma Spike Threshold: 2" (Right column): Could you explain further?
1) The sectors are sorted by the 'significance' of the gain(or loss). for example, for the past 20 days, sector A have average return of 2% per day while sector B average return is only 0.2% per day. Following this, total return of sector A is much bigger then sector B.
But today, sector A gain is 2.2% (assume this below its 2 standard deviation) while sector B gain is 0.8% (assume this well above its 2 standard deviation). This means that even though sector A absolute return is higher than sector B, Sector B is ranked higher due to the fact that it 'outperform' its average while sector A %gain is considered normal by its own standard.
Since the SigmaSpike Threshold is 2, any sector with sigmaspike below 2 will be placed under the "Average" group while above 2 will be placed in the "Significant" group.
2) Yes Sigmaspike refers to x standard deviation. if its high it might indicate that volatility of the day is higher than usual, or it might also signal that's there's a catalyst for that particular sector that causes the spike. however, as with any other indicators, as long as u understand the underlying principle of the indicator, u may interpret it's result as u see fit.
3) As explained in item 1. it act as a threshold that separate how much x above/below standard deviation for it to be considered average or significant
Hope these helps :)