Risk Metrics for Crypto. Market can be set to BTCUSD, BTCEUR, BTCCHF, BTCGBP, BTC1!, BTC2!, SPX, and DTB3 Beta Correlation Standard Deviation Variance R-squared
This 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...
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'...
Portfolio Metrics... Standard Deviation Jensen's Alpha Beta Expected Return (CAPM, Ra) Sharpe Ratio Treynor Ratio
Psychology 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...
Riskon 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...
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...
Systematic Momentum strategy v 1.0 This is a long-only strategy optimized taking into consideration the underlying's momentum and volatily. Long story short it opens positions when the momentum is highest and the risk is lowest and closes the same position when the risk-to-reward is no longer optimal. How to use: -> To be used on an Index or a tracker ETF ->...
Drawdown 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...
This 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
This 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...
There 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...
This script is the backtesting for Reticulata Enhanced. Building on our core script - Reticulata, the enhanced version features several requested extras to give you more flexibility with your trading style. What is Reticulata Enhanced? The Reticulata core leverages a blend of MA/RSI strategies mixed with the Bull Bear Bots optimised logic for risk management....
This 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...
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
This 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 ♦♦♦♦♦♦♦♦♦ 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
TRR 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...
Designed specifically for Bitcoin on the daily chart, this indicator calculates risk, based on average divergence and extension. Zone transitions are specific areas of interest, for example, where entering green zone below value .17 a low risk period with very good buying opportunities begins. On the other hand transitions into red zones, for example above .57...