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ICT Indicator: Regular Trading Hour Standard Deviations (1min)Built by ICT Alumni - for ICT Alumni. Automatic real-time trading hours (RTH) gap detection with standard deviation projections, and visual customization designed for traders who trade based on ICT principles. Known as the "Ghost in the Machine" ICT is perhaps the greatest persona on finX. Designed with ICT principals and customization in mind. Includes: Transform overnight gaps into actionable statistical reference points throughout the trading day. Using the gap size as standard deviations, it projects clear price targets above and below while maintaining critical levels. A visual hierarchy with line length and darkness, ICT RTH SDVS gives you the same statistical framework institutional traders have used for decades to analyze gap behavior and make informed decisions. This isn't a get-rich-quick indicator promising unrealistic returns; it's a precision analytical tool for disciplined traders who understand that great tools support great decisions, but the trading is still up to you. Works on all timeframes <1hr Additional changes/updates will be released periodically, requested changes/updates may be freely messaged through Tradingview - we will do our best to update as users request. All support is greatly appreciated. Good luck and good trading!
Pine Script® インジケーター
TradesByMolkの投稿
NWOG/NDOG+ [txntradez]NWOG/NDOG+ Track Opening Gaps Like a Pro Ever wonder why price keeps gravitating back to those overnight and weekend gaps? This indicator helps you visualize and track New Day Opening Gaps (NDOG) and New Week Opening Gaps (NWOG) with precision timing controls designed for serious traders across all markets. What It Does This tool automatically identifies and draws opening gaps between session closes and opens. Whether you're trading futures (ES, NQ, YM, RTY), stocks (SPY, QQQ), crypto (BTC, ETH), forex, or any other market, you'll see exactly where price left unfilled zones that often act as magnets for future price action. NDOG: Tracks weekday session gaps (Monday through Thursday) NWOG: Tracks weekend gaps (Friday close to Sunday/Monday open) Key Features 📍 Flexible Time Configuration - Set your exact session times for any market. Configure Electronic Trading Hours (ETH) and Regular Trading Hours (RTH) to match your trading instrument. Works across all timezones. 🎯 Smart Fallback System - Automatically detects zero-gap scenarios and uses alternative reference times to ensure accurate tracking even on slow days. 📊 Real-Time Fill Tracking - Watch as price interacts with each gap. Choose between wick, body, or combined fill measurements to match your trading style. 📈 Fibonacci Levels - Optional 25%, 50%, and 75% quadrant levels within each gap for precise entry and exit planning. 🎨 Fully Customizable - Control colors, line styles, label positions, transparency, and what information gets displayed. Make it yours. 📋 Interactive Status Table - See which gaps you're currently inside, how long they've been active, and their fill progress in real-time. 📊 Historical Analytics (Optional) - Enable advanced analytics to track gap behavior over time and identify high-probability zones. 🎯 Enhanced Reachability (Optional) - Get probability insights on which gaps are most likely to be reached next based on multiple market factors. Perfect For Futures, stocks, crypto, and forex traders Day traders and swing traders across all markets ICT and Smart Money Concepts practitioners Anyone who trades gaps as part of their strategy Traders who want clean, professional gap visualization ⚠️ IMPORTANT DISCLAIMER This indicator is a visualization and analysis tool only. It does NOT provide trade signals, buy/sell recommendations, or investment advice. All gap identification and probability calculations are for informational purposes. Past gap behavior does not guarantee future results. You are solely responsible for your own trading decisions and risk management. Trading futures, stocks, crypto, forex, and derivatives involves substantial risk of loss. This tool should be used as part of your own comprehensive trading plan and analysis. The indicator simply displays where gaps exist and tracks their fills - what you do with that information is entirely your decision. Always practice proper risk management and never risk more than you can afford to lose.
Pine Script® インジケーター
txntradezの投稿
Omega Stats Signal Pro趋势统计信号版 Short Description A trend statistical indicator based on Omega MA algorithm, integrated with smart risk management and sniper filters to generate clear long/short trading signals. Full Description This indicator is built on the proprietary Omega moving average algorithm, combining trend statistical analysis with dual trading strategies to adapt to different market conditions. It features smart risk management with auto-adaptive loss streak threshold and multiple sniper filters to screen high-quality trading signals, while providing real-time dashboard, detailed trade logs and quant-friendly JSON alerts for easy robot integration. Key Features: Dual strategy modes: Reverse Hedge (one position at a time) & Dual Independent (separate long/short management) Core Omega/Omega S MA algorithm for accurate trend detection Smart Risk Management: Auto-adaptive loss streak threshold (custom confidence) or manual fixed value Professional sniper filters: MFE (Maximum Favorable Excursion) strength, minimum profit, and forced take-profit by holding time Real-time dashboard with position status, risk radar, and historical trade statistics Quant-friendly JSON format alerts & detailed Pine Logs for trade tracking Overlay design with trend background color and clear long/short signal labels Works on multiple timeframes and all asset classes (stocks, forex, crypto, futures)
Pine Script® インジケーター
StarSongsの投稿
Volume Profile Skew [BackQuant]Volume Profile Skew Overview Volume Profile Skew is a market-structure indicator that answers a specific question most volume profiles do not: “Is volume concentrating toward lower prices (accumulation) or higher prices (distribution) inside the current profile range?” A standard volume profile shows where volume traded, but it does not quantify the shape of that distribution in a single number. This script builds a volume profile over a rolling lookback window, extracts the key profile levels (POC, VAH, VAL, and a volume-weighted mean), then computes the skewness of the volume distribution across price bins. That skewness becomes an oscillator, smoothed into a regime signal and paired with visual profile plotting, key level lines, and historical POC tracking. This gives you two layers at once: A full profile and its important levels (where volume is). A skew metric (how volume is leaning within that range). What this indicator is based on The foundation comes from classical “volume at price” concepts used in Market Profile and Volume Profile analysis: POC (Point of Control): the price level with the highest traded volume. Value Area (VAH/VAL): the zone containing the bulk of activity, commonly 70% of total volume. Volume-weighted mean (VWMP in this script): the average price weighted by volume, a “center of mass” for traded activity. Where this indicator extends the idea is by treating the volume profile as a statistical distribution across price. Once you treat “volume by price bin” as a probability distribution (weights sum to 1), you can compute distribution moments: Mean: where the mass is centered. Standard deviation: how spread-out it is. Skewness: whether the distribution has a heavier tail toward higher or lower prices. This is not a gimmick. Skewness is a standard statistic in probability theory. Here it is applied to “volume concentration across price”, not to returns. Core concept: what “skew” means in a volume profile Imagine a profile range from Low to High, split into bins. Each bin has some volume. You can get these shapes: Balanced profile: volume is fairly symmetric around the mean, skew near 0. Bottom-heavy profile: more volume at lower prices, with a tail toward higher prices, skew tends to be positive. Top-heavy profile: more volume at higher prices, with a tail toward lower prices, skew tends to be negative. In this script: Positive skew is labeled as ACCUMULATION. Negative skew is labeled as DISTRIBUTION. Near-zero skew is NEUTRAL. Important: accumulation here does not mean “buying will immediately pump price.” It means the profile shape suggests more participation at lower prices inside the current lookback range. Distribution means participation is heavier at higher prices. How the volume profile is built 1) Define the analysis window The profile is computed on a rolling window: Lookback Period: number of bars included (capped by available history). Profile Resolution (bins): number of price bins used to discretize the high-low range. The script finds the highest high and lowest low in the lookback window to define the price range: rangeHigh = highest high in window rangeLow = lowest low in window binSize = (rangeHigh - rangeLow) / bins 2) Create bin midpoints Each bin gets a midpoint “price” used for calculations: price = rangeLow + binSize * (b + 0.5) These midpoints are what the mean, variance, and skewness are computed on. 3) Distribute each candle’s volume into bins This is a key implementation detail. Real volume profiles require tick-level data, but Pine does not provide that. So the script approximates volume-at-price using candle ranges: For each bar in the lookback: Determine which bins its low-to-high range touches. Split that candle’s total volume evenly across the touched bins. So if a candle spans 6 bins, each bin gets volume/6 from that bar. This is a practical, consistent approximation for “where trading could have occurred” inside the bar. This approach has tradeoffs: It does not know where within the candle the volume truly traded. It assumes uniform distribution across the candle range. It becomes more meaningful with larger samples (bigger lookback) and/or higher timeframes. But it is still useful because the purpose here is the shape of the distribution across the whole window, not exact microstructure. Key profile levels: POC, VAH, VAL, VWMP POC (Point of Control) POC is found by scanning bins and selecting the bin with maximum volume. The script stores: pocIndex: which bin has max volume poc price: midpoint price of that bin Value Area (VAH/VAL) using 70% volume The script builds the value area around the POC outward until it captures 70% of total volume: Start with the POC bin. Expand one bin at a time to the side with more volume. Stop when accumulated volume >= 70% of total profile volume. Then: VAL = rangeLow + binSize * lowerIdx VAH = rangeLow + binSize * (upperIdx + 1) This produces a classic “where most business happened” zone. VWMP (Volume-Weighted Mean Price) This is essentially the center of mass of the profile: VWMP = sum(price * volume ) / totalVolume It is similar in spirit to VWAP, but it is computed over the profile bins, not from bar-by-bar typical price. Skewness calculation: turning the profile into an oscillator This is the main feature. 1) Treat volumes as weights For each bin: weight = volume / totalVolume Now weights sum to 1. 2) Compute weighted mean Mean price: mean = sum(weight * price ) 3) Compute weighted variance and std deviation Variance: variance = sum(weight * (price - mean)^2) stdDev = sqrt(variance) 4) Compute weighted third central moment Third moment: m3 = sum(weight * (price - mean)^3) 5) Standardize to skewness Skewness: rawSkew = m3 / (stdDev^3) This standardization matters. Without it, the value would explode or shrink based on profile scale. Standardized skewness is dimensionless and comparable. Smoothing and regime rules Raw skewness can be jumpy because: profile bins change as rangeHigh/rangeLow shift, one high-volume candle can reshape the distribution, volume regimes change quickly in crypto. So the indicator applies EMA smoothing: smoothedSkew = EMA(rawSkew, smooth) Then it classifies regime using fixed thresholds: Bullish (ACCUMULATION): smoothedSkew > +0.25 Bearish (DISTRIBUTION): smoothedSkew < -0.25 Neutral: between those values Signals are generated on threshold cross events: Bull signal when smoothedSkew crosses above +0.25 Bear signal when smoothedSkew crosses below -0.25 This makes the skew act like a regime oscillator rather than a constantly flipping color. Volume Profile plotting modes The script draws the profile on the last bar, using boxes for each bin, anchored to the right with a configurable offset. The width of each profile bar is normalized by max bin volume: volRatio = binVol / maxVol barWidth = volRatio * width Three style modes exist: 1) Gradient Uses a “jet-like” gradient based on volRatio (blue → red). Higher-volume bins stand out naturally. Transparency increases as volume decreases, so low-volume bins fade. 2) Solid Uses the current regime color (bull/bear/neutral) for all bins, with transparency. This makes the profile read as “structure + regime.” 3) Skew Highlight Highlights bins that match the skew bias: If skew bullish, emphasize lower portion of profile. If skew bearish, emphasize higher portion of profile. Else, keep most bins neutral. This is a visual “where the skew is coming from” mode. Historical POC tracking and Naked POCs This script also treats POCs as meaningful levels over time, similar to how traders track old VA levels. What is a “naked POC”? A “naked POC” is a previously formed POC that has not been revisited (retested) by price since it was recorded. Many traders watch these as potential reaction zones because they represent prior “maximum traded interest” that the market has not re-engaged with. How this script records POCs It stores a new historical POC when: At least updatebars have passed since the last stored POC, and The POC has changed by at least pochangethres (%) from the last stored value. New stored POCs are flagged as naked by default. How naked becomes tested On each update, the script checks whether price has entered a small zone around a naked POC: zoneSize = POC * 0.002 (about 0.2%) If bar range overlaps that zone, mark it as tested (not naked). Display controls: Highlight Naked POCs: draws and labels untested POCs. Show Tested POCs: optionally draw tested ones in a muted color. To avoid clutter, the script limits stored POCs to the most recent 20 and avoids drawing ones too close to the current POC. On-chart key levels and what they mean When enabled, the script draws the current lookback profile levels on the price chart: POC (solid): the “most traded” price. VAH/VAL (dashed): boundaries of the 70% value area. VWMP (dotted): volume-weighted mean of the profile distribution. Interpretation framework (practical, not mystical): POC often behaves like a magnet in balanced conditions. VAH/VAL define the “accepted” area, breaks can signal auction continuation. VWMP is a fair-value reference, useful as a mean anchor when skew is neutralizing. Oscillator panel and histogram The skew oscillator is plotted in a separate pane: Line: smoothedSkew, colored by regime. Histogram: smoothedSkew as bars, colored by sign. Fill: subtle shading above/below 0 to reinforce bias. This makes it easy to read: Direction of bias (positive vs negative). Strength (distance from 0 and from thresholds). Transitions (crosses of ±0.25). Info table: what it summarizes On the last bar, a table prints key diagnostics: Current skew value (smoothed). Regime label (ACCUMULATION / DISTRIBUTION / NEUTRAL). Current POC, VAH, VAL, VWMP. Count of naked POCs still active. A simple “volume location” hint (lower/higher/balanced). This is designed for quick scanning without reading the entire profile. Alerts The indicator includes alerts for: Skew regime shifts (cross above +0.25, cross below -0.25). Price crossing above/below current POC. Approaching a naked POC (within 1% of any active naked POC). The “approaching naked POC” alert is useful as a heads-up that price is entering a historically important volume magnet/reaction zone. How to use it properly 1) Regime filter Use skew regime to decide what type of trades you should prioritize: ACCUMULATION (positive skew): market activity is heavier at lower prices, pullbacks into value or below VWMP often matter more. DISTRIBUTION (negative skew): activity is heavier at higher prices, rallies into value or above VWMP often matter more. NEUTRAL: mean-reversion and POC magnet behavior tends to dominate. This is not “buy when green.” It is context for what the auction is doing. 2) Level-based execution Combine skew with VA/POC levels: In neutral regimes, expect rotations around POC and inside VA. In strong skew regimes, watch for acceptance away from POC and reactions at VA edges. 3) Naked POCs as targets and reaction zones Naked POCs can act like unfinished business. Common workflows: As targets in rotations. As areas to reduce risk when price is approaching. As “if it breaks cleanly, trend continuation” markers when price returns with force. Parameter tuning guidance Lookback Controls how “local” the profile is. Shorter: reacts faster, more sensitive to recent moves. Longer: more stable, better for swing context. Bins Controls resolution of the profile. Higher bins: more detail, more computation, more sensitive profile shape. Lower bins: smoother, less detail, more stable skew. Smoothing Controls how noisy the skew oscillator is. Higher smoothing: fewer regime flips, slower response. Lower smoothing: more responsive, more false transitions. POC tracking settings Update interval and threshold decide how many historical POCs you store and how different they must be. If you set them too loose, you will spam levels. If too strict, you will miss meaningful shifts. Limitations and what not to assume This indicator uses candle-range volume distribution because Pine cannot see tick-level volume-at-price. That means: The profile is an approximation of where volume could have traded, not exact tape data. Skew is best treated as a structural bias, not a precise signal generator. Extreme single-bar events can distort the distribution briefly, smoothing helps but cannot remove reality. Summary Volume Profile Skew takes standard volume profile structure (POC, Value Area, volume-weighted mean) and adds a statistically grounded measure of profile shape using skewness. The result is a regime oscillator that quantifies whether volume concentration is leaning toward lower prices (accumulation) or higher prices (distribution), while also plotting the full profile, key levels, and historical naked POCs for actionable context.
Pine Script® インジケーター
BackQuantの投稿
2
LDEF SENS Loss Dependent Error Filter Dominance Regime SwitchCAPITALCOM:GOLD LDEF SENS stands for Loss Dependent Error Filter. This indicator is a dominance regime filter with an adaptive switch boundary. It separates the market into two main states. Directional tradeable tape (trend and impulse conditions) Balanced noisy tape (higher fakeout probability) It also provides a dominance direction bias (bull vs bear) and an adaptive boundary you can use as a market switch signal. What you see in the indicator pane (bottom panel) Main line (0 to 100): dominance sensitivity score Line color meaning Green: bullish dominance (L greater than R) Red: bearish dominance (R greater than L) Gray: low strength or mixed tape Purple line: adaptive regime boundary (moving threshold) Violet shading: regime ON (tradeable conditions) Key idea: height equals strength, color equals direction, violet shading equals regime state. How to read the three images Image A - Regime ON in a trending environment Where to look Price panel: left to middle shows a clean up move Indicator panel: directly below the same time window Violet band is present for a sustained stretch Main line stays high and mostly green What it means When the violet band stays ON, the tape is directional enough for trend following setups to have higher quality. This is not an entry signal. It is an environment filter. Image B - Switch boundary and state changes Where to look Indicator panel: focus on the purple adaptive line and the main line crossing relative to it Watch the moment the main line moves above the purple line. In the same region, violet shading turns ON. What it means The purple line is the adaptive regime boundary. Cross above: regime switches toward directional tape (state change confirmation) Cross below: regime fades and chop risk returns Image C - Direction semantics inside a regime Where to look Indicator panel: inside violet shaded regions Main line is green during bullish dominance (L greater than R) Main line is red during bearish dominance (R greater than L) What it means Violet answers: is this a tradeable regime Green or red answers: which side is dominating Together, they provide a filter plus bias framework. Practical usage Regime filter Prefer setups only when the violet band is ON Reduce size or tighten criteria when the violet band is OFF Direction bias Prefer longs when the line is green Prefer shorts when the line is red Treat gray as no edge or mixed tape Switch boundary analysis Cross above purple: treat as regime shift confirmation Cross below purple: treat as regime cooling off and higher chop risk Limitations This is a regime and dominance tool, not a standalone entry generator. Regime confirmation can be late by design, especially after shocks. Use it with structure, liquidity, and risk management.
Pine Script® インジケーター
TheWannaBeQuantの投稿
5
Commodity Market Structure SuiteThe Commodity Market Structure Suite is a unified indicator combining three powerful analytical frameworks into one comprehensive tool for analyzing commodity markets. It integrates term structure analysis, spot-futures spread dynamics, and Commitment of Traders positioning data into a scientifically-weighted composite score. This indicator consolidates the functionality of three separate tools into one: 1. Futures Basis Suite (term structure, contango/backwardation) 2. Spot-Futures Spread (premium/discount, arbitrage) 3. Commodity Crowded Trade Suite (COT positioning) The composite score is calculated using weights derived from academic research on commodity futures returns. SCIENTIFIC FOUNDATION The indicator is built on established financial theory and recent academic research. THEORY OF STORAGE (Working 1933, Kaldor 1939) The Theory of Storage explains the relationship between spot and futures prices through the cost-of-carry model. The futures price equals the spot price plus storage costs, insurance, and financing costs, minus the convenience yield. The convenience yield represents the benefit of holding physical inventory, which increases when supplies are tight. When convenience yield exceeds carrying costs, the market enters backwardation. When carrying costs dominate, the market is in contango. This relationship provides fundamental signals about physical supply and demand conditions. TERM STRUCTURE TRADING STRATEGIES (Erb and Harvey 2006, Gorton and Rouwenhorst 2006) Academic research has documented significant risk premiums associated with futures term structure. A 2011 study in the Journal of Banking and Finance found that combining momentum signals with term structure signals generated annualized returns of 21 percent, significantly outperforming single-signal strategies. The strategy involves buying commodities in backwardation and selling commodities in contango. LIMITS TO ARBITRAGE Recent academic work reveals that arbitrage does not fully eliminate pricing distortions in commodity futures markets. Institutional investors and index traders introduce persistent distortions, especially in distant expiration contracts. This creates exploitable inefficiencies that the indicator helps identify. CONVENIENCE YIELD AND INVENTORY Empirical studies confirm that convenience yield is inversely related to physical inventory levels across 21 different commodities. Low inventory correlates with backwardation and high convenience yield. High inventory correlates with contango and low convenience yield. Price volatility decreases as inventory increases, with this effect being more pronounced in backwardated markets. COT POSITIONING AND PRICE PREDICTION Research shows that commercial hedger positions provide valuable information about future price direction. Commercials tend to be net buyers before price increases and net sellers before decreases. Extreme speculator positioning often precedes reversals, as crowded trades unwind. DATA ARCHITECTURE The indicator fetches data from multiple sources: TERM STRUCTURE DATA Compares front month futures (e.g., GC1!) with second month futures (e.g., GC2!) to determine the shape of the futures curve. Positive spread (front > back) indicates backwardation. Negative spread (front < back) indicates contango. SPOT-FUTURES DATA Compares spot or cash market prices (e.g., XAUUSD) with front month futures to determine premium or discount. Positive spread indicates futures premium. Negative spread indicates futures discount. COT DATA Uses TradingView LibraryCOT to fetch Commitment of Traders data including commercial positions, speculator positions, and open interest. Supports Legacy, Disaggregated, and Financial report types. COMPOSITE SCORE CALCULATION The composite score combines four normalized signals using configurable weights: Composite = (TermSignal x W1) + (SpotFutSignal x W2) + (COTSignal x W3) + (PhysicalSignal x W4) Default weights based on research: Term=0.25, SpotFut=0.30, COT=0.30, Physical=0.15 TERM SIGNAL The z-score of the term structure spread. Flattening contango (higher z-score) is bullish. Deepening contango (lower z-score) is bearish. Backwardation is bullish. SPOT-FUTURES SIGNAL The inverted z-score of the spot-futures spread. Futures discount (physical demand) is bullish. Futures premium is bearish. COT SIGNAL The z-score of commercial net positioning. Commercial buying (positive z-score) is bullish. Commercial selling is bearish. PHYSICAL STRESS SIGNAL Triggered when spread volatility or spread extremes exceed thresholds. Adds to signal in direction of other indicators when physical market stress is detected. ANALYSIS MODES 1. MARKET STRUCTURE COMPOSITE The default mode showing the weighted composite score. Positive values indicate bullish market structure. Negative values indicate bearish structure. Values beyond plus or minus 2 sigma indicate extreme conditions. 2. TERM STRUCTURE Shows the z-score of the futures curve spread. Visualizes whether the market is in contango or backwardation relative to historical norms. 3. SPOT-FUTURES PREMIUM Shows the z-score of the spot-futures spread. Visualizes whether futures trade at premium or discount to spot. 4. COT POSITIONING Shows the z-score of commercial net positioning. Visualizes whether commercials are accumulating or distributing. 5. PHYSICAL STRESS INDEX Shows combined stress indicators from spread volatility and extremes. Alerts when physical delivery conditions become strained. 6. DIVERGENCE SCANNER Detects price-positioning divergences. Bullish divergence occurs when price makes new lows but positioning improves. Bearish divergence occurs when price makes new highs but positioning deteriorates. 7. RAW DEBUG Shows underlying calculations for troubleshooting. SIGNAL INTERPRETATION The dashboard provides automatic signal interpretation based on the combination of readings: PHYSICAL SQUEEZE Occurs when backwardation coincides with futures discount. This is the strongest bullish signal, indicating severe physical supply tightness. Historically associated with significant price rallies. ACCUMULATION Occurs when contango is flattening and commercials are buying (positive commercial z-score). Indicates smart money accumulation. DISTRIBUTION Occurs when contango is deepening and speculator positioning is extremely long. Indicates potential distribution phase before decline. REGIME CHANGE Occurs when multiple z-scores reach extreme levels simultaneously. Indicates high probability of significant market shift. BULLISH SETUP Occurs when composite score exceeds plus 1 sigma without extreme conditions. Favorable market structure for long positions. BEARISH SETUP Occurs when composite score falls below minus 1 sigma without extreme conditions. Unfavorable market structure for long positions. INTERPRETING FOR PRECIOUS METALS Gold and silver are almost always in contango. This is normal and expected. The key signals for precious metals are: FLATTENING CONTANGO When the term structure spread becomes less negative, physical supply is tightening. This is bullish. The z-score will rise toward positive territory. DEEPENING CONTANGO When the term structure spread becomes more negative, supply is ample. This is neutral to bearish. The z-score will fall toward negative territory. BACKWARDATION Extremely rare for precious metals. When it occurs, it signals severe physical market stress and is strongly bullish. Historical examples include the Hunt Brothers silver squeeze in 1980 and the October 2025 silver squeeze. FUTURES DISCOUNT When futures trade below spot, physical demand exceeds paper market supply. This is bullish and indicates real buying pressure. SETTINGS GUIDE SYMBOL SELECTION Auto-Detect reads the chart symbol and configures all data sources automatically. Dropdown provides preset configurations for common commodities. Manual allows custom symbol entry. DATA SOURCES Individual data sources can be enabled or disabled. Disabling a source removes its contribution from the composite score. COMPOSITE WEIGHTS Adjust the relative importance of each signal. Weights should sum to approximately 1.0 for proper scaling, though the indicator normalizes automatically. STATISTICAL ENGINE Z-Score Length determines the lookback period for normalization. Default of 52 represents approximately one year on daily charts. Extreme Z-Score sets the threshold for flagging extreme conditions. Physical Stress Z sets the threshold for physical market stress alerts. ALERTS COMPOSITE FLIP Triggers when the composite score crosses zero, indicating a shift from bullish to bearish structure or vice versa. PHYSICAL STRESS Triggers when physical market stress is first detected, indicating potential delivery squeeze conditions. REGIME CHANGE Triggers when the market shifts between contango and backwardation. COT EXTREME Triggers when commercial or speculator positioning reaches historical extremes, indicating elevated reversal risk. DIVERGENCE ALERTS Triggers when price-positioning divergences are detected. SUPPORTED COMMODITIES Gold: Spot OANDA:XAUUSD, Futures COMEX:GC1!, CFTC 088691 Silver: Spot OANDA:XAGUSD, Futures COMEX:SI1!, CFTC 084691 Crude Oil: Spot TVC:USOIL, Futures NYMEX:CL1!, CFTC 067651 Natural Gas: Futures NYMEX:NG1!, CFTC 023651 Copper: Futures COMEX:HG1!, CFTC 085692 Wheat: Futures CBOT:ZW1!, CFTC 001602 Corn: Futures CBOT:ZC1!, CFTC 002602 Soybeans: Futures CBOT:ZS1!, CFTC 005602 PRACTICAL APPLICATION For best results, use this indicator on daily or weekly timeframes. Commodity data, especially COT data, is updated weekly and works best on longer timeframes. When analyzing a commodity: 1. Check the composite score for overall market structure 2. Review the signal interpretation for context 3. Examine individual components (term structure, spot-futures, COT) for confirmation 4. Watch for physical stress alerts indicating delivery conditions 5. Monitor divergences for potential reversal signals Combine this indicator with price action analysis and fundamental research for complete market analysis. LIMITATIONS The indicator relies on multiple data sources that may have different update frequencies. COT data is updated weekly. Some spot price sources may have gaps during certain hours. Term structure and spot-futures spreads work best for commodities with liquid continuous futures contracts. Very short timeframes may produce noisy signals. REFERENCES Working, H. (1933). Price Relations between July and September Wheat Futures at Chicago since 1885. Wheat Studies. Kaldor, N. (1939). Speculation and Economic Stability. Review of Economic Studies. Erb, C. and Harvey, C. (2006). The Strategic and Tactical Value of Commodity Futures. Financial Analysts Journal. Gorton, G. and Rouwenhorst, K. (2006). Facts and Fantasies about Commodity Futures. Financial Analysts Journal. Miffre, J. and Rallis, G. (2007). Momentum Strategies in Commodity Futures Markets. Journal of Banking and Finance. Various (2024). Limits to Arbitrage in Commodity Futures Markets. SSRN Working Paper. VERSION HISTORY Version 1 released as unified indicator combining term structure, spot-futures spread, and COT positioning analysis with scientifically-weighted composite score. CREDITS Developed by Robinhodl21. Released under Mozilla Public License 2.0.
Pine Script® インジケーター
Robinhodl21の投稿
Spot-Futures SpreadThe Spot-Futures Spread indicator measures the price difference between spot (cash) markets and futures markets for the same underlying asset. This spread reveals important information about market structure, sentiment, and potential arbitrage opportunities. When futures trade above spot, this is called a futures premium. When futures trade below spot, this is called a futures discount. The size and direction of this spread provides insight into whether traders expect prices to rise or fall, how much it costs to carry the asset, and whether there are unusual supply or demand imbalances. HOW IT WORKS The indicator fetches price data from two different markets: a spot or cash market price and a futures contract price. For example, it might compare the spot gold price from a forex broker (XAUUSD) with the front month gold futures contract on COMEX (GC1!). The core calculation is simple. Spread equals Futures Price minus Spot Price. A positive result means futures are trading at a premium to spot. A negative result means futures are trading at a discount to spot. The indicator expresses this spread in multiple ways: as an absolute dollar value, as a percentage of the spot price, and as a statistical z-score showing how the current spread compares to historical norms. DIFFERENCE FROM THE BASIS SUITE The Futures Basis Suite compares two futures contracts of different expiration months, such as the front month versus the second month. This shows the term structure or curve shape of the futures market. The Spot-Futures Spread indicator compares the actual spot or cash market price to a futures contract. This shows the relationship between physical market pricing and derivatives market pricing. Both indicators provide valuable but different information. The basis suite shows carrying costs and convenience yield within the futures market. The spot-futures spread shows how the derivatives market relates to the underlying physical or cash market. FUTURES PREMIUM EXPLAINED A futures premium means the futures price is higher than the spot price. This is the normal condition for most assets. The premium reflects several factors. First, it includes the cost of carry. Holding a physical asset requires storage, insurance, and financing costs. Futures buyers avoid these costs, so they pay a premium reflecting what it would cost to hold the physical asset until delivery. Second, it may reflect expectations of rising prices. If traders expect the asset price to increase, futures will trade at a premium to current spot. Third, for financial assets like stock index futures, the premium reflects interest rates minus expected dividends. This is called the fair value premium. FUTURES DISCOUNT EXPLAINED A futures discount means the futures price is lower than the spot price. This is unusual for most assets and signals something important. For commodities, a discount often indicates immediate physical scarcity. Buyers need the commodity now and are willing to pay more for immediate delivery than for future delivery. For financial assets, a discount can indicate expected price declines, upcoming dividend payments, or market stress where futures are being sold heavily. For cryptocurrencies, a discount often signals bearish sentiment as leveraged traders reduce long positions. ANALYSIS MODES Spread Absolute mode shows the raw dollar difference between futures and spot. This is useful for seeing the actual cost in currency terms. Spread Percentage mode expresses the spread as a percentage of the spot price. This makes it easier to compare across different assets and time periods. Z-Score mode normalizes the current spread against its historical distribution. A z-score of zero means the spread is at its historical average. Extreme z-scores indicate unusual conditions. Premium/Discount mode labels the current regime and shows the spread percentage. This provides the clearest read on market conditions. Raw Debug mode displays the underlying prices and calculation details for troubleshooting. IMPORTANT SETTINGS Symbol Mode determines how the indicator finds the spot and futures prices. Auto Detect reads your chart symbol and selects appropriate spot and futures sources. Dropdown lets you select from common assets. Manual lets you enter custom ticker symbols. Spread Direction sets the calculation order. Futures minus Spot means positive values indicate premium. Spot minus Futures reverses this convention. Premium Threshold and Discount Threshold set the percentage levels for classifying the spread as a premium, discount, or fair value. Z-Score Length sets the lookback period for calculating how unusual the current spread is. Arbitrage Threshold sets the percentage level at which the indicator flags potential arbitrage opportunities. INTERPRETING THE SPREAD FOR DIFFERENT ASSETS For precious metals like gold and silver, the spread reflects storage costs and financing costs. A larger than normal premium may indicate that physical is readily available. A narrowing premium or discount indicates physical tightness. For crude oil, the spread reflects storage economics. When storage is cheap and plentiful, futures trade at premium. When storage is scarce or oil is in high demand, the spread narrows or inverts. For stock index futures like the S&P 500, the spread reflects interest rates minus expected dividends. Deviations from fair value create arbitrage opportunities for institutional traders. For cryptocurrencies, the spread reflects sentiment and funding conditions. Large premiums indicate bullish leverage. Discounts indicate bearish positioning or liquidation events. ARBITRAGE OPPORTUNITIES When the spot-futures spread deviates significantly from fair value, arbitrage opportunities may exist. Professional traders can exploit these by simultaneously buying the cheaper market and selling the more expensive market, locking in the spread as profit when prices converge. The indicator alerts when spreads reach levels that historically indicate arbitrage opportunities. However, actual arbitrage requires accounting for transaction costs, execution risk, and margin requirements. TRADING SIGNALS Flip from Premium to Discount is often bearish. It indicates that near-term demand has collapsed or that leveraged longs are being liquidated. Flip from Discount to Premium is often bullish. It indicates improving sentiment and increased demand for leveraged long exposure. Extreme Z-Scores suggest the spread is unsustainable and likely to revert. This can indicate mean reversion trades or flag unusual market conditions requiring attention. Expanding Spread during price rallies confirms that the move has broad participation from both spot and futures markets. Narrowing spread during rallies suggests futures traders are not confirming the move. ALERTS Regime Flip alerts trigger when the market crosses from premium to discount or vice versa. Extreme Z-Score alerts trigger when the spread reaches statistical extremes. Arbitrage Level alerts trigger when the spread exceeds the configured threshold, potentially indicating arbitrage opportunities. SUPPORTED ASSETS The indicator supports major assets across multiple classes. Precious metals include gold and silver comparing forex spot to COMEX futures. Energy includes crude oil comparing cash prices to NYMEX futures. Cryptocurrencies include Bitcoin and Ethereum comparing index prices to CME futures. Stock indices include S&P 500 and Nasdaq comparing cash indices to CME futures. Currencies include Euro and Yen comparing forex rates to CME futures. LIMITATIONS Spot and futures markets may have different trading hours, creating gaps in the spread calculation. Data quality varies between spot price sources. Transaction costs and execution risk affect whether theoretical arbitrage opportunities are practical. The indicator shows a single futures contract and does not capture the full term structure. VERSION HISTORY Version 1 released with five analysis modes, automatic symbol detection, comprehensive dashboard, regime classification, and arbitrage alerts. CREDITS Developed by Robinhodl21 as part of the Grandmaster Indicator Suite. Released under Mozilla Public License 2.0.
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Robinhodl21の投稿
Futures Basis SuiteThe Futures Basis Suite measures the price difference between futures contracts of different expiration months. This difference, called the basis or spread, reveals critical information about supply and demand dynamics, market sentiment, and the cost of carrying a commodity over time. When futures prices for later months are higher than near-term prices, the market is in contango. When near-term prices exceed later month prices, the market is in backwardation. These two states tell very different stories about what is happening in the physical commodity market. HOW IT WORKS The indicator fetches price data from two futures contract months using TradingView continuous contract symbols. For example, GC1 represents the front month gold contract and GC2 represents the second month contract. The indicator calculates the difference between these prices and expresses it in multiple ways: as an absolute dollar value, as a percentage of the front month price, as an annualized rate, and as a statistical z-score. The core calculation is simple. Basis equals Front Month Price minus Back Month Price. A negative result means the back month is more expensive than the front month, which is contango. A positive result means the front month is more expensive, which is backwardation. The indicator automatically detects what commodity you are viewing and selects the appropriate futures symbols. You can also manually select from a dropdown list or enter custom symbols if needed. CONTANGO AND BACKWARDATION EXPLAINED Contango is the normal state for most commodity markets. When a market is in contango, futures prices increase as you look further into the future. This happens because holding a physical commodity costs money. You need to pay for storage, insurance, and financing. These carrying costs get priced into futures contracts. The further out the contract, the more carrying costs accumulate, so the price is higher. Backwardation is the opposite and signals something unusual is happening. When a market is in backwardation, near-term prices are higher than future prices. This occurs when there is immediate demand for the physical commodity that exceeds available supply. Buyers are willing to pay a premium to get delivery now rather than wait. This is often called convenience yield because there is value in having the physical commodity in hand. Backwardation typically occurs during supply disruptions, unexpected demand spikes, low inventory levels, or geopolitical events that threaten supply chains. It is generally considered a bullish signal because it indicates tight physical supply conditions. SPECIAL NOTE FOR PRECIOUS METALS Gold and silver are almost always in contango. This is normal and expected. These metals have very low storage costs relative to their value, they do not spoil or degrade, and massive above-ground stockpiles exist. Backwardation in precious metals is extremely rare and historically significant. For precious metals, the key signal is not whether the market is in contango or backwardation, but how deep the contango is. A flattening contango, where the spread becomes less negative, indicates tightening physical supply and is bullish for prices. A deepening contango indicates ample supply and is neutral to bearish. When precious metals actually flip to backwardation, it signals severe physical stress in the market. This has only happened a handful of times in modern history, including during the Hunt Brothers silver squeeze in 1980, briefly during the 2008 financial crisis, during COVID supply chain disruptions in 2020, and during the silver squeeze of October 2025. SCIENTIFIC BACKGROUND The theory of storage, developed by economists Holbrook Working and Nicholas Kaldor in the 1930s and 1940s, explains the relationship between spot and futures prices. According to this theory, the futures price equals the spot price plus carrying costs minus convenience yield. Carrying costs include storage fees, insurance premiums, and the interest cost of tying up capital in inventory. These costs are relatively stable and predictable. Convenience yield is the benefit of holding physical inventory, which allows a business to maintain operations without disruption. When inventories are high, convenience yield is low because additional inventory provides little marginal benefit. When inventories are low, convenience yield rises sharply because having physical material becomes critical. Academic research has documented profitable trading strategies based on term structure signals. A 2011 study published in the Journal of Banking and Finance found that combining momentum signals with term structure signals generated annualized returns of 21 percent, significantly outperforming strategies using only one signal. The strategy involves buying commodities in backwardation and selling commodities in contango. The term structure also affects the returns of investors holding futures positions over time. This effect is called roll yield. When rolling a futures position from an expiring contract to the next month, investors in contango markets must sell low and buy high, creating negative roll yield. Investors in backwardated markets sell high and buy low, generating positive roll yield. This can significantly impact long-term returns on commodity investments. ANALYSIS MODES Basis Spread mode shows the raw dollar difference between contract months. This is useful for seeing the actual cost in currency terms. For a gold contract, a basis of negative 5 means the second month is 5 dollars more expensive per ounce than the front month. Basis Percentage mode expresses the spread as a percentage of the front month price. This makes it easier to compare across different commodities and time periods. A basis of negative 0.5 percent is a small contango regardless of whether you are looking at gold at 2000 dollars or silver at 30 dollars. Annualized Basis mode extrapolates the current spread to a yearly rate. If the spread between month 1 and month 2 is negative 0.5 percent and there are 30 days between contracts, the annualized basis would be approximately negative 6 percent. This helps compare the cost of carry to interest rates and evaluate whether the spread is normal given current financing costs. Z-Score mode normalizes the current basis against its historical distribution. A z-score of zero means the basis is at its historical average. A z-score of positive 2 means the basis is 2 standard deviations above average, indicating unusually strong backwardation or unusually flat contango. A z-score of negative 2 means unusually deep contango. Extreme z-scores often precede mean reversion. Term Structure mode plots multiple spread comparisons simultaneously, showing the shape of the entire futures curve. This helps visualize whether the curve is uniformly sloped or has kinks and irregularities. Raw Debug mode displays the underlying contract prices and calculation details for troubleshooting data issues. IMPORTANT SETTINGS Symbol Mode determines how the indicator finds the futures contracts to compare. Auto Detect reads the symbol from your chart and constructs the appropriate continuous contract symbols. Dropdown lets you select from a predefined list of common commodities. Manual lets you enter custom ticker symbols directly. Spread Pair selects which contract months to compare. Front versus 2nd Month compares the nearest contract to the next one, which is the most liquid spread. Front versus 3rd Month captures more of the curve shape but may have less liquidity. Other combinations are available for specific spread trading strategies. Days Between Contracts affects the annualized basis calculation. Different commodities have different contract cycles. Gold and silver typically have monthly contracts, so 30 days is appropriate. Agricultural commodities may have contracts every 2 or 3 months. Adjust this setting based on the commodity you are analyzing. Z-Score Length sets the lookback period for calculating the statistical average and standard deviation. A setting of 52 on a daily chart looks back approximately one year. Shorter periods make the z-score more responsive but also more noisy. Longer periods provide more stable readings but may miss regime changes. Contango Threshold and Backwardation Threshold set the percentage levels where the indicator classifies the market as being in contango or backwardation versus flat. The defaults are negative 0.5 percent for contango and positive 0.5 percent for backwardation. Spreads between these thresholds are classified as flat. Extreme Z-Score sets the threshold for highlighting statistical extremes. The default of 2.0 corresponds roughly to the 95th percentile, meaning the current spread is more extreme than 95 percent of historical observations. Invert Spread flips the calculation to show Back Month minus Front Month instead of Front Month minus Back Month. This is useful if you are trading a calendar spread where you are short the front month and long the back month, or if you prefer the convention where positive values indicate contango. INTERPRETING THE DASHBOARD The dashboard displays key metrics at a glance. Basis shows the current absolute spread value. Basis percentage shows the spread relative to the front month price. Regime displays whether the market is currently in contango, backwardation, or flat. Z-Score shows how the current spread compares to history, with labels indicating whether the reading is normal, elevated, or extreme. Front and Back show the actual contract prices being compared. Annualized shows the spread extrapolated to a yearly rate. Max and Min show the highest and lowest basis percentages observed over the lookback period. These help contextualize whether the current reading is near historical extremes. The footer shows the data source status, confirming which symbols are being used and whether valid data is available. HOW TO INTERPRET FOR PRECIOUS METALS For gold and silver, the indicator will almost always show red indicating contango. This is normal. Focus on these signals instead. Flattening contango occurs when the basis percentage moves toward zero, becoming less negative. For example, if the basis moves from negative 1.0 percent to negative 0.3 percent, contango is flattening. This indicates tightening physical supply and is bullish for prices. The Z-score will move higher, toward positive values. Deepening contango occurs when the basis percentage moves further negative. For example, if the basis moves from negative 0.5 percent to negative 1.2 percent, contango is deepening. This indicates ample supply and reduced urgency for physical delivery. It is neutral to bearish. The Z-score will move lower, toward negative values. Backwardation is extremely rare for precious metals. If the indicator turns green showing positive basis, this is a major event indicating severe physical market stress. Historically, this has preceded significant price rallies. TRADING APPLICATIONS Regime flips from contango to backwardation often signal significant shifts in market dynamics. When a commodity that has been in contango for an extended period suddenly flips to backwardation, it may indicate emerging supply tightness or demand strength. This can be an early warning of price rallies. Extreme z-scores suggest the current spread is unsustainable and likely to revert toward normal levels. If a commodity is in extreme backwardation with a z-score above 2, the spread may narrow as supply conditions normalize. If a commodity is in extreme contango with a z-score below negative 2, the spread may narrow as excess supply gets absorbed. Comparing basis behavior during price moves provides insight into what is driving the move. If prices rally sharply but the basis remains in contango or even deepens, the rally may be driven by speculative buying rather than physical demand. If prices rally and the basis flattens or flips to backwardation, physical tightness is likely supporting the move. For investors holding futures positions or commodity ETFs, monitoring the basis helps understand roll yield drag. Deep contango markets impose significant costs on long holders over time. Backwardated markets provide tailwinds to long positions through positive roll yield. ALERTS The indicator provides several alert conditions. Regime Flip alerts trigger when the market crosses from contango to backwardation or vice versa. Extreme Z-Score alerts trigger when the spread reaches statistical extremes. Spread Expanding alerts trigger when the basis is widening rapidly, which may indicate increasing market stress. SUPPORTED COMMODITIES The indicator supports major futures across multiple asset classes. Metals include gold, silver, and copper traded on COMEX. Energy includes crude oil and natural gas traded on NYMEX. Agriculture includes wheat, corn, and soybeans traded on CBOT. Financials include E-mini S&P 500, E-mini Nasdaq, and Treasury futures traded on CME. Currencies include Euro and Yen futures. Cryptocurrency includes CME Bitcoin futures. LIMITATIONS The indicator relies on TradingView continuous contract data, which may have artifacts around contract rollovers. The days between contracts setting is approximate and varies by commodity and market conditions. Very short-term timeframes may show noise in the basis calculation. Some commodities may have limited data history for statistical analysis. The indicator shows the spread between specific contract months, not the full futures curve with all available contracts. VERSION HISTORY Version 1 released with six analysis modes, automatic symbol detection, comprehensive dashboard, statistical regime detection, and configurable alerts. CREDITS Developed by Robinhodl21 as part of the Grandmaster Indicator Suite. Released under Mozilla Public License 2.0.
Pine Script® インジケーター
Robinhodl21の投稿
Institutional Absorption Index (IAI)🧠 Institutional Absorption Index (Z-Score) This indicator is built to detect institutional absorption behavior by measuring how much volume is required to move price 📊. When large volume produces little price movement, it usually signals smart money activity, iceberg orders and hidden liquidity 🐋. ⚙️ How It Works The logic is simple and efficient: 🔹 Absorption Formula: Volume ÷ Candle Range 🔹 Normalized using Z-Score (statistical deviation) 📐 🔹 Smoothed with EMA for cleaner institutional signals 📈 This process filters noise and highlights abnormal market behavior caused by large players. 🎯 Level Interpretation ⚪ 0 Level — Neutral Zone Market operating normally. No relevant institutional footprint. 🟡 Above 1.8 — Institutional Absorption Zone High volume being absorbed without strong price movement. Usually appears during: ✅ Accumulation ✅ Distribution ✅ Price defense zones 🔴 Above 2.5 — Iceberg Zone Extreme absorption behavior 🚨 Strong probability of: 🐳 Hidden liquidity 📦 Iceberg orders 🏦 Position building by institutions 🛠 How To Use This is NOT a buy/sell signal indicator ❌ This is a market participation and structure reading tool ✅ Best use cases: 📌 Detect accumulation & distribution 📌 Confirm manipulation phases 📌 Validate breakout quality 📌 Spot fake moves vs real expansion 📌 Combine with structure, liquidity sweeps and volume profile ⚡ Recommended Settings ✔ Window Length: 20 ✔ Smoothing: 5 (Default values are optimized for most markets)
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Thenewsonnの投稿
1
Settlement Levels [Tradeisto]This indicator provides a professional-grade solution for tracking official exchange settlement levels across multiple timeframes. Built with precision and clarity in mind, it ensures you are always aligned with the "True Close" of the market. Key Features: Official Settlement Data: Uses precise exchange-provided settlement prices (settlement_as_close.on), ensuring 100% accuracy compared to standard session closes. Multi-Timeframe Support: Instant plotting for Daily, Weekly, Monthly, and Quarterly settlements. Advanced Averaged Levels : Option to display the average of the past two Weekly or Monthly settlements for deeper structural context. Final Quarterly Settlements (Historical): Unique ability to retrieve and plot settlements for expired contracts (H, M, U, Z) for any specific year—essential for backtesting and historical analysis. Smart Priority Logic (Anti-Overlap): Intelligent label management ensures that when multiple levels coincide (e.g., Monthly + Weekly), only the highest-priority level is shown to keep your chart clutter-free. Customizable Mitigation: Choose between persistent levels (default) or auto-clearing levels that disappear once price taps them during RTH. Auto Asset Detection: specialized RTH session tracking for Indices (NQ/ES), Metals (GC/SI), Energy (CL/NG), Currencies, and Grains. How to Use: General Settings: Set your Asset Class (Auto or Manual) and choose if you want Mitigation enabled. Lookbacks: Define exactly how many historical levels you wish to keep on your chart for each timeframe. Back-Adjustment: If using continuous futures (1!), ensure the "Back-Adjusted Futures" toggle matches your chart settings for perfect price alignment.
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swordNshieldの投稿
CapitalFlowsResearch: PEMA ThresholdCapitalFlowsResearch: PEMA Threshold — Forward Regime Projection CapitalFlowsResearch: PEMA Threshold extends the logic of the standard PEMA framework by not only identifying when price is in an extended regime, but also calculating the exact price levels where the next regime flip would occur. Instead of waiting for a signal to trigger, the tool projects the thresholds forward in real time, showing traders the points at which the current regime would shift from positive to negative extension (or vice versa). Conceptually, the script takes the behaviour of price around its moving equilibrium and determines how far price would need to travel for the underlying extension score to breach its upper or lower band. These projected “flip prices” can be displayed as guide lines or labelled directly on the chart, providing a live map of where key behavioural shifts would take place. This transforms PEMA from a reactive overlay into an anticipatory one—helping traders plan entries, stops, and scenario paths with a clear understanding of where the market’s statistical pressure points sit, without exposing the underlying calculations.
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Capital_Flows_Devの投稿
CapitalFlowsResearch: CS CorrelationCapitalFlowsResearch: CS Correlation — Multi-Asset Correlation Radar CapitalFlowsResearch: CS Correlation provides a real-time view of how closely a chosen “base” market is moving relative to a basket of other assets. Instead of relying on a single method, the tool allows you to transform each series (price, log-price, normalized score, or short-term returns) before correlation is calculated. This gives traders the flexibility to analyse relationships on the basis most relevant to their strategy—whether they care about trend alignment, return co-movement, or standardized behaviour. Each comparison asset is evaluated independently using a rolling lookback window, producing a clean set of correlation lines that update bar-by-bar. The tool is deliberately modular: symbols can be switched on or off individually, and the chart remains uncluttered while still capturing broad cross-asset dynamics. A compact on-chart legend displays the latest correlation reading for each active symbol, making it easy to interpret at a glance. Conceptually, the indicator helps highlight when normally-linked assets begin to diverge, when new relationships begin to strengthen, or when markets move into low-correlation regimes often associated with macro shifts, liquidity changes, or turning points. It functions as a correlation heatmap in time-series form, offering structural insight without exposing the underlying computation or weighting logic.
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Capital_Flows_Devの投稿
CapitalFlowsResearch: Vol RangesCapitalFlowsResearch: Vol Ranges — Multi-Timeframe ATR Expansion Map CapitalFlowsResearch: Vol Ranges creates a structured volatility “roadmap” by projecting expected price extensions across multiple timeframes using ATR-based ranges. Instead of relying on a single ATR reading, the tool pulls in higher-timeframe volatility measures—such as daily and monthly expansions—and uses them to build a set of reference levels that anchor the current market against where it should trade under normal volatility conditions. The script does two things simultaneously: Projects volatility-derived target bands It computes a set of upper and lower expansion levels (e.g., +100%, +50%, –50%, –100%) around prior closing levels on different timeframes. These levels act as structural markers for expected movement, allowing traders to quickly recognise when price is behaving within typical bounds or pressing into statistically stretched territory. Displays a live dashboard for interpretation A fully configurable on-chart table displays: Recent volatility readings Today's reference ranges Distance from current price to each expansion level Whether today's movement is expanding or contracting relative to prior volatility This gives traders a compact situational summary without cluttering the price chart. Optional high-timeframe projection lines can also be plotted directly on the chart, updating once per new day or new month, making it easy to visually align intraday price action with broader volatility structure. In practical terms, Vol Ranges functions as a multi-timeframe volatility compass—highlighting when markets are trading inside normal ranges, when they are beginning to stretch, and when they may be entering conditions supportive of momentum or reversal behaviour. All core mechanics remain abstracted, preserving the proprietary nature of the volatility framework.
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Capital_Flows_Devの投稿
CapitalFlowsResearch: CB LevelsCapitalFlowsResearch: CB Levels — Policy Path Mapping for STIR & Rates Traders CapitalFlowsResearch: CB Levels provides a structured, policy-anchored framework for interpreting short-term interest rate futures. Instead of treating STIR pricing as an abstract number, the indicator converts central bank settings—such as the official cash rate, expected hike/cut increments, and basis adjustments—into a clear ladder of explicit rate levels. These levels are then projected directly onto the price chart as horizontal reference bands. The tool automatically builds a series of future policy steps (e.g., +25bp, +50bp, –25bp, etc.) based on user-defined increments and direction, allowing traders to visualise where the current contract sits relative to hypothetical central bank actions. By plotting settlement levels and multiple forward steps, the script creates a transparent “policy grid” that traders can anchor against when evaluating mispricings, risk/reward asymmetry, or scenario outcomes. Discreet labels—placed periodically to avoid clutter—identify each policy step in bp terms, making the chart readable even when zoomed out. Whether the mode is set to Cuts or Hikes, the tool instantly recalibrates the entire ladder, offering a consistent structure for comparing different contracts or central bank paths. In practice, CB Levels acts as a policy-path overlay for futures traders, helping them contextualise market pricing relative to central bank intent, quantify potential repricing ranges, and understand where key inflection levels lie—without revealing the underlying calculation methods that generate the steps.
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Capital_Flows_Devの投稿
CapitalFlowsResearch: Returns Regime MapCapitalFlowsResearch: Returns Regime Map — Two-Asset Behaviour & Correlation Lens CapitalFlowsResearch: Returns Regime Map is a two-asset regime overlay that shows how a primary market and a linked macro series are really moving together over short rolling windows. Instead of just eyeballing two separate charts, the tool classifies each bar into one of four states based on the combined direction of recent returns: Up / Up Up / Down Down / Up Down / Down These states are calculated from aggregated, windowed returns (using configurable return definitions for each asset), then painted directly onto the price chart as background regimes. On top of that, the indicator monitors the correlation of the same return streams and can optionally tint periods where correlation sits within a user-defined “low-correlation” band—highlighting moments when the usual relationship between the two series is weak, unstable, or breaking down. In practice, this turns the chart into a compact co-movement map: you can see at a glance whether price and rates (or any two chosen markets) are trending together, diverging in a meaningful way, or moving in choppy, low-conviction fashion. It’s especially powerful for macro traders who need to frame trades in terms of “risk asset vs. rates,” “index vs. volatility,” or similar pairs—while keeping the actual construction details of the regime logic abstracted.
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Capital_Flows_Devの投稿
CapitalFlowsResearch: Sensitivity AnalysisCapitalFlowsResearch: Sensitivity Analysis — Driver–Price Beta Gauge CapitalFlowsResearch: Sensitivity Analysis is built to answer a very specific macro question: “How sensitive is this price to moves in that driver, right now?” The indicator compares bar-to-bar changes in a chosen “price” asset with a chosen “driver” (such as an equity index, yield, or cross-asset benchmark), and from that relationship derives a rolling measure of effective beta. That beta is then converted into a “band width” value, representing how much the price typically moves for a standardised shock in the driver, under current conditions. You can choose whether the driver’s moves are treated in basis points, absolute terms, or percent changes, and optionally smooth the resulting band with a configurable moving average to emphasise structural shifts over noise. The two plotted lines—current band width and its moving average—form a simple yet powerful gauge of how tightly the price is currently “geared” to the driver. In practice, this makes Sensitivity Analysis a compact tool for: Tracking when a contract becomes more or less responsive to a key macro factor. Comparing sensitivity across instruments or timeframes. Framing expected move scenarios (“if the driver does X, this should roughly do Y”). All of this is done without exposing the detailed beta or volatility math inside the script.
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Capital_Flows_Devの投稿
Monthly Returns (Seasonality Matrix)his indicator displays a "Month vs. Year" heatmap table (Seasonality Matrix) directly on your chart. It is designed to help traders identify seasonal trends by visualizing monthly returns for any asset (Stocks, Crypto, Forex) over the last decade. Key Features: Seasonality Heatmap: Instantly view monthly performance (Green/Red) in an easy-to-read grid. Statistical Breakdown: Automatically calculates the "Win Rate" (WR) and Average Return for every month of the year. Compact Mode: Includes a "Rows to Display" setting (default: 12) to keep the table clean and prevent it from running off the screen, while still calculating stats using the full history. Timeframe Protection: Automatically detects intraday charts (like 1H or 15m) and hides the table with a warning, ensuring you only view accurate data on the Daily timeframe. How to Use: Add the indicator to your chart. Ensure your chart is set to the Daily (D) timeframe. Use the settings to adjust the "Start Year" or the number of rows displayed. Disclaimer: This tool is for educational and informational purposes only. Past performance is not indicative of future results.
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cdr666の投稿
Jones Quantum Cockpit v9.0 [Final Integrated]🐺 The Final Piece of the Ecosystem: The "Brain" Jones Quantum Cockpit v9.0 is not just an indicator; it is a Tactical Command Center (HQ) designed to replicate the environment analysis of an institutional Bloomberg terminal. Most traders fail not because they lack entry signals, but because they use the wrong strategy in the wrong environment. You cannot use a Trend Following strategy in a Choppy Market, nor can you use a Range strategy during a Liquidity Crash. This tool calculates Macro Correlations, Chaos Theory (Market Structure), and Institutional Flow in real-time to tell you exactly "Which Weapon to Use" right now. 📊 1. MACRO DRIVER (The Global Context) Top Row Markets do not move in isolation. They are driven by Yields, Currencies, and Equities. The Quantum Engine runs a real-time correlation matrix against US10Y, DXY, SPX, and Crude Oil to identify the current "Ruler" of the chart. DRIVER: YIELDS (Sync): The asset is moving in lockstep with Bond Yields. High reliability. DRIVER: NONE (RANDOM): The asset has detached from macro reality. Pure speculative noise. Caution advised. 🔬 2. QUANT METRICS (Quality & Quantity) Middle Row Before taking a trade, we must assess the "Health" of the market. STR (Structure): Measures the "Order" of price action using Fractal/Chaos analysis. High STR means a clean trend; Low STR means Random Walk (Noise). NRG (Energy): Measures Volatility Baseline. Is the engine running hot enough to move price? FLW (Flow): Relative Volume (RVOL) monitor. 💧 = Low Liquidity. 🔥 = Institutional Activity (High Rvol). ADR (Reach): Average Daily Range exhaustion. If ADR > 100%, the gas tank is empty. (O.B) = Overbought/Oversold. Do not chase the trend here. 🌐 3. MTF MATRIX (The Trend) Main Table Monitors Trend Direction, Regime, and Statistical Anomalies (Z-Score) from 5m to 4H timeframes. Note: If the Chaos Engine detects a "Random Market," the Signal column will force a "NOISE" status, preventing you from trading false breakouts. 🧠 4. TACTICAL ADVISOR (The Conclusion) Bottom Row This is the core of the system. Based on all the data above, the AI determines the optimal strategy for the current session. 🚀 USE: ESSENTIAL: Condition: Perfect Order + High Flow + Macro Sync. Action: Aggressive Trend Following. 🎯 USE: KINETIC: Condition: Trend exists, but Flow/Macro is weak. Action: Filtered, precision entries only. 🛡️ USE: ELASTIC: Condition: Panic, Crash, or Extreme Anomaly (>2.5σ). Action: NO TREND TRADING. Switch to Mean Reversion (Snap-backs) only. ✋ STAY CASH: Condition: No clear edge. Action: The best position is no position. 🚨 CRISIS MODE (Red Background) If the panel turns RED, the market is in a state of Panic/Anomaly. Volatility has exploded, or price has deviated too far from the mean (Z-Score > 2.5). DO NOT CHASE PRICE. Switch to Jones Elastic logic or wait for the storm to pass. This tool is designed to work as the "Manager" for the Jones Algo Series (Essential, Kinetic, Elastic). "Stop guessing. Start measuring." ----------- Jones Quantum Cockpit v9.0 取扱説明書 Institutional Grade Environment Analysis System 1. 概要 Jones Quantum Cockpitは、単なる売買シグナルツールではありません。 市場の**「外部環境（マクロ）」「内部構造（カオス理論）」「需給（資金フロー）」をリアルタイムで複合演算し、現在の相場環境に最適な「戦術（どのJonesツールを使うべきか）」**を指揮する、トレードの司令塔（ヘッドクォーター）です。 本システムは、機関投資家がBloomberg端末で行う高度な環境認識を、TradingView上で再現することを目的としています。 2. インターフェース詳細解説 パネルは上から順に「マクロ要因」「クオンツ分析」「マルチタイム分析」「戦術指令」の4層構造になっています。 【最上段】 MACRO DRIVER（市場の支配者） 「今、このチャートは何に連動して動いているか？」 通貨や株価は単独では動きません。AIが裏側で「米金利(US10Y)」「ドル指数(DXY)」「米国株(SPX)」「原油(OIL)」との相関を総当たり計算し、現在最も強い影響を与えている要因（ドライバー）を表示します。 表示例: DRIVER: YIELDS (US10Y) (Sync) 要因名: 今は「米金利」が主導しています。 Sync / Inverse: Syncは正相関（連動）、Inverseは逆相関（逆の動き）を意味します。 : 連動率の強さです。80%以上あれば非常に強い根拠となります。 注意: DRIVER: NONE (RANDOM) どのマクロ指標とも連動していません。投機的なランダムウォーク状態であるため、ダマシに合う確率が高い「危険な時間帯」です。 【中段】 QUANT METRICS（相場の質と量） 「このトレンドは本物か？ 燃料はあるか？」 行1：QUALITY（相場の質） STR (Structure / 構造効率) 概念: カオス理論（フラクタル解析）を用い、値動きの「秩序」を数値化します。 見方: 数値が高いほど「ノイズの少ない綺麗なトレンド」です。数値が低すぎると「ランダム（カオス）」と判定され、トレード不適格となります。 バー表示: ▮▮▮▮▯ (右に行くほど高品質) NRG (Energy / 変動エネルギー) 概念: 相場の基礎代謝（ボラティリティ）を計測します。 見方: 車のエンジン回転数です。数値が低すぎると、エントリーしても価格が動きません。逆に高すぎるとパニックの予兆となります。 行2：QUANTITY（相場の量・需給） FLW (Flow / 資金流入) 概念: 機関投資家レベルの大口注文（出来高）が流入しているかを監視します。 見方: **100%**を基準とします。 💧 (100%未満): 閑散としています。 🌊 (100%前後): 通常の状態です。 🔥 (150%超): 機関投資家が介入しています。 強いトレンドが発生する合図です。 ADR (Reach / 到達度) 概念: 「その銘柄が1日に動ける平均距離」に対し、今日すでにどれくらい動いたか？ 見方: ~80%: まだ伸びる余地があります。 100%超: ガス欠の可能性があります。深追いは禁物です。 (O.B): Over Bought/Sold（行き過ぎ）。ここからの順張りは危険です。逆張りの優位性が高まります。 【メイン】 MTF MATRIX（マルチタイム分析） 「全時間足の方向は揃っているか？」 5分足〜4時間足までのトレンド状態を一覧表示します。 REGIME: トレンド相場か、レンジ（サイクル）相場かを判定。 TREND: トレンドの方向（▲上昇 / ▼下降）。 ANOMALY: 現在価格の統計的異常値（Zスコア）。 赤文字 (例: 2.50σ): 異常な加熱状態です。平均回帰（反転）のリスクが高まっています。 SIGNAL: 最終的な売買判断。 重要: トレンドが出ていても、STR（構造）が悪かったり、マクロ相関がない場合は、安全装置が作動し強制的に**「NOISE（グレー）」**と表示されます。これにより無駄なエントリーを防ぎます。 【最下段】 TACTICAL ADVISOR（戦術指令） 「結論、どのツールでどう戦うべきか？」 上記すべてのデータをAIが統合判断し、推奨される戦略（Jonesシリーズ）を提示します。 1. 🚀 USE: ESSENTIAL (TREND FOLLOW) 条件: マクロ連動あり・構造きれい・燃料あり・加熱感なし。 戦略: ボーナスステージです。 Jones Essential のシグナルに従い、積極的に順張りを狙ってください。利益を最大化できる局面です。 2. 🎯 USE: KINETIC (FILTERED ENTRY) 条件: トレンドはあるが、燃料不足やマクロ乖離が見られる。 戦略: Jones Algo (Pro Max/Kinetic) を使用してください。HTFフィルターや各種条件が揃った「堅いポイント」だけを狙う精密射撃モードです。 3. 🛡️ USE: ELASTIC (REVERSION / SNAP) 条件: パニック相場、またはADR/異常値の限界突破。 戦略: 順張りは禁止です。Jones Elastic に切り替え、ゴムが伸び切った瞬間の「反発（SNAP）」だけを狙う逆張り戦術をとってください。 4. ✋ STAY CASH (NO CLEAR EDGE) 条件: 優位性がありません。 戦略: 「何もしない」ことが利益になります。 ポジションを持たず、次のチャンスまで静観してください。 3. CRISIS MODE（緊急事態モード）について パネルの背景色が**「赤色」に変化した場合、「CRISIS MODE」**が発動しています。 発生要因: 統計的異常値（±2.5σ以上）の検知。 ボラティリティの爆発的拡大（パニック売り/買い）。 ADR（限界値幅）の極端な超過。 アクション: すべての順張り戦略（ブレイクアウト等）を即時停止してください。 相場が「壊れている」状態です。テクニカル分析が通用しないため、Elasticでの短期逆張り以外は手を出さないのが賢明です。 4. 推奨環境 データフィード: 「FLW（資金流入）」は出来高データを参照します。OANDA、FXCM、Binanceなど、出来高データが豊富なブローカーのチャートで使用することを強く推奨します。 時間足: 本システムは全時間足で動作しますが、特に15分足〜1時間足での表示において、デイトレードの環境認識として最高のパフォーマンスを発揮します。
Pine Script® インジケーター
SHINZO_teamREDFOXの投稿
1
Volume Weighted Intra Bar LR KurtosisThis indicator analyzes market character by decomposing total Excess Kurtosis ("Fat Tails") of a SINGLE BAR into four distinct, interpretable components based on a Linear Regression model. Key Features: 1. **Intra-Bar LR Kurtosis Decomposition:** For each bar on the chart, the indicator analyzes the underlying price action on a smaller timeframe ('Intra-Bar Timeframe'). It fits a Linear Regression line through the intra-bar data to decompose the 4th Moment: - **Trend Kurtosis (Gold):** Peakedness of the regression line itself. High values indicate the price path within the bar moves in sudden jumps, steps, or gaps (discontinuous path). - **Residual Kurtosis (Red):** Excess Kurtosis of the noise around the regression line. Captures "Hidden Tail Risk" or extreme outliers within the bar relative to the trend. - **Within-Bar Kurtosis (Blue):** Fat tails derived from the microstructure of individual intra-bar candles. - **Interaction Variance (Dark Grey):** The comovement of variance and mean deviations (volatility clustering relative to trend). - **Interaction Skewness (Darker Grey):** The comovement of skewness and mean deviations (asymmetry relative to trend). 2. **Visual Decomposition Logic:** Total Excess Kurtosis is the primary metric displayed. Since statistical moments are additive, this indicator calculates the *exact* Total Kurtosis and partitions the columns based on the Law of Total Moments. 3. **Dual Display Modes:** The indicator offers two modes to visualize this decomposition: - **Absolute Mode:** Plots the *total* kurtosis as a stacked column chart. Stacking logic groups components to ensure visual clarity of the magnitude. - **Relative Mode:** Plots the direct *contribution ratio* (proportion) of each component relative to the total sum, ideal for identifying the dominant driver (Trend vs. Noise). 4. **Calculation Options:** - **Normalization:** An optional 'Normalize' setting transforms inputs into logarithmic space, analyzing the kurtosis of *returns* rather than absolute prices. - **Volume Weighting:** An option (`Volume weighted`) applies volume weighting to all regression and moment calculations, emphasizing high-participation moves. 5. **Kurtosis Cycle Analysis:** - **Pivot Detection:** Includes a built-in pivot detector that identifies significant turning points (peaks/valleys) in the *total* kurtosis line. (Note: This is only visible in 'Absolute Mode'). - **Flexible Pivot Algorithms:** Supports various underlying mathematical models for pivot detection provided by the core library. 6. **Note on Confirmation (Lag):** Pivot signals are confirmed using a lookback method. A pivot is only plotted *after* the `Pivot Right Bars` input has passed, which introduces an inherent lag. 7. **Multi-Timeframe (MTF) Capability:** - **MTF Analysis Lines:** The entire intra-bar analysis can be run on a higher timeframe (using the `Timeframe` input), with standard options to handle gaps (`Fill Gaps`) and prevent repainting (`Wait for...`). - **Limitation:** The Pivot detection (`Calculate Pivots`) is **disabled** if a Higher Timeframe (HTF) is selected. 8. **Integrated Alerts:** Includes comprehensive alerts for: - Kurtosis magnitude (High Positive / High Negative). - Character changes (Trend Jumps vs. Noise Outliers). - Total Kurtosis pivot (High/Low) detection. **Caution: Real-Time Data Behavior (Intra-Bar Repainting)** This indicator uses high-resolution intra-bar data. As a result, the values on the **current, unclosed bar** (the real-time bar) will update dynamically as new intra-bar data arrives. This behavior is normal and necessary for this type of analysis. Signals should only be considered final **after the main chart bar has closed.** --- **DISCLAIMER** 1. **For Informational/Educational Use Only:** This indicator is provided for informational and educational purposes only. It does not constitute financial, investment, or trading advice, nor is it a recommendation to buy or sell any asset. 2. **Use at Your Own Risk:** All trading decisions you make based on the information or signals generated by this indicator are made solely at your own risk. 3. **No Guarantee of Performance:** Past performance is not an indicator of future results. The author makes no guarantee regarding the accuracy of the signals or future profitability. 4. **No Liability:** The author shall not be held liable for any financial losses or damages incurred directly or indirectly from the use of this indicator. 5. **Signals Are Not Recommendations:** The alerts and visual signals (e.g., crossovers) generated by this tool are not direct recommendations to buy or sell. They are technical observations for your own analysis and consideration.
Pine Script® インジケーター
AustrianTradingMachineの投稿
Volume Weighted Intra Bar KurtosisThis indicator analyzes market sentiment by providing a detailed view of Excess Kurtosis ("Fat Tails"). It uses data from a lower, intra-bar timeframe to separate the total kurtosis of a single bar into distinct, interpretable components. Key Features: 1. **Intra-Bar Kurtosis Decomposition:** For each bar on the chart, the indicator analyzes the underlying price action on a smaller timeframe ('Intra-Bar Timeframe'). Unlike Variance, the Fourth Central Moment (Kurtosis) decomposes into three parts: - **Between-Bar Kurtosis (Gold):** Peakedness of the price path *between* the intra-bar candles. High values indicate that the macro movement happened in jumps or gaps rather than a smooth progression. - **Within-Bar Kurtosis (Blue):** Fat tails derived from the microstructure (extreme wicks) *inside* the intra-bar candles. - **Interaction Variance (Dark Grey):** The comovement of variance and mean deviations (volatility clustering relative to trend). - **Interaction Skewness (Darker Grey):** The comovement of skewness and mean deviations (asymmetry relative to trend). 2. **Visual Decomposition Logic:** Total Excess Kurtosis is the primary metric displayed. Since Kurtosis coefficients are not linearly additive, this indicator calculates the *exact* Total Kurtosis and partitions the columns based on the additive Fourth Moment Decomposition (`M4Tot = M4Btw + M4Wtn + M4Int`). 3. **Dual Display Modes:** The indicator offers two modes to visualize this information: - **Absolute Mode:** Plots the *total* kurtosis as a stacked column chart, showing the *absolute magnitude* of tail risk and the contribution of each component. - **Relative Mode:** Plots the components as a 100% stacked column chart (scaled from 0 to 1), focusing purely on the *energy ratio* of the components. 4. **Calculation Options:** - **Normalization:** An optional 'Normalize' setting calculates an **Exponential Regression Curve** (log-space), making the analysis suitable for comparing assets with different scales (e.g., BTC vs EURUSD). - **Volume Weighting:** An option (`Volume weighted`) applies volume weighting to all mean and moment calculations. 5. **Kurtosis Cycle Analysis:** - **Pivot Detection:** Includes a built-in pivot detector that identifies significant turning points (peaks/valleys) in the *total* kurtosis line. (Note: This is only visible in 'Absolute Mode'). - **Flexible Pivot Algorithms:** Supports various underlying mathematical models for pivot detection provided by the core library. 6. **Note on Confirmation (Lag):** Pivot signals are confirmed using a lookback method. A pivot is only plotted *after* the `Pivot Right Bars` input has passed, which introduces an inherent lag. 7. **Multi-Timeframe (MTF) Capability:** - **MTF Analysis Lines:** The entire intra-bar analysis can be run on a higher timeframe (using the `Timeframe` input), with standard options to handle gaps (`Fill Gaps`) and prevent repainting (`Wait for...`). - **Limitation:** The Pivot detection (`Calculate Pivots`) is **disabled** if a Higher Timeframe (HTF) is selected. 8. **Integrated Alerts:** Includes alerts for: - Kurtosis magnitude (High Positive / High Negative). - Kurtosis character changes/emerging/fading. - Total Kurtosis pivot (High/Low) detection. **Caution: Real-Time Data Behavior (Intra-Bar Repainting)** This indicator uses high-resolution intra-bar data. As a result, the values on the **current, unclosed bar** (the real-time bar) will update dynamically as new intra-bar data arrives. This behavior is normal and necessary for this type of analysis. Signals should only be considered final **after the main chart bar has closed.** --- **DISCLAIMER** 1. **For Informational/Educational Use Only:** This indicator is provided for informational and educational purposes only. It does not constitute financial, investment, or trading advice, nor is it a recommendation to buy or sell any asset. 2. **Use at Your Own Risk:** All trading decisions you make based on the information or signals generated by this indicator are made solely at your own risk. 3. **No Guarantee of Performance:** Past performance is not an indicator of future results. The author makes no guarantee regarding the accuracy of the signals or future profitability. 4. **No Liability:** The author shall not be held liable for any financial losses or damages incurred directly or indirectly from the use of this indicator. 5. **Signals Are Not Recommendations:** The alerts and visual signals (e.g., crossovers) generated by this tool are not direct recommendations to buy or sell. They are technical observations for your own analysis and consideration.
Pine Script® インジケーター
AustrianTradingMachineの投稿