Risk/Reward CalculatorJust a simple risk reward calculator to help indicate the R:R levels of your risk on a trade. The drawing tool doesn't have multiple R capabilities.
Risk
Chonky Floating R:RVisualize the floating R:R of an active position.
Input the stop loss and target to return live R:R
Equity Risk PremiumInspired by the article "2020's Best Performing Hedge Fund Warns Of 'Incredible Move' Around The Election" from ZeroHedge:
This script explores the relationship and attempts to find dislocation between equity risk (VIX) and high-yield corporate debt risk (VXHYG, The Cboe VXHYG Index is an estimate of the expected 30-day volatility of the return on iShares' High Yield Grade ETF (HYG). VXHYG is derived by applying the VIX algorithm to options on HYG).
The basic logic is (closing price of VIX / closing price of VXHYG) - 1. When equity risk is high and credit risk is low, the value of premium will be high, and vice-versa.
“'Equity volatility is almost inescapably high. Is that a good form of insurance? The payoff profiles are nothing like they were back in January. Whereas in credit, we’re almost back to where we were in January.
I find today the risk-reward profile of credit to be basically among the worst, relative to other things, I’ve seen in my career,' Weinstein said. 'A VIX at 20 used to be quite a feat. Here we are at 30, and the credit market hasn’t blinked.'
As a result of the gaping divergence between the VIX and credit spreads - the two had moved in tandem for years, but in August the two series blew out as the VIX started rising as spreads kept falling - Weinstein has pounced on the trade, betting on vol compression."
When equity risk premium is high, the market may be forming a local top.
When equity risk premium is low, the market may be forming a local bottom.
Make sure to select your current timeframe on the dropdown menu.
Entry Size 1barCalculates how many lots (100) you should buy/sell for any given bar with a fixed risk in USD and shows if Long (L), Short (S) or wait (w) with a label.
Requires max loss per week, trading days per day and lossing trading per day.
[blackcat] L1 Trading Risk Assessment Indicator Level: 1
Background
Risk assessment is a general term used in many industries to determine the likelihood of losing an asset, loan, or investment. Risk assessment is important in determining how profitable a particular investment is and which techniques are best for risk mitigation. It shows the upward reward versus the risk profile. Risk assessment is important in determining the rate of return an investor would need to earn in order to consider an investment as worth the potential risk.
Function
L1 Trading Risk Assessment Indicator provides a trading risk evaluation mechanism that follows the megatrend. By defining transaction risk as 4 levels: highly risky, risky, safe, and highly safe, the current bar’s evaluation value can be compared with historical bar data to understand the current level of trading risk and the level of trading risk Trend.
Key Signal
h1~h5 --> trading risk level threshold, which can be adjusted according different markets.
currentsafetylevel --> it indicates current bar risk assessment result
Pros and Cons
Pros:
1. according risk level, proper position size can be adjusted
2. know global trend and select propoer time to exit
Cons:
1. no exact long and short entry are disclosed
2. different markets require different thresholds
Remarks
An improved version of KDJ with less satration observed.
Readme
In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.
The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works.
Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element.
Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level.
Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated.
Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop.
Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.
Position Size CalculatorThis is a script to make calculating position size easier. It calculates position size as a percentage of account balance and Risk/Reward based on input values of entry, exit, stoploss and shows the R/R box similar to tradingview's R/R tool. There is an option to toggle showing label and choosing of label text color.
Have to enter the following inputs in order for it to work properly
1. Account Balance : Account balance in either whatever is base currency of account
2. Risk % : Percentage of account balance to lose if stop is hit.
3. Entry
4. Stoploss
5. Target Price
Notes:
- Target Price is required for calculating R/R but is not necessary to calculate position size.
- Formula to calculate position size is : Balance * Risk % / SL %
- Formula to calculate R/R is : TP % / SL %
- SL % = ( Entry - SL ) / Entry * 100
- TP % = (TP - Entry ) / Entry * 100
Thanks to u/Chonky_ for help with feedback.
Risk RangeThis indicator creates risk ranges using implied volatility (VIX) or historical volatility, skewness ( Cboe SKEW or estimate ) and kurtosis.
Daily Risk RangesThis indictor creates daily Risk Ranges using historical volatility, volatility skew and vol-of-vol.
Risk Metrics: Crypto VersionRisk Metrics for Crypto.
Market can be set to BTCUSD, BTCEUR, BTCCHF, BTCGBP, BTC1!, BTC2!, SPX, and DTB3
Beta
Correlation
Standard Deviation
Variance
R-squared
Buy/Sell/TP/SL/TSL Alerts ModuleThis tool is not a self-sufficient indicator, just an attachable module that allows you to enhance a specific indicator with risk management components without having a headache.
What you need to do, and actually this is the most important step, is to rewrite your indicator to a buy-sell signal form which will output only -1, 0, 1 values and then connect it to the module.
After that the module gives you a lot of possibilities to customize Take Profit, Stop Loss and Trailing Stop Loss levels through the settings window and to set all the alerts you need up.
Simple Buy/Sell setup for the RSI:
Now I am adding Stop Loss:
and Take Profit:
and finally Trailing Stop Loss:
Okay, I have shown how it works with RSI signals. Here is example for the MACD:
and example for the WaveTrend Oscillator:
If you have any questions don't hesitate to ask and contact me either via private messages on TradingView or via Telegram
Risk Metrics: beta 'β', correl 'ρxy', stdev 'σ', variance 'σ²'Portfolio Risk Metrics (Part I):
beta 'β'
The beta coefficient can be interpreted as follows:
β =1 exactly as volatile as the market
β >1 more volatile than the market
β <1>0 less volatile than the market
β =0 uncorrelated to the market
β <0 negatively correlated to the market
excerpt from the Corporate Finance Institute
correlation coefficient 'ρxy'
The correlation coefficient is a value that indicates the strength of the relationship between variables.
The coefficient can take any values from -1 to 1. The interpretations of the values are:
-1: Perfect negative correlation. The variables tend to move in opposite directions
(i.e., when one variable increases, the other variable decreases).
0: No correlation. The variables do not have a relationship with each other.
1: Perfect positive correlation. The variables tend to move in the same direction
(i.e., when one variable increases, the other variable also increases).
excerpt from the Corporate Finance Institute
standard deviation 'σ'
68% of returns will fall within 1 standard deviation of the arithmetic mean
95% of returns will fall within 2 standard deviations of the arithmetic mean
99% of returns will fall within 3 standard deviations of the arithmetic mean
excerpt from Corporate Finance Institute
variance 'σ²'
In investing, variance is used to compare the relative performance of each asset in a portfolio.
Because the results can be difficult to analyze, standard deviation is often used instead of variance.
In either case, the goal for the investor is to improve asset allocation.
excerpt from Investopedia
Portfolio Metrics = α(Jensen's), β, CAPM(Ra), Sharpe, TreynorPortfolio Metrics...
Standard Deviation
Jensen's Alpha
Beta
Expected Return (CAPM, Ra)
Sharpe Ratio
Treynor Ratio
Trading Psychology - Fear & Greed Index by DGTPsychology of a Market Cycle - Where are we in the cycle?
Before proceeding with the question "where", let's first have a quick look at "What is market psychology?"
Market psychology is the idea that the movements of a market reflect the emotional state of its participants. It is one of the main topics of behavioral economics - an interdisciplinary field that investigates the various factors that precede economic decisions. Many believe that emotions are the main driving force behind the shifts of financial markets and that the overall fluctuating investor sentiment is what creates the so-called psychological market cycles - which is also dynamic.
Stages of Investor Emotions:
* Optimism – A positive outlook encourages us about the future, leading us to buy stocks.
* Excitement – Having seen some of our initial ideas work, we begin considering what our market success could allow us to accomplish.
* Thrill – At this point we investors cannot believe our success and begin to comment on how smart we are.
* Euphoria – This marks the point of maximum financial risk. Having seen every decision result in quick, easy profits, we begin to ignore risk and expect every trade to become profitable.
* Anxiety – For the first time the market moves against us. Having never stared at unrealized losses, we tell ourselves we are long-term investors and that all our ideas will eventually work.
* Denial – When markets have not rebounded, yet we do not know how to respond, we begin denying either that we made poor choices or that things will not improve shortly.
* Fear – The market realities become confusing. We believe the stocks we own will never move in our favor.
* Desperation – Not knowing how to act, we grasp at any idea that will allow us to get back to breakeven.
* Panic – Having exhausted all ideas, we are at a loss for what to do next.
* Capitulation – Deciding our portfolio will never increase again, we sell all our stocks to avoid any future losses.
* Despondency – After exiting the markets we do not want to buy stocks ever again. This often marks the moment of greatest financial opportunity.
* Depression – Not knowing how we could be so foolish, we are left trying to understand our actions.
* Hope – Eventually we return to the realization that markets move in cycles, and we begin looking for our next opportunity.
* Relief – Having bought a stock that turned profitable, we renew our faith that there is a future in investing.
It's hard to predict with certainty where we exactly are in the market cycle, we can only make an educated guess as to the rough stage based on data available. And here comes the study "Trading Psychology - Fear & Greed Index"
Factors taken into account in this study include:
1-Price Momentum : Price Divergence/Convergence versus its Slow Moving Average
2-Strenght : Rate of Return (RoR) also called Return on Investment (ROI) is a performance measure used to evaluate the efficiency of an investment, net gain or loss of an investment over a specified time period, the rate of change in price movement over a period of time to help investors determine the strength
3-Money Flow : Chaikin Money Flow (CMF) is a technical analysis indicator used to measure Money Flow Volume over a set period of time. CMF can be used as a way to further quantify changes in buying and selling pressure and can help to anticipate future changes and therefore trading opportunities. CMF calculations is based on Accumulation/Distribution
4-Market Volatility : CBOE Volatility Index (VIX), the Volatility Index, or VIX, is a real-time market index that represents the market's expectation of 30-day forward-looking volatility. Derived from the price inputs of the S&P 500 index options, it provides a measure of market risk and investors' sentiments. It is also known by other names like "Fear Gauge" or "Fear Index." Investors, research analysts and portfolio managers look to VIX values as a way to measure market risk, fear and stress before they take investment decisions
5-Safe Haven Demand : in this study GOLD demand is assumed
What to look for :
*Fear and Greed Index as explained above,
*Divergencies
Tool tip of the label displayed provides details of references
Conclusion:
As investors, we always get caught up in the day to day price movements, and lose sight of the bigger picture. The biggest crashes happen not when investors are cautious and fearful, it's when they're euphoric and expecting financial instruments to continue going higher. So as we continue investing, don’t forget to stop and ask yourself, where in the chart do you think we are right now? The Market Psychology Cycle shines light on how emotions evolve, fear and greed index can come in handy, provided that it is not the only tool used to make investment decisions. It is easy to look back at market cycles and recognize how the overall psychology changed. Analyzing previous data makes it obvious what actions and decisions would have been the most profitable. However, it is much harder to understand how the market is changing as it goes - and even harder to predict what comes next. Many investors use technical analysis (TA) to attempt to anticipate where the market is likely to go. Investors are advised to keep tabs on fear for potential buying the dips opportunities and view periods of greed as a potential indicator that financial instruments might be overvalued.
Warren Buffett's quote, buy when others are fearful, and sell when others are greedy
Trading success is all about following your trading strategy and the indicators should fit within your trading strategy, and not to be traded upon solely
Disclaimer : The script is for informational and educational purposes only. Use of the script does not constitute professional and/or financial advice. You alone have the sole responsibility of evaluating the script output and risks associated with the use of the script. In exchange for using the script, you agree not to hold dgtrd TradingView user liable for any possible claim for damages arising from any decision you make based on use of the script
RiskOnRiskOff #SPX500 v3Riskon mode refers to a generalized perception of low risk in financial markets. Riskoff mode is the exact opposite. In this case, the perception of risk is high and drives investors away. In a riskon scenario, the market trend will continue to rise and, conversely, in riskoff mode, significant falls in the market can be expected. This indicator assesses the RiskOnRiskOff sentiment for # SPX500.
Trend Risk Indicator (TRI)The Trend Risk Indicator is a simple bands indicator made of 2 custom averages of candlesticks ranges calculated within the variable “ BandBars ” period.
Upper and lower channel bands width can be adjusted with the “ Deviation ” variable, which act as a simple factor to enlarge the spread between them.
When Close crosses over the upper band, it is a bearish signal and candlesticks are painted in Red.
When Close crosses under the lower band, it’s a bullish signal and candlesticks are painted in Green.
One of the most interesting indicators for 1 minute scalping. Recommended to use on Renko bars.
*drag to chart and pin to scale, also remove borders from candlesticks.
Drawdown SimulatorDrawdown Simulator.
Will simulate a series of percent based stop losses being triggered in a row if you risked x% of capital per trade.
Also simulates what the capital outcome would be if you were in a leveraged position.
Default settings simulate the use of $3000 starting capital balance , 1% Risk per trade and 5 Losing trades in a row with no leverage (1x).
This will not account of commission fees.
Daily Risk RangeThis was inspired by Hedgeye's Risk Ranges product and calculates daily risk ranges for assets. It uses volatility , the volatility of volatility , the skew of volatility and price to calculate a range that can be used for entries either long or short.
Message me for a free 7-day trial and pricing
Position Size CalculatorThis is a script to help you determine your position sizing. I've attempted to make it as easy to use as possible.
Do you have a set 'R' that you risk per trade? Simply check the box for manual R and enter your risk amount.
If you do not have a set amount to risk, you can input your portfolio size and your percentage to risk per trade.
You'll select long or short and then input your entry and stop. If you do not enter a target then the reward will read NaN for Not a Number.
By default, calculations are done in USD. If you are using a different base currency to calculate positions, risk, or profits, simply un-check that box near the bottom of the inputs. You can also re-color the label or move the label around.
Relative Normalized VolatilityThere are plenty of indicators that aim to measure the volatility (degree of variation) in the price of an instrument, the most well known being the average true range and the rolling standard deviation. Volatility indicators form the key components of most bands and trailing stops indicators, but can also be used to normalize oscillators, they are therefore extremely versatile.
Today proposed indicator aim to compare the estimated volatility of two instruments in order to provide various informations to the user, especially about risk and profitability.
CALCULATION
The relative normalized volatility (RNV) indicator is the ratio between the moving average of the absolute normalized price changes value of two securities, that is:
SMA(|Δ(a)/σ(a)|)
―――――――――――
SMA(|Δ(b)/σ(b)|)
Where a and b are two different securities (note that notation "Δ(x)" refer to the 1st difference of x, and the "||" notation is used to indicate absolute value, for example "|x|" means absolute value of x) .
INTERPRETATION
The indicator aim tell us which security is more volatile between a and b , with a value of the indicator greater than 1 indicating that a is on average more volatile than b over the last length period, while a value lower than 1 indicating that the security b is more on average volatile than a .
The indicator use the current symbol as a , while the second security b must be defined in the setting window (by default the S&P500). Risk and profitability are closely related to volatility, as larger price variations could potentially mean larger losses (but also larger gains), therefore a value of the indicator greater than 1 can indicate that it could be more risked (and profitable) to trade security a .
RNV using AMD (top) volatility against Intel (bottom) volatility.
RNV using EURUSD (top) volatility against USDJPY (bottom) volatility.
Larger values of length will make the indicator fluctuate less often around 1. You can also plot the logarithm of the ratio instead in order to have the indicator centered around 0, it will also help make values originally below 1 have more importance in the scale.
POSSIBLE ERRORS
If you compare different types of markets the indicator might return NaN values, this is because one market might be closed, for example if you compare AMD against BTCUSD with the indicator you will get NaN values. If you really need to compare two markets then increase your time frame, else use an histogram or area plot in order to have a cleaner plot.
CONCLUSION
An original indicator comparing the volatility between two securities has been presented. The choice of posting a volatility indicator has been made by my twitter followers, so if you want to decide which type of indicator i should do next make sure to check my twitter to see if there are polls available (i should do one after every posted indicator).
Quansium Allocation RatioThis tool finds the most optimal allocation size for each trading setup. It has 3 modes.
Basic (it meets the minimum profitability requirements):
% Profitable: the probability of winning and is calculated by dividing the number of winning trades by the total number of trades.
Profit Ratio: a measure of the ability to generate profit instead of loss and is calculated by taking the average profit from all winning trades divided by the average losses on all losing trades.
Medium (it takes into account the maximum loss to stabilize the overall risk among the partitions):
Max Drawdown: the "worst-case scenario" for a trading period. It measures the greatest distance, or loss, from a previous equity peak.
Advanced (loss is not the only risk taken, the reward to risk ratio must also be accounted for):
Monthly Profit: the amount of average return a system provides on a monthly basis.
Monthly Loss: the highest loss given during the period of a month. It can be substituted by the Max Drawdown.
Notes :
The "check boxes" inputs are there as cosmetic separators.
"Basic" mode comes with preset values. To activate other modes, you must use a value higher than "0".
This shows the amount of percentage you should allocate for the setup you inserted the metrics for.
It is recommended to get values for each mode and find out on past data which works best for you.
ATR based Stop and Take-Profit levels in realtime Little tool to quickly identify stops and take-profit levels based on Average True Range. User can change ATR multipiers, as well as the ATR length used. Green and red lines show these levels; plot is visible over last 8 bars only to reduce clutter. Label showing the current ATR, up above the last bar
Risk Analysis PanelThis Risk Analysis Panel is a great tool to assess risk associated during entry and best possible entry price including with your preferred take profit %
GUIDELINE
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Volume Ratio: More than 1 is good indicator. The higher the better
Risk/Reward Ratio: Less than 1 is good indicator. The lower the better
(15) Trade Risk Reduction VS-132TRR calculates the volatility of your stock. This is just the magnitude of each days price fluctuations, or what technicians refer to as the True Range. TRR averages the True Range (ATR) over three different time periods.
Why three? You want a sensitive indicator that reflect both the long term historical volatility of the equity as well as what that volatility is right now. Obviously the most recent trading days are the most important. The three ATR periods and their weighting factors are:
1) We use a 251 day period which equates to 1 trading year because we want to know what the historical volatility is. This one year period is not weighted.
2) We utilize a 21 day period because the most recent weeks tells us what the stock volatility has been over the previous calendar month. This is weighted by a factor of 2.
3) Finally, we utilize the last weeks data, Last 5 days, (L5D) to provide us with the stocks movement in the most recent trading days. This is weighted by a factor of 4.
The total of ATR251*(1) + ATR21*(2) + ATR5*(4) is then divided by the total of all factors (7).
This results in the Weighted Average True Range that the Trade Risk Reduction utilizes to produce the dynamic bands on your charts as well as power the Risk and Stop loss calculators. These indicate where this indicator is currently recommending you place stops. In the Format options of the application you are provided with the ability to adjust these band. Keep in mind that each stock will act in it's own unique and characteristic way. Looking closely at the stock's historical data, both in longer and shorter time periods should provide you with some insight into the normal variations and fluctuations of this particular equity. Below EBAY provides an example of this.
Access this Genie indicator for your Tradingview account, through our web site. (Links Below) This will provide you with additional educational information and reference articles, videos, input and setting options and trading strategies this indicator excels in.
