Modern Portfolio Theory
The indicator is designed to apply the principles of Modern Portfolio Theory, a financial theory developed by Harry Markowitz. MPT aims to maximize portfolio returns for a given level of risk by diversifying investments.
User Inputs:
Users can customize various parameters, including the bar scale, risk-free rate, and the start year for the portfolio. Additionally, users can assign weights to different assets (symbols) in the portfolio.
Asset Selection:
Users can choose up to 10 different symbols (assets) for the portfolio. The script supports a variety of symbols, including cryptocurrencies such as BTCUSD and ETHUSD.
Weights and Allocation:
Users can assign weights to each selected asset, determining its percentage allocation in the portfolio. The script calculates the total portfolio weight to ensure it equals 100%. If total portfolio weight is lower then 100% you will see orange color with additional cash % bellow
If total portfolio weight is bigger then 100% you will see red big % warning.
Warning: (Total Weight must be 100%)
Cash Mode:
Risk and Return Calculation:
The script calculates the daily returns and standard deviation for each selected asset. These metrics are essential for assessing the risk and return of each asset, as well as the overall portfolio.
Scatter Plot Visualization:
The indicator includes a scatter plot that visualizes the risk-return profile of each asset. Each point on the plot represents an asset, and its position is determined by its risk (X-axis) and return (Y-axis).
Portfolio Optimization:
The script calculates the risk and return of the overall portfolio based on the selected assets and their weights. Based on the selected assets and their weights user can create optimal portfolio with preferable risk and return.
It then plots the portfolio point on the scatter plot, indicating its risk-return profile.
Additional Information:
The indicator provides a table displaying information about each selected asset, including its symbol, weight, and total portfolio weight. The table also shows the total portfolio weight and, if applicable, the percentage allocated to cash.
Visualization and Legend:
The script includes visual elements such as a legend, capital allocation line (CAL), and labels for risk-free rate and key information. This enhances the overall understanding of the portfolio's risk and return characteristics.
User Guidance:
The script provides informative labels and comments to guide users through the interpretation of the scatter plot, risk-return axes, and other key elements.
Interactivity:
Users can interact with the indicator on the TradingView platform, exploring different asset combinations and weightings to observe the resulting changes in the portfolio's risk and return.
In summary, this Pine Script serves as a comprehensive tool for traders and investors interested in applying Modern Portfolio Theory principles to optimize their portfolio allocations based on individual asset characteristics, risk preferences, and return
The indicator is designed to apply the principles of Modern Portfolio Theory, a financial theory developed by Harry Markowitz. MPT aims to maximize portfolio returns for a given level of risk by diversifying investments.
User Inputs:
Users can customize various parameters, including the bar scale, risk-free rate, and the start year for the portfolio. Additionally, users can assign weights to different assets (symbols) in the portfolio.
Asset Selection:
Users can choose up to 10 different symbols (assets) for the portfolio. The script supports a variety of symbols, including cryptocurrencies such as BTCUSD and ETHUSD.
Weights and Allocation:
Users can assign weights to each selected asset, determining its percentage allocation in the portfolio. The script calculates the total portfolio weight to ensure it equals 100%. If total portfolio weight is lower then 100% you will see orange color with additional cash % bellow
If total portfolio weight is bigger then 100% you will see red big % warning.
Warning: (Total Weight must be 100%)
Cash Mode:
Risk and Return Calculation:
The script calculates the daily returns and standard deviation for each selected asset. These metrics are essential for assessing the risk and return of each asset, as well as the overall portfolio.
Scatter Plot Visualization:
The indicator includes a scatter plot that visualizes the risk-return profile of each asset. Each point on the plot represents an asset, and its position is determined by its risk (X-axis) and return (Y-axis).
Portfolio Optimization:
The script calculates the risk and return of the overall portfolio based on the selected assets and their weights. Based on the selected assets and their weights user can create optimal portfolio with preferable risk and return.
It then plots the portfolio point on the scatter plot, indicating its risk-return profile.
Additional Information:
The indicator provides a table displaying information about each selected asset, including its symbol, weight, and total portfolio weight. The table also shows the total portfolio weight and, if applicable, the percentage allocated to cash.
Visualization and Legend:
The script includes visual elements such as a legend, capital allocation line (CAL), and labels for risk-free rate and key information. This enhances the overall understanding of the portfolio's risk and return characteristics.
User Guidance:
The script provides informative labels and comments to guide users through the interpretation of the scatter plot, risk-return axes, and other key elements.
Interactivity:
Users can interact with the indicator on the TradingView platform, exploring different asset combinations and weightings to observe the resulting changes in the portfolio's risk and return.
In summary, this Pine Script serves as a comprehensive tool for traders and investors interested in applying Modern Portfolio Theory principles to optimize their portfolio allocations based on individual asset characteristics, risk preferences, and return
版本注释
Fixed: risk labels版本注释
-版本注释
-开源脚本
本着TradingView的真正精神，此脚本的创建者将其开源，以便交易者可以查看和验证其功能。向作者致敬！虽然您可以免费使用它，但请记住，重新发布代码必须遵守我们的网站规则。
免责声明
这些信息和出版物并不意味着也不构成TradingView提供或认可的金融、投资、交易或其它类型的建议或背书。请在使用条款阅读更多信息。
开源脚本
本着TradingView的真正精神，此脚本的创建者将其开源，以便交易者可以查看和验证其功能。向作者致敬！虽然您可以免费使用它，但请记住，重新发布代码必须遵守我们的网站规则。
免责声明
这些信息和出版物并不意味着也不构成TradingView提供或认可的金融、投资、交易或其它类型的建议或背书。请在使用条款阅读更多信息。