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SPX Fair Value Strategy UltimateThis is a strategy using the SPX Fair Value derived from Net Liquidity. Net Liquidity function is simply: Fed Balance Sheet - Treasury General Account - Reverse Repo Balance Formula for calculating the fair value of SPX using Net Liquidity looks like this: net_liquidity/1000000000/1.1 -1625 The SPX Fair Value is then subtracted from the SPX value which creates an oscillating diff value. When diff is greater than 350, SPX is considered overbought and we go short/sell. When diff is less than -150, SPX is considered oversold and we cover/buy. The net liquidity values I calculate outside of TradingView. If you'd like the strategy to work for future dates, you'll need to update them. Paremeters: Strategy: Short Only, Long Only, Long/Short Inverse (bool): check if using an inverse ETF to go long instead of short. Start After Date: When the strategy should start trading Close Date: Day to close open trades. I just like it to get complete results rather than the strategy ending with open trades.
Pine Script®策略
由calebsandfort提供
19
Enhanced SPX and BTC Overlay with EMASPX-BTC Momentum Gauge and EMA Cross Indicator Thorough Analysis: • Combined Overlay (Green/Red Line): o Function: Plots a wide line over the price chart, representing a composite of SPX and BTC dynamics adjusted by volume data. o Color Coding:  Green: Indicates bullish conditions when the combined value exceeds its 10-period SMA and Bitcoin volume increases.  Red: Signals bearish conditions when the combined value drops below its 10-period SMA and Bitcoin volume decreases. o Line Characteristics:  Width: Set at 8 for high visibility.  Transparency: 86% for both colors to overlay without obscuring candlesticks.  Scaling: Uses a factor of 0.02446 to amplify movements, making trend changes more noticeable. • Continuous Bright Red and Green Lines: o 20-period EMA of Current Ticker (Red):  Purpose: Acts as a medium-term trend indicator, smoothing price data to reflect the asset's general direction over time.  Color: Bright red for easy identification.  Transparency: 60% to keep it visible but not overpowering. o 5-period EMA of BTC (Green):  Purpose: Provides insights into short-term Bitcoin momentum, capturing rapid changes in market sentiment.  Color: Bright green to distinguish from the red EMA.  Transparency: 30% for high visibility against price movements. Detailed Analysis of the EMA Cross: • Crossing Points: o Bullish Crossover:  Occurs when the 5-period BTC EMA (green) moves above the 20-period EMA of the current ticker (red).  Suggests that Bitcoin's short-term momentum is gaining strength relative to the asset's medium-term trend, potentially signaling an upcoming uptrend or strengthening of an existing one. o Bearish Crossover:  When the green line falls below the red, it indicates that Bitcoin's immediate momentum is weakening compared to the asset's medium-term trend, which might precede a downtrend or confirm one. • Early Trade Signals: o Entry/Exit Points:  These crossovers can guide traders in making timely decisions to enter or exit trades, especially when corroborated by the combined overlay's color. o Confirmation:  EMA crossovers can confirm trends indicated by the combined overlay. For example, a bullish crossover with a green combined line could validate a buying opportunity. o Volatility Insights:  The rapid shifts in Bitcoin's 5-period EMA highlight potential volatility spikes, offering an additional layer of market analysis, particularly useful in volatile markets. • Strategic Use: o Multi-Market Insight: The script integrates data from both traditional (SPX) and crypto (BTC) markets, allowing for a more comprehensive analysis of market conditions. o Decision-Making: Provides traders with visual cues for market sentiment, trend direction, and potential reversals, enhancing strategic trading decisions. o Trend Confirmation: The combination of EMA crossovers and the overlay's color changes offers a multi-faceted approach to trend confirmation or divergence. In Summary: • This script merges elements of traditional stock market analysis with cryptocurrency dynamics, utilizing color changes, line thickness, and EMA crossovers to visually communicate market conditions, offering traders a robust tool for analyzing and acting on market movements.
Pine Script®指标
由george.sabin.73提供
SPX Open vs SMA AlertThis indicator is specifically designed to identify the first market-relevant candle of the S&P 500 (SPX) after the market opens. The opening price of the trading day is compared to a customizable simple moving average (SMA) period. A visual marker and an alert are triggered when the opening price is above the SMA. Perfect for traders seeking early market trends or integrating automated trading strategies. Features: Market Open: The indicator uses the New York market open time (09:30 ET), accounting for time zones and daylight saving time changes. Flexible Time Offset: Users can set a time offset to trigger alerts after the market opens. Customizable SMA: The SMA period is adjustable, with a default value of 10. Visual Representation: A step-line SMA is plotted directly on the chart with subtle transparency and clean markers. Alert Functionality: Alerts are triggered when conditions are met (opening price > SMA). Usage: This indicator is ideal for identifying relevant trading signals early in the session. Alerts can also serve as triggers for automated trading, e.g., in conjunction with the Trading Automation Toolbox. Supports both intraday and daily charts. Alarm Settings: Select the appropriate symbol (e.g., SPX) and the alert condition "SPX Open > SMA10". Trigger Settings: Choose "Once Per Bar Close" to ensure the condition is evaluated at the end of each candle. If you prefer to evaluate the condition immediately when it becomes true, choose "Once Per Minute". Duration: Set the alarm to "Open-ended" if you want it to remain active indefinitely. Alternatively, set a specific expiration date for the alarm.
Pine Script®指标
由alioska777提供
SPX Options Days Drop By DeltaSimple script that uses the percentage drop for a particular options delta and DTE to show how often you would be assigned on selling cash secured Puts (or naked Puts). Calculate the estimated percentage drop by finding your desired delta in the options chain and divide that price by the current price. For example a Delta of 10% could be $4055 with a current price of $4161 on a given day. The price differential is 2.5%. We test for how many times a 2.5% drop is encountered for our days to expiry (DTE) as this will be the number of times you would be assigned for that position. The lower the Delta the more the price has to drop ie a Delta of 7% would require a 4% drop etc. Objective is to NEVER be "assigned" and make "fee money" selling premium ie Puts. SPX options expire 3 times a week as do SPY options SPX options use the European model SPX options settle in cash ie you are not assigned NOTE: If you change your DTE you change your Delta and therefore your percentage differential.
Pine Script®指标
由jroche1973提供
SPX overnightThis script calculates SPX value during off trading hours, including overnight after the afterhours (before the pre hours of trading), based on value of ES1! Script is intended to be used only with ES1! ticker, for now and timeframes up to 120 minutes. It draws a line of ES1! price at NYSE previous day's closing time (4pm NY time) and displays change since that moment and caluclates spx value based on these data. Also it can draw a previous week's closing line as well. Whoever wants to improve this script is more than welcome to do it. I just did it to be enough for what I needed it.
Pine Script®指标
由domsito提供
2
SPX Fair Value Bands V2An updated version of the SPX Fair Value Bands script from dharmatech and based on the net liquidity concept by MaxJAnderson . Now with full customization of parameters through the settings (Dialog Box) and allowing the options to the use of 1) Standard Bands based on Offsets of the Fair Value 2) Bollinger Bands 3) Keltner Channels to better capture buy/sell areas rather than relying on noisy unreliably (and unevenly) updated data from the Treasury/Fed. ================================== Net Liquidity's importance in the new post-COVID QE to QT regime as described MaxJAnderson ---------------- " In past cycles, size of Fed's balance sheet changed a lot, while TGA and RRP changed relatively little. So size of balance sheet roughly equated Net Liquidity. (The Treasury General Account) TGA and (Reverse Repo) RRP didn't matter. They were rounding errors by comparison. But starting in 2020, relative changes in TGA and RRP have been THREE TIMES LARGER than the change in size of the Fed's balance sheet. As result, changes in TGA and RRP have taken over as the primary drivers Net Liquidity. This is new, and changes the game significantly. Again - the size of the Fed's balance sheet doesn't matter. What matters is the portion of it that's available to circulate in the economy (Net Liquidity). And ever since 2020, the Treasury and Reverse Repo have become what controls that. Not the size of Fed's balance sheet. ---------------- The idea that follows is simple,short when $SPX reaches extreme levels of overvaluation, and close out when SPX returns to being undervalued. Here's the formulas I currently use to determine fair value: Fair Value = (Fed Bal Sheet - TGA - RRP)/1.1 - 1625 And here's the trading rules I currently follow: Short when diff of $SPX - Fair Value > 350 Close when diff of $SPX - Fair Value < 150 When one of these rules is triggered upon market close on a given day, trades are entered at open of the following day "
Pine Script®指标
由TraderLeibniz提供
6
SPX Intraday Mood IndicatorThe SPX Intraday Mood Indicator tries to gauge the intraday market direction of the S&P 500 (SPX) by focusing on internal market data. Based on the 0DTE Mood Indicator concept. Overall strength/weakness is converted into a directional Mood Percentage which can help with choosing a trade type. Use at your own risk and discretion. Potential trade ideas offer no guarantees. Intraday Charts Only. Turn off extended hours data. Only works on SPX. This first version is untested and I am only sharing it to gather feedback on its accuracy, use at your own risk.
Pine Script®指标
由millerrh提供
50
SPX EMA 9/21 + VWAP Strategy1. Temporality: 2 minutes. 2. EMA 9 and EMA 21: • Purchase Call: when EMA 9 crosses up EMA 21 and the price is > VWAP. • Put : when EMA 9 crosses down EMA 21 and the price is < VWAP. 3. Stop and Take Profit: • Stop: candle closure on the other side of the VWAP. • TP: configurable in points (e.g. +10 pts, +20 pts) or up to the opposite crossing of EMAs. • Long enters when EMA 9 crosses up 21 and the price is above VWAP. • Short enters when the EMA 9 crosses down the 21 and the price is below VWAP. • TP and SL in SPX points (configurable in inputs). • You can run in 2 minutes on SPX.
Pine Script®策略
由resaka179提供
SPX ATR14 indicator This indicator works well on SPX 500 Needs to be inverted so Red is at the bottom Levels of pullbacks are used to determine trend . Pullback to the Green zone normal Bull Market Pullback to the Brown Zone are warning of potential Bear Market , but if it holds , just a deeper correction within a Bull Market Pullbacks into the Red , Bear Market . In Bear , wait until indicator is forming a reversal trend up and price should make a divergence by either making a new low or retesting previous low. The Blue MA is the 33 MA and can be used as a form of stop trend indicator on the cross below the MA
Pine Script®指标
由Vitalsigns提供
2
Rate Of Change - Weekly SignalsRate of Change - Weekly Signals This indicator gives a potential "buy signal" using Rate of Change of SPX and VIX together, using the following criteria: SPX Weekly ROC(10) has been BELOW -9 and now rises ABOVE -5 *PLUS* VIX Weekly ROC(10) has been ABOVE +80 and now falls BELOW +10 The background will turn RED when ROC(SPX) is below -9 and ROC(VIX) is above +80. The background will turn GREEN when ROC(SPX) is above -5 and ROC(VIX) is below +10. So the potential "buy signal" is when you start to get GREEN BARS AFTER RED - usually with some white/empty bars in between...but wait for the green. This indicates that the volatility has settled down, and the market is starting to turn up. This indicator gives excellent entry points, but be careful of the occasional false signals. See Nov. 2001 and Nov. 2008, in both cases the market dropped another 25-30% before the final bottom was formed. Always have an exit strategy, especially when buying in after a downtrend. How I use this indicator, pretty much as shown in the preview. Weekly SPX as the main chart with some medium/long moving averages to identify the trend, VIX added as a "Compare Symbol" in red, and then the Weekly ROC signals below. For the ROC graphs, you can show SPX+VIX together, SPX alone, or VIX alone. I prefer to display them separately because they don't scale well together (VIX crowds out the SPX when it spikes). Background color is still based on both SPX/VIX together, regardless of which graph is shown. Note that there is no VIX data available on Trading View prior to 1990, so for those dates the formula is using only ROC(SPX) and the assigned thresholds (-9 and -5, or whatever you choose).
Pine Script®指标
由nj_guy72提供
1
Expected SPX Movement by timeframeTHIS INDICATOR ONLY WORKS FOR SP:SPX CHART This code will help you to measure the expected movement of SP:SPX in a previously selected timeframe based on the current value of VIX index E.g. if the current value of VIX is 30 we calculate first the expected move of the next 12 months. If you selected the Daily timeframe it will calculate the expected move of SPX in the next Day by dividing the current VIX Value by the squared root of 252 (The 252 value corresponds to the approximate amount of trading sessions of the year) If you selected the Weekly timeframe it will calculate the expected move of SPX in the next Week by dividing the current VIX Value by the squared root of 52 (The 52 value corresponds to the amount of weeks of the year) If you selected the Monthly timeframe it will calculate the expected move of SPX in the next Week by dividing the current VIX Value by the squared root of 12 (The 12 value corresponds to the amount of months of the year) For lower timeframes you have to calculate the amount of ticks in each trading session of the year in order to get that specific range Once you have that calculation it it'll provide the range expressed as percentage of the expected move for the following period. This script will plot that information in a range of 2 lines which represents the expected move of the SPX for the next period The red flag indicator tells if that period closed between the 2 previous values marked by the range
Pine Script®指标
由rhvarelav提供
SectorsThis script attempts to show the relative strength of the 11 sectors in the SPX, which can be accomplished in three ways: 1. Sectors - displays all sector indices as they appear normally 2. Sector Relativity - displays each sector divided by the sum of the other 10 sectors 3. Sector Alpha - displays the alpha of each sector as compared to the sum of the other 10 sectors I have seen some other iterations of this script that compare each sector to the SPX as a whole, a couple problems with that: 1. SPX sector weightings are unequal and change quarterly, meaning you will get an inaccurate depiction of relative sector strength across time. 2. Even if using an equal-weight SPX, you would be comparing a sector to itself as all 11 sectors are included in the SPX, not just the complementary 10 you are looking to compare one sector to. For more information on the sectors in the SPX or the calculation of Alpha, visit the links at the top of the script. *Includes an option for repainting -- default value is true, meaning the script will repaint the current bar. False = Not Repainting = Value for the current bar is not repainted, but all past values are offset by 1 bar. True = Repainting = Value for the current bar is repainted, but all past values are correct and not offset by 1 bar. In both cases, all of the historical values are correct, it is just a matter of whether you prefer the current bar to be realistically painted and the historical bars offset by 1, or the current bar to be repainted and the historical data to match their respective price bars. As explained by TradingView,`f_security()` is for coders who want to offer their users a repainting/no-repainting version of the HTF data.
Pine Script®指标
由MartinShkreIi提供
11
VIX Term Structure Pro [v7.0 Enhanced]# VIX Term Structure Pro v7.0 [! (img.shields.io)](www.tradingview.com) [! (img.shields.io)](www.tradingview.com) [! (img.shields.io)](LICENSE) **Professional VIX-based Market Sentiment & Timing Indicator** 专业的 VIX 市场情绪与择时指标 --- ## 🌟 Overview / 概述 VIX Term Structure Pro is an advanced multi-factor market timing indicator that analyzes the VIX futures term structure, volatility regime, and market breadth to generate actionable buy/sell signals. VIX Term Structure Pro 是一款高级多因子市场择时指标，通过分析 VIX 期货期限结构、波动率区间及市场广度，生成可操作的买卖信号。 --- ## 🚀 Key Features / 核心功能 ### 📊 Multi-Factor Scoring System / 多因子评分系统 - **Term Structure Z-Score**: Measures deviation from historical mean / 期限结构 Z 分数：衡量与历史均值的偏离 - **VIX/VX1 Basis**: Spot premium detection for panic signals / VIX 现货溢价：恐慌信号检测 - **Contango Analysis**: Futures curve shape insights / 期货升水分析 - **SKEW Integration**: Options skew for tail risk / SKEW 整合：尾部风险监测 - **Put/Call Ratio**: Sentiment extremes / 看跌/看涨比率：情绪极端 - **VVIX Support**: Volatility of volatility (optional) / VVIX 支持：波动率的波动率 ### 🎯 Three-Tier Signal System / 三级信号系统 | Signal | Score | Description | |--------|-------|-------------| | 🚨 **CRASH BUY** | ≥ 6 | Extreme panic, rare opportunity / 极端恐慌，罕见机会 | | 🟢 **STRONG BUY** | ≥ 5 | Multi-factor confluence / 多因子共振 | | 🟡 **BUY DIP** | ≥ 4 | Accumulate on weakness / 逢低吸纳 | | 🟠 **SELL/HEDGE** | ≤ -2 | Consider reducing risk / 考虑减仓对冲 | | 🔴 **STRONG SELL** | ≤ -5 | Strong bearish signals / 强烈看跌信号 | | 🔥 **EUPHORIA SELL** | ≤ -6 | Extreme greed, sell signal / 极度贪婪，卖出信号 | ### 📈 Dashboard Indicators / 仪表盘指标解读 | Indicator | Bullish 🟢 | Bearish 🔴 | |-----------|------------|------------| | Overall Bias | STRONG BUY / BUY DIP | STRONG SELL / SELL/HEDGE | | AI Score | ≥ 5 (Extreme Fear) | ≤ -5 (Extreme Greed) | | Market Trend | 🟢SPX 🟢NDX (Above MA200) | 🔴SPX 🔴NDX (Below MA200) | | VIX Regime | LOW VOL (<15) | HIGH VOL (>25) | | Term Struct Z | < -2.0 (Panic) | > 2.0 (Complacency) | --- ## ⚙️ Configuration / 配置选项 ### 📡 Data Sources / 数据源 - **VIX Symbol**: Default `CBOE:VIX` (Alternative: `TVC:VIX`) - **Put/Call Ratio**: Default `INDEX:CPCI` (Index P/C) - **Timeframe**: Daily (stable) or Chart (real-time) ### ⚠️ Strategy Mode / 策略模式 - **High (Scalping)**: Sensitive, for short-term trades / 高敏感，短线 - **Normal (Swing)**: Balanced approach / 平衡模式 - **Low (Trend/Safe)**: Conservative, trend-following / 保守，趋势跟踪 ### 🔬 Backtest Mode / 回测模式 - **OFF (Real-time)**: Shows current day data, suitable for live monitoring / 显示当日数据，适合实盘监控 - **ON (Historical)**: Uses only confirmed data, avoids look-ahead bias / 仅使用已确认数据，避免未来函数 --- ## 📖 Usage Guide / 使用指南 ### Best Practices / 最佳实践 1. **Apply to SPX/SPY/QQQ daily charts** for optimal signal accuracy 在 SPX/SPY/QQQ 日线图上使用，信号准确度最佳 2. **Wait for next trading day** to execute signals (signals trigger on daily close) 信号触发后在下一交易日执行（信号基于日线收盘） 3. **Use in conjunction with price action** for confirmation 结合价格走势确认信号 4. **Enable Market Trend Filter** (MA200) for safer entries in uncertain markets 开启趋势过滤（MA200）以在不确定市场中更安全入场 ### Signal Interpretation / 信号解读 ``` 🚨 CRASH BUY (Score ≥ 6) → Rare extreme panic event → Historical average return: significant positive over 2 months → Consider aggressive positioning 🟢 STRONG BUY (Score ≥ 5) → Multiple indicators align → Historical average return: positive over 1 month → Consider building positions 🟡 BUY DIP (Score ≥ 4) → Moderate fear detected → Suitable for adding to existing positions → Filtered out in bear markets if Trend Filter is ON ``` --- ## 📊 Historical Statistics / 历史统计 The indicator tracks signal frequency and average subsequent returns: - **CRASH BUY**: 40-day return period (~2 months) - **STRONG BUY**: 20-day return period (~1 month) - **BUY DIP**: 10-day return period (~2 weeks) 指标追踪信号频率和后续平均收益，可在仪表盘中查看历史统计。 --- ## 🔔 Alerts / 警报 Built-in alert conditions with cooldown mechanism to prevent spam: | Alert | Condition | |-------|-----------| | Crash Buy Alert | Score ≥ 6, extreme panic | | Strong Buy Alert | Score ≥ 5, multi-factor confluence | | Buy Dip Alert | Score ≥ threshold | | Euphoria Sell Alert | Score ≤ -6, extreme greed | | Strong Sell Alert | Score ≤ -5 | | VIX Basis Panic | VIX spot premium spike | --- ## 📋 Changelog / 更新日志 ### v7.0 (Current) - ✨ Three-tier buy/sell signal system - 📊 Signal statistics with average return tracking - 🔬 Backtest Mode toggle for historical testing - 🎨 Configurable ±1 Z-Score reference lines - ⚡ Modular scoring functions - 🛡️ Dual index trend display (SPX + NDX) - 📱 Compact & Full dashboard modes --- ## ⚠️ Disclaimer / 免责声明 **English:** This indicator is for educational and informational purposes only. It does not constitute financial advice. Past performance does not guarantee future results. Always do your own research and consider your risk tolerance before trading. **中文：** 本指标仅供教育和信息参考，不构成投资建议。过往表现不代表未来收益。交易前请自行研究并评估风险承受能力。 --- ## 📄 License / 许可证 MIT License - Feel free to use, modify, and share. --- ## 🤝 Contributing / 贡献 Issues and pull requests are welcome! 欢迎提交问题和贡献代码！ --- **Made with ❤️ for the trading community** **为交易社区用心打造**
Pine Script®指标
由aaajiao提供
GEX / Gamma - SPX Indicator Description – GEX / Gamma (SPX) This indicator allows you to manually plot your daily +GEX, TRANS-GEX, and –GEX levels on SPX and visualize how price reacts around key gamma zones. You enter the three levels each morning, and the script automatically draws: +GEX / TRANS / –GEX zones with an adjustable buffer Clean labels (e.g., “+GEX: 6850”) pinned to the right side of the chart Today-only candle coloring (green above TRANS-GEX, red below) Zones extend from yesterday’s session through the current session, helping highlight areas where dealer hedging flows may influence volatility, compression, or acceleration. How to Use Add the indicator to any intraday SPX chart. Open settings and enter your +GEX, TRANS-GEX, and –GEX levels for the day. Adjust the buffer, colors, and label style as needed. Watch how price behaves as it moves above or below TRANS-GEX and interacts with +/- GEX zones. Best For Intraday SPX / ES / SPY Options traders Volatility and gamma-aware strategies Strategy Behind It (Tight Version) GEX levels help identify where dealer hedging flows can influence SPX price behavior. +GEX (Positive Gamma) Market tends to stabilize here. Dealers hedge against price moves, creating mean-reversion and lower volatility. TRANS-GEX (Transition Level) Key pivot where gamma flips. Price crossing this level often signals a shift in volatility or intraday direction. –GEX (Negative Gamma) Market becomes more reactive. Dealers hedge with price, increasing volatility, momentum, and trend potential. How traders use it: Expect resistance or slowdown into +GEX Watch for potential bottoming or increased volatility –GEX Use TRANS-GEX as a bias line or trigger for intraday shifts A move outside of either the +GEX or -GEX will likely result in some type of high volume move.
Pine Script®指标
由OptionScalps提供
1