Nilai
Spent Output Profit Ratio | JeffreyTimmermansSOPR
The "Spent Output Profit Ratio" , aka SOPR indicator is a valuable tool designed to analyze the profitability of spent Bitcoin outputs. SOPR is derived by dividing the selling price of Bitcoin by its purchase price, offering insights into market participants' profit-taking or loss-cutting behavior.
This script features two selectable SOPR metrics:
SOPR 30D: A 30-day Exponential Moving Average (EMA) for short-term trend analysis.
SOPR 365D: A 365-day EMA for assessing long-term profitability trends.
How It Works
Key Levels: The horizontal reference line at 1.0 acts as a critical threshold:
Above 1.0: Market participants are generally in profit, indicating bullish sentiment.
Below 1.0: Market participants are selling at a loss, often signaling bearish sentiment.
Background Colors
Green: Indicates bullish conditions when the selected SOPR value is above 1.
Red: Highlights bearish conditions when the value is below 1.
Dynamic Selection
Easily switch between SOPR 30D and SOPR 365D in the settings for tailored analysis.
Features
Customizable SOPR Selection: Toggle between 30-day and 365-day SOPR views based on your trading preferences.
Dynamic Label: A floating label displays the current SOPR value in real-time, along with the selected SOPR metric for easy monitoring.
Background Highlights: Visual cues for bullish and bearish conditions simplify chart interpretation.
Real-Time Alerts
Bullish Alerts: Triggered when the selected SOPR crosses above 1.
Bearish Alerts: Triggered when the selected SOPR crosses below 1.
Clean Visualization
The indicator includes a horizontal reference line and clear color schemes for easy trend identification.
The SOPR Indicator is an essential tool for traders and analysts seeking to understand Bitcoin market sentiment and profitability trends. Whether used for short-term trades or long-term market analysis, this script provides actionable insights to refine your decision-making process.
-Jeffrey
Correlation Coefficient Master TableThe Correlation Coefficient Master Table is a comprehensive tool designed to calculate and visualize the correlation coefficient between a selected base asset and multiple other assets over various time periods. It provides traders and analysts with a clear understanding of the relationships between assets, enabling them to analyze trends, diversification opportunities, and market dynamics. You can define key parameters such as the base asset’s data source (e.g., close price), the assets to compare against (up to six symbols), and multiple lookback periods for granular analysis.
The indicator calculates the covariance and normalizes it by the product of the standard deviations. The correlation coefficient ranges from -1 to +1, with +1 indicating a perfect positive relationship, -1 a perfect negative relationship, and 0 no relationship.
You can specify the lookback periods (e.g., 15, 30, 90, or 120 bars) to tailor the calculation to their analysis needs. The results are visualized as both a line plot and a table. The line plot shows the correlation over the primary lookback period (the Chart Length), which can be used to inspect a certain length close up, or could be used in conjunction with the table to provide you with five lookback periods at once for the same base asset. The dynamically created table provides a detailed breakdown of correlation values for up to six target assets across the four user-defined lengths. The table’s cells are formatted with rounded values and color-coded for easy interpretation.
This indicator is ideal for traders, portfolio managers, and market researchers who need an in-depth understanding of asset interdependencies. By providing both the numerical correlation coefficients and their visual representation, users can easily identify patterns, assess diversification strategies, and monitor correlations across multiple timeframes, making it a valuable tool for decision-making.
Dynamic Risk-Adjusted Performance Ratios with TableWith this indicator, you have everything you need to monitor and compare the Sharpe ratio, Sortino ratio, and Omega ratio across multiple assets—all in one place. This tool is designed to help save time and improve efficiency by letting you track up to 15 assets simultaneously in a fully customizable table. You can adjust the lookback period to fit your trading strategy and get a clearer picture of how your assets perform over time. Instead of switching between charts, this indicator puts all the critical information you need at your fingertips.
Sharpe Ratio -
Helps evaluate the overall efficiency of investments by comparing the average return to the total risk (measured by the standard deviation of all returns). Essentially, it tells you how much excess return you’re getting for each unit of risk you’re taking. A higher Sharpe ratio means you’re getting better risk-adjusted performance—something you’ll want to aim for in your portfolio.
Sortino Ratio -
Goes a step further by focusing only on downside risk—because let’s face it, no one worries about positive volatility. This ratio is calculated by dividing the average return by the standard deviation of only the negative returns. Perfect for those concerned about avoiding losses rather than chasing extreme gains. It gives you a sharper view of how well your assets are performing relative to the risks you’re trying to avoid.
Omega Ratio -
Offers a unique perspective by comparing the sum of positive returns to the absolute sum of negative returns. It’s a straightforward way to see if your wins outweigh your losses. A higher Omega ratio means your positive returns significantly exceed the downside, which is exactly what you want when building a strong, reliable portfolio.
This indicator is perfect for traders who want to streamline their decision-making process and gain an edge. Bringing together these three critical ratios into a single user-defined table makes it easy to compare and rank assets at a glance. Whether optimizing a portfolio or looking for the best opportunities, this tool helps you stay ahead by focusing on risk-adjusted returns. The customizable lookback period lets you tailor the analysis to fit your unique trading approach, giving you insights that align with your goals. If you’re serious about making data-driven decisions and improving your trading outcomes, this indicator is a game-changer for your toolkit.
WMA Killer Ratio Analysis | JeffreyTimmermansWMA Killer Ratio Analysis
The WMA Killer Ratio Analysis is a highly responsive trend-following indicator designed to deliver quick and actionable insights on the ETHBTC ratio. By utilizing advanced smoothing methods and normalized thresholds, this tool efficiently identifies market trends. Let’s dive into the details:
Core Mechanics
1. Smoothing with Standard Deviations
The WMA Killer Ratio Analysis begins by smoothing source price data using standard deviations, which measure the typical variance in price movements. This creates dynamic deviation levels:
Upper Deviation: Marks the high boundary, indicating potential overbought conditions.
Lower Deviation: Marks the low boundary, signaling potential oversold conditions.
These levels are integrated with the Weighted Moving Average (WMA), filtering out market noise and honing in on significant price shifts.
2. Weighted WMA Bands
The WMA is further refined with dynamic weighting:
Upper Weight: Expands the WMA, creating an Upper Band to capture extreme price highs.
Lower Weight: Compresses the WMA, forming a Lower Band to reflect price lows.
This adaptive dual-weighting system highlights potential areas for trend reversals or continuations with precision.
3. Normalized WMA (NWMA) Analysis
The Normalized WMA adds a deeper layer of trend evaluation: It calculates the percentage change between the source price and its smoothed average. Positive NWMA values suggest overbought conditions, while negative NWMA values point to oversold conditions.
Traders can customize long (buy) and short (sell) thresholds to align signal sensitivity with their strategy and market conditions.
Signal Logic
Buy (Long) Signals: Triggered when the price remains above the lower deviation level and the NWMA crosses above the long threshold. Indicates a bullish trend and potential upward momentum.
Sell (Short) Signals: Triggered when the price dips below the upper deviation level and the NWMA falls beneath the short threshold. Suggests bearish momentum and a potential downward trend.
Note: The WMA Killer Ratio Analysis is most effective when paired with other forms of analysis, such as volume, higher time-frame trends, or fundamental data.
Visual Enhancements
The WMA Killer Ratio Analysis emphasizes usability with clear and dynamic plotting features:
1. Color-Coded Trend Indicators: The indicator changes color dynamically to represent trend direction. Users can customize colors to suit specific trading pairs (e.g., ETHBTC, SOLBTC).
2. Threshold Markers: Dashed horizontal lines represent long and short thresholds, giving traders a visual reference for signal levels.
3. Deviation Bands with Fill Areas: Upper and Lower Bands are plotted around the WMA. Shaded regions highlight deviation zones, making trend boundaries easier to spot.
4. Signal Arrows and Bar Coloring: Arrows or triangles appear on the chart to mark potential buy (upward) or sell (downward) points. Candlesticks are color-coded based on the prevailing trend, allowing traders to interpret the market direction at a glance.
Customization Options
Adjustable Thresholds: Tailor the sensitivity of long and short signals to your strategy.
Dynamic Weighting: Modify upper and lower band weights to adapt the WMA to varying market conditions.
Source Selection: Choose the preferred input for price data smoothing, such as closing price or an average (hl2).
The WMA Killer Ratio Analysis combines rigorous mathematical analysis with intuitive visual features, providing traders with a reliable way to identify trends and make data-driven decisions. While it excels at detecting key market shifts, its effectiveness increases when integrated into a broader trading strategy.
-Jeffrey
VWAP Valuation Model | JeffreyTimmermansVWAP Valuation Model
This indicator provides a powerful tool for traders looking to assess the value of an asset based on the VWAP (Volume Weighted Average Price) and the z-score. The VWAP Valuation Model is designed to give insights into the overbought or oversold condition of an asset by comparing the current price to a volume-weighted average over a defined period.
Key Features:
VWAP Baseline: The indicator calculates a volume-weighted moving average of the price, which serves as the core reference line for price analysis.
Z-Score: The z-score is calculated to determine how far the current price deviates from the mean, adjusted for volatility. This score helps identify overbought and oversold conditions.
Smoothing Option: Optionally, the indicator can be smoothed for better visualization, with the smoothing length being adjustable.
Real-time Data: The indicator provides real-time insights for multiple assets, such as Bitcoin (BTCUSD), Ethereum (ETHUSD), and Solana (SOLUSD), and can take the broader market performance (like the total crypto market) into account.
Z-Score Table: The indicator features an interactive table that provides valuable information on the z-scores of selected assets, allowing traders to quickly get an overview of market conditions. The table is strategically positioned above the chart for maximum visibility without interfering with the chart data.
Usage:
Overbought/Oversold: A z-score above +1.5 indicates overvaluation (overbought), while a score below -1.5 indicates undervaluation (oversold). This indicator helps in making informed trading decisions.
VWAP Range: The indicator offers a visual representation of the VWAP range, crucial for understanding price trends and market dynamics.
This indicator is ideal for investors interested in fundamental analysis while also needing technical insights to identify buy and sell opportunities. It helps to objectively assess market valuation and make well-informed decisions.
Important Note: This indicators works only in mean-reverting markets, not trending periods.
-Jeffrey
Z-Score + Valuation BTC | JeffreyTimmermansBTC Valuation Indicator with Z-Score Analysis
The BTC Valuation Indicator is a sophisticated tool designed to offer traders and analysts a deeper understanding of Bitcoin’s market valuation, empowering them to make more informed decisions. By utilizing a combination of key moving averages and a logarithmic trendline, along with advanced statistical analysis through the Z-Score Indicator, this tool provides a comprehensive view of Bitcoin’s potential undervaluation or overvaluation.
Key Features:
200MA/P (200-Day Moving Average to Price Ratio)
This component compares Bitcoin’s current price to its 200-day Simple Moving Average (SMA), offering insights into the long-term trend. A positive value signals a potential undervaluation of Bitcoin, while a negative value may indicate overvaluation.
Use case: Identifying long-term price trends to forecast potential buying or selling opportunities.
50MA/P (50-Day Moving Average to Price Ratio)
This ratio focuses on the short-term dynamics of Bitcoin’s price, comparing it to its 50-day SMA. It helps traders detect bullish or bearish trends in the immediate future.
Use case: Spotting short-term market movements and adjusting strategies accordingly.
LTL/P (Logarithmic TrendLine to Price Ratio)
This ratio incorporates Bitcoin’s historical age, using a logarithmic trendline to measure price movements against long-term expectations. A divergence from this trendline can signal potential overvaluation or undervaluation, assisting in aligning trading decisions with broader market trends.
Use case: Evaluating the overall trajectory of Bitcoin’s value over time and predicting significant market shifts.
Z-Score Indicator Integration:
The BTC Valuation Indicator utilizes the Z-Score, a powerful statistical measure, to assess how far each of the aforementioned ratios deviates from the mean. Z-Scores help standardize these ratios, allowing traders to gauge the severity of under or overvaluation compared to historical averages.
What is a Z-Score?
A Z-score measures how far a data point is from the mean in terms of standard deviations. A Z-score of 0 indicates the value is exactly at the mean, while a positive or negative score shows how much the value deviates from it. A higher Z-score signals a more significant deviation, potentially pointing to a market anomaly, while a Z-score near 0 indicates normal conditions.
For instance:
A Z-score above +2 indicates that Bitcoin may be overvalued, with the likelihood of a market correction or reversion to the mean.
A Z-score below -2 signals possible undervaluation, suggesting an upward trend may be on the horizon.
Z-Score and Market Volatility
The Z-Score Indicator can be used in conjunction with volatility measures, such as the CBOE Volatility Index (VIX), to forecast potential market volatility. Just as a Z-scored VIX above +2 suggests decreasing volatility and the possibility of an upward trend, a Z-scored VIX below -2 indicates increasing volatility and a potential downward trend. This parallel can be used to predict Bitcoin’s potential movements in times of market uncertainty.
How to Use:
The BTC Valuation Indicator, when paired with the Z-Score, provides a more refined statistical framework to analyze Bitcoin’s market conditions. This integration allows traders to assess the severity of potential trends and price anomalies, assisting in the identification of profitable entry and exit points.
Important Considerations:
No Guarantee of Market Predictions: While this indicator is a valuable tool for assessing market conditions, no indicator can guarantee future performance. Always consider multiple factors and use the indicator as part of a comprehensive strategy.
Market Dynamics:
As market conditions evolve, continuously refine your approach. Historical performance may not be indicative of future results, and traders should remain vigilant to changing trends and developments.
By combining the power of moving averages, logarithmic trend lines, and Z-scores, the BTC Valuation Indicator equips investors with a robust, data-driven approach to Bitcoin valuation, enhancing decision-making and enabling a more nuanced understanding of market dynamics.
-Jeffrey
Crypto Value RainbowThe best way to value Crypto value is comparing Crypto price against the available money supply circulating in the economy. There are 3 different 4 different type of money supply M0/M1/M2/M3 which denotes the level of money printed by central government to the final credit lend out to the economy via fractional banking system. This rainbow valuation measures the relative Crypto price against the M0/M1/M2/M3 from most popular currency that account for more than 75% of money supply in the world.
CV = US MS + EU MS + CN MS + JP MS + UK MS
CV = Crypto Value
MS = Money Supply
This can only be applied to a few crypto currency:
- BTCUSD Bitcoin
- ETHUSD Ehereum
- BNBUSD BNB
- SOLUSD Solana
- XRPUSD XRP
- TONUSD Toncoin
- DOGEUSD Dogecoin
- TRXUSD Tron
- ADAUSD Cardano
- AVAXUSD Avalanche
The rainbow color is the multiplier for the total Crypto Value by 1x,2x,3x,...,10x
Pivotal Point Detection
The indicator highlights price gaps (overnight gaps) with significantly increased volume in the daily chart only. These price jumps can occur after earnings reports or other significant news and often point to an important event (e.g., a new product or business model). According to Jesse Livermore, these are called Pivotal Points.
The price jumps displayed by the indicator are not a guarantee that they represent a true Pivotal Point, but they provide a hint of a significant business development - especially when they occur repeatedly alongside revenue growth. This can help identify potentially strong growth stocks and high-performing investments. However, the underlying events and connections must be investigated through additional research.
make posible to find stocks like:
NYSE:PLTR NASDAQ:ROOT NASDAQ:NVDA NYSE:CVNA NYSE:LRN
A "pivotal price line" is drawn at the opening price of the Pivotal Point. This line is considered a support level. If the price falls below this line, the Pivotal Point loses its validity.
London USDEGP priceThis indicator calculates the hypothetical USDEGP price using CIB receipts price in London Stock Exchange and its price in EGX. Values are smoothed.
Sharpe Ratio Z-ScoreThe "Sharpe Ratio Z-Score" indicator is a powerful tool designed to measure risk-adjusted returns in financial assets. This script helps investors evaluate the performance of a security relative to its risk, using a Z-score based modification of the Sharpe Ratio. The indicator is suitable for assessing market environments and understanding periods of underperformance or overperformance relative to historical standards.
Features:
Risk Assessment and Scaling: The indicator calculates a modified version of the Sharpe Ratio
over a user-defined period. By using scaling and mean offset adjustments, it allows for better
fitting to different market conditions.
Customizable Settings:
Period Length: The number of bars used to calculate the Sharpe Ratio.
Mean Adjustment: Offset value to adjust the average return of the calculated Sharpe ratio.
Scale Factor: A multiplier for emphasizing or reducing the calculated score's impact.
Line Color: Easily customize the plot's appearance.
Visual Cues:
Plots horizontal lines and fills specific regions to visually represent significant Z-score levels.
Highlighted zones include risk thresholds, such as overbought (positive Z-scores) and oversold
(negative Z-scores) areas, using intuitive color fills:
Green for areas below -0.5 (potential buy opportunities).
Red for areas above 0.5 (potential sell opportunities).
Yellow for neutral zones between -0.5 and 0.5.
Use Cases:
Risk-Adjusted Decision Making: Understand when returns are favorable compared to risk, especially during volatile market conditions.
Timing Reversion to Mean: Use highlighted zones to identify potential reversion-to-mean scenarios.
Trend Analysis: Identify times when an asset's performance is significantly deviating from its
average risk-adjusted return.
How It Works:
The script computes the daily returns over a set period, calculates the standard deviation of
those returns, and then applies a modified Sharpe Ratio approach. The Z-score transformation
helps to visualize how far an asset's risk-adjusted return deviates from its historical average.
This "Sharpe Ratio Z-Score" indicator is well-suited for investors seeking to combine quantitative metrics with visual cues, enhancing decision-making for long and short positions while maintaining a risk-adjusted perspective.
ATH/ATL trackerThis script calculates and displays in a table in realtime:
- ATH, date of occurrence, and that price/current price
- ATL, date of occurrence, and that price/current price
- ATH of the current year, date of occurrence, and that price/current price
- ATL of the current year, date of occurrence, and that price/current price
Universal Valuation System Overview 🔍
The Universal Valuation System (UVS) is an advanced valuation-focused indicator that provides insights into whether an asset is statistically overvalued or undervalued, helping traders understand where an asset sits within its historical value range. Unlike trend indicators, UVS emphasizes value analysis through a unique combination of performance ratios and statistical metrics, synthesizing this data into an overall Z-score. This score reflects the asset’s position within a typical normal distribution curve, allowing traders to make data-driven decisions based on historical valuation patterns.
Normal Distribution: A Statistical Foundation for Valuation 📊
The UVS leverages the normal distribution model as its core statistical framework. In a normal distribution, values tend to cluster around a central mean, with predictable probabilities for deviation. In financial markets, this means that most price or valuation levels hover around an average range, while extreme highs or lows are less frequent.
Under normal distribution:
68% of values lie within one standard deviation of the mean.
95% of values lie within two standard deviations.
99.7% of values lie within three standard deviations.
Using Z-scores, UVS calculates where current valuation metrics fall relative to this distribution, identifying overvalued (above-average) or undervalued (below-average) zones. This helps traders interpret an asset’s relative value, showing whether it is more likely to revert toward its mean or is experiencing an exceptional deviation.
Key Components and Ratios in UVS 🔀
UVS includes a range of valuation metrics that work together to determine the Z-score:
Sharpe Ratio: Measures return relative to risk, offering insight into the quality of returns.
Sortino Ratio: Focuses on downside deviation, helping gauge negative returns’ impact.
Omega Ratio: Assesses the likelihood of gains versus losses, providing a risk-adjusted performance measure.
Crosby Ratio: Examines volatility patterns, adding dimension to the valuation signal.
VWAP (Volume-Weighted Average Price) Z-Score: Assesses price relative to volume, highlighting valuation when volume supports price movements.
Price ROC Z-Score: Uses the rate of price change to give a volatility-adjusted price movement signal.
By averaging these ratios, UVS forms a composite Z-score representing an overall valuation signal. This Z-score directly reflects the asset’s position within its historical distribution, indicating whether it’s in a typical, overbought, or oversold range.
DCA (Dollar-Cost Averaging) Application with UVS 💵
The UVS provides powerful insights for those using Dollar-Cost Averaging (DCA) by signaling periods when an asset may be overvalued or undervalued relative to its historical distribution. This model-based approach helps traders strategically adjust their DCA timing:
Overvalued (Overbought) Zones:
When the Z-score indicates that an asset is in an overbought zone (typically above +2 standard deviations), DCA buyers may choose to reduce purchases or pause, as this zone suggests the asset is currently at a premium relative to its historical norms.
Undervalued (Oversold) Zones:
In undervalued regions (typically below -2 standard deviations), the UVS suggests a favorable accumulation point for DCA. These periods allow traders to buy at below-average valuations, optimizing their cost basis over time.
Valuation Zone Display and Accessibility 🌈
UVS includes several user-friendly display options, helping traders interpret its signals easily:
Composite Zone Highlighting: Displays overbought and oversold zones with color gradients, clearly visualizing statistical extremes.
Ratio Breakdown: Allows users to view individual Z-scores for each component, understanding the specific contributions to the overall valuation signal.
Color Blindness Mode: Offers multiple color settings to ensure clear interpretation across different visual needs.
Summary: Structured Value Analysis for Informed DCA Decisions
UVS is designed to be a reliable tool for traders looking to anchor their DCA and valuation-based strategies in statistical reality. By identifying valuation zones within a normal distribution framework, UVS enables a disciplined approach to asset accumulation based on relative value rather than price trends.
Important Note: UVS does not predict future performance. It provides a statistical view of historical valuation, which should be supplemented with additional analysis and risk management practices. Past patterns do not guarantee future results.
X-Force Selector中文說明
X-Force 篩選者 是基於 Mark Minervini 概念設計的強勢標的篩選指標，旨在幫助交易者捕捉市場中的極端強勢標的。此指標運用多重篩選條件，使交易者能在價格達到特定關鍵位置時精準進場，專注於上漲動能強勁、突破阻力較小的標的。
指標篩選條件
100% 關鍵價位：當價格位於365根K棒的最低點的100%之上時，顯示該標的處於強勢區域，具備顯著的上漲動能。
25% 高點價位：同時，當價格位於365根K棒的高點以下25%之上時，代表該標的上方阻力較小，是一個潛在的突破信號。
滿足以上兩個條件的標的才會被視為進場機會，這符合 Minervini 所強調的「專注於強勢標的」的策略。Minervini 的概念強調當標的價格突破關鍵價位時，可能帶來更高的回報潛力，且風險相對較小。
加密貨幣與時間周期的應用
在加密貨幣交易中，1小時到4小時的小時間框架適合使用100%、66%、33%這些百分比範圍參數，以反映市場的高波動特性。對於更短周期，建議進一步縮小百分比，以提高指標對短期波動的敏感度，並增強篩選結果的準確性。
靈活的篩選與戰警風格
此指標的設計結合了 Minervini 的概念和戰警風格，旨在精準鎖定極具潛力的突破標的。X-Force 篩選者適合追隨趨勢的交易者，尤其是熱衷於 Mark Minervini 策略的投資者，使交易者能夠專注於市場中最具上漲動能的標的，實現更精確的進場決策。
English Description
X-Force Selector is a powerful trend-filtering indicator inspired by Mark Minervini’s trading concepts, designed to help traders capture assets with extreme strength in the market. By applying multiple filtering criteria, this indicator enables precise entry decisions when price reaches specific key levels, focusing on assets with strong upward momentum and minimal resistance.
Indicator Selection Criteria
100% Key Price Level: When the price is above 100% of the lowest low over the past 365 bars, it indicates the asset is in a strong zone with substantial upward momentum.
25% High Price Level: Additionally, when the price is within 25% below the 365-bar high, it signals reduced resistance above, indicating potential for a breakout.
Assets meeting both criteria are considered potential entry opportunities, aligning with Minervini's strategy of “focusing on strong assets.” Minervini’s concept emphasizes capturing high-potential assets as they break through critical levels, aiming for higher returns with relatively low risk.
Application to Cryptocurrency and Timeframes
In cryptocurrency trading, shorter timeframes such as 1H to 4H are well-suited for the 100%, 66%, and 33% thresholds, reflecting the high volatility of crypto markets. For even smaller timeframes, it is recommended to reduce these percentages to enhance the indicator’s sensitivity to short-term fluctuations, improving the accuracy of filtered results.
Flexible Filtering with a Battle-Ready Style
With a design inspired by Minervini's concepts and a battle-ready scanning approach, the X-Force Selector precisely locks onto high-potential breakout candidates. This indicator is ideal for trend-following traders, especially those applying Mark Minervini’s strategies, enabling them to concentrate on assets with the strongest upward momentum for precise entry decisions.
LV Stock QualityCritical financial and technical values are listed in the table.
PIOTROSKI_F_SCORE (expect. >5) -> The Piotroski score is a discrete score between zero and nine that reflects nine criteria used to determine the strength of a firm's financial position. The Piotroski score is used to determine the best value stocks, with nine being the best and zero being the worst. Having a score bigger than 5 is a good sign for the strength of a firm's financial position
ROE (expect. >11) --> Return on equity (ROE) is a measure of a company's financial performance. It is calculated by dividing net income by shareholders' equity. Because shareholders' equity is equal to a company’s assets minus its debt, ROE is a way of showing a company's return on net assets. A “good” ROE will depend on the company’s industry and competitors.
EPS_GROWTH (expect. >11) --> This indicator is calculated as the percentage change in Basic earnings per share for one year. This indicator reflects the growth rate of a company's basic profit per share outstanding for one year. It is calculated based using only common shares. An increase in EPS growth may signal that a company is becoming more profitable and efficient in its operations. A decline in EPS growth may signal that a company is spending more or losing business share. EPS growth should be viewed alongside other metrics like revenue and costs.
CURRENT_RATIO (expect. >1.25) --> The current ratio measures a company’s ability to pay current, or short-term, liabilities (debt and payables) with its current, or short-term, assets (cash, inventory, and receivables). Current ratios over 1.00 indicate that a company's current assets are greater than its current liabilities, meaning it could more easily pay of short-term debts.
OPERATING_MARGIN(expect. >11) --> The operating margin measures how much profit a company makes on a dollar of sales after paying for variable costs of production, such as wages and raw materials, but before paying interest or tax.
RETURN_CAPITAL (expect. >11) --> Return of capital (ROC) is a payment that an investor receives as a portion of their original investment and that is not considered income or capital gains from the investment.
ALTMAN_Z_SCORE (expect. >1.8) --> The Altman Z-score is the output of a credit-strength test that gauges a publicly traded manufacturing company's likelihood of bankruptcy. An Altman Z-score close to 0 suggests a company might be headed for bankruptcy, while a score closer to 3 suggests a company is in solid financial positioning.
REVENUE_GROWTH (expect. >11) --> Quarterly revenue growth is an increase in a company's sales in one quarter compared to sales of a different quarter. Comparing a company's financials from one period to another gives a clear picture of its revenue growth rate and can help investors identify the catalyst for such growth.
SUSTAINABLE_GROWTH (expect. >11) --> The sustainable growth rate (SGR) is the maximum rate of growth that a company or social enterprise can sustain without having to finance growth with additional equity or debt. In other words, it is the rate at which the company can grow while using its own internal revenue without borrowing from outside sources.
DEBT TO INCOME (expect. <0.4) --> A debt-to-income (DTI) ratio is a financial metric used by lenders to determine your borrowing risk. Your DTI ratio represents the total amount of debt you owe compared to the total amount of money you earn each month.
NORMALIZED ATR (expect. <8, W) --> The Normalized Average True Range (Normalized ATR) is an indicator used to measure market volatility by normalizing the average true range values. It does this by dividing the Average True Range (ATR) by the asset's closing price, converting it into a percentage. This normalization allows for the comparison of volatility levels across different securities or market conditions, regardless of the asset's price levels. The Normalized ATR helps traders to adjust their strategies based on relative volatility, rather than absolute price movements.
INDEX expect. EMA10>EMA20 --> it is expected to have EMA 10 > EMA 20 in weekly basis graph. It is known that having a strong trend in index will also increases chance of strong trend on stock levels. You need to select INDEX Market of stock via settings.
M. RELATIVE STRENGTH expect. MRS>1 --> Stan Weinstein uses the Mansfield RS indicator as another relative strength indicator. The indicator measures the variation in the 52-week ratio of stock and market.
VOLUME CHANGE (expect. >30) --> Having an increase on volume comparing to previous week can be a good sign if it occurs at the same time of breakout.
PRICE CHANGE (expect. >5 and <20) --> Having an increase on price comparing to previous week can be a good sign if it occurs at the same time of breakout.
It is better to look on weekly basis graphs.
CoffeeShopCrytpo Dynamic PPIIn the financial world, the Producer Price Index (PPI) is often used to measure how domestic products are performing over time, indicating the health of the market. Domestic products refer to goods and services that are produced within a specific country’s borders. However, in this indicator, we’ve taken that idea and applied it directly to financial assets, allowing traders to see how an asset is performing relative to its own base value over a given period of time.
Here, the asset’s base value is represented as 100%. When the asset performs above 100%, it's considered to be in a buyer's market—indicating strength and demand. Conversely, if the value dips below 100%, it's operating below its base value, signaling a potential seller's market.
Why This Matters:
This indicator not only converts an asset’s performance into a PPI-style calculation, but it also visualizes price movements as price candles. This dual perspective is crucial, because even if the asset’s performance is over 100%, the closing price might still fall below that threshold—adding nuance to your understanding of market conditions.
Key Features of the Indicator:
Bullish and Bearish Convergence Levels: These levels show whether the market leans bullish or bearish. If the Bullish Convergence level is higher than the Bearish one, the market is bullish, and vice versa. Importantly, these levels can signal shifts in market strength, regardless of where the PPI candles are positioned.
If Bullish Convergence is rising below Bearish, the bearish market is weakening and bullish pressure is growing. Conversely, if Bearish Convergence is falling above Bullish, the bearish side is losing ground.
Market Strength Visualizations:
Strong Bullish Market: Bullish Convergence is higher than Bearish, and it’s still rising.
Strong Bearish Market: Bearish Convergence is above Bullish, and it's climbing.
Weak Bullish Market: Bullish Convergence is above Bearish, but the PPI closes below Bullish Convergence.
Weak Bearish Market: Bearish Convergence is above Bullish, but the PPI closes above Bullish Convergence
Pullbacks:
Bullish Pullback: In a strong bullish market, the PPI shows lower closes below the Bullish Convergence.
Bearish Pullback: In a strong bearish market, the PPI shows higher closes above the Bullish Convergence.
Divergences:
Higher Price, Lower or Flat PPI: This indicates that while the asset’s price is rising, its underlying performance (relative to the PPI’s 100% base level) is not keeping up. Essentially, the asset is reaching new price highs, but its strength or "efficiency" of growth is weakening.
The PPI is designed to show the "return" of an asset's performance relative to its historical movement, so when it lags behind price, it suggests that the price rise may not be sustainable.
When you observe the first high of the PPI level above the bullish convergence level, followed by a second high of the PPI below the bullish convergence level in a bullish market, this creates a divergence.
Example of Divergence in image:
1. First High of PPI Above the Bullish Convergence Level:
This suggests strong bullish momentum. The asset’s performance, as measured by the PPI, is in line with or even outperforming price expectations, indicating the market is experiencing a robust bullish trend. The fact that the PPI level is above the bullish convergence line means that the asset is operating well above its base performance (above 100%) and bullish momentum is clearly dominant.
2. Second High of PPI Below the Bullish Convergence Level:
This marks a potential weakening of the bullish momentum. Although the market is still in a bullish state (since bullish convergence remains above bearish), the PPI failing to reach the bullish convergence level suggests that the asset’s performance is not keeping pace with price action or is underperforming relative to its earlier high.
The fact that this occurs while the market is still bullish (bullish convergence is greater than bearish) can signal a possible pullback or a temporary consolidation phase within the larger bullish trend.
What does a divergence mean:
Momentum Weakening: The second high of the PPI being below the bullish convergence line suggests that while prices may still be increasing, the strength behind the move is fading. The asset is not performing as strongly as it did during the first high, and the market’s confidence or momentum might be softening.
Potential Bullish Pullback: This could indicate that a pullback or correction within the larger bullish trend is underway. Traders might be taking profits, or buyers could be losing enthusiasm, causing the asset to stall temporarily. However, because the overall market remains bullish, this doesn’t necessarily mean a full reversal—just a cooling off period.
Caution in New Long Positions: If you see this divergence, it could be a sign to be more cautious about opening new long positions. It suggests that the asset may need to consolidate or correct before resuming its upward trend, and it’s worth waiting for confirmation of renewed momentum before jumping back in.
ATR Settings
Youll notice there are two ATR settings. One for short term and one for long term.
These values are based on your preferential strategy for what you consider to be long and short term.
The final ATR values are calculated against eachother and applied to the Volatility Label at the end of price.
This label shows you the current ATR as well as the previous candle ATR.
Why this is important:
If the short term ATR is greater than the long term ATR, then volatility is rising in the short term greater than the long term.
This gives your label a value greater than 1.0. This means the short term trend is about to move.
If the long term ATR is greater than the short term ATR, there is no volatility in the short term and only long term exists.
This gives you a value of less than 1.0. This means no volatility or ranging market in the short term.
ADA Stock-to-Flow Model (BSP)ADA Stock-to-Flow Model
This script implements a Stock-to-Flow (S2F) model for ADA (Cardano). The Stock-to-Flow ratio is a popular metric used to assess the scarcity of an asset by comparing its current supply (stock) to the rate at which it is being produced (flow). By visualizing the S2F ratio on ADA, this model helps traders and analysts evaluate potential long-term price trends based on supply scarcity.
Key features:
Calculates ADA's Stock-to-Flow ratio dynamically, adjusting for changes in circulating supply and emission rates.
Provides easy-to-read visualizations with adjustable timeframes, making it accessible for both novice and experienced traders.
The Stock-to-Flow model is widely used in analyzing assets like Bitcoin, and this adaptation for ADA gives unique insights into the relationship between its supply and market value. While the model offers a useful perspective on ADA’s potential trajectory, it should be used in conjunction with other tools for a comprehensive market analysis.
CAPE / Shiller PE RatioThe CAPE (Cyclically Adjusted Price-to-Earnings) or Shiller PE ratio is a popular valuation measure used by investors to assess whether a stock or index is over or undervalued relative to its historical earnings. Unlike the traditional P/E ratio, the CAPE ratio smooths earnings over ten years, adjusting for inflation and providing a more stable and long-term view of valuation.
This indicator lets you quickly calculate and visualize the CAPE ratio for any stock on TradingView, helping you make informed decisions about the sustainability of current price levels. With its clear presentation and intuitive setup, you can compare historical CAPE levels and identify potential opportunities for long-term investments or avoid overvalued markets.
Advantages of the CAPE Ratio:
Long-Term Focus : Smooth earnings over ten years, reducing the impact of short-term volatility.
Inflation-Adjusted : Provides a more precise, inflation-adjusted valuation measure over time.
Historical Comparison : Allows for benchmarking against long-term historical averages.
Market Sentiment Indicator : Can highlight overvalued or undervalued markets for long-term investors.
Reduces Noise : Filters out short-term earnings fluctuations, offering a more stable view.
Disadvantages of the CAPE Ratio:
Ignores Recent Earnings : Misses short-term earnings changes, which can affect current valuations.
Outdated Data : Relies on old earnings data that may not reflect recent company performance.
Less Effective for Growth Stocks : May undervalue high-growth stocks focused on future earnings.
Sector Limitations : Works best for broad markets, less so for fast-changing industries.
Debated Predictive Power : It’s unreliable for timing short-term market movements.
In short, the CAPE ratio is excellent for long-term valuation but has limitations for short-term or growth-focused investing.
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.
Leonid's Bitcoin Sharpe RatioThe Sharpe ratio is an old formula used to value the risk-adjusted return of an asset. It was developed by Nobel Laureate William F. Sharpe. In this case, I have applied it to Bitcoin with an adjustable look-back date.
The Sharpe Ratio shows you the average return earned after subtracting out the risk-free rate per unit of volatility (I've defaulted this to 0.02 ).
Volatility is a measure of the price fluctuations of an asset or portfolio. Subtracting the risk-free rate from the mean return allows you to understand what the extra returns are for taking the risk.
If the indicator is flashing red, Bitcoin is temporarily overbought (expensive).
If the indicator is flashing green, Bitcoin is temporarily oversold (cheap).
The goal of this indicator is to signal out local tops & bottoms. It can be adjusted as far as the lookback time but I have found 25-26 days to be ideal.
DRIP Yearly PerformanceOverview: The DRIP Yearly Performance indicator is designed for long-term investors using Dividend Reinvestment Plans (DRIP). This script calculates both the total and average yearly performance of an asset, factoring in the reinvestment of dividends over time. It provides key insights into portfolio growth by tracking the number of accumulated units from dividend reinvestment and how this impacts overall performance.
Key Features:
Dividend Reinvestment (DRIP) Calculation: Automatically adjusts the number of units held by reinvesting dividends, enhancing the calculation of total returns.
Custom Start Date: Choose a custom start date to begin tracking performance from a specific time period, allowing for more tailored performance analysis.
Performance Metrics: Displays key metrics such as the initial investment value, current value, total performance percentage, and the average yearly performance, all in an easy-to-read table format.
Visual Representation: Plots accumulated units and overall performance on the chart, with customizable colors for clarity.
Inputs Explained:
Start Quantity: Define the initial number of units (shares) held at the start of the investment.
Dividend Type: Choose between tracking Net or Gross dividends for reinvestment purposes. Net is always better unless you have a special case and you need to base your calculations on gross.
Start Date: Select a custom date to begin tracking performance. This allows users to focus on performance from any historical point.
Table Size: Customize the size of the text in the performance table to suit your visual preferences.
Performance Line Color: Choose the color of the performance plot line that tracks the value of your investment over time.
Accumulator Line Color: Customize the color of the line that tracks the accumulated units (shares) due to reinvested dividends.
Who Can Benefit: This indicator is ideal for long-term investors and dividend growth investors who want to measure their investment returns over time while factoring in the effects of dividend reinvestment.
Use Cases:
Tracking Dividend Impact: See how reinvesting dividends enhances your overall portfolio value.
Custom Performance Analysis: Set a custom start date to analyze performance from a specific point in time.
Visualizing Growth: Use the chart's plots to visually track your growing number of shares (units) and overall performance.
Universal Trend Following Valuation | viResearch Universal Trend Following Valuation | viResearch
Conceptual Foundation and Innovation
The "Universal Trend Following Valuation" script represents a comprehensive approach to trend-following systems. It combines multiple technical indicators and methods to assess market trends, integrating Sharpe, Sortino, and Omega ratios with various moving averages and Z-score calculations. By utilizing advanced statistical tools, the script provides traders with a well-rounded evaluation of trend strength, direction, and potential reversals. The inclusion of Z-scores and custom ratios allows for a more in-depth and accurate market analysis, making it a valuable tool for trend valuation.
Technical Composition and Calculation
This script is built on various performance metrics and trend-following methods. It features ratio calculations, such as Sharpe, Sortino, and Omega, which provide insight into the risk-adjusted performance of assets, helping traders gauge the strength of market trends. Weekly RSI values are smoothed using dema, ema, and median methods to offer a clearer view of trend momentum. Additionally, Z-scores are applied to these ratios and the weekly RSI, offering a standardized assessment of trend deviations from historical performance. A custom scoring system is used to generate a cumulative trend score, highlighting potential market reversals or confirmations.
Key Indicators and Features
The script uses weekly RSI and EMA/Dema smoothing to reduce market noise and produce clearer trend signals. The Sharpe, Sortino, and Omega ratio calculations help assess market performance and volatility, with Z-scores adding another analytical layer. Different moving averages (HMA, DEMA, SMMA) are incorporated to evaluate both short-term and long-term trends, making the script adaptable to various market conditions. Furthermore, the script provides trend confirmation through multiple layers by using indicators like the Supertrend and the Average True Range (ATR) factor to cross-check trends for increased reliability.
Practical Applications
This script is ideal for traders looking to systematically evaluate market trends and effectively position themselves. The combination of advanced statistical tools and customizable moving averages and ratios ensures that the script remains both flexible and powerful. It is particularly useful for confirming trends and highlighting potential reversals, giving traders a reliable signal for either trend continuation or reversals. The inclusion of Sharpe and Sortino ratios allows traders to focus on trends that offer a favorable risk-reward profile.
Advantages and Strategic Value
The "Universal Trend Following Valuation" script offers a detailed, multifaceted approach to trend analysis. Its use of advanced statistical tools provides a more precise evaluation of market trends, making it valuable for both novice and experienced traders. The script reduces noise while ensuring that the core trend signals remain accurate, helping traders make more informed decisions in volatile market conditions.
Summary and Usage Tips
Incorporating the "Universal Trend Following Valuation" into your trading system can significantly enhance your ability to follow and confirm trends. With its customizable parameters and alerts, this script offers a powerful and reliable tool for navigating market volatility and optimizing trade entries and exits. By combining trend-following signals with performance metrics, traders can refine their strategies with increased confidence.
Disclaimer: Backtests are based on past results and are not indicative of future performance.
Stef's Enterprise Value CalculatorI have learned the hard way why Enterprise Value is far more superior than Market Cap. That's why I made this indicator, but more importantly, why I added several features that other similar indicators just don't have. The key thing is to not just show you Enterprise Value of a company (it's true worth) but also the capability to see that line colored in a specific way, with key stats as a neat table, and the ability to chart the key facts that go into Enterprise Value, which are debt and cash.
I'll say it again: Market Cap is not nearly as good as Enterprise Value. Don't get tricked by what Market Cap does NOT show you and instead focus on Enterprise Value. I hope my indicator, and the features you see below, help investors and traders all over the world better understand this.
Here are the key features:
Enterprise Value Indicator Features:
1. Real-Time Enterprise Value (EV) Display: Track the EV of a company directly on your chart, providing a comprehensive measure of its true market value.
2. Custom Color Trends: Customize the color of your EV line based on specific trends you’re monitoring, allowing for personalized and insightful visual analysis.
3. Debt & Cash Visualization: Plot both debt and cash & equivalents on the same chart, offering a clear and concise view of a company’s financial health.
4. Key Metrics Table: View a table displaying essential metrics including:
- Average EV
- Highest EV
- Lowest EV
- MC-EV (Market Cap minus Enterprise Value)
MC-EV Charting: Easily chart MC-EV to understand how much debt a company has relative to its market cap, providing insight into financial leverage and growth potential.
Why MC-EV Matters: This metric is crucial for evaluating a company’s financial risk and operational efficiency, giving you an edge in making informed investment decisions.
Thanks for reading and I hope you find some value in this! More updates to come.
PE Ratio Intrinsic ValueThe "Median PE Ratio and Intrinsic Value" indicator is designed for traders and investors who wish to evaluate the intrinsic value of a stock based on a comparative analysis of Price-to-Earnings (PE) ratios across multiple stocks. This tool not only provides insights into whether a stock is undervalued or overvalued but also allows you to visualize the intrinsic value directly on the chart.
Comparison Across Multiple Stocks:
This indicator calculates the PE ratio for up to five different stocks, allowing you to compare the target stock's valuation against four other same sector companies. By default, the stocks included are Apple (AAPL), Google (GOOG), Microsoft (MSFT), and Amazon (AMZN), but you can customize these symbols to fit your analysis needs.
Dynamic PE Ratio Calculation:
The indicator calculates the PE ratio for each stock by dividing the current price by the earnings per share (EPS). The EPS data is retrieved based on the selected period, which can be one of the following:
FY (Fiscal Year)
FH (Fiscal Half-Year)
FQ (Fiscal Quarter)
TTM (Trailing Twelve Months)
You can easily switch between these periods using the provided input options, enabling a more customized analysis based on your preferred financial timeframe.
Once the PE ratios for the selected stocks are computed, the indicator calculates the average PE ratio. The average value is a robust measure that reduces the influence of outliers and provides a balanced view of market valuation.
The intrinsic value of the stock on the chart is calculated by multiplying its EPS by the median PE ratio of the selected stocks. This gives you an estimate of what the stock should be worth if it were to trade at a fair valuation relative to the chosen peers.
The intrinsic value is plotted directly on the price chart as a step line with breaks. This step line style is chosen to represent changes in intrinsic value clearly, with breaks indicating periods where the calculated value is not valid (e.g., negative intrinsic value). Only positive intrinsic values are displayed, helping you focus on meaningful data.
You can easily customize the stocks analyzed by entering the ticker symbols of your choice. Additionally, the indicator allows you to adjust the timeframe for EPS data, giving you flexibility depending on whether you are focused on long-term trends or shorter financial periods.
How to Use:
Compare the current stock price to the plotted intrinsic value. If the current price is below the intrinsic value, the stock may be undervalued. Conversely, if the price is above the intrinsic value, the stock might be overvalued. By comparing your stock against major market players, you can gauge whether it's trading at a premium or discount relative to other key companies in the sector. Use the period selection (FY, FQ, TTM) to adapt your analysis to different market conditions or earnings cycles, giving you more control over your valuation assessment.
Ideal For:
Long-term Investors looking to assess the intrinsic value of a stock based on comparative analysis.
Fundamental Analysts who want to combine multiple stocks' PE ratios to estimate a fair valuation.
Value Investors interested in finding undervalued opportunities by comparing the market price to intrinsic value.
