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Economic Calendar Events: FOMC, CPI, and more | https://www.tradingview.com/script/HLYDwa0N-Economic-Calendar-Events-FOMC-CPI-and-more/ | jdehorty | https://www.tradingview.com/u/jdehorty/ | 1,778 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © jdehorty
// @version=5
indicator('Economic Calendar Events', overlay=true, scale=scale.none, max_lines_count=500)
import jdehorty/EconomicCalendar/2 as calendar
// ==================
// ==== Settings ====
// ==================
show_fomc_meetings = input.bool(defval = true, title = "📅 FOMC", inline = "FOMC", group="⚙️ Settings", tooltip="The FOMC meets eight times a year to determine the course of monetary policy. The FOMC's decisions are announced in a press release at 2:15 p.m. ET on the day of the meeting. The press release is followed by a press conference at 2:30 p.m. ET. The FOMC's decisions are based on a review of economic and financial developments and its assessment of the likely effects of these developments on the economic outlook.")
c_fomcMeeting = input.color(color.new(color.red, 50), title = "Color", group="⚙️ Settings", inline = "FOMC")
show_fomc_minutes = input.bool(defval = true, title = "📅 FOMC Minutes", inline = "FOMCMinutes", group="⚙️ Settings", tooltip="The FOMC minutes are released three weeks after each FOMC meeting. The minutes provide a detailed account of the FOMC's discussion of economic and financial developments and its assessment of the likely effects of these developments on the economic outlook.")
c_fomcMinutes = input.color(color.new(color.orange, 50), title = "Color", group="⚙️ Settings", inline = "FOMCMinutes")
show_ppi = input.bool(defval = true, title = "📅 Producer Price Index (PPI)", inline = "PPI", group="⚙️ Settings", tooltip="The Producer Price Index (PPI) measures changes in the price level of goods and services sold by domestic producers. The PPI is a weighted average of prices of a basket of goods and services, such as transportation, food, and medical care. The PPI is a leading indicator of CPI.")
c_ppi = input.color(color.new(color.yellow, 50), title = "Color", group="⚙️ Settings", inline = "PPI")
show_cpi = input.bool(defval = true, title = "📅 Consumer Price Index (CPI)", inline = "CPI", group="⚙️ Settings", tooltip="The Consumer Price Index (CPI) measures changes in the price level of goods and services purchased by households. The CPI is a weighted average of prices of a basket of consumer goods and services, such as transportation, food, and medical care. The CPI-U is the most widely used measure of inflation. The CPI-U is based on a sample of about 87,000 households and measures the change in the cost of a fixed market basket of goods and services purchased by urban consumers.")
c_cpi = input.color(color.new(color.lime, 50), title = "Color", group="⚙️ Settings", inline = "CPI")
show_csi = input.bool(defval = true, title = "📅 Consumer Sentiment Index (CSI)", inline = "CSI", group="⚙️ Settings", tooltip="The University of Michigan's Consumer Sentiment Index (CSI) is a measure of consumer attitudes about the economy. The CSI is based on a monthly survey of 500 U.S. households. The index is based on consumers' assessment of present and future economic conditions. The CSI is a leading indicator of consumer spending, which accounts for about two-thirds of U.S. economic activity.")
c_csi = input.color(color.new(color.aqua, 50), title = "Color", group="⚙️ Settings", inline = "CSI")
show_cci = input.bool(defval = true, title = "📅 Consumer Confidence Index (CCI)", inline = "CCI", group="⚙️ Settings", tooltip="The Conference Board's Consumer Confidence Index (CCI) is a measure of consumer attitudes about the economy. The CCI is based on a monthly survey of 5,000 U.S. households. The index is based on consumers' assessment of present and future economic conditions. The CCI is a leading indicator of consumer spending, which accounts for about two-thirds of U.S. economic activity.")
c_cci = input.color(color.new(color.fuchsia, 50), title = "Color", group="⚙️ Settings", inline = "CCI")
show_nfp = input.bool(defval = true, title = "📅 Non-Farm Payroll (NFP)", inline = "NFP", group="⚙️ Settings", tooltip="The Non-Farm Payroll (NFP) is a measure of the change in the number of employed persons, excluding farm workers and government employees. The NFP is a leading indicator of consumer spending, which accounts for about two-thirds of U.S. economic activity.")
c_nfp = input.color(color.new(color.silver, 50), title = "Color", group="⚙️ Settings", inline = "NFP")
show_legend = input.bool(true, "Show Legend", group="⚙️ Settings", inline = "Legend", tooltip="Show the color legend for the economic calendar events.")
use_alt_date_resolution = input.bool(false, "Use Alternative Date Resolution", group="⚙️ Settings", inline = "AlternativeDateResolution", tooltip="Use alternative date resolution for the economic calendar events. May help in scenarios where the daily timeframe is off by a day.")
// =======================
// ==== Dates & Times ====
// =======================
getUnixTime(eventArr, i) =>
int t = array.get(eventArr, i)
switch
timeframe.isdaily => timestamp(year(t), month(t), dayofmonth(t)-timeframe.multiplier+1, 00, 00, 00)
timeframe.isweekly => timestamp(year(t), month(t), dayofmonth(t)-7*timeframe.multiplier+1, 00, 00, 00)
timeframe.ismonthly => timestamp(year(t), month(t)-timeframe.multiplier+1, 00, 00, 00, 00)
timeframe.isminutes and timeframe.multiplier > 60 => timestamp(year(t), month(t), dayofmonth(t), hour(t)-timeframe.multiplier/60+1, minute(t), second(t))
=> timestamp(year(t), month(t), dayofmonth(t), hour(t), minute(t), second(t))
// Note: The following is an alternative implementation of getUnixTime. It is useful for independently double-checking the resulting vertical lines of the above function.
getUnixTimeAlt(eventArr, i) =>
int t = array.get(eventArr, i)
switch
timeframe.isdaily and timeframe.multiplier >= 1 => t - timeframe.multiplier*86400000 // -n days
timeframe.isweekly => t - timeframe.multiplier*604800000 // -n week(s)
timeframe.ismonthly => t - timeframe.multiplier*2592000000 // -n month(s)
timeframe.isminutes and timeframe.multiplier > 60 => t - timeframe.multiplier*60000 // -n minutes
=> t
// Note: An offset of -n units is needed to realign events with the timeframe in which they occurred
if show_fomc_meetings
fomcMeetingsArr = calendar.fomcMeetings()
for i = 0 to array.size(fomcMeetingsArr) - 1
unixTime = use_alt_date_resolution ? getUnixTimeAlt(fomcMeetingsArr, i) : getUnixTime(fomcMeetingsArr, i)
line.new(x1=unixTime, y1=high, x2=unixTime, y2=low, extend=extend.both,color=c_fomcMeeting, width=2, xloc=xloc.bar_time)
if show_fomc_minutes
fomcMinutesArr = calendar.fomcMinutes()
for i = 0 to array.size(fomcMinutesArr) - 1
unixTime = use_alt_date_resolution ? getUnixTimeAlt(fomcMinutesArr, i) : getUnixTime(fomcMinutesArr, i)
line.new(x1=unixTime, y1=high, x2=unixTime, y2=low, extend=extend.both,color=c_fomcMinutes, width=2, xloc=xloc.bar_time)
if show_ppi
ppiArr = calendar.ppiReleases()
for i = 0 to array.size(ppiArr) - 1
unixTime = use_alt_date_resolution ? getUnixTimeAlt(ppiArr, i) : getUnixTime(ppiArr, i)
line.new(x1=unixTime, y1=high, x2=unixTime, y2=low, extend=extend.both,color=c_ppi, width=2, xloc=xloc.bar_time)
if show_cpi
cpiArr = calendar.cpiReleases()
for i = 0 to array.size(cpiArr) - 1
unixTime = use_alt_date_resolution ? getUnixTimeAlt(cpiArr, i) : getUnixTime(cpiArr, i)
line.new(x1=unixTime, y1=high, x2=unixTime, y2=low, extend=extend.both,color=c_cpi, width=2, xloc=xloc.bar_time)
if show_csi
csiArr = calendar.csiReleases()
for i = 0 to array.size(csiArr) - 1
unixTime = use_alt_date_resolution ? getUnixTimeAlt(csiArr, i) : getUnixTime(csiArr, i)
line.new(x1=unixTime, y1=high, x2=unixTime, y2=low, extend=extend.both,color=c_csi, width=2, xloc=xloc.bar_time)
if show_cci
cciArr = calendar.cciReleases()
for i = 0 to array.size(cciArr) - 1
unixTime = use_alt_date_resolution ? getUnixTimeAlt(cciArr, i) : getUnixTime(cciArr, i)
line.new(x1=unixTime, y1=high, x2=unixTime, y2=low, extend=extend.both,color=c_cci, width=2, xloc=xloc.bar_time)
if show_nfp
nfpArr = calendar.nfpReleases()
for i = 0 to array.size(nfpArr) - 1
unixTime = use_alt_date_resolution ? getUnixTimeAlt(nfpArr, i) : getUnixTime(nfpArr, i)
line.new(x1=unixTime, y1=high, x2=unixTime, y2=low, extend=extend.both,color=c_nfp, width=2, xloc=xloc.bar_time)
// ================
// ==== Legend ====
// ================
if show_legend
var tbl = table.new(position.top_right, columns=1, rows=8, frame_color=#151715, frame_width=1, border_width=2, border_color=color.new(color.black, 100))
units = timeframe.isminutes ? "m" : ""
if barstate.islast
table.cell(tbl, 0, 0, syminfo.ticker + ' | ' + str.tostring(timeframe.period) + units, text_halign=text.align_center, text_color=color.gray, text_size=size.normal)
table.cell(tbl, 0, 1, 'FOMC Meeting', text_halign=text.align_center, bgcolor=color.black, text_color=color.new(c_fomcMeeting, 10), text_size=size.small)
table.cell(tbl, 0, 2, 'FOMC Minutes', text_halign=text.align_center, bgcolor=color.black, text_color=color.new(c_fomcMinutes, 10), text_size=size.small)
table.cell(tbl, 0, 3, 'Producer Price Index (PPI)', text_halign=text.align_center, bgcolor=color.black, text_color=color.new(c_ppi, 10), text_size=size.small)
table.cell(tbl, 0, 4, 'Consumer Price Index (CPI)', text_halign=text.align_center, bgcolor=color.black, text_color=color.new(c_cpi, 10), text_size=size.small)
table.cell(tbl, 0, 5, 'Consumer Sentiment Index (CSI)', text_halign=text.align_center, bgcolor=color.black, text_color=color.new(c_csi, 10), text_size=size.small)
table.cell(tbl, 0, 6, 'Consumer Confidence Index (CCI)', text_halign=text.align_center, bgcolor=color.black, text_color=color.new(c_cci, 10), text_size=size.small)
table.cell(tbl, 0, 7, 'Non-Farm Payrolls (NFP)', text_halign=text.align_center, bgcolor=color.black, text_color=color.new(c_nfp, 10), text_size=size.small) |
Wick-off Check Moving Average [Misu] | https://www.tradingview.com/script/NBRO3jSQ-Wick-off-Check-Moving-Average-Misu/ | Fontiramisu | https://www.tradingview.com/u/Fontiramisu/ | 266 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Misu
//@version=5
indicator("Wick-off Check Moving Average [Misu]", shorttitle="Wickoff Check MA [Misu]", overlay = true, max_lines_count = 500, max_labels_count = 500) //, initial_capital=50000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)
import Fontiramisu/fontilab/12 as fontilab
// ] —————— Input Vars —————— [
// General
src = input(close, title="Source")
// MA.
var maTypeTooltip = "SMA: Simple moving average // EMA: Exponential MA // SMMA (RMA): Running MA // WMA: Weighted MA // VWMA: Volume weighted MA // DEMA: Double exponential MA "
+ "// TEMA: Triple exponential MA// ZLSMA: Zero lag sma //ZLDEMA: Zero lag dema// ZLTEMA: Zero lag tema // McGinley-D: McGinley Dynamic// HMA: Hull ma"
typeMA = input.string(title = "Method Multi MA", defval = "EMA", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "DEMA", "TEMA", "ZLSMA", "ZLDEMA", "ZLTEMA", "McGinley-D", "HMA"]
, tooltip=maTypeTooltip
, group="MA")
srcMA = input(close, title="MA Source", group="MA")
lenMA = input.int(36, minval=1, title="Length Multi MA", group="MA")
// Trend.
lenBarTrendValidation = input.int(10, title="Length Bar - Trend Validation", minval=1, group="Trend", tooltip="Define the number of bar needed to validate a trend. When price is above the MA, trend is up. When price is under MA, trend is down.")
// Wick-off.
wickoffMode = input.string("continuation pattern", title="Wickoff Mode", options=["no trend in progress", "continuation pattern", "both"], group="Wickoff Mode")
lenWickValidation = input.int(10, title="Lenght Avg Wick Validation", group="Wickoff Settings")
factorWickValidation = input.float(1, step=0.1, title="Factor Avg Wick Validation", group="Wickoff Settings")
// Wick off cond.
isWickoffUpBull = false
isWickoffUpBear = false
isWickoffDownBull = false
isWickoffDownBear = false
// ] —————— Util Functions —————— [
// Cond Vars.
_bodyHi = math.max(close, open)
_bodyLo = math.min(close, open)
_body = _bodyHi - _bodyLo
_upperWick = high - _bodyHi
_greenBody = open < close
_redBody = open > close
_highWick = high - _bodyHi
_lowWick = _bodyLo - low
_avgHighWick = ta.sma(_highWick, lenWickValidation)
_avgLowWick = ta.sma(_lowWick, lenWickValidation)
// Wick-off & MA conf.
multiMA = fontilab.multiMa(srcMA, lenMA, typeMA)
var upTCounter = 0
var downTCounter = 0
upTCounter := src > multiMA ? upTCounter + 1 : 0
downTCounter := src < multiMA ? downTCounter + 1 : 0
_uptInProgress = src > multiMA and upTCounter >= lenBarTrendValidation
_downtInProgress = src < multiMA and downTCounter >= lenBarTrendValidation
// @function detect wickoff.
isWickCrossPattern (src, isCrossUp, factor) =>
isCross = false
if isCrossUp
isCross := _bodyHi < src and src < high and _highWick > _avgHighWick * factor
else
isCross := low < src and src < _bodyLo and _lowWick > _avgLowWick * factor
isCross
// ] —————— Logic —————— [
// Invalidate wickoff other conditions
isWickoffUpBull := _uptInProgress and isWickCrossPattern(multiMA, false, factorWickValidation)
isWickoffDownBear := _downtInProgress and isWickCrossPattern(multiMA, true, factorWickValidation)
isWickoffDownBull := not _downtInProgress and not _uptInProgress and isWickCrossPattern(multiMA, false, factorWickValidation)
isWickoffUpBear := not _downtInProgress and not _uptInProgress and isWickCrossPattern(multiMA, true, factorWickValidation)
// -----
// BUY / SELL COND.
buyCond = wickoffMode == "continuation pattern" ? isWickoffUpBull : wickoffMode == "both" ? isWickoffUpBull or isWickoffDownBull : isWickoffDownBull
sellCond = wickoffMode == "continuation pattern" ? isWickoffDownBear : wickoffMode == "both" ? isWickoffUpBear or isWickoffDownBear : isWickoffUpBear
// ] —————— Strategy & alerts Part —————— [
// if buyCond
// strategy.entry("L", strategy.long, alert_message="Buy Signal")
// if sellCond
// strategy.entry("S", strategy.short, alert_message="Sell Signal")
alertcondition(buyCond, title = "Long", message = "Wick-off check MA [Misu]: Long\nSymbol: {{ticker}}\nPrice: {{close}}")
alertcondition(sellCond, title = "Short", message = "Wick-off check MA [Misu]: Short\nSymbol: {{ticker}}\nPrice: {{close}}")
// ] —————— Plot —————— [
plot(multiMA, title = "Moving Average", color=color.aqua, linewidth = 2)
if isWickoffDownBull and wickoffMode != "continuation pattern"
label.new(x = bar_index, y = low - (ta.atr(30) * 0.2), xloc = xloc.bar_index, text = "W", style = label.style_label_up, color = color.green, size = size.small, textcolor = color.white, textalign = text.align_center)
else if isWickoffUpBull and wickoffMode != "no trend in progress"
label.new(x = bar_index, y = low - (ta.atr(30) * 0.2), xloc = xloc.bar_index, text = "W", style = label.style_label_up, color = color.green, size = size.small, textcolor = color.white, textalign = text.align_center)
else if isWickoffUpBear and wickoffMode != "continuation pattern"
label.new(x = bar_index, y = high + (ta.atr(30) * 0.2), xloc = xloc.bar_index, text = "W", style = label.style_label_down, color = color.red, size = size.small, textcolor = color.white, textalign = text.align_center)
else if isWickoffDownBear and wickoffMode != "no trend in progress"
label.new(x = bar_index, y = high + (ta.atr(30) * 0.2), xloc = xloc.bar_index, text = "W", style = label.style_label_down, color = color.red, size = size.small, textcolor = color.white, textalign = text.align_center)
// ]
|
Daily RTH Moving Average On Intraday Timeframes [vnhilton] | https://www.tradingview.com/script/AbvppS9v-Daily-RTH-Moving-Average-On-Intraday-Timeframes-vnhilton/ | vnhilton | https://www.tradingview.com/u/vnhilton/ | 36 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © vnhilton
//@version=5
indicator("Daily RTH Moving Average On Intraday Timeframes [vnhilton]", "Daily RTH MA", true)
//RTH Timezone
rth = time(timeframe.period, session.regular, syminfo.timezone)
//Get Chart Timeframe
timeframe = timeframe.multiplier
//Minutes Used For Calculating MA Length (up to daily timeframe)
minutes = timeframe.isintraday ? 390 : 1
//MA Inputs
len = input.int(5, minval=1, title="MA Daily Length")
src = input(close, title="Source")
//Bollinger Band Inputs
mult = input.float(2.0, minval=0.001, maxval=50, title="StdDev")
//Logic
ma = ta.sma(src, (len * minutes) / timeframe)
dayPrice = ta.stdev(src, (len * minutes) / timeframe)
maRTH = request.security(ticker.modify(syminfo.tickerid, session.regular), timeframe.period, ma)
stdevPriceRTH = mult * request.security(ticker.modify(syminfo.tickerid, session.regular), timeframe.period, dayPrice)
upper = maRTH + stdevPriceRTH
lower = maRTH - stdevPriceRTH
//Plot
averageLine = plot(rth ? maRTH : na, "RTH Daily MA", color.red, style=plot.style_linebr)
upperLine = plot(rth ? upper : na, "Upper Band", color.gray, style=plot.style_linebr)
lowerLine = plot(rth ? lower : na, "Lower Band", color.gray, style=plot.style_linebr)
//Fill
fill(plot1=upperLine, plot2=averageLine, top_value=upper, bottom_value=maRTH, top_color=color.rgb(120, 123, 134, 99), bottom_color=color.rgb(255, 82, 82, 95), title="Upper Band Fill")
fill(plot1=averageLine, plot2=lowerLine, top_value=maRTH, bottom_value=lower, top_color=color.rgb(255, 82, 82, 95), bottom_color=color.rgb(120, 123, 134, 99), title="Lower Band Fill") |
stochastic + tsv | https://www.tradingview.com/script/gwkkJbST/ | goonerholic | https://www.tradingview.com/u/goonerholic/ | 12 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © goonerholic
//@version=5
indicator("stochastic + tsv", overlay=true)
// ========================================================================================================
// ========================================================================================================
// EMA ====================================================================================================
useEma = input.bool(true, title="Ema 사용여부", tooltip="지표의 계산에 ema 조건을 포함시킬지 결정합니다", group="EMA")
emaPeriod = input.int(200, title="EMA Period", group="EMA")
ema = ta.ema(close, emaPeriod)
emaLongCond = useEma ? close > ema : true
emaShortCond = useEma ? close < ema : true
plot(ema, "ema")
// ========================================================================================================
// ========================================================================================================
// Stochastic =============================================================================================
periodK = input.int(7, title="%K Length", minval=1, group="Stochastic")
smoothK = input.int(3, title="%K Smoothing", minval=1, group="Stochastic")
k = ta.sma(ta.stoch(close, high, low, periodK), smoothK)
stochUpper = 80
stochLower = 20
stochMiddle = 50
var int direction = na
if (ta.crossunder(k, stochLower))
direction := 1
if (ta.crossover(k, stochUpper))
direction := -1
if (ta.cross(k, stochMiddle))
direction := 0
stochLongCond = direction == 1 and k <= stochMiddle
stochShortCond = direction == -1 and k >= stochMiddle
// ========================================================================================================
// ========================================================================================================
// Stochastic RSI =========================================================================================
lengthStoch = input.int(14, "%K Length", minval=1, group="Stochastic RSI")
smoothKRSI = input.int(3, "%K Smoothing", minval=1, group="Stochastic RSI")
lengthRSI = input.int(14, "RSI Length", minval=1, group="Stochastic RSI")
src = input(close, title="RSI Source", group="Stochastic RSI")
rsi1 = ta.rsi(src, lengthRSI)
rsik = ta.sma(ta.stoch(rsi1, rsi1, rsi1, lengthStoch), smoothKRSI)
var int stochRsiDirection = na
if (ta.crossunder(rsik, stochLower))
stochRsiDirection := 1
if (ta.crossover(rsik, stochUpper))
stochRsiDirection := -1
if (ta.cross(rsik, stochMiddle))
stochRsiDirection := 0
stochRsiLongCond = stochRsiDirection == 1 and rsik <= stochMiddle
stochRsiShortCond = stochRsiDirection == -1 and rsik >= stochMiddle
plotchar(direction, "direction", display=display.data_window)
plotchar(stochRsiDirection, "RSI direction", display=display.data_window)
// ========================================================================================================
// ========================================================================================================
// Supertrend 3n1 =========================================================================================
PeriodsA = input.int(title="ATR Period", defval=12)
srcA = input.source(hl2, title="Source")
MultiplierA = input.float(title="ATR Multiplier", step=0.1, defval=3.0)
changeATRA= input.bool(title="Change ATR Calculation Method ?", defval=true)
// showsignalsA = input.bool(title="Show Buy/Sell Signals ?", defval=true)
// highlightingA = input.bool(title="Highlighter On/Off ?", defval=true)
atr2A = ta.sma(ta.tr, PeriodsA)
atrA= changeATRA ? ta.atr(PeriodsA) : atr2A
upA=srcA-(MultiplierA*atrA)
up1A = nz(upA[1],upA)
upA := close[1] > up1A ? math.max(upA,up1A) : upA
dnA=srcA+(MultiplierA*atrA)
dn1A = nz(dnA[1], dnA)
dnA := close[1] < dn1A ? math.min(dnA, dn1A) : dnA
trendA = 1
trendA := nz(trendA[1], trendA)
trendA := trendA == -1 and close > dn1A ? 1 : trendA == 1 and close < up1A ? -1 : trendA
PeriodsB = input.int(title="ATR Period", defval=11)
srcB = input.source(hl2, title="Source")
MultiplierB = input.float(title="ATR Multiplier", step=0.1, defval=2.0)
changeATRB= input.bool(title="Change ATR Calculation Method ?", defval=true)
// showsignalsB = input.bool(title="Show Buy/Sell Signals ?", defval=true)
// highlightingB = input.bool(title="Highlighter On/Off ?", defval=true)
atr2B = ta.sma(ta.tr, PeriodsB)
atrB= changeATRB ? ta.atr(PeriodsB) : atr2B
upB=srcB-(MultiplierB*atrB)
up1B = nz(upB[1],upB)
upB := close[1] > up1B ? math.max(upB,up1B) : upB
dnB=srcB+(MultiplierB*atrB)
dn1B = nz(dnB[1], dnB)
dnB := close[1] < dn1B ? math.min(dnB, dn1B) : dnB
trendB = 1
trendB := nz(trendB[1], trendB)
trendB := trendB == -1 and close > dn1B ? 1 : trendB == 1 and close < up1B ? -1 : trendB
PeriodsC = input.int(title="ATR Period", defval=10)
srcC = input.source(hl2, title="Source")
MultiplierC = input.float(title="ATR Multiplier", step=0.1, defval=1.0)
changeATRC= input.bool(title="Change ATR Calculation Method ?", defval=true)
atr2C = ta.sma(ta.tr, PeriodsC)
atrC= changeATRC ? ta.atr(PeriodsC) : atr2C
upC=srcC-(MultiplierC*atrC)
up1C = nz(upC[1],upC)
upC := close[1] > up1C ? math.max(upC,up1C) : upC
dnC=srcC+(MultiplierC*atrC)
dn1C = nz(dnC[1], dnC)
dnC := close[1] < dn1C ? math.min(dnC, dn1C) : dnC
trendC = 1
trendC := nz(trendC[1], trendC)
trendC := trendC == -1 and close > dn1C ? 1 : trendC == 1 and close < up1C ? -1 : trendC
supertrendCount = trendA + trendB + trendC
// plotchar(trendA, "trendA", display=display.data_window)
// plotchar(trendB, "trendB", display=display.data_window)
// plotchar(trendC, "trendC", display=display.data_window)
supertrendLongCond = supertrendCount >= 1
supertrendShortCond = supertrendCount <= -1
// ========================================================================================================
// ========================================================================================================
// TSV ====================================================================================================
tsv_length = input.int(13, "TSV Length")
tsv = math.sum(close > close[1] or close < close[1] ? volume * (close - close[1]) : 0, tsv_length)
tsvLongCond = tsv > 0
tsvShortCond = tsv < 0
longAlertCond = emaLongCond and (stochLongCond or stochRsiLongCond) and supertrendLongCond and tsvLongCond
shortAlertCond = emaShortCond and (stochShortCond or stochRsiShortCond) and supertrendShortCond and tsvShortCond
plotshape(longAlertCond, "Long", style=shape.labelup, location=location.belowbar, color=color.green)
plotshape(shortAlertCond, "Short", style=shape.labeldown, location=location.abovebar, color=color.red)
alertcondition(longAlertCond, "Long", "Long")
alertcondition(shortAlertCond, "Short", "Short") |
Expansion of EMA | https://www.tradingview.com/script/JYiM2AQP-Expansion-of-EMA/ | Prashant_Vibhute | https://www.tradingview.com/u/Prashant_Vibhute/ | 15 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Prashant_Vibhute
//@version=5
indicator("Expansion of EMA", overlay=true)
exp1 = ta.ema(hl2, 20)
exp2 = ta.ema(hl2, 25)
exp3 = ta.ema(hl2, 30)
exp4 = ta.ema(hl2, 35)
exp5 = ta.ema(hl2, 40)
exp6 = ta.ema(hl2, 45)
exp7 = ta.ema(hl2, 50)
exp8 = ta.ema(hl2, 55)
exp9 = ta.ema(hl2, 60)
exp10 = ta.ema(hl2, 65)
exp11 = ta.ema(hl2, 70)
exp12 = ta.ema(hl2, 75)
exp13 = ta.ema(hl2, 80)
exp14 = ta.ema(hl2, 85)
exp15 = ta.ema(hl2, 90)
exp16 = ta.ema(hl2, 95)
exp17 = ta.ema(hl2, 100)
exp18 = ta.ema(hl2, 150)
exp19 = ta.ema(hl2, 175)
exp20 = ta.ema(hl2, 200)
exp21 = ta.ema(hl2, 500)
exp22 = ta.ema(hl2, 900)
plot(exp1, 'EMA 20')
plot(exp2, 'EMA 25')
plot(exp3, 'EMA 30')
plot(exp4, 'EMA 35')
plot(exp5, 'EMA 40')
plot(exp6, 'EMA 45')
plot(exp7, 'EMA 50')
plot(exp8, 'EMA 55')
plot(exp9, 'EMA 60')
plot(exp10, 'EMA 65')
plot(exp11, 'EMA 70')
plot(exp12, 'EMA 75')
plot(exp13, 'EMA 80')
plot(exp14, 'EMA 85')
plot(exp15, 'EMA 90')
plot(exp16, 'EMA 95')
plot(exp17, 'EMA 100')
plot(exp18, 'EMA 150')
plot(exp19, 'EMA 175')
plot(exp20, 'EMA 200')
plot(exp21, 'EMA 500')
plot(exp22, 'EMA 900') |
Average Volume Profile | https://www.tradingview.com/script/dQ9Wjj11-Average-Volume-Profile/ | SamRecio | https://www.tradingview.com/u/SamRecio/ | 744 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © SamRecio
//@version=5
indicator("Average Volume Profile", shorttitle = "AVP", overlay = true, max_lines_count = 500, max_boxes_count = 500, max_bars_back = 5000)
tf = input.timeframe("D", title = "Timeframe", inline = "0", group = "PROFILE SETTINGS")
mdr = input.float(4, minval = 1,maxval = 4,title = "Sensitivity ", inline = "1", group = "PROFILE SETTINGS", tooltip = "Higher = More Granular\nLower = Less Granular")
vap = input.float(70, title = "Value Area %", inline = "1_1", group = "PROFILE SETTINGS")/100
disp_size = input.int(-50, minval = -500,maxval = 500,title = "Display Size ", inline = "3", group = "DISPLAY SETTINGS", tooltip = "The entire range of your profile will scale to fit inside this range.\nNotes:\n-This value is # bars away from your profile's axis.\n-The larger this value is, the more granular your (horizontal) view will be. This does not change the Profiles' value; because of this, sometimes the HAV looks tied with other values widely different. The HAV CAN be tied to values close to it, but if the value is far away it is likely to just be a visual constraint.\n-This Value CAN be negative")
prof_offset = input.int(50, minval = -500,maxval = 500, title = "Display Offset", inline = "4", group = "DISPLAY SETTINGS", tooltip = "Offset your profile's axis (Left/Right) to customize your display to fit your style.\nNotes:\n-Zero = Current Bar\n-This Value CAN be negative")
extend_day = input.bool(false, title = "Display Current HAV/VAH/VAL", inline = "5", group = "Additional Data Displays")
hist = input.bool(false, title = "Display Historical HAV/VAH/VAL", inline = "6", group = "Additional Data Displays")
poc_color = input.color(#03afff, title = "Highest Avg Volume Color", group = "Colors")
var_color = input.color(color.white, title = "Value High/Low Color", group = "Colors")
vaz_color = input.color(color.new(#555555,50), title = "Value Zone Color", group = "Colors")
ov_color = input.color(#555555, title = "Profile Color", group = "Colors")
sp_color = input.color(#014f74, title = "Lowest Avg Volume Color", group = "Colors")
vl_color = input.color(color.aqua, title = "Volume Line Color")
//Error messages
//no volume, by checking if volume == na
if na(volume)
runtime.error("No Volume Data. Please Use a Ticker with Volume Data.")
//checking if we have the bar index of the last time the selscte timeframe changed. if not we're not able to calculate the granularity.
if barstate.islast and na(ta.valuewhen(timeframe.change(tf),bar_index,1))
runtime.error("Profile Timeframe is Too Large. Please Increase Chart Timeframe, or Decrease Profile Timeframe.")
//Round to Function
round_to(_round,_to) =>
math.round(_round/_to)*_to
//Below is a modified version of my volume profile calculation from "Volume/Market Profile"
//This version handles 3 arrays in parallel holding values of a volume profile, market profile, and the average of the 2
vol_prof(_tf,_mdr) =>
tf_change = timeframe.change(_tf)
var main = array.new_float(na)
var mp_main = array.new_float(na)
var avg = array.new_float(na)
var float base = na
var float roof = na
max_array_dol_range = syminfo.mintick*(_mdr*100)
change_dif = nz(ta.valuewhen(tf_change,bar_index,0) - ta.valuewhen(tf_change,bar_index,1),1)
rng_get = ta.valuewhen(tf_change,ta.highest(high,change_dif) - ta.lowest(low,change_dif),0)
tick_size = rng_get>max_array_dol_range?math.ceil(rng_get/max_array_dol_range)*syminfo.mintick:syminfo.mintick
c_hi = round_to(high,tick_size)
c_lo = round_to(low,tick_size)
candle_range = c_hi - c_lo
candle_index = (candle_range/tick_size)+1
tick_vol = volume/candle_index
//Start
if tf_change
array.clear(main)
array.clear(mp_main)
array.clear(avg)
base := c_lo
roof := c_hi
for i = 0 to candle_index-1
array.push(main,tick_vol)
array.push(mp_main,1)
array.push(avg,nz(tick_vol/1))
//Expand Down
down_dif = math.abs((base - c_lo)/tick_size)
if c_lo < base
for i = 1 to down_dif
array.unshift(main,0)
array.unshift(mp_main,0)
array.unshift(avg,0)
base := c_lo
z_point = math.abs((base - c_lo)/tick_size)
//Expand Up
up_dif = math.abs((roof - c_hi)/tick_size)
if c_hi > roof
for i = 1 to up_dif
array.push(main,0)
array.push(mp_main,0)
array.push(avg,0)
roof := c_hi
//Input Values
for i = 0 to array.size(main)
if (i >= z_point) and (i <= (z_point + candle_index)-1)
v = array.get(main,int(i))
mpv = array.get(mp_main,int(i))
array.set(main,int(i),v + tick_vol)
array.set(mp_main,int(i),mpv + 1)
array.set(avg,int(i),nz((v + tick_vol)/(mpv + 1)))
max_index = math.round(math.avg(array.indexof(avg,array.max(avg)),array.lastindexof(avg,array.max(avg))))
poc = base + (tick_size*max_index)
//Value Zones
max_vol = array.sum(avg)*vap
vol_count = max_index >=0?array.get(avg, max_index):0.0
up_count = max_index
down_count = max_index
for x = 0 to array.size(avg)-1
if vol_count >= max_vol
break
uppervol = up_count<array.size(avg)-1?array.get(avg, up_count + 1):na
lowervol = down_count>0?array.get(avg, down_count - 1):na
if ((uppervol >= lowervol) and not na(uppervol)) or na(lowervol)
vol_count += uppervol
up_count += 1
else
vol_count += lowervol
down_count -= 1
val = base + (tick_size*down_count)
vah = base + (tick_size*up_count)
pd_vah = ta.valuewhen(tf_change,vah[1],0)
pd_val = ta.valuewhen(tf_change,val[1],0)
pd_poc = ta.valuewhen(tf_change,poc[1],0)
[poc,vah,val,pd_poc,pd_vah,pd_val,avg,base,tick_size,up_count,down_count,max_index,roof,candle_index]
[poc,vah,val,pd_poc,pd_vah,pd_val,avg,base,tick_size,up_count,down_count,mv,roof,ci] = vol_prof(tf,mdr)
////////////////////////////////////////////////////////////////////////////////
////////////////////////////////////////////////////////////////////////////////
//Determining how many bars are inbetween tf changes
day_len = ta.valuewhen(timeframe.change(tf),bar_index,0)-ta.valuewhen(timeframe.change(tf),bar_index,1)
//Drawing the profile
var profile = array.new_line(na)
var box_profile = array.new_box(na)
if array.size(profile) > 0
for i = 0 to array.size(profile) - 1
line.delete(array.get(profile, i))
if i == (array.size(profile) - 1)
array.clear(profile)
if array.size(box_profile) > 0
for i = 0 to array.size(box_profile) - 1
box.delete(array.get(box_profile, i))
if i == (array.size(box_profile) - 1)
array.clear(box_profile)
min_array = array.copy(avg)
if array.size(min_array) > 0
for i = array.size(min_array)-1 to 0
if array.get(min_array,i) == 0
array.remove(min_array,i)
prof_color(_num) =>
_num==mv?poc_color:
(_num==up_count or _num==down_count)?var_color:
array.get(avg,_num) == array.min(min_array)?sp_color:
(_num>up_count or _num<down_count)?ov_color:
vaz_color
bi_nd = ta.valuewhen(timeframe.change(tf),bar_index,0)
if barstate.islast
if array.size(avg) > 0
for i = 0 to array.size(avg) - 1
scale = disp_size/array.max(avg)
scaled = math.round(array.get(avg,i)*scale)
if ((i>up_count) or (i<down_count)) or (array.size(box_profile) >= 450)
array.push(profile,line.new(bar_index+prof_offset,base+(i*tick_size),(bar_index+scaled)+prof_offset,base+(i*tick_size), color = (base+(i*tick_size)==round_to(close,tick_size))?vl_color:prof_color(i), style = (i<down_count or i>up_count?line.style_dotted:line.style_solid)))
else
array.push(box_profile,box.new(bar_index+prof_offset,base+(i*tick_size),(bar_index+scaled)+prof_offset,base+(i*tick_size), border_color = (base+(i*tick_size)==round_to(close,tick_size))?vl_color:prof_color(i), border_style = (i<down_count or i>up_count?line.style_dotted:line.style_solid), border_width = 1))
//Making moving labels and lines.
if array.size(avg) > 0
cur = math.abs((round_to(close,tick_size)-base)/tick_size)
a = math.round(array.get(avg,int(cur)))
lab0 = label.new(bar_index+prof_offset,round_to(close,tick_size), style = (disp_size<0?label.style_label_left:label.style_label_right), text = "Avg: " + str.tostring(a,format.volume), color = color.new(color.black,100), textcolor = math.round(volume/ci)>a?vl_color:chart.fg_color, tooltip = "Average Volume at Price")
label.delete(lab0[1])
mv_lab = label.new(bar_index+prof_offset, base+(mv*tick_size), style = (disp_size<0?label.style_label_left:label.style_label_right), text = "Max Avg: " + str.tostring(array.get(avg,mv),format.volume), color = color.new(color.black,100), textcolor = chart.fg_color)
label.delete(mv_lab[1])
sc = disp_size/array.max(avg)
scd = math.round((volume/ci)*sc)
vlab = line.new((bar_index+scd)+prof_offset,roof,(bar_index+scd)+prof_offset,base, color = vl_color)
line.delete(vlab[1])
lab0_0 = label.new((bar_index+scd)+prof_offset,base, style = label.style_label_up, text = "\nVol: " + str.tostring(math.round(volume/ci),format.volume), color = color.new(color.black,100), textcolor = math.round(volume/ci)>a?vl_color:chart.fg_color, tooltip = "Distributed Volume\nCandle Volume/Candle Range = Distributed Volume")
label.delete(lab0_0[1])
//Drawing previous day lines at the start of new day
var pd_lines = array.new_line(na)
if timeframe.change(tf) and hist
array.push(pd_lines,line.new(bar_index-day_len,pd_poc,bar_index-1,pd_poc,color = poc_color, width = 2))
array.push(pd_lines,line.new(bar_index-day_len,pd_vah,bar_index-1,pd_vah,color = var_color, width = 2))
array.push(pd_lines,line.new(bar_index-day_len,pd_val,bar_index-1,pd_val,color = var_color, width = 2))
if array.size(pd_lines) > 90
line.delete(array.get(pd_lines,0))
array.remove(pd_lines,0)
//drawing current day's lines
if extend_day
d_poc = line.new(bi_nd,poc,bar_index,poc,color = poc_color, width = 2)
d_vah = line.new(bi_nd,vah,bar_index,vah,color = var_color, width = 2)
d_val = line.new(bi_nd,val,bar_index,val,color = var_color, width = 2)
line.delete(d_poc[1])
line.delete(d_vah[1])
line.delete(d_val[1])
//Profile title Label
lab = label.new(bar_index+prof_offset,roof, text = ("Average Volume Profile [") + tf + "]\nGranularity: " + str.tostring(tick_size,"$#.##########"), style = (disp_size<0?label.style_label_lower_right:label.style_label_lower_left), color = color.rgb(0,0,0,100), textcolor = chart.fg_color, textalign = (disp_size<0?text.align_left:text.align_right), text_font_family = font.family_monospace)
label.delete(lab[1])
//Alerts
alertcondition(ta.crossover(close,poc), "Cross-Over Highest Average Volume")
alertcondition(ta.crossunder(close,poc), "Cross-Under Highest Average Volume")
alertcondition(ta.crossover(close,vah), "Cross-Over Value High")
alertcondition(ta.crossunder(close,vah), "Cross-Under Value High")
alertcondition(ta.crossover(close,val), "Cross-Over Value Low")
alertcondition(ta.crossunder(close,val),"Cross-Under Value Low")
|
Extreme Trend Reversal Points [HeWhoMustNotBeNamed] | https://www.tradingview.com/script/eBB5mW6b-Extreme-Trend-Reversal-Points-HeWhoMustNotBeNamed/ | Trendoscope | https://www.tradingview.com/u/Trendoscope/ | 4,137 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © HeWhoMustNotBeNamed
// __ __ __ __ __ __ __ __ __ __ __ _______ __ __ __
// / | / | / | _ / |/ | / \ / | / | / \ / | / | / \ / \ / | / |
// $$ | $$ | ______ $$ | / \ $$ |$$ |____ ______ $$ \ /$$ | __ __ _______ _$$ |_ $$ \ $$ | ______ _$$ |_ $$$$$$$ | ______ $$ \ $$ | ______ _____ ____ ______ ____$$ |
// $$ |__$$ | / \ $$ |/$ \$$ |$$ \ / \ $$$ \ /$$$ |/ | / | / |/ $$ | $$$ \$$ | / \ / $$ | $$ |__$$ | / \ $$$ \$$ | / \ / \/ \ / \ / $$ |
// $$ $$ |/$$$$$$ |$$ /$$$ $$ |$$$$$$$ |/$$$$$$ |$$$$ /$$$$ |$$ | $$ |/$$$$$$$/ $$$$$$/ $$$$ $$ |/$$$$$$ |$$$$$$/ $$ $$< /$$$$$$ |$$$$ $$ | $$$$$$ |$$$$$$ $$$$ |/$$$$$$ |/$$$$$$$ |
// $$$$$$$$ |$$ $$ |$$ $$/$$ $$ |$$ | $$ |$$ | $$ |$$ $$ $$/$$ |$$ | $$ |$$ \ $$ | __ $$ $$ $$ |$$ | $$ | $$ | __ $$$$$$$ |$$ $$ |$$ $$ $$ | / $$ |$$ | $$ | $$ |$$ $$ |$$ | $$ |
// $$ | $$ |$$$$$$$$/ $$$$/ $$$$ |$$ | $$ |$$ \__$$ |$$ |$$$/ $$ |$$ \__$$ | $$$$$$ | $$ |/ |$$ |$$$$ |$$ \__$$ | $$ |/ |$$ |__$$ |$$$$$$$$/ $$ |$$$$ |/$$$$$$$ |$$ | $$ | $$ |$$$$$$$$/ $$ \__$$ |
// $$ | $$ |$$ |$$$/ $$$ |$$ | $$ |$$ $$/ $$ | $/ $$ |$$ $$/ / $$/ $$ $$/ $$ | $$$ |$$ $$/ $$ $$/ $$ $$/ $$ |$$ | $$$ |$$ $$ |$$ | $$ | $$ |$$ |$$ $$ |
// $$/ $$/ $$$$$$$/ $$/ $$/ $$/ $$/ $$$$$$/ $$/ $$/ $$$$$$/ $$$$$$$/ $$$$/ $$/ $$/ $$$$$$/ $$$$/ $$$$$$$/ $$$$$$$/ $$/ $$/ $$$$$$$/ $$/ $$/ $$/ $$$$$$$/ $$$$$$$/
//
//
//
//@version=5
indicator("Extreme Trend Reversal Points [HeWhoMustNotBeNamed]", shorttitle = "ETRP[HWMNBN]", overlay=true)
import HeWhoMustNotBeNamed/_matrix/5 as ma
import HeWhoMustNotBeNamed/arrayutils/21 as ar
import HeWhoMustNotBeNamed/enhanced_ta/14 as eta
import HeWhoMustNotBeNamed/drawingutils/8 as dr
import HeWhoMustNotBeNamed/arrays/1 as pa
source = input.source(close, "Source", group="Moving Average")
type = input.string("sma", "Type", options = ["sma", "ema", "rma", "wma"], group="Moving Average")
length = input.int(20, "Length", step=5, group="Moving Average")
level = input.int(10, "Level", minval = 5, step=5, group="Moving Average")
minMaxRangePercentile = input.int(20, 'Range Percentile', minval=5, maxval=45, step=5)
extremeMinMaxRangePercentile = input.int(45, 'Extreme Range Percentile', minval=40, maxval=48, step=2)
history = input.int(1000, 'Percentile History', minval=1000, maxval=5000, step=500)
realTimeAlerts = input.bool(false, 'Real Time Alerts', 'If set to true, alerts are fired on latest candle - which may repaint. For safer option set this to false')
maxHistory = length-1
ema(float currentEma, float source, simple int length) =>
k = 2 / (length + 1)
ema = source * k + (1 - k) * currentEma
ema
rma(float currentRma, float source, simple int length) =>
k = 2 / (length + 1)
rma = (currentRma * (length-1) + source)/length
rma
var maMatrix = matrix.new<float>(1, level+1, source)
if(type == "ema")
emaArray = array.new<float>(1, source)
for i=1 to matrix.columns(maMatrix)-1
ema = ema(matrix.get(maMatrix, 0, i), array.get(emaArray, array.size(emaArray)-1), length)
array.push(emaArray, ema)
ma.unshift(maMatrix, emaArray, maxHistory)
if(type == "rma")
rmaArray = array.new<float>(1, source)
for i=1 to matrix.columns(maMatrix)-1
rma = rma(matrix.get(maMatrix, 0, i), array.get(rmaArray, array.size(rmaArray)-1), length)
array.push(rmaArray, rma)
ma.unshift(maMatrix, rmaArray, maxHistory)
if(type == "sma" or type == "wma")
maArray = array.new<float>(1, source)
for i=1 to matrix.columns(maMatrix)-1
values = matrix.col(maMatrix, i-1)
tmpArray = array.new<float>(1, array.get(maArray, i-1))
tmpArray := array.concat(tmpArray, values)
array.push(maArray, ar.ma(tmpArray, type, length))
ma.unshift(maMatrix, maArray, maxHistory)
strength = 0
bearishStrength = 0
diffMatrix = matrix.new<float>(level+1, level+1, 0)
var linesArray = array.new<line>()
var labelsArray = array.new<label>()
ar.clear(linesArray)
ar.clear(labelsArray)
for i = 0 to level
for j = 0 to level
pma = matrix.get(maMatrix, 0, i)
nma = matrix.get(maMatrix, 0, j)
//strength := pma > nma ? strength+1 : strength
if(j > i)
strength := pma > nma ? strength+1 : strength
matrix.set(diffMatrix, i, j, math.sign(pma-nma))
lastRow = matrix.row(maMatrix, 0)
lastRowIndex = array.sort_indices(array.slice(lastRow, 1, array.size(lastRow)), order.descending)
if(barstate.islast)
for i=1 to level
levelColor = color.from_gradient(i, 1, level, color.green, color.red)
dr.draw_labelled_line(array.get(lastRow, i), type+'('+str.tostring(i)+')',levelColor, levelColor, 0, true, linesArray, labelsArray)
minRange = ta.percentile_nearest_rank(strength, history, 50-minMaxRangePercentile)
maxRange = ta.percentile_nearest_rank(strength, history, 50+minMaxRangePercentile)
extremeMinRange = ta.percentile_nearest_rank(strength, history, 50-extremeMinMaxRangePercentile)
extremeMaxRange = ta.percentile_nearest_rank(strength, history, 50+extremeMinMaxRangePercentile)
plotColor = strength > extremeMaxRange? color.green :
strength > maxRange? color.lime :
strength < extremeMinRange ? color.red :
strength < minRange? color.orange : color.silver
strengthRange = strength > extremeMaxRange? 2 :
strength > maxRange? 1 :
strength > minRange ? 0 :
strength < extremeMinRange? -1 : -2
maxStrength = level * (level+1)/2
ma = eta.ma(source, type, length)
bullishTrendReversalPoint = strength[1]== maxStrength and ta.crossunder(source, ma)
bearishTrendReversalPoint = strength[1]==0 and ta.crossover(source, ma)
plotshape(bullishTrendReversalPoint, 'Bullish Trend Reversal Point',
style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small)
plotshape(bearishTrendReversalPoint, 'Bearish Trend Reversal Point',
style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small)
plot(strength, "Strength", color=color.silver, display = display.data_window)
plot(minRange, "Min Range", color=color.orange, display = display.data_window)
plot(maxRange, "Max Range", color=color.lime, display = display.data_window)
plot(extremeMinRange, "Extreme Min Range", color=color.red, display = display.data_window)
plot(extremeMaxRange, "Extreme Max Range", color=color.green, display = display.data_window)
plot(strengthRange, "Strength Range", color=color.blue, display = display.data_window)
plot(ma, "Moving Average", plotColor)
alertcondition(bullishTrendReversalPoint[realTimeAlerts?0:1], "Bullish Trend Reversal", "Possible reversal of bullish trend")
alertcondition(bearishTrendReversalPoint[realTimeAlerts?0:1], "Bearish Trend Reversal", "Possible reversal of bearish trend") |
Correlation with P-Value & Confidence Interval (alt) | https://www.tradingview.com/script/QphOKMXQ-Correlation-with-P-Value-Confidence-Interval-alt/ | tartigradia | https://www.tradingview.com/u/tartigradia/ | 115 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © balipour
// extended by tartigradia
//
// Pearson correlation coefficient measures the linear correlation between two variables. It has a value between +1 and −1, where 1 is total positive linear correlation, 0 is no linear correlation and −1 is total negative linear correlation. It’s often denoted by r for sample correlation and ρ for population correlation.
//
// Note: Pearson Correlation only measures the linear relationship between two variables, such as y = a*x + b. There are other measurements for nonlinear correlations.
//
// When option “R” for "Correlation variants" is chosen, the value would be the same as TradingView's built in correlation() function. For "Adjusted R ", the calculation is based on the traditional Pearson. The sample r is a biased estimate of population ρ. The adjusted r gets rid of some of the bias but not all. As the sample size or lookback period increases, adjusted r will be closer to r.
//
// The confidence interval is computed for population ρ estimation based on sample r. Correlation coefficient itself doesn’t follow a normal distribution. Fisher transformation is applied to transform the data into an approximately normal distribution. We compute the standard error based on the transformed data, then use an inverse fisher transform to transform back the standard error in terms of r.
//
// Note: the confidence interval band is an approximation of population, it proposes a range of plausible r values (instead of a point). The confidence level represents the frequency (i.e. the proportion) of possible confidence intervals that contain the true value of the unknown population parameter. The proportion of those intervals that contain the true value of the parameter will be equal to the confidence level. For example, if the confidence level is 95% then in hypothetical indefinite data collection, in 95% of the samples the interval estimate will contain the population parameter. The default setting is 1.96* standard error which is 95% confidence interval.
//
// The most important and distinguishable feature of this indicator is the p-value provided along with the correlation.
//
// The value of Correlation Coefficient alone doesn’t provide any information regarding its statistical significance. For example, two sets of independent samples have 0 correlation in theory. However, your correlation coefficient on these samples will never actually show 0 correlation (small correlation value but not 0). Therefore without a significance test, one would be fooled by the value of r when there’s no linear relationship at all.
//
// In statistical hypothesis testing, the p-value or probability value is the probability of obtaining test results at least as extreme as the results actually observed during the test, assuming that the null hypothesis is correct. The smaller the p-value, the stronger the evidence that the null hypothesis should be rejected and that the alternate hypothesis might be more credible. Since one could be deceived by r showing values while correlation is actually 0. The null hypothesis here is the “r is 0”. The alternative hypothesis is “ r is not 0”. The default setting for p critical value is 0.05. It means that when p is lower than 0.05, there’s less than 5% chance that correlation is 0, and we consider that to be "significant correlation". To get the p-value, We use a t distribution with n – 2 degrees of freedom to find the probability. P-value will adjust automatically when the sample size or lookback changes.
//
// Displays :
// When p is lower than 0.05 and r > 0, correlation coefficient shows red, p-value shows yellow, panel shows “Significant Positive Correlation”.
// When p is lower than 0.05 and r < 0, correlation coefficient shows green, p-value shows yellow, panel shows “Significant Negative Correlation”.
// When p is higher than 0.05, correlation, correlation coefficient shows white, p-value shows grey, panel shows “Insignificant Correlation”.
//
// r² (r squared) also known as the coefficient of determination, is the square of correlation r. r² measures how well the data fit the linear regression model used in correlation. When two assets show significant correlation, r squared can be used to compare which one fits the data better. r² is displayed on the panel and has a different lookback by default than the correlation coefficient .
//
// Contributors : Pig (ideas, code, math and design), Balipour (ideas), midtownsk8rguy(applying/employing Pine etiquette), tartigradia (optimizing SMA, add EMA, add multi-timeframe resolution, conversion from pinescript v4 to v5).
//@version=5
indicator('Correlation with P-Value & Confidence Interval [pig, tartigradia]', 'BA🐷 CC (TG)', false, format.price, 3, timeframe="", timeframe_gaps=false)
var invisible = color(na)
bgcolor(#000000c0)
var cPI = 2.0 * math.asin(1.0) // 3.1415926536 Constant
//===== Functions =====//
custom_sma(src, src_cur, len) =>
sum = 0.0
sum := nz(sum[1]) - nz(src[len]) + src // compute the updated rolling sum
(nz(sum[1]) - nz(src) + src_cur) / len
cc(x, y, len, ma_type) => // Correlation Coefficent function
lenMinusOne = len - 1
//meanx = 0.0, meany = 0.0
//for i=0.0 to lenMinusOne
// meanx := meanx + nz(x[i])
// meany := meany + nz(y[i])
//meanx := meanx / len
//meany := meany / len
meanx = ma_type == 'ema' ? ta.ema(x, lenMinusOne) : ta.sma(x, lenMinusOne)
meany = ma_type == 'ema' ? ta.ema(y, lenMinusOne) : ta.sma(y, lenMinusOne)
sumxy = 0.0
sumx = 0.0
sumy = 0.0
for i = 0 to lenMinusOne by 1
sumxy += (nz(x[i]) - meanx) * (nz(y[i]) - meany)
sumx += math.pow(nz(x[i]) - meanx, 2)
sumy += math.pow(nz(y[i]) - meany, 2)
sumxy / math.sqrt(sumy * sumx)
adj(r, n) => // Unbiased Adjusted R Estimation Approximate Function
(1 + (1 - math.pow(r, 2)) / (2 * n)) * r
Round(src, digits) => // Round Function
p = math.pow(10, digits)
math.round(math.abs(src) * p) / p * math.sign(src)
xp(offset) => // Offset
time + math.round(ta.change(time) * offset)
//label Panel Function
//Note: removed by Tartigradia because it causes side effects which prevents MTF implementation (timeframe argument). Remove timeframe argument in the indicator call and uncomment these lines if you want to use panel again.
//_label(T, color_PnL) =>
// label PnL_Label = na
// label.delete(PnL_Label[1])
// PnL_Label := label.new(time, 0.0, text=T, color=color_PnL, textcolor=color.white, size=size.normal, style=label.style_label_left, xloc=xloc.bar_time, textalign=text.align_left)
// label.set_x(PnL_Label, label.get_x(PnL_Label) + math.round(ta.change(time) * 3))
//===== Inputs =====//
src = input(close, 'Source')
sec1in = input.symbol('DXY', 'Comparison Symbol', confirm=true)
mode = input.string('Adjusted R', 'Correlation Variants ', options=['R', 'Adjusted R'])
len = input.int(14, 'Correlation Lookback Length', minval=2)
ma_type = input.string('sma', 'Moving Average Type', options=['sma', 'ema'])
//Stats Settings
sc = input(true, 'Show Confidence Interval for Population')
csd = input.float(1.96, 'Confidence Interval SD Multiplier', minval=0.1, step=0.1) //Default 95%
sp = input(true, 'Show P-Values')
cp = input.float(0.1, 'P-Value Significant Confidence Level', minval=0.0, step=0.01) //Default = 1- 0.05 = 95%
//pan = input(true, ' Show Information Panel')
rlen = input.int(50, ' R Squared Length', minval=2)
os = input.int(40, ' Panel Position Offset', minval=0)
lT = input.int(1, '--- Line Thickness ---', options=[1, 2, 3])
sec1 = request.security(sec1in, timeframe.period, close)
//===== Calculations =====//
R = cc(src, sec1, len, ma_type) // Traditional Pearson
adjr = adj(R, len) // Adjusted R
float r = na
if mode == 'R'
r := R
r
if mode == 'Adjusted R'
r := adjr
r
R2 = math.pow(cc(src, sec1, rlen, ma_type), 2) // R Squared
adjR2 = math.pow(adj(cc(src, sec1, rlen, ma_type), rlen), 2) // R Sqaured Based on Adjusted R
float r2 = na
if mode == 'R'
r2 := R2
r2
if mode == 'Adjusted R'
r2 := adjR2
r2
// Fisher Transform
z = 0.5 * math.log((r + 1.0) / (1.0 - r)) // Fisher
se = 1.0 / math.sqrt(len - 3) // Standard Error
zl = z - csd * se // Lower Limit for fisher z
zu = z + csd * se // Upper Limit for fisher z 95% confidence
// Inverse Fisher Transform to Transform Back to r
rl = (math.exp(2.0 * zl) - 1.0) / (math.exp(2.0 * zl) + 1.0) // Lower limit for r
ru = (math.exp(2.0 * zu) - 1.0) / (math.exp(2.0 * zu) + 1.0) // Upper limit for r
//T distribution For P Value
v = len - 2
x = math.abs(r * math.sqrt(v) / math.sqrt(1 - math.pow(r, 2)))
//student t cdf
tcdf(t, df) =>
Z = t * (1 - 1 / (4 * df)) * math.pow(1 + 1 / (2 * df) * math.pow(t, 2), -0.5)
a = 0.0
for n = 0 to 12 by 1
a := 1 / (n + 0.5) * math.exp(-math.pow(n + 0.5, 2) / 9) * math.sin(math.sqrt(2) / 3 * (n + 0.5) * Z) + a
a
p = t > 7 ? 1.0 : t < -7 ? 0.0 : 0.5 + 1 / math.pi * a
2 * (1 - p)
pro = tcdf(x, v)
//===== Plotting =====//
colorCC = pro < cp and r < 0.0 ? #FF0000ff : pro < cp and r > 0.0 ? #00FF00ff : #FFFFFFff
colorP = pro < cp ? #FFFF00ff : #C0C0C040
plot(sp ? pro : na, color=colorP, title='P Value', style=plot.style_columns)
plotUpper = plot(rl, color=sc ? color.new(#00C0FFff, 100) : invisible, style=plot.style_linebr, title='Confidence Interval Lower')
plotLower = plot(ru, color=sc ? color.new(#00C0FFff, 100) : invisible, style=plot.style_linebr, title='Confidence Interval Higher')
fill(plotUpper, plotLower, color=sc ? color.new(#00C0FFff, 85) : invisible)
plot(r, linewidth=lT, color=colorCC, style=plot.style_linebr, title='🐷 Correlation')
plot(sp ? cp : na, color=color.new(#C0C0C0ff, 30), trackprice=true, show_last=1, title='P value Threshold', style=plot.style_linebr)
plot(sp ? na : 0, color=color.new(#C0C0C0ff, 30), trackprice=true, show_last=1, title='Zero Line')
hline(1.0, color=color.new(#00FFFFff, 30))
hline(-1.0, color=color.new(#FF00FFff, 30))
// Information Panel
//Note: removed by Tartigradia because it causes side effects which prevents MTF implementation (timeframe argument). Remove timeframe argument in the indicator call and uncomment these lines if you want to use panel again.
//sig() =>
// return_1 = pro < cp and r > 0 ? 'Significant Positive Correlation' : pro < cp and r < 0 ? 'Significant Negative Correlation' : 'Insignificant Correlation'
// return_1
//if pan
// txt = 'R : ' + str.tostring(Round(r, 3)) + '\n\n R Squared : ' + str.tostring(Round(r2, 4)) + '\n\n P Value : ' + str.tostring(Round(pro, 4)) + '\n\n' + sig()
// _label(txt, #000000c0)
|
Auto SuperTrend+ | https://www.tradingview.com/script/nMb2Jd80-Auto-SuperTrend/ | Electrified | https://www.tradingview.com/u/Electrified/ | 490 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Electrified (electrifiedtrading)
//@version=5
indicator("Auto SuperTrend+", overlay = true, format=format.price)
import Electrified/DataCleaner/7 as DC
import Electrified/Time/7
// Constants
CONFIRM = "Confirmation (Tolerance)", VOLATILITY = "Volatility", DEVIATION = "Deviation Measurement", DISPLAY = "Display", THEME = "Theme"
MINUTES = "Minutes", DAYS = "Days", BARS = "Bars"
UP = +1, DOWN = -1
clearColor = color.new(color.gray, 100)
// Parameters
volLen = math.min(4000, Time.spanToIntLen(
input.float(2.5, "", minval = 0.1, group=VOLATILITY, inline = VOLATILITY),
input.string(DAYS, "", options=[BARS, MINUTES, DAYS], group=VOLATILITY, inline = VOLATILITY,
tooltip = "The amount of time/bars to measure the range of movement.")))
devMul = input.float(2.5, "Level", minval = 0.1, step = 0.1, group = DEVIATION,
tooltip = "The maximum deviation before a trend has been broken/reversed.")
devLen = Time.spanToIntLen(
input.float(1000, "", minval = 0.1, group=DEVIATION, inline = DEVIATION),
input.string(BARS, "", options=[BARS, MINUTES, DAYS], group=DEVIATION, inline = DEVIATION,
tooltip = "The amount of time/bars to measure the deviation of the range."))
atrMul = input.float(0.5, "ATR Multiple", minval = 0, step = 0.5, group=CONFIRM,
tooltip="The tolerance to give confirmation based upon the weighted average true range.")
confirmBars = input.int(2, "Closed Bars", minval = 0, group=CONFIRM,
tooltip="The number of closed Bars that have to exceed the super-trend value before the trend reversal is confirmed.")
highlighting = input(true, "Show Highlighter ?", group=DISPLAY,
tooltip = "Paints the background depending on whether the trend is up or down.")
showLabels = input(false, title="Show Reversal Labels ?", group=DISPLAY,
tooltip = "Adds labels to identify the point of reversal.")
showMidpoint = input(false, "Show Middle Point ?", group=DISPLAY,
tooltip = "Displays the average of the upper and lower boundary.")
// Theme
upColor = input.color(color.green, "▲", group = THEME, inline = THEME)
dnColor = input.color(color.red, "▼", group = THEME, inline = THEME)
warnColor = input.color(color.yellow, "⚠", group = THEME, inline = THEME)
upPen = color.new(upColor, 25)
dnPen = color.new(dnColor, 25)
warnPen = color.new(warnColor, 25)
// Clamp/adjust lenghts that are too large
if(volLen>devLen)
devLen := volLen * 2
if(devLen > 4000)
devLen := 4000
// Determine the normalized true range (for Bars)
atr = ta.wma(DC.naOutliers(ta.tr, devLen, 2.5), devLen)
// Because the outliers become NA we need to carry over the tolerance from the previous bar
if na(atr)
atr := atr[1]
tolerance = atr * atrMul
calcDev(series float source) =>
ta.wma(source, devLen) + ta.wma(ta.stdev(source, math.min(devLen * 2, 4000)), devLen) * devMul
// Determine the range for the delta length
upDev = calcDev(math.max(high - low[volLen], 0))
dnDev = calcDev(math.max(high[volLen] - low, 0))
// Trend
var trend = 0
var upper = high
var lower = low
var brokenCount = 0
var wasTouched = false
warn = false
reversal = false
upperWarning = close > upper
lowerWarning = close < lower
upperBroken = close[1] - tolerance > upper
lowerBroken = close[1] + tolerance < lower
if trend == UP
// Touching the lower boundary resets the warning condition
if upperWarning
brokenCount := 0
wasTouched := false
if lowerWarning
wasTouched := true
warn := true
else
if lowerBroken
lower := low[1]
if upperBroken
brokenCount += 1
if trend == DOWN
// Touching the upper boundary resets the warning condition
if lowerWarning
brokenCount := 0
wasTouched := false
if upperWarning
wasTouched := true
warn := true
else
if upperBroken
upper := high[1]
if lowerBroken
warn := true
brokenCount += 1
if trend != UP
// If the low exceeds the threshold then confirmation is not required.
if brokenCount > confirmBars or low > upper + tolerance
trend := UP
upper := high[1]
reversal := true
else if trend != DOWN
// If the high exceeds the threshold then confirmation is not required.
if brokenCount > confirmBars or high < lower - tolerance
trend := DOWN
lower := low[1]
reversal := true
if reversal
wasTouched := false
brokenCount := 0
// Range adjustment
if low[1] + tolerance < upper - dnDev
upper := low[1] + dnDev
if high[1] - tolerance > lower + upDev
lower := high[1] - upDev
trendChange = ta.change(trend)
signalUp = trend == UP and trendChange > 0
signalDn = trend == DOWN and trendChange < 0
isTrendUp = trend[1] == UP
isTrendDn = trend[1] == DOWN
// Plots
upperPlot = plot(upper, "Upper Boundary",
isTrendDn ? wasTouched[1] ? warnPen : dnPen : clearColor, 2, plot.style_linebr)
middle = (lower + upper) / 2
plot(middle, "Mid-Point",
isTrendUp ? upPen : isTrendDn ? dnPen : clearColor, 1, plot.style_circles,
display = showMidpoint ? display.all : display.status_line)
lowerPlot = plot(lower, "Lower Boundary",
isTrendUp ? wasTouched[1]?warnPen:upPen : clearColor, 2, plot.style_linebr)
// Labels
labelTextColor = showLabels ? color.black : clearColor
plotshape(signalDn[1] ? upper[1] : na, "▼ Reversal", showLabels?shape.labeldown:shape.circle,
location.absolute, dnColor, -1, "▼", labelTextColor, size=size.tiny, display = display.pane)
plotshape(signalUp[1] ? lower[1] : na, "▲ Reversal", showLabels?shape.labelup:shape.circle,
location.absolute, upColor, -1, "▲", labelTextColor, size=size.tiny, display = display.pane)
// Highlight
highlight = plot(highlighting ? ohlc4 : na, "OHLC4", clearColor, display=display.none)
fill(highlight, upperPlot, upper, ohlc4, isTrendDn ? color.new(dnColor, 75) : clearColor, isTrendDn ? color.new(dnColor, 90) : clearColor, "▼ Highlight", display = highlighting ? display.all : display.none)
fill(highlight, lowerPlot, lower, ohlc4, isTrendUp ? color.new(upColor, 75) : clearColor, isTrendUp ? color.new(upColor, 90) : clearColor, "▲ Highlight", display = highlighting ? display.all : display.none)
// Alerts
alertcondition(warn or reversal,
"1) Warning", message="Auto SuperTrend+ Warning ({{ticker}} {{interval}})")
alertcondition(reversal,
"2) Reversal", message="Auto SuperTrend+ Reversal ({{ticker}} {{interval}})")
alertcondition(isTrendUp ? close<middle : isTrendDn ? close>middle : false,
"3) Pullback", message="Auto SuperTrend+ Pullback ({{ticker}} {{interval}})")
alertcondition(signalUp,
"4) Up ▲ (+)", message="Auto SuperTrend+ Up ▲ (+) ({{ticker}} {{interval}})")
alertcondition(signalDn,
"5) Down ▼ (-)", message="Auto SuperTrend+ Down ▼ (-) ({{ticker}} {{interval}})")
|
HMA w/ SSE-Dynamic EWMA Volatility Bands [Loxx] | https://www.tradingview.com/script/t9iZrp5c-HMA-w-SSE-Dynamic-EWMA-Volatility-Bands-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 151 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © SegaRKO
//@version=5
indicator('HMA w/ SSE-Dynamic EWMA Volatility Bands [Loxx]',
shorttitle ="HMASSEDEWMAVB [Loxx]",
overlay = true, max_bars_back = 4000,
precision = 3)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
logfast(x)=>
logfast = -1.7417939
+ (2.8212026
+ (-1.4699568
+ (0.44717955 - 0.056570851 * x) * x) * x) * x
logfast
// constants
int MAX_COUNT = 100 // could be incrased for more refined lambda values
color darkGreenColor = #1B7E02
color greencolor = #2DD204
float src = input.source(close, "Source")
int per = input.int(252, "Lookback Period for Mean of Squared Log-returns")
int lambper = input.int(252, "Lookback Period for Mean of Lambda")
int daysperyear = input.int(252, "Days per Year")
int hmaper = input.int(65, "HMA Period")
bool fastLog = input.bool(true, "Use fast Log2 approximation?")
int barsbark = input.int(1000, "Number of bars to calculate")
int bandsmult = input.int(1, "Bands Volatility Multiplier")
float logr = fastLog ? logfast(src/src[1]) : math.log(src/src[1])
float logr2 = math.pow(logr, 2)
float logr2mean = ta.sma(logr2, per)
float ewma = 0
float out = 0
float lambda = 0
float hma = 0
var testTable = table.new(position = position.middle_right, columns = 1, rows = 5, bgcolor = color.gray, border_width = 1)
if last_bar_index - bar_index < barsbark
float[] lambdaarray = array.new_float(0)
for i = 0 to MAX_COUNT - 1
float sseLambda = 0
for j = 0 to per - 1
sseLambda += math.pow(
nz(i / MAX_COUNT) * nz(ewma[j + 1], logr2[j + 1])
+ nz(1 - i / MAX_COUNT) * nz(logr2[j + 1])
- logr2mean, 2)
array.push(lambdaarray, sseLambda)
opLambdaPos = array.min(lambdaarray)
lambda := (array.indexof(lambdaarray, opLambdaPos) + 1) / MAX_COUNT
ewma := lambda * nz(ewma[1], logr2[1]) + (1 - lambda) * logr2[1]
out := math.sqrt(ewma)
meanlambda = ta.sma(lambda, lambper)
if barstate.islast
table.cell(table_id = testTable, column = 0, row = 0, text = "Ouputs", bgcolor=darkGreenColor, text_color = color.white, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "EWMA Volatility (daily): " + str.tostring(out * 100, format = format.percent), bgcolor=color.yellow, text_color = color.black, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "EWMA Volatility (annulaized): " + str.tostring(out * math.sqrt(daysperyear) * 100, format = format.percent), bgcolor=color.yellow, text_color = color.black, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Mean of Lambda: " + str.tostring(meanlambda, "#.###"), bgcolor=color.yellow, text_color = color.black, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "The popular RiskMetrics developed by\nJ.P. Morgan uses an EWMA with Lambda = 0.94.", bgcolor=color.yellow, text_color = color.black, text_halign = text.align_left)
hma := ta.hma(src, hmaper)
plot(last_bar_index - bar_index < barsbark ? hma + out * src * bandsmult : na, 'Upper band', color=color.new(color.yellow, 0))
plot(last_bar_index - bar_index < barsbark ? hma : na, 'HMA', color=greencolor, linewidth = 2)
plot(last_bar_index - bar_index < barsbark ? hma - out * src * bandsmult : na, 'Lower band', color=color.new(color.yellow, 0))
plotchar(last_bar_index - bar_index < barsbark ? lambda : na, "Lambda", display = display.data_window) |
The TrendLiner | https://www.tradingview.com/script/CTYf8ACy-The-TrendLiner/ | UnknownUnicorn36161431 | https://www.tradingview.com/u/UnknownUnicorn36161431/ | 243 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © zathruswriter
//@version=5
indicator("The TrendLiner", overlay = true, max_bars_back = 5000, max_boxes_count = 500, max_labels_count = 500, max_lines_count = 500)
GROUP_GENERAL = "General Options"
GROUP_TF1 = "Timeframe 1"
GROUP_TF1_APPEARANCE = "Timeframe 1 Appearance"
GROUP_TF2 = "Timeframe 2"
GROUP_TF2_APPEARANCE = "Timeframe 2 Appearance"
GROUP_TF3 = "Timeframe 3"
GROUP_TF3_APPEARANCE = "Timeframe 3 Appearance"
GROUP_TF4 = "Timeframe 4"
GROUP_TF4_APPEARANCE = "Timeframe 4 Appearance"
CHECK_TYPE_BODY = "Body"
CHECK_TYPE_WICK = "Wick"
// GENERAL
i_min_distance_threshold = input.float( 0.4, "Min Distance from Previous Trendline (%)", minval = 0, step = 0.1, group = GROUP_GENERAL, tooltip = "Minimum distance of a new trendline from the last one in order for it to be shown on chart. Prevents cluttering of your chart by hiding trendlines that would otherwise appear much too close to each other." )
i_text_offset = input.int( 5, "Text Offset on Trendline", minval = 0, group = GROUP_GENERAL, tooltip = "How many candles to the right from current candle should a trendline text be offset to the right." )
i_right_line_width = input.int( 10, "Off-Chart Lines Width", minval = 2, group = GROUP_GENERAL, tooltip = "How long should right-hand-side trend lines be.\nThese trendlines are off-chart, i.e. not present in between of candles to prevent unneccessary clutter.\n\nYou can set up how many maximum on-chart trendlines you want to see for each timeframe used. The rest will be displayed off-chart, on the right hand side, into the future." )
i_check_type = input.string( CHECK_TYPE_WICK, "Trendline At", options = [ CHECK_TYPE_BODY, CHECK_TYPE_WICK ], group = GROUP_GENERAL )
i_show_price_on_labels = input.bool( true, "Show Price on Labels", group = GROUP_GENERAL )
// TIMEFRAME 1
i_use_tf1 = input.bool( true, "Use Timeframe 1", group = GROUP_TF1 )
i_tf_t1 = input.timeframe( "", "Timeframe", group = GROUP_TF1 )
i_text_t1 = input.string( "", "Text on Trendline", group = GROUP_TF1, inline = "t1_txt")
i_text_use_period_t1 = input.bool( false, "Use Period Name", group = GROUP_TF1, inline = "t1_txt" )
i_text_size_t1 = input.string( size.normal, "Text Size", options = [ size.auto, size.huge, size.large, size.normal, size.small, size.tiny ], group = GROUP_TF1 )
i_untested_max_t1 = input.int( 12, "Max Untested Trendlines", group = GROUP_TF1, maxval = 500, minval = 1, tooltip = "This is the number of untested trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. At least a single untested trendline must be present on chart for this indicator to work, but you can use the Style tab to hide even this one." )
//i_untested_lines_on_chart_t1 = input.int( 5, "Untested Trendlines Directly on Chart", group = GROUP_TF1, minval = -1, maxval = 500, tooltip = "This is the number of untested trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all untested trendlines directly on chart\n-1 = show all untested trendlines as lines to the right of the chart\n1-500 = show that many untested trendlines directly on chart and the rest to the right of the chart" )
i_untested_display_off_chart_t1 = input.bool( false, "Display Untested Trendlines off Chart", group = GROUP_TF1)
i_untested_show_label_t1 = input.bool( true, "Show Untested Labels", group = GROUP_TF1 )
i_touched_max_t1 = input.int( 12, "Max Touched Trendlines", group = GROUP_TF1, maxval = 500, minval = 0, tooltip = "This is the number of touched trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. Set to 0 to hide all touched trendlines." )
//i_touched_lines_on_chart_t1 = input.int( 5, "Touched Trendlines Directly on Chart", group = GROUP_TF1, minval = -1, maxval = 500, tooltip = "This is the number of touched trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all touched trendlines directly on chart\n-1 = show all touched trendlines as lines to the right of the chart\n1-500 = show that many touched trendlines directly on chart and the rest to the right of the chart" )
i_touched_display_off_chart_t1 = input.bool( false, "Display Touched Trendlines off Chart", group = GROUP_TF1)
i_touched_show_label_t1 = input.bool( true, "Show Touched Labels", group = GROUP_TF1 )
i_mitigated_max_t1 = input.int( 8, "Max Mitigated Trendlines", group = GROUP_TF1, maxval = 500, minval = 0, tooltip = "This is the number of mitigated trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. Set to 0 to hide all mitigated trendlines." )
//i_mitigated_lines_on_chart_t1 = input.int( 5, "Mitigated Trendlines Directly on Chart", group = GROUP_TF1, minval = -1, maxval = 500, tooltip = "This is the number of mitigated trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all mitigated trendlines directly on chart\n-1 = show all mitigated trendlines as lines to the right of the chart\n1-500 = show that many mitigated trendlines directly on chart and the rest to the right of the chart" )
i_mitigated_display_off_chart_t1 = input.bool( true, "Display Mitigated Trendlines off Chart", group = GROUP_TF1)
i_mitigated_show_label_t1 = input.bool( false, "Show Mitigated Labels", group = GROUP_TF1 )
i_line_color_untested_t1 = input.color( color.green, "Untested Trendline", group = GROUP_TF1_APPEARANCE, inline = "1_untested" )
i_line_size_untested_t1 = input.int( 1, "", group = GROUP_TF1_APPEARANCE, inline = "1_untested" )
i_line_style_untested_t1 = input.string( line.style_solid, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF1_APPEARANCE, inline = "1_untested" )
i_line_extend_untested_t1 = input.bool( false, "Extend", group = GROUP_TF1_APPEARANCE, inline = "1_untested", tooltip = "Untested trendlines are the ones where price made a swing high / low but the price did not return there yet." )
i_line_color_touched_t1 = input.color( color.orange, "Touched Trendline", group = GROUP_TF1_APPEARANCE, inline = "1_touched" )
i_line_size_touched_t1 = input.int( 1, "", group = GROUP_TF1_APPEARANCE, inline = "1_touched" )
i_line_style_touched_t1 = input.string( line.style_solid, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF1_APPEARANCE, inline = "1_touched" )
i_line_extend_touched_t1 = input.bool( false, "Extend", group = GROUP_TF1_APPEARANCE, inline = "1_touched", tooltip = "Touched trendlines are the ones where price returned but failed to cross over that swing high/low." )
i_line_color_mitigated_t1 = input.color( color.rgb(205, 206, 209), "Mitigated Trendline", group = GROUP_TF1_APPEARANCE, inline = "1_mitigated" )
i_line_size_mitigated_t1 = input.int( 1, "", group = GROUP_TF1_APPEARANCE, inline = "1_mitigated" )
i_line_style_mitigated_t1 = input.string( line.style_dashed, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF1_APPEARANCE, inline = "1_mitigated" )
i_line_extend_mitigated_t1 = input.bool( false, "Extend", group = GROUP_TF1_APPEARANCE, inline = "1_mitigated", tooltip = "Mitigated trendlines are the ones where price returned and crossed over, thus rendering the trendline invalid." )
// TIMEFRAME 2
i_use_tf2 = input.bool( false, "Use Timeframe 2", group = GROUP_TF2 )
i_tf_t2 = input.timeframe( "60", "Timeframe", group = GROUP_TF2 )
i_text_t2 = input.string( "", "Text on Trendline", group = GROUP_TF2, inline = "t2_txt")
i_text_use_period_t2 = input.bool( false, "Use Period Name", group = GROUP_TF2, inline = "t2_txt" )
i_text_size_t2 = input.string( size.normal, "Text Size", options = [ size.auto, size.huge, size.large, size.normal, size.small, size.tiny ], group = GROUP_TF2 )
i_untested_max_t2 = input.int( 12, "Max Untested Trendlines", group = GROUP_TF2, maxval = 500, minval = 1, tooltip = "This is the number of untested trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. At least a single untested trendline must be present on chart for this indicator to work, but you can use the Style tab to hide even this one." )
//i_untested_lines_on_chart_t2 = input.int( 5, "Untested Trendlines Directly on Chart", group = GROUP_TF2, minval = -1, maxval = 500, tooltip = "This is the number of untested trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all untested trendlines directly on chart\n-1 = show all untested trendlines as lines to the right of the chart\n1-500 = show that many untested trendlines directly on chart and the rest to the right of the chart" )
i_untested_display_off_chart_t2 = input.bool( false, "Display Untested Trendlines off Chart", group = GROUP_TF2)
i_untested_show_label_t2 = input.bool( true, "Show Untested Labels", group = GROUP_TF2 )
i_touched_max_t2 = input.int( 12, "Max Touched Trendlines", group = GROUP_TF2, maxval = 500, minval = 0, tooltip = "This is the number of touched trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. Set to 0 to hide all touched trendlines." )
//i_touched_lines_on_chart_t2 = input.int( 5, "Touched Trendlines Directly on Chart", group = GROUP_TF2, minval = -1, maxval = 500, tooltip = "This is the number of touched trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all touched trendlines directly on chart\n-1 = show all touched trendlines as lines to the right of the chart\n1-500 = show that many touched trendlines directly on chart and the rest to the right of the chart" )
i_touched_display_off_chart_t2 = input.bool( false, "Display Touched Trendlines off Chart", group = GROUP_TF2)
i_touched_show_label_t2 = input.bool( true, "Show Touched Labels", group = GROUP_TF2 )
i_mitigated_max_t2 = input.int( 8, "Max Mitigated Trendlines", group = GROUP_TF2, maxval = 500, minval = 0, tooltip = "This is the number of mitigated trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. Set to 0 to hide all mitigated trendlines." )
//i_mitigated_lines_on_chart_t2 = input.int( 5, "Mitigated Trendlines Directly on Chart", group = GROUP_TF2, minval = -1, maxval = 500, tooltip = "This is the number of mitigated trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all mitigated trendlines directly on chart\n-1 = show all mitigated trendlines as lines to the right of the chart\n1-500 = show that many mitigated trendlines directly on chart and the rest to the right of the chart" )
i_mitigated_display_off_chart_t2 = input.bool( true, "Display Mitigated Trendlines off Chart", group = GROUP_TF2)
i_mitigated_show_label_t2 = input.bool( false, "Show Mitigated Labels", group = GROUP_TF2 )
i_line_color_untested_t2 = input.color( color.aqua, "Untested Trendline", group = GROUP_TF2_APPEARANCE, inline = "2_untested" )
i_line_size_untested_t2 = input.int( 1, "", group = GROUP_TF2_APPEARANCE, inline = "2_untested" )
i_line_style_untested_t2 = input.string( line.style_solid, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF2_APPEARANCE, inline = "2_untested" )
i_line_extend_untested_t2 = input.bool( false, "Extend", group = GROUP_TF2_APPEARANCE, inline = "2_untested", tooltip = "Untested trendlines are the ones where price made a swing high / low but the price did not return there yet." )
i_line_color_touched_t2 = input.color( color.yellow, "Touched Trendline", group = GROUP_TF2_APPEARANCE, inline = "2_touched" )
i_line_size_touched_t2 = input.int( 1, "", group = GROUP_TF2_APPEARANCE, inline = "2_touched" )
i_line_style_touched_t2 = input.string( line.style_solid, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF2_APPEARANCE, inline = "2_touched" )
i_line_extend_touched_t2 = input.bool( false, "Extend", group = GROUP_TF2_APPEARANCE, inline = "2_touched", tooltip = "Touched trendlines are the ones where price returned but failed to cross over that swing high/low." )
i_line_color_mitigated_t2 = input.color( #b2b5be, "Mitigated Trendline", group = GROUP_TF2_APPEARANCE, inline = "2_mitigated" )
i_line_size_mitigated_t2 = input.int( 1, "", group = GROUP_TF2_APPEARANCE, inline = "2_mitigated" )
i_line_style_mitigated_t2 = input.string( line.style_dashed, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF2_APPEARANCE, inline = "2_mitigated" )
i_line_extend_mitigated_t2 = input.bool( false, "Extend", group = GROUP_TF2_APPEARANCE, inline = "2_mitigated", tooltip = "Mitigated trendlines are the ones where price returned and crossed over, thus rendering the trendline invalid." )
// TIMEFRAME 3
i_use_tf3 = input.bool( false, "Use Timeframe 3", group = GROUP_TF3 )
i_tf_t3 = input.timeframe( "60", "Timeframe", group = GROUP_TF3 )
i_text_t3 = input.string( "", "Text on Trendline", group = GROUP_TF3, inline = "t3_txt")
i_text_use_period_t3 = input.bool( false, "Use Period Name", group = GROUP_TF3, inline = "t3_txt" )
i_text_size_t3 = input.string( size.normal, "Text Size", options = [ size.auto, size.huge, size.large, size.normal, size.small, size.tiny ], group = GROUP_TF3 )
i_untested_max_t3 = input.int( 12, "Max Untested Trendlines", group = GROUP_TF3, maxval = 500, minval = 1, tooltip = "This is the number of untested trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. At least a single untested trendline must be present on chart for this indicator to work, but you can use the Style tab to hide even this one." )
//i_untested_lines_on_chart_t3 = input.int( 5, "Untested Trendlines Directly on Chart", group = GROUP_TF3, minval = -1, maxval = 500, tooltip = "This is the number of untested trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all untested trendlines directly on chart\n-1 = show all untested trendlines as lines to the right of the chart\n1-500 = show that many untested trendlines directly on chart and the rest to the right of the chart" )
i_untested_display_off_chart_t3 = input.bool( false, "Display Untested Trendlines off Chart", group = GROUP_TF3)
i_untested_show_label_t3 = input.bool( true, "Show Untested Labels", group = GROUP_TF3 )
i_touched_max_t3 = input.int( 12, "Max Touched Trendlines", group = GROUP_TF3, maxval = 500, minval = 0, tooltip = "This is the number of touched trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. Set to 0 to hide all touched trendlines." )
//i_touched_lines_on_chart_t3 = input.int( 5, "Touched Trendlines Directly on Chart", group = GROUP_TF3, minval = -1, maxval = 500, tooltip = "This is the number of touched trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all touched trendlines directly on chart\n-1 = show all touched trendlines as lines to the right of the chart\n1-500 = show that many touched trendlines directly on chart and the rest to the right of the chart" )
i_touched_display_off_chart_t3 = input.bool( false, "Display Touched Trendlines off Chart", group = GROUP_TF3)
i_touched_show_label_t3 = input.bool( true, "Show Touched Labels", group = GROUP_TF3 )
i_mitigated_max_t3 = input.int( 8, "Max Mitigated Trendlines", group = GROUP_TF3, maxval = 500, minval = 0, tooltip = "This is the number of mitigated trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. Set to 0 to hide all mitigated trendlines." )
//i_mitigated_lines_on_chart_t3 = input.int( 5, "Mitigated Trendlines Directly on Chart", group = GROUP_TF3, minval = -1, maxval = 500, tooltip = "This is the number of mitigated trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all mitigated trendlines directly on chart\n-1 = show all mitigated trendlines as lines to the right of the chart\n1-500 = show that many mitigated trendlines directly on chart and the rest to the right of the chart" )
i_mitigated_display_off_chart_t3 = input.bool( true, "Display Mitigated Trendlines off Chart", group = GROUP_TF3)
i_mitigated_show_label_t3 = input.bool( false, "Show Mitigated Labels", group = GROUP_TF3 )
i_line_color_untested_t3 = input.color( color.blue, "Untested Trendline", group = GROUP_TF3_APPEARANCE, inline = "2_untested" )
i_line_size_untested_t3 = input.int( 1, "", group = GROUP_TF3_APPEARANCE, inline = "2_untested" )
i_line_style_untested_t3 = input.string( line.style_solid, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF3_APPEARANCE, inline = "2_untested" )
i_line_extend_untested_t3 = input.bool( false, "Extend", group = GROUP_TF3_APPEARANCE, inline = "2_untested", tooltip = "Untested trendlines are the ones where price made a swing high / low but the price did not return there yet." )
i_line_color_touched_t3 = input.color( #801922, "Touched Trendline", group = GROUP_TF3_APPEARANCE, inline = "2_touched" )
i_line_size_touched_t3 = input.int( 1, "", group = GROUP_TF3_APPEARANCE, inline = "2_touched" )
i_line_style_touched_t3 = input.string( line.style_solid, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF3_APPEARANCE, inline = "2_touched" )
i_line_extend_touched_t3 = input.bool( false, "Extend", group = GROUP_TF3_APPEARANCE, inline = "2_touched", tooltip = "Touched trendlines are the ones where price returned but failed to cross over that swing high/low." )
i_line_color_mitigated_t3 = input.color( #9598a1, "Mitigated Trendline", group = GROUP_TF3_APPEARANCE, inline = "2_mitigated" )
i_line_size_mitigated_t3 = input.int( 1, "", group = GROUP_TF3_APPEARANCE, inline = "2_mitigated" )
i_line_style_mitigated_t3 = input.string( line.style_dashed, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF3_APPEARANCE, inline = "2_mitigated" )
i_line_extend_mitigated_t3 = input.bool( false, "Extend", group = GROUP_TF3_APPEARANCE, inline = "2_mitigated", tooltip = "Mitigated trendlines are the ones where price returned and crossed over, thus rendering the trendline invalid." )
// TIMEFRAME 4
i_use_tf4 = input.bool( false, "Use Timeframe 4", group = GROUP_TF4 )
i_tf_t4 = input.timeframe( "60", "Timeframe", group = GROUP_TF4 )
i_text_t4 = input.string( "", "Text on Trendline", group = GROUP_TF4, inline = "t4_txt")
i_text_use_period_t4 = input.bool( false, "Use Period Name", group = GROUP_TF4, inline = "t4_txt" )
i_text_size_t4 = input.string( size.normal, "Text Size", options = [ size.auto, size.huge, size.large, size.normal, size.small, size.tiny ], group = GROUP_TF4 )
i_untested_max_t4 = input.int( 12, "Max Untested Trendlines", group = GROUP_TF4, maxval = 500, minval = 1, tooltip = "This is the number of untested trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. At least a single untested trendline must be present on chart for this indicator to work, but you can use the Style tab to hide even this one." )
//i_untested_lines_on_chart_t4 = input.int( 5, "Untested Trendlines Directly on Chart", group = GROUP_TF4, minval = -1, maxval = 500, tooltip = "This is the number of untested trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all untested trendlines directly on chart\n-1 = show all untested trendlines as lines to the right of the chart\n1-500 = show that many untested trendlines directly on chart and the rest to the right of the chart" )
i_untested_display_off_chart_t4 = input.bool( false, "Display Untested Trendlines off Chart", group = GROUP_TF4)
i_untested_show_label_t4 = input.bool( true, "Show Untested Labels", group = GROUP_TF4 )
i_touched_max_t4 = input.int( 12, "Max Touched Trendlines", group = GROUP_TF4, maxval = 500, minval = 0, tooltip = "This is the number of touched trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. Set to 0 to hide all touched trendlines." )
//i_touched_lines_on_chart_t4 = input.int( 5, "Touched Trendlines Directly on Chart", group = GROUP_TF4, minval = -1, maxval = 500, tooltip = "This is the number of touched trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all touched trendlines directly on chart\n-1 = show all touched trendlines as lines to the right of the chart\n1-500 = show that many touched trendlines directly on chart and the rest to the right of the chart" )
i_touched_display_off_chart_t4 = input.bool( false, "Display Touched Trendlines off Chart", group = GROUP_TF4)
i_touched_show_label_t4 = input.bool( true, "Show Touched Labels", group = GROUP_TF4 )
i_mitigated_max_t4 = input.int( 8, "Max Mitigated Trendlines", group = GROUP_TF4, maxval = 500, minval = 0, tooltip = "This is the number of mitigated trendlines for this timeframe to show, displayed either directly over candles on the chart or indirectly as lines to the right side of the chart. Set to 0 to hide all mitigated trendlines." )
//i_mitigated_lines_on_chart_t4 = input.int( 5, "Mitigated Trendlines Directly on Chart", group = GROUP_TF4, minval = -1, maxval = 500, tooltip = "This is the number of mitigated trendlines to show over candles on your chart.\n\nTrendlines can be either shown directly between candles on the chart or as lines to the right of the chart, so they don't get in the way.\n\n0 = show all mitigated trendlines directly on chart\n-1 = show all mitigated trendlines as lines to the right of the chart\n1-500 = show that many mitigated trendlines directly on chart and the rest to the right of the chart" )
i_mitigated_display_off_chart_t4 = input.bool( true, "Display Mitigated Trendlines off Chart", group = GROUP_TF4)
i_mitigated_show_label_t4 = input.bool( false, "Show Mitigated Labels", group = GROUP_TF4 )
i_line_color_untested_t4 = input.color( color.fuchsia, "Untested Trendline", group = GROUP_TF4_APPEARANCE, inline = "2_untested" )
i_line_size_untested_t4 = input.int( 1, "", group = GROUP_TF4_APPEARANCE, inline = "2_untested" )
i_line_style_untested_t4 = input.string( line.style_solid, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF4_APPEARANCE, inline = "2_untested" )
i_line_extend_untested_t4 = input.bool( false, "Extend", group = GROUP_TF4_APPEARANCE, inline = "2_untested", tooltip = "Untested trendlines are the ones where price made a swing high / low but the price did not return there yet." )
i_line_color_touched_t4 = input.color( color.black, "Touched Trendline", group = GROUP_TF4_APPEARANCE, inline = "2_touched" )
i_line_size_touched_t4 = input.int( 1, "", group = GROUP_TF4_APPEARANCE, inline = "2_touched" )
i_line_style_touched_t4 = input.string( line.style_solid, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF4_APPEARANCE, inline = "2_touched" )
i_line_extend_touched_t4 = input.bool( false, "Extend", group = GROUP_TF4_APPEARANCE, inline = "2_touched", tooltip = "Touched trendlines are the ones where price returned but failed to cross over that swing high/low." )
i_line_color_mitigated_t4 = input.color( #787b86, "Mitigated Trendline", group = GROUP_TF4_APPEARANCE, inline = "2_mitigated" )
i_line_size_mitigated_t4 = input.int( 1, "", group = GROUP_TF4_APPEARANCE, inline = "2_mitigated" )
i_line_style_mitigated_t4 = input.string( line.style_dashed, "", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_TF4_APPEARANCE, inline = "2_mitigated" )
i_line_extend_mitigated_t4 = input.bool( false, "Extend", group = GROUP_TF4_APPEARANCE, inline = "2_mitigated", tooltip = "Mitigated trendlines are the ones where price returned and crossed over, thus rendering the trendline invalid." )
// VARIABLES
transparentcolor = color.new(color.white,100)
var untested_t1 = array.new_line()
var labels_untested_t1 = array.new_label()
var touched_t1 = array.new_line()
var labels_touched_t1 = array.new_label()
var mitigated_t1 = array.new_line()
var labels_mitigated_t1 = array.new_label()
var labels_orig_x_t1 = matrix.new<float>( 0, 2 ) // 0 = X line parameter (in bars or a timestamp), 1 = Y line parameter
var untested_t2 = array.new_line()
var labels_untested_t2 = array.new_label()
var touched_t2 = array.new_line()
var labels_touched_t2 = array.new_label()
var mitigated_t2 = array.new_line()
var labels_mitigated_t2 = array.new_label()
var labels_orig_x_t2 = matrix.new<float>( 0, 2 ) // 0 = X line parameter (in bars or a timestamp), 1 = Y line parameter
var untested_t3 = array.new_line()
var labels_untested_t3 = array.new_label()
var touched_t3 = array.new_line()
var labels_touched_t3 = array.new_label()
var mitigated_t3 = array.new_line()
var labels_mitigated_t3 = array.new_label()
var labels_orig_x_t3 = matrix.new<float>( 0, 2 ) // 0 = X line parameter (in bars or a timestamp), 1 = Y line parameter
var untested_t4 = array.new_line()
var labels_untested_t4 = array.new_label()
var touched_t4 = array.new_line()
var labels_touched_t4 = array.new_label()
var mitigated_t4 = array.new_line()
var labels_mitigated_t4 = array.new_label()
var labels_orig_x_t4 = matrix.new<float>( 0, 2 ) // 0 = X line parameter (in bars or a timestamp), 1 = Y line parameter
// FUNCTIONS
s_( float txt ) =>
str.tostring( txt )
f_debug_label( txt ) =>
label.new(bar_index, high, str.tostring( txt ), color = color.lime, textcolor = color.black)
f_debug_label_down( txt ) =>
label.new(bar_index, low, str.tostring( txt ), color = color.lime, textcolor = color.black, style = label.style_label_up)
f_find_orig_x_for_y( y, matrixVar ) =>
ret = -1.0
for i = 0 to matrix.rows( matrixVar )
if matrix.get( matrixVar, i, 1 ) == y
ret := matrix.get( matrixVar, i, 0 )
break
ret
f_remove_orig_x_for_y( y, matrixVar ) =>
for i = 0 to matrix.rows( matrixVar )
if matrix.get( matrixVar, i, 1 ) == y
matrix.remove_row( matrixVar, i )
break
f_get_tf_diff( tf ) =>
// calculate the bars difference between current TF and the one we're processing,
// so we can position the beginning of trendlines correctly (otherwise lines from 1H chart on 30m display would be half the bars offset to the left)
current_tf_minutes = timeframe.in_seconds( timeframe.period )
scanned_tf_minutes = timeframe.in_seconds( tf )
tf_bars_difference = math.floor( scanned_tf_minutes / current_tf_minutes )
tf_bars_difference
f_move_line_off_chart( ln ) =>
line.set_xloc( ln, bar_index + i_text_offset - 1, bar_index + i_text_offset - 1 + i_right_line_width, xloc.bar_index )
f_return_line_to_chart( ln, y, matrixVar ) =>
line.set_xloc( ln, math.round( f_find_orig_x_for_y( y, matrixVar ) ), time, xloc.bar_time )
f_check_line_within_threshold( theLineArray, is_swing_high, is_swing_low, hHigh1, hLow1 ) =>
is_within_threshold = true
for theLine in theLineArray
if is_swing_high
if math.abs( ( ( hHigh1 - line.get_y1( theLine ) ) / line.get_y1( theLine ) ) * 100 ) < i_min_distance_threshold
is_within_threshold := false
break
if is_swing_low
if math.abs( ( ( hLow1 - line.get_y1( theLine ) ) / line.get_y1( theLine ) ) * 100 ) < i_min_distance_threshold
is_within_threshold := false
break
is_within_threshold
f_get_real_label_text( tf, label_use_period, label_text ) =>
ret = label_text
tf_real = tf
if tf == ""
tf_real := timeframe.period
if label_use_period
if tf_real == "1"
ret := "1m"
else if tf_real == "2"
ret := "2m"
else if tf_real == "3"
ret := "3m"
else if tf_real == "5"
ret := "5m"
else if tf_real == "15"
ret := "15m"
else if tf_real == "45"
ret := "45m"
else if tf_real == "60"
ret := "1H"
ret := "1H"
else if tf_real == "120"
ret := "2H"
else if tf_real == "180"
ret := "3H"
else if tf_real == "240"
ret := "4H"
else
ret := tf_real
ret
f_check_trendlines( which, tf ) =>
[ hOpen, hOpen1, hOpen2, hClose, hClose1, hClose2, hHigh, hHigh1, hHigh2, hLow, hLow1, hLow2, hBar, hBar1, hBar2 ] = request.security(syminfo.tickerid, tf, [ open, open[ 1 ], open[ 2 ], close, close[ 1 ], close[ 2 ], high, high[ 1 ], high[ 2 ], low, low[ 1 ], low[ 2 ], bar_index, bar_index[ 1 ], bar_index[ 2 ] ], barmerge.gaps_off, barmerge.lookahead_on)
array<line> untested = na
array<label> labels_untested = na
int untested_lines_on_chart = na
int untested_max = na
bool untested_show_label = na
array<line> touched = na
array<label> labels_touched = na
int touched_lines_on_chart = na
int touched_max = na
bool touched_show_label = na
array<line> mitigated = na
array<label> labels_mitigated = na
int mitigated_lines_on_chart = na
matrix<float> labels_orig_x = na
int mitigated_max = na
bool mitigated_show_label = na
string label_text = na
bool label_use_period = na
string label_size = na
color i_line_color_untested = na
int i_line_size_untested = na
string i_line_style_untested = na
bool i_line_extend_untested = na
color i_line_color_touched = na
int i_line_size_touched = na
string i_line_style_touched = na
bool i_line_extend_touched = na
color i_line_color_mitigated = na
int i_line_size_mitigated = na
string i_line_style_mitigated = na
bool i_line_extend_mitigated = na
if which == 1
untested := untested_t1
labels_untested := labels_untested_t1
untested_lines_on_chart := i_untested_display_off_chart_t1 ? -1 : 0
untested_max := i_untested_max_t1
untested_show_label := i_untested_show_label_t1
touched := touched_t1
labels_touched := labels_touched_t1
touched_lines_on_chart := i_touched_display_off_chart_t1 ? -1 : 0
touched_max := i_touched_max_t1
touched_show_label := i_touched_show_label_t1
mitigated := mitigated_t1
labels_mitigated := labels_mitigated_t1
mitigated_lines_on_chart := i_mitigated_display_off_chart_t1 ? -1 : 0
mitigated_max := i_mitigated_max_t1
mitigated_show_label := i_mitigated_show_label_t1
labels_orig_x := labels_orig_x_t1
label_text := i_text_t1
label_size := i_text_size_t1
label_use_period := i_text_use_period_t1
i_line_color_untested := i_line_color_untested_t1
i_line_size_untested := i_line_size_untested_t1
i_line_style_untested := i_line_style_untested_t1
i_line_extend_untested := i_line_extend_untested_t1
i_line_color_touched := i_line_color_touched_t1
i_line_size_touched := i_line_size_touched_t1
i_line_style_touched := i_line_style_touched_t1
i_line_extend_touched := i_line_extend_touched_t1
i_line_color_mitigated := i_line_color_mitigated_t1
i_line_size_mitigated := i_line_size_mitigated_t1
i_line_style_mitigated := i_line_style_mitigated_t1
i_line_extend_mitigated := i_line_extend_mitigated_t1
if which == 2
untested := untested_t2
labels_untested := labels_untested_t2
untested_lines_on_chart := i_untested_display_off_chart_t2 ? -1 : 0
untested_max := i_untested_max_t2
untested_show_label := i_untested_show_label_t2
touched := touched_t2
labels_touched := labels_touched_t2
touched_lines_on_chart := i_touched_display_off_chart_t3 ? -1 : 0
touched_max := i_touched_max_t2
touched_show_label := i_touched_show_label_t2
mitigated := mitigated_t2
labels_mitigated := labels_mitigated_t2
mitigated_lines_on_chart := i_mitigated_display_off_chart_t3 ? -1 : 0
mitigated_max := i_mitigated_max_t2
mitigated_show_label := i_mitigated_show_label_t2
labels_orig_x := labels_orig_x_t2
label_text := i_text_t2
label_use_period := i_text_use_period_t2
label_size := i_text_size_t2
i_line_color_untested := i_line_color_untested_t2
i_line_size_untested := i_line_size_untested_t2
i_line_style_untested := i_line_style_untested_t2
i_line_extend_untested := i_line_extend_untested_t2
i_line_color_touched := i_line_color_touched_t2
i_line_size_touched := i_line_size_touched_t2
i_line_style_touched := i_line_style_touched_t2
i_line_extend_touched := i_line_extend_touched_t2
i_line_color_mitigated := i_line_color_mitigated_t2
i_line_size_mitigated := i_line_size_mitigated_t2
i_line_style_mitigated := i_line_style_mitigated_t2
i_line_extend_mitigated := i_line_extend_mitigated_t2
if which == 3
untested := untested_t3
labels_untested := labels_untested_t3
untested_lines_on_chart := i_untested_display_off_chart_t3 ? -1 : 0
untested_max := i_untested_max_t3
untested_show_label := i_untested_show_label_t3
touched := touched_t3
labels_touched := labels_touched_t3
touched_lines_on_chart := i_touched_display_off_chart_t3 ? -1 : 0
touched_max := i_touched_max_t3
touched_show_label := i_touched_show_label_t3
mitigated := mitigated_t3
labels_mitigated := labels_mitigated_t3
mitigated_lines_on_chart := i_mitigated_display_off_chart_t3 ? -1 : 0
mitigated_max := i_mitigated_max_t3
mitigated_show_label := i_mitigated_show_label_t3
labels_orig_x := labels_orig_x_t3
label_text := i_text_t3
label_size := i_text_size_t3
label_use_period := i_text_use_period_t3
i_line_color_untested := i_line_color_untested_t3
i_line_size_untested := i_line_size_untested_t3
i_line_style_untested := i_line_style_untested_t3
i_line_extend_untested := i_line_extend_untested_t3
i_line_color_touched := i_line_color_touched_t3
i_line_size_touched := i_line_size_touched_t3
i_line_style_touched := i_line_style_touched_t3
i_line_extend_touched := i_line_extend_touched_t3
i_line_color_mitigated := i_line_color_mitigated_t3
i_line_size_mitigated := i_line_size_mitigated_t3
i_line_style_mitigated := i_line_style_mitigated_t3
i_line_extend_mitigated := i_line_extend_mitigated_t3
if which == 4
untested := untested_t4
labels_untested := labels_untested_t4
untested_lines_on_chart := i_untested_display_off_chart_t4 ? -1 : 0
untested_max := i_untested_max_t4
untested_show_label := i_untested_show_label_t4
touched := touched_t4
labels_touched := labels_touched_t4
touched_lines_on_chart := i_touched_display_off_chart_t4 ? -1 : 0
touched_max := i_touched_max_t4
touched_show_label := i_touched_show_label_t4
mitigated := mitigated_t4
labels_mitigated := labels_mitigated_t4
mitigated_lines_on_chart := i_mitigated_display_off_chart_t4 ? -1 : 0
mitigated_max := i_mitigated_max_t4
mitigated_show_label := i_mitigated_show_label_t4
labels_orig_x := labels_orig_x_t4
label_text := i_text_t4
label_size := i_text_size_t4
label_use_period := i_text_use_period_t4
i_line_color_untested := i_line_color_untested_t4
i_line_size_untested := i_line_size_untested_t4
i_line_style_untested := i_line_style_untested_t4
i_line_extend_untested := i_line_extend_untested_t4
i_line_color_touched := i_line_color_touched_t4
i_line_size_touched := i_line_size_touched_t4
i_line_style_touched := i_line_style_touched_t4
i_line_extend_touched := i_line_extend_touched_t4
i_line_color_mitigated := i_line_color_mitigated_t4
i_line_size_mitigated := i_line_size_mitigated_t4
i_line_style_mitigated := i_line_style_mitigated_t4
i_line_extend_mitigated := i_line_extend_mitigated_t4
// update label if we're using period
label_text := f_get_real_label_text( tf, label_use_period, label_text )
// calculate the bars difference between current TF and the one we're processing,
// so we can position the beginning of trendlines correctly (otherwise lines from 1H chart on 30m display would be half the bars offset to the left)
tf_bars_difference = f_get_tf_diff( tf )
// when a new swing low/high is found, add it into the untested array
if nz( hHigh1 )
is_swing_high = false
is_swing_low = false
if i_check_type == CHECK_TYPE_BODY
if hClose > hOpen or hClose < hOpen
is_swing_high := hClose1 > hClose and hClose1 > hClose2
is_swing_low := hOpen1 < hOpen and hOpen1 < hOpen2
else
is_swing_high := hHigh1 > hHigh and hHigh1 > hHigh2
is_swing_low := hLow1 < hLow and hLow1 < hLow2
//f_debug_label_down( s_( hHigh2 ) + " / " + s_( hHigh1 ) + " / " + s_( hHigh ) + "\n" + s_( hLow2 ) + " / " + s_( hLow1 ) + " / " + s_( hLow ) )
if is_swing_high or is_swing_low
// prepare line coordinates
x1_high = 0
x2_high = 0
xloc_high = ""
x1_low = 0
x2_low = 0
xloc_low = ""
highest = 0.0
lowest = high + 10000
starting_bar = ( hBar2 * tf_bars_difference ) - 1
ending_bar = ( hBar * tf_bars_difference ) - 1
// if we're on the same TF, our trendline point is the middle bar - hBar1
trendline_bar_high = ( hBar1 * tf_bars_difference ) - 1
trendline_bar_low = ( hBar1 * tf_bars_difference ) - 1
// if we're showing all trendlines on the right, we must set xloc to use bars parameter,
// as TV has a bug (or functionality) which prevents time-based xloc to create lines into the future
if untested_lines_on_chart == -1
x1_high := bar_index + i_text_offset
x1_low := bar_index + i_text_offset
x2_high := bar_index + i_text_offset + i_right_line_width
x2_low := bar_index + i_text_offset + i_right_line_width
xloc_high := xloc.bar_index
xloc_low := xloc.bar_index
else
// check where our high/low is between the starting and ending bar on our TF
if starting_bar != hBar2 or ending_bar != hBar
// go through all bars up to the last hBar2 on the HTF
loop_end = ( 3 * tf_bars_difference )
loop_end := loop_end > 4999 ? 4999 : loop_end
if i_check_type == CHECK_TYPE_BODY
for b = 0 to loop_end
if is_swing_high and ( hBar[ b ] == hBar or hBar[ b ] == hBar1 or hBar[ b ] == hBar2 ) and ( highest < open[ b ] or highest < close[ b ] )
highest := highest < open[ b ] ? open [ b ] : close[ b ]
trendline_bar_high := bar_index - b
if is_swing_low and ( hBar[ b ] == hBar or hBar[ b ] == hBar1 or hBar[ b ] == hBar2 ) and ( lowest > open[ b ] or lowest > close[ b ] )
lowest := lowest > open[ b ] ? open[ b ] : close[ b ]
trendline_bar_low := bar_index - b
else
for b = 0 to loop_end
if is_swing_high and ( hBar[ b ] == hBar or hBar[ b ] == hBar1 or hBar[ b ] == hBar2 ) and highest < high[ b ]
highest := high[ b ]
trendline_bar_high := bar_index - b
if is_swing_low and ( hBar[ b ] == hBar or hBar[ b ] == hBar1 or hBar[ b ] == hBar2 ) and lowest > low[ b ]
lowest := low[ b ]
trendline_bar_low := bar_index - b
// convert bar values into UNIX timestamps, so we don't get "bar too far in the past" errors
x1_high := time - ( ( bar_index - trendline_bar_high ) * ( timeframe.in_seconds( timeframe.period ) * 1000 ) )
x2_high := time
xloc_high := xloc.bar_time
x1_low := time - ( ( bar_index - trendline_bar_low ) * ( timeframe.in_seconds( timeframe.period ) * 1000 ) )
x2_low := time
xloc_low := xloc.bar_time
// we may have both - swing high and swing low - on the same candle,
// so we need to store both of their Y positions for later checks
y_high = -1.0
y_low = -1.0
if i_check_type == CHECK_TYPE_BODY
y_high := is_swing_high ? hClose1 : -1.0
y_low := is_swing_low ? hOpen1 : -1.0
else
y_high := is_swing_high ? hHigh1 : -1.0
y_low := is_swing_low ? hLow1 : -1.0
// check whether we should remove LFT trendline which would be on the same Y level as our new one (HTF trendlines are stronger)
if which != 1 and timeframe.in_seconds( tf ) > timeframe.in_seconds( i_tf_t1 )
if y_high > -1 and array.size( untested_t1 ) > 0
for t = 0 to array.size( untested_t1 ) - 1
if line.get_y1( array.get( untested_t1, t ) ) == y_high
line.delete( array.remove( untested_t1, t ) )
if i_text_t1 != "" or i_text_use_period_t1
label.delete( array.remove( labels_untested_t1, t ) )
break
if y_low > -1 and array.size( untested_t1 ) > 0
for t = 0 to array.size( untested_t1 ) - 1
if line.get_y1( array.get( untested_t1, t ) ) == y_low
line.delete( array.remove( untested_t1, t ) )
if i_text_t1 != "" or i_text_use_period_t1
label.delete( array.remove( labels_untested_t1, t ) )
break
if which != 2 and timeframe.in_seconds( tf ) > timeframe.in_seconds( i_tf_t2 )
if y_high > -1 and array.size( untested_t2 ) > 0
for t = 0 to array.size( untested_t2 ) - 1
if line.get_y1( array.get( untested_t2, t ) ) == y_high
line.delete( array.remove( untested_t2, t ) )
if i_text_t2 != "" or i_text_use_period_t2
label.delete( array.remove( labels_untested_t2, t ) )
break
if y_low > -1 and array.size( untested_t2 ) > 0
for t = 0 to array.size( untested_t2 ) - 1
if line.get_y1( array.get( untested_t2, t ) ) == y_low
line.delete( array.remove( untested_t2, t ) )
if i_text_t2 != "" or i_text_use_period_t2
label.delete( array.remove( labels_untested_t2, t ) )
break
if which != 3 and timeframe.in_seconds( tf ) > timeframe.in_seconds( i_tf_t3 )
if y_high > -1 and array.size( untested_t3 ) > 0
for t = 0 to array.size( untested_t3 ) - 1
if line.get_y1( array.get( untested_t3, t ) ) == y_high
line.delete( array.remove( untested_t3, t ) )
if i_text_t3 != "" or i_text_use_period_t3
label.delete( array.remove( labels_untested_t3, t ) )
break
if y_low > -1 and array.size( untested_t3 ) > 0
for t = 0 to array.size( untested_t3 ) - 1
if line.get_y1( array.get( untested_t3, t ) ) == y_low
line.delete( array.remove( untested_t3, t ) )
if i_text_t3 != "" or i_text_use_period_t3
label.delete( array.remove( labels_untested_t3, t ) )
break
if which != 4 and timeframe.in_seconds( tf ) > timeframe.in_seconds( i_tf_t4 )
if y_high > -1 and array.size( untested_t4 ) > 0
for t = 0 to array.size( untested_t4 ) - 1
if line.get_y1( array.get( untested_t4, t ) ) == y_high
line.delete( array.remove( untested_t4, t ) )
if i_text_t4 != "" or i_text_use_period_t4
label.delete( array.remove( labels_untested_t4, t ) )
break
if y_low > -1 and array.size( untested_t4 ) > 0
for t = 0 to array.size( untested_t4 ) - 1
if line.get_y1( array.get( untested_t4, t ) ) == y_low
line.delete( array.remove( untested_t4, t ) )
if i_text_t4 != "" or i_text_use_period_t4
label.delete( array.remove( labels_untested_t4, t ) )
break
// check this trendline's distance from the nearest ones
threshold_check_t1_1 = f_check_line_within_threshold( untested_t1, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t1_2 = f_check_line_within_threshold( touched_t1, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t1_3 = f_check_line_within_threshold( mitigated_t1, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t2_1 = f_check_line_within_threshold( untested_t2, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t2_2 = f_check_line_within_threshold( touched_t2, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t2_3 = f_check_line_within_threshold( mitigated_t2, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t3_1 = f_check_line_within_threshold( untested_t3, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t3_2 = f_check_line_within_threshold( touched_t3, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t3_3 = f_check_line_within_threshold( mitigated_t3, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t4_1 = f_check_line_within_threshold( untested_t4, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t4_2 = f_check_line_within_threshold( touched_t4, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
threshold_check_t4_3 = f_check_line_within_threshold( mitigated_t4, is_swing_high, is_swing_low, i_check_type == CHECK_TYPE_BODY ? ( hOpen1 > hClose1 ? hOpen1 : hClose1 ) : hHigh1, i_check_type == CHECK_TYPE_BODY ? ( hClose1 < hOpen1 ? hClose1 : hOpen1 ) : hLow1 )
is_within_threshold = threshold_check_t1_1 and threshold_check_t1_2 and threshold_check_t1_3 and threshold_check_t2_1 and threshold_check_t2_2 and threshold_check_t2_3 and threshold_check_t3_1 and threshold_check_t3_2 and threshold_check_t3_3 and threshold_check_t4_1 and threshold_check_t4_2 and threshold_check_t4_3
if is_within_threshold
//f_debug_label( "tf: " + tf + "\nbar: " + s_( bar_index ) + "\nstarting: " + s_( starting_bar ) + " (" + s_( hBar2 ) + ")\nending: " + s_( ending_bar ) + " (" + s_( hBar ) + ")\ntrendline high: " + s_( trendline_bar_high ) + "\ntrendline low: " + s_( trendline_bar_low ) + "\nhighest: " + s_( highest ) + "\nlowest: " + s_( lowest ) + "\ntime: " + s_( time ) + "\nx1: " + s_( x1_high ) + ", x2: " + s_( x2_high ) + "\nhigh: " + str.tostring( is_swing_high ) + ", low: " + str.tostring( is_swing_low ) )
// remove the oldest trendline along with its label and add a new one
if array.size( untested ) == untested_max
line.delete( array.pop( untested ) )
if label_text != ""
label.delete( array.pop( labels_untested ) )
if y_high > -1
//f_debug_label_down( s_( x1_high ) + " / " + s_( x2_high ) )
newLine = line.new( x1_high, y_high, x2_high, y_high, xloc = xloc_high, color = i_line_color_untested, width = i_line_size_untested, style = i_line_style_untested, extend = i_line_extend_untested ? extend.right : extend.none )
array.unshift( untested, newLine )
// check if we should make the previous trendline off-chart
if untested_lines_on_chart > 0 and array.size( untested ) > untested_lines_on_chart
line2change = array.get( untested, untested_lines_on_chart )
f_move_line_off_chart( line2change )
// store this label's original X in case we need to return it there
matrix.add_row( labels_orig_x )
matrix.set( labels_orig_x, matrix.rows( labels_orig_x ) - 1, 0, x1_high )
matrix.set( labels_orig_x, matrix.rows( labels_orig_x ) - 1, 1, y_high )
// add label, if any
if label_text != ""
array.unshift( labels_untested, label.new( bar_index + i_text_offset, y_high, label_text + ( i_show_price_on_labels ? " (" + s_( line.get_y1( newLine ) ) + ")" : ""), size = label_size, textcolor = ( untested_show_label ? i_line_color_untested : transparentcolor ), textalign = text.align_right, style = label.style_none ) )
//array.unshift( labels_untested, label.new( bar_index + i_text_offset, y_high, label_text + ( i_show_price_on_labels ? " (" + s_( line.get_y1( newLine ) ) + ")" : "") + " / " + s_( x1_high ), size = label_size, textcolor = ( untested_show_label ? i_line_color_untested : transparentcolor ), textalign = text.align_right, style = label.style_none ) )
if y_low > -1
newLine = line.new( x1_low, y_low, x2_low, y_low, xloc = xloc_low, color = i_line_color_untested, width = i_line_size_untested, style = i_line_style_untested, extend = i_line_extend_untested ? extend.right : extend.none )
array.unshift( untested, newLine )
// check if we should make the previous trendline off-chart
if untested_lines_on_chart > 0 and array.size( untested ) > untested_lines_on_chart
line2change = array.get( untested, untested_lines_on_chart )
f_move_line_off_chart( line2change )
// store this label's original X in case we need to return it there
matrix.add_row( labels_orig_x )
matrix.set( labels_orig_x, matrix.rows( labels_orig_x ) - 1, 0, x1_low )
matrix.set( labels_orig_x, matrix.rows( labels_orig_x ) - 1, 1, y_low )
// add label, if any
if label_text != ""
//array.unshift( labels_untested, label.new( bar_index + i_text_offset, y_low, label_text + ( i_show_price_on_labels ? " (" + s_( line.get_y1( newLine ) ) + ")" : "") + " / " + s_( x1_low ), size = label_size, textcolor = ( untested_show_label ? i_line_color_untested : transparentcolor ), textalign = text.align_right, style = label.style_none ) )
array.unshift( labels_untested, label.new( bar_index + i_text_offset, y_low, label_text + ( i_show_price_on_labels ? " (" + s_( line.get_y1( newLine ) ) + ")" : ""), size = label_size, textcolor = ( untested_show_label ? i_line_color_untested : transparentcolor ), textalign = text.align_right, style = label.style_none ) )
// check all previously untested trendlines to see if we should promote them to touched or mitigated, if enabled
if array.size( untested ) > 0
loop_index = 0
untested_items_left = array.new_line()
untested_labels_left = array.new_label()
for untested_line in untested
// don't check the newly added untested trendline, if one was just added
if ( hOpen < line.get_y1( untested_line ) and hHigh >= line.get_y1( untested_line ) ) or ( hOpen > line.get_y1( untested_line ) and hLow <= line.get_y1( untested_line ) )
if touched_max > 0 and ( hOpen < line.get_y1( untested_line ) and hHigh == line.get_y1( untested_line ) ) or ( hOpen > line.get_y1( untested_line ) and hLow == line.get_y1( untested_line ) )
line.set_color( untested_line, i_line_color_touched )
line.set_width( untested_line, i_line_size_touched )
line.set_style( untested_line, i_line_style_touched )
line.set_extend( untested_line, i_line_extend_touched ? extend.right : extend.none )
// check if we should make the previous trendline off-chart
if touched_lines_on_chart > 0 and array.size( touched ) > touched_lines_on_chart
line2change = array.get( touched, touched_lines_on_chart )
f_move_line_off_chart( line2change )
// remove the oldest trendline with its label if we're full
if array.size( touched ) == touched_max
removedLine = array.pop( touched )
f_remove_orig_x_for_y( line.get_y1( removedLine ), labels_orig_x )
line.delete( removedLine )
if label_text != ""
label.delete( array.pop( labels_touched ) )
array.unshift( touched, untested_line )
// change label color and move it to mitigated
if label_text != ""
label_to_move = array.get( labels_untested, loop_index )
array.unshift( labels_touched, label_to_move )
label.set_textcolor(label_to_move, touched_show_label ? i_line_color_touched : transparentcolor )
loop_index := loop_index + 1
else if mitigated_max > 0
// if we don't have touched enabled but we do have mitigated enabled OR when we crossed the price directly, move this to mitigated
line.set_color( untested_line, i_line_color_mitigated )
line.set_width( untested_line, i_line_size_mitigated )
line.set_style( untested_line, i_line_style_mitigated )
line.set_extend( untested_line, i_line_extend_mitigated ? extend.right : extend.none )
// check if we should make the previous trendline off-chart
if mitigated_lines_on_chart > 0 and array.size( mitigated ) > mitigated_lines_on_chart
line2change = array.get( mitigated, mitigated_lines_on_chart )
f_move_line_off_chart( line2change )
// remove the oldest trendline with its label if we're full
if array.size( mitigated ) == mitigated_max
removedLine = array.pop( mitigated )
f_remove_orig_x_for_y( line.get_y1( removedLine ), labels_orig_x )
line.delete( removedLine )
if label_text != ""
label.delete( array.pop( labels_mitigated ) )
array.unshift( mitigated, untested_line )
// change label color and move it to mitigated
if label_text != ""
label_to_move = array.get( labels_untested, loop_index )
array.unshift( labels_mitigated, label_to_move )
label.set_textcolor(label_to_move , mitigated_show_label ? i_line_color_mitigated : transparentcolor )
loop_index := loop_index + 1
else
f_remove_orig_x_for_y( line.get_y1( untested_line ), labels_orig_x )
line.delete( untested_line )
if label_text != ""
label.delete( array.get( labels_untested, loop_index ) )
else
array.push( untested_items_left, untested_line )
if label_text != ""
array.push( untested_labels_left, array.get( labels_untested, loop_index ) )
loop_index := loop_index + 1
// re-populate the untested array if we've touched or mitigated some of its lines
if array.size( untested ) != array.size( untested_items_left )
array.clear( untested )
if label_text != ""
array.clear( labels_untested )
loop_index2 = 0
for new_untested_line in untested_items_left
array.push( untested, new_untested_line )
if label_text != ""
array.push( labels_untested, array.get( untested_labels_left, loop_index2 ) )
loop_index2 := loop_index2 + 1
// check all previously touched trendlines to see if we should promote them to mitigated, if enabled
if array.size( touched ) > 0
loop_index = 0
touched_items_left = array.new_line()
touched_labels_left = array.new_label()
for touched_line in touched
if ( hOpen < line.get_y1( touched_line ) and hHigh > line.get_y1( touched_line ) ) or ( hOpen > line.get_y1( touched_line ) and hLow < line.get_y1( touched_line ) )
if mitigated_max > 0
line.set_color( touched_line, i_line_color_mitigated )
line.set_width( touched_line, i_line_size_mitigated )
line.set_style( touched_line, i_line_style_mitigated )
line.set_extend( touched_line, i_line_extend_mitigated ? extend.right : extend.none )
// check if we should make the previous trendline off-chart
if touched_lines_on_chart > 0 and array.size( touched ) > touched_lines_on_chart
line2change = array.get( touched, touched_lines_on_chart )
f_move_line_off_chart( line2change )
// remove the oldest trendline with its label if we're full
if array.size( mitigated ) == mitigated_max
removedLine = array.pop( mitigated )
f_remove_orig_x_for_y( line.get_y1( removedLine ), labels_orig_x )
line.delete( removedLine )
if label_text != ""
label.delete( array.pop( labels_mitigated ) )
array.unshift( mitigated, touched_line )
// change label color and move it to mitigated
if label_text != ""
label_to_move = array.get( labels_touched, loop_index )
array.unshift( labels_mitigated, label_to_move )
label.set_textcolor(label_to_move , mitigated_show_label ? i_line_color_mitigated : transparentcolor )
loop_index := loop_index + 1
else
f_remove_orig_x_for_y( line.get_y1( touched_line ), labels_orig_x )
line.delete( touched_line )
if label_text != ""
label.delete( array.get( labels_touched, loop_index ) )
else
array.push( touched_items_left, touched_line )
if label_text != ""
array.push( touched_labels_left, array.get( labels_touched, loop_index ) )
loop_index := loop_index + 1
// re-populate the touched array if we've touched or mitigated some of its lines
if array.size( touched ) != array.size( touched_items_left )
array.clear( touched )
if label_text != ""
array.clear( labels_touched )
loop_index2 = 0
for new_touched_line in touched_items_left
array.push( touched, new_touched_line )
if label_text != ""
array.push( labels_touched, array.get( touched_labels_left, loop_index2 ) )
loop_index2 := loop_index2 + 1
[ untested, touched, mitigated, labels_untested, labels_touched, labels_mitigated, labels_orig_x ]
f_extend_lines_to_current_bar( which ) =>
ret = true
string tf = na
array<line> untested = na
int untested_lines_on_chart = na
array<line> touched = na
array<label> labels_touched = na
int touched_lines_on_chart = na
array<line> mitigated = na
array<label> labels_mitigated = na
int mitigated_lines_on_chart = na
matrix<float> labels_orig_x = na
if which == 1
untested := untested_t1
touched := touched_t1
mitigated := mitigated_t1
untested_lines_on_chart := i_untested_display_off_chart_t1 ? -1 : 0
touched_lines_on_chart := i_touched_display_off_chart_t1 ? -1 : 0
mitigated_lines_on_chart := i_mitigated_display_off_chart_t1 ? -1 : 0
labels_orig_x := labels_orig_x_t1
if which == 2
untested := untested_t2
touched := touched_t2
mitigated := mitigated_t2
untested_lines_on_chart := i_untested_display_off_chart_t2 ? -1 : 0
touched_lines_on_chart := i_touched_display_off_chart_t2 ? -1 : 0
mitigated_lines_on_chart := i_mitigated_display_off_chart_t2 ? -1 : 0
labels_orig_x := labels_orig_x_t2
if which == 3
untested := untested_t3
touched := touched_t3
mitigated := mitigated_t3
untested_lines_on_chart := i_untested_display_off_chart_t3 ? -1 : 0
touched_lines_on_chart := i_touched_display_off_chart_t3 ? -1 : 0
mitigated_lines_on_chart := i_mitigated_display_off_chart_t3 ? -1 : 0
labels_orig_x := labels_orig_x_t3
if which == 4
untested := untested_t4
touched := touched_t4
mitigated := mitigated_t4
untested_lines_on_chart := i_untested_display_off_chart_t4 ? -1 : 0
touched_lines_on_chart := i_touched_display_off_chart_t4 ? -1 : 0
mitigated_lines_on_chart := i_mitigated_display_off_chart_t4 ? -1 : 0
labels_orig_x := labels_orig_x_t4
counter = 1
for untested_line in untested
if ( untested_lines_on_chart > 0 and counter > untested_lines_on_chart ) or untested_lines_on_chart == -1
f_move_line_off_chart( untested_line )
else
// if this line was previously off-chart, move it back
if line.get_x1( untested_line ) == bar_index + i_text_offset - 2
f_return_line_to_chart( untested_line, line.get_y1( untested_line ), labels_orig_x )
line.set_x2( untested_line, time )
counter := counter + 1
counter := 1
for touched_line in touched
if ( touched_lines_on_chart > 0 and counter > touched_lines_on_chart ) or touched_lines_on_chart == -1
f_move_line_off_chart( touched_line )
else
// if this line was previously off-chart, move it back
if line.get_x1( touched_line ) == bar_index + i_text_offset - 2
f_return_line_to_chart( touched_line, line.get_y1( touched_line ), labels_orig_x )
line.set_x2( touched_line, time )
counter := counter + 1
counter := 1
for mitigated_line in mitigated
if ( mitigated_lines_on_chart > 0 and counter > mitigated_lines_on_chart ) or mitigated_lines_on_chart == -1
f_move_line_off_chart( mitigated_line )
else
// if this line was previously off-chart, move it back
if line.get_x1( mitigated_line ) == bar_index + i_text_offset - 2
f_return_line_to_chart( mitigated_line, line.get_y1( mitigated_line ), labels_orig_x )
line.set_x2( mitigated_line, time )
counter := counter + 1
ret
f_extend_labels_to_current_bar( labels_untested_array, labels_touched_array, labels_mitigated_array ) =>
ret = true
for lab in labels_untested_array
label.set_x( lab, bar_index + i_text_offset )
for lab in labels_touched_array
label.set_x( lab, bar_index + i_text_offset )
for lab in labels_mitigated_array
label.set_x( lab, bar_index + i_text_offset )
ret
// LOGIC
errors = array.new_string()
if i_use_tf1
if timeframe.in_seconds( timeframe.period ) <= timeframe.in_seconds( i_tf_t1 )
[ untested, touched, mitigated, labels_untested, labels_touched, labels_mitigated, labels_orig_x ] = f_check_trendlines( 1, i_tf_t1 )
untested_t1 := untested
touched_t1 := touched
mitigated_t1 := mitigated
labels_untested_t1 := labels_untested
labels_touched_t1 := labels_touched
labels_mitigated_t1 := labels_mitigated
labels_orig_x_t1 := labels_orig_x
f_extend_lines_to_current_bar( 1 )
f_extend_labels_to_current_bar( labels_untested_t1, labels_touched_t1, labels_mitigated_t1 )
else
array.push( errors, "Timeframe 1 on lower timeframe than current - not showing trendlines")
if i_use_tf2
if timeframe.in_seconds( timeframe.period ) <= timeframe.in_seconds( i_tf_t2 )
[ untested, touched, mitigated, labels_untested, labels_touched, labels_mitigated, labels_orig_x ] = f_check_trendlines( 2, i_tf_t2 )
untested_t2 := untested
touched_t2 := touched
mitigated_t2 := mitigated
labels_untested_t2 := labels_untested
labels_touched_t2 := labels_touched
labels_mitigated_t2 := labels_mitigated
labels_orig_x_t2 := labels_orig_x
f_extend_lines_to_current_bar( 2 )
f_extend_labels_to_current_bar( labels_untested_t2, labels_touched_t2, labels_mitigated_t2 )
else
array.push( errors, "Timeframe 2 on lower timeframe than current - not showing trendlines")
if i_use_tf3
if timeframe.in_seconds( timeframe.period ) <= timeframe.in_seconds( i_tf_t3 )
[ untested, touched, mitigated, labels_untested, labels_touched, labels_mitigated, labels_orig_x ] = f_check_trendlines( 3, i_tf_t3 )
untested_t3 := untested
touched_t3 := touched
mitigated_t3 := mitigated
labels_untested_t3 := labels_untested
labels_touched_t3 := labels_touched
labels_mitigated_t3 := labels_mitigated
labels_orig_x_t3 := labels_orig_x
f_extend_lines_to_current_bar( 3 )
f_extend_labels_to_current_bar( labels_untested_t3, labels_touched_t3, labels_mitigated_t3 )
else
array.push( errors, "Timeframe 3 on lower timeframe than current - not showing trendlines")
if i_use_tf4
if timeframe.in_seconds( timeframe.period ) <= timeframe.in_seconds( i_tf_t4 )
[ untested, touched, mitigated, labels_untested, labels_touched, labels_mitigated, labels_orig_x ] = f_check_trendlines( 4, i_tf_t4 )
untested_t4 := untested
touched_t4 := touched
mitigated_t4 := mitigated
labels_untested_t4 := labels_untested
labels_touched_t4 := labels_touched
labels_mitigated_t4 := labels_mitigated
labels_orig_x_t4 := labels_orig_x
f_extend_lines_to_current_bar( 4 )
f_extend_labels_to_current_bar( labels_untested_t4, labels_touched_t4, labels_mitigated_t4 )
else
array.push( errors, "Timeframe 4 on lower timeframe than current - not showing trendlines")
if array.size( errors ) > 0
var err_table = table.new(position = position.bottom_right, columns = 1, rows = array.size( errors ), border_width = 1)
for i = 0 to array.size( errors ) - 1
table.cell(table_id = err_table, column = 0, row = i , text = array.get( errors, i ), bgcolor=color.black, text_color=color.white, text_halign = text.align_left) |
NIFTY IT volume | https://www.tradingview.com/script/z4YXPZ3L-NIFTY-IT-volume/ | bullseyetrading_lko | https://www.tradingview.com/u/bullseyetrading_lko/ | 14 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © carefulTortois38674
//@version=5
indicator('IT volume', timeframe='', format=format.volume)
barColorsOnPrevClose = input(title='Color bars based on previous close', defval=false)
palette = barColorsOnPrevClose ? close[1] > close ? color.red : color.green : open > close ? color.red : color.green
a = request.security('NSE:COFORGE', timeframe.period, volume)
b = request.security('NSE:HCLTECH', timeframe.period, volume)
c = request.security('NSE:INFY', timeframe.period, volume)
d = request.security('NSE:LTI', timeframe.period, volume)
e = request.security('NSE:LTTS', timeframe.period, volume)
f = request.security('NSE:MPHASIS', timeframe.period, volume)
g = request.security('NSE:PERSISTENT', timeframe.period, volume)
h = request.security('NSE:TCS', timeframe.period, volume)
i = request.security('NSE:TECHM', timeframe.period, volume)
j = request.security('NSE:WIPRO', timeframe.period, volume)
IT_volume = a + b + c + d + e + f + g + h + i + j
IT_average = ta.sma(IT_volume, length=input(defval=10))
plot(IT_volume, color=palette, style=plot.style_columns, title='IT volume')
plot(IT_average, color=color.new(color.black, 0), title='moving average')
plot(close)
|
Converging Pullbacks and Peaks | https://www.tradingview.com/script/3sEKDcUT-Converging-Pullbacks-and-Peaks/ | EsIstTurnt | https://www.tradingview.com/u/EsIstTurnt/ | 56 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © EsIstTurnt
//@version=5
indicator("Converging Pullbacks and Peaks",overlay=true)
//Multi Timeframe Converging Lines Indicator. Using the highest/lowest Values at 2 seperate lengths,
//all changeable in settings. Convergence created by taking the highest/lowest value and subtracting/adding the # of bars
//since the highest/lowest bar was set multiplied by the price multiplied by the float.
//Curves are created from averaging out the emas of the center lines of the extremeties.
//Helps show trendlines automatically alot of the time but can be tweaked by changing the floats or Fast/Slow lengths
tf1=input.timeframe('60')
tf2=input.timeframe('640')
float1=input.float(0.0000618,"Converge Float TimeFrame 1",step=0.00001)
float2=input.float(0.0000618,"Converge Float TimeFrame 2",step=0.00001)
bool1=input.bool(true,'Enable TimeFrame 1')
bool2=input.bool(true,'Enable TimeFrame 2')
bool3=input.bool(true,'Fast')
bool4=input.bool(true,'Slow')
bool5=input.bool(false,'Curves')
bool6=input.bool(false,'Toggle Custom Source')
src=input.source(close,'Custom Sourcing')
Fast=input.int(64,'Fast Length')
Slow=input.int(256,'Slow Length')
//TimeFrame 1 highest and lowest values
high1a =request.security(syminfo.ticker,tf1,ta.highest(bool6 ?src : high,Fast ))
low1a =request.security(syminfo.ticker,tf1,ta.lowest (bool6 ?src : low ,Fast ))
high2a =request.security(syminfo.ticker,tf1,ta.highest(bool6 ?src : high,Slow ))
low2a =request.security(syminfo.ticker,tf1,ta.lowest (bool6 ?src : low ,Slow ))
//TimeFrame 2 highest and lowest values
high1b =request.security(syminfo.ticker,tf2,ta.highest(bool6 ?src : high,Fast ))
low1b =request.security(syminfo.ticker,tf2,ta.lowest (bool6 ?src : low ,Fast ))
high2b =request.security(syminfo.ticker,tf2,ta.highest(bool6 ?src : high,Slow ))
low2b =request.security(syminfo.ticker,tf2,ta.lowest (bool6 ?src : low ,Slow ))
//Count since new Highs , Lows
new_high1a=ta.barssince(high1a==high )
new_high1b=ta.barssince(high1b==high )
new_high2a=ta.barssince(high2a==high )
new_high2b=ta.barssince(high2b==high )
new_low1a =ta.barssince(low1a ==low )
new_low1b =ta.barssince(low1b ==low )
new_low2a =ta.barssince(low2a ==low )
new_low2b =ta.barssince(low2b ==low )
//get the value of the highest/lowest high/low in 4 bars when a new high/low occurs, and add/subtract
//the Bar counters above and multiply by its price roughly and multiply by a float
//highs subtract , lows add for converging lines
hformula1a=ta.valuewhen(high1a==high,ta.highest(high,4),1) - (new_high1a * ta.swma(ta.vwap(close) * (float1)))
hformula1b=ta.valuewhen(high1b==high,ta.highest(high,4),1) - (new_high1b * ta.swma(ta.vwap(close) * (float1)))
hformula2a=ta.valuewhen(high2a==high,ta.highest(high,4),1) - (new_high2a * ta.swma(ta.vwap(close) * (float2)))
hformula2b=ta.valuewhen(high2b==high,ta.highest(high,4),1) - (new_high2b * ta.swma(ta.vwap(close) * (float2)))
lformula1a=ta.valuewhen(low1a ==low ,ta.lowest(low,4),1) + (new_low1a * ta.swma(ta.vwap(close) * (float1)))
lformula1b=ta.valuewhen(low1b ==low ,ta.lowest(low,4),1) + (new_low1b * ta.swma(ta.vwap(close) * (float1)))
lformula2a=ta.valuewhen(low2a ==low ,ta.lowest(low,4),1) + (new_low2a * ta.swma(ta.vwap(close) * (float2)))
lformula2b=ta.valuewhen(low2b ==low ,ta.lowest(low,4),1) + (new_low2b * ta.swma(ta.vwap(close) * (float2)))
//get the centerlines, average it all up and apply an ema
avg1=math.avg(hformula1a,lformula1a)
avg2=math.avg(hformula2a,lformula2a)
avg3=math.avg(hformula1b,lformula1b)
avg4=math.avg(hformula2b,lformula2b)
centercurve=ta.linreg(ta.swma(math.avg(avg1,avg4,avg3,avg2)),Slow/2,0)
curve1 =ta.ema(centercurve,Slow)
curve2 =ta.ema(centercurve[Fast],Fast)
cond1=curve1>curve2
//Plotting
plot(bool1?bool3?hformula1a:na:na,style=plot.style_circles,color=color.new(hformula1a<=hformula1a[4]?#acfb00:na,75))
plot(bool2?bool4?hformula1b:na:na,style=plot.style_cross,color=color.new(hformula1b<=hformula1b[4] ?#ff0000:na,85))
plot(bool1?bool3?hformula2a:na:na,style=plot.style_circles,color=color.new(hformula1a<=hformula1a[4]?color.olive:na ,75))
plot(bool2?bool4?hformula2b:na:na,style=plot.style_cross,color=color.new(hformula2b<=hformula2b[4] ?color.orange:na,85))
plot(bool1?bool3?lformula1a:na:na,style=plot.style_circles,color=color.new(lformula1a>=lformula1a[4]?#acfb00:na,75))
plot(bool2?bool4?lformula1b:na:na,style=plot.style_cross,color=color.new(lformula1b>=lformula1b[4] ?#ff0000:na,85))
plot(bool1?bool3?lformula2a:na:na,style=plot.style_circles,color=color.new(lformula2a<=lformula2a[4]?color.olive:na ,75))
plot(bool2?bool4?lformula2b:na:na,style=plot.style_cross,color=color.new(lformula2b>=lformula2b[4] ?color.orange:na,85))
centercurve1 = plot( curve1,color =bool5?math.round(avg3) == math.round(avg3[1]) and math.round(avg3)==math.round(avg3[4]) ?avg3<close?#acfb00:#ff0000:color.orange:na,style=plot.style_linebr)
centercurve2 = plot( curve2,color =bool5? math.round(avg4) == math.round(avg4[1]) and math.round(avg4)==math.round(avg4[4]) ?avg4 < close?#acfb00:#ff0000:color.orange:na,style=plot.style_linebr)
color=color.new(bool5?cond1?#ff0000:#acfb00:na,80)
fill(centercurve1,centercurve2,color=color)
|
Outback RSI & Hull [TTF] | https://www.tradingview.com/script/yrK0aSQh-Outback-RSI-Hull-TTF/ | TheTrdFloor | https://www.tradingview.com/u/TheTrdFloor/ | 506 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © TheTrdFloor
//
// We built this indicator to help simplify some of the setup for our Outback strategy, was many were having trouble setting up the
// Hull Suite on top of the RSI using the Indicator on Indicator method.
//
//@version=5
indicator(title="Outback RSI & Hull [TTF]", shorttitle="Outback RSI & Hull [TTF]", format=format.price, precision=2, timeframe="", timeframe_gaps=true)
///////////////////////////// Standard RSI /////////////////////////////
ma(source, length, type) =>
switch type
"SMA" => ta.sma(source, length)
"Bollinger Bands" => ta.sma(source, length)
"EMA" => ta.ema(source, length)
"SMMA (RMA)" => ta.rma(source, length)
"WMA" => ta.wma(source, length)
"VWMA" => ta.vwma(source, length)
rsiLengthInput = input.int(618, minval=1, title="RSI Length", group="RSI Settings")
rsiSourceInput = input.source(close, "Source", group="RSI Settings")
rsitrigger = input.int(50, title="RSI Trigger Level", group="RSI Settings", tooltip="RSI Trigger Level for safe entry")
usersitrigger = input.bool(false, title="Display Safe Entries", group="RSI Settings", tooltip="If activated, background coloring will differentiate between risk entry and safe entry (RSI above/below RSI trigger level")
maTypeInput = input.string("SMA", title="MA Type", options=["SMA", "Bollinger Bands", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group="MA Settings")
maLengthInput = input.int(200, title="MA Length", group="MA Settings")
bbMultInput = input.float(2.0, minval=0.001, maxval=50, title="BB StdDev", group="MA Settings")
up = ta.rma(math.max(ta.change(rsiSourceInput), 0), rsiLengthInput)
down = ta.rma(-math.min(ta.change(rsiSourceInput), 0), rsiLengthInput)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
rsiMA = ma(rsi, maLengthInput, maTypeInput)
isBB = maTypeInput == "Bollinger Bands"
plot(rsi, "RSI", color=#7E57C2)
plot(rsiMA, "RSI-based MA", color=color.white)
hline(50, "RSI Middle Band", color=color.new(#787B86, 50))
///////////////////////////// Hull Suite by Insilico ///////////////////////////////////
length3 = input(227, title='MA Length', group = "Hull Suite")
lengthMult = input(2.0, title="Length multiplier", group = "Hull Suite")
MHULL = ta.wma(2 * ta.wma(rsi,int(length3 * lengthMult) / 2) - ta.wma(rsi, int(length3 * lengthMult)), math.round(math.sqrt(int(length3 * lengthMult))))
plot(MHULL, "Hull", color=color.yellow)
///////////////////////////// Background filled based on Outback Criteria ///////////////////////////////////
riskentrylong = usersitrigger ? (rsi>rsiMA and rsi>MHULL and rsi<rsitrigger ? true : false) : rsi>rsiMA and rsi>MHULL ? true : false
entrylong = rsi>rsiMA and rsi>MHULL and rsi>rsitrigger ? true : false
riskentryshort = usersitrigger ? (rsi<rsiMA and rsi<MHULL and rsi>rsitrigger ? true : false) : rsi<rsiMA and rsi<MHULL ? true : false
entryshort = rsi<rsiMA and rsi<MHULL and rsi<rsitrigger ? true : false
bgcolor(riskentrylong ? color.new(#056656,50) : na, title="Risk Entry Long")
bgcolor(entrylong and usersitrigger ? color.new(#00332a,50) : na, title="Safe Entry Long")
bgcolor(riskentryshort ? color.new(#ff9800, 50) : na, title="Risk Entry Short")
bgcolor(entryshort and usersitrigger ? color.new(#e65100, 50) : na, title="Safe Entry Short")
///// Adding alerts for risk entries
m_alertMsgBull = "ORSI - Bullish"
m_alertMsgBear = "ORSI - Bearish"
alertcondition(riskentrylong and not riskentrylong[1] ? true : false, title=m_alertMsgBull, message=m_alertMsgBull)
alertcondition(riskentryshort and not riskentryshort[1] ? true : false, title=m_alertMsgBear, message=m_alertMsgBear)
// if (riskentrylong)
// alert(message=m_alertMsgBull, freq=alert.freq_once_per_bar)
// if (riskentryshort)
// alert(message=m_alertMsgBear, freq=alert.freq_once_per_bar)
|
RTH & ETH VWAPs [vnhilton] | https://www.tradingview.com/script/kI63hLO9-RTH-ETH-VWAPs-vnhilton/ | vnhilton | https://www.tradingview.com/u/vnhilton/ | 63 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © vnhilton
//@version=5
indicator("RTH & ETH VWAPs [vnhilton]", "RTHÐ VWAPS", true)
//RTH Timezone
rth = time(timeframe.period, session.regular, syminfo.timezone)
//Parameters
ethRTHToggle = input.bool(false, "Hide ETH VWAP Lines During RTH Session?", "Recommended to turn on if using closest VWAP Bands")
vwapSize = input.int(2, "VWAP Circle Size", 1)
srcrth = input(hlc3, "Source For RTH VWAP", group="RTH Parameters")
stddevRTHM1 = input.float(1, "STDDEV Bands Multiplier #1", 0, group="RTH Parameters")
stddevRTHM2 = input.float(2, "STDDEV Bands Multiplier #2", 0, group="RTH Parameters")
stddevRTHM3 = input.float(3, "STDDEV Bands Multiplier #3", 0, group="RTH Parameters")
srceth = input(hlc3, "Source For ETH VWAP", group="ETH Parameters")
stddevETHM1 = input.float(1, "STDDEV Bands Multiplier #1", 0, group="ETH Parameters")
stddevETHM2 = input.float(2, "STDDEV Bands Multiplier #2", 0, group="ETH Parameters")
stddevETHM3 = input.float(3, "STDDEV Bands Multiplier #3", 0, group="ETH Parameters")
//Base VWAPs
[vwapR1, upperR1, lowerR1] = ta.vwap(srcrth, timeframe.change("D"), stddevRTHM1)
[vwapE1, upperE1, lowerE1] = ta.vwap(srceth, timeframe.change("D"), stddevRTHM1)
[vwapR2, upperR2, lowerR2] = ta.vwap(srcrth, timeframe.change("D"), stddevRTHM2)
[vwapE2, upperE2, lowerE2] = ta.vwap(srceth, timeframe.change("D"), stddevRTHM2)
[vwapR3, upperR3, lowerR3] = ta.vwap(srcrth, timeframe.change("D"), stddevRTHM3)
[vwapE3, upperE3, lowerE3] = ta.vwap(srceth, timeframe.change("D"), stddevRTHM3)
//RTH & ETH VWAPs
[rthVWAP1, rthVWAPUpper1, rthVWAPLower1] = request.security(ticker.modify(syminfo.tickerid, session.regular), timeframe.period, [vwapR1, upperR1, lowerR1])
[ethVWAP1, ethVWAPUpper1, ethVWAPLower1] = request.security(ticker.modify(syminfo.tickerid, session.extended), timeframe.period, [vwapE1, upperE1, lowerE1])
[rthVWAP2, rthVWAPUpper2, rthVWAPLower2] = request.security(ticker.modify(syminfo.tickerid, session.regular), timeframe.period, [vwapR2, upperR2, lowerR2])
[ethVWAP2, ethVWAPUpper2, ethVWAPLower2] = request.security(ticker.modify(syminfo.tickerid, session.extended), timeframe.period, [vwapE2, upperE2, lowerE2])
[rthVWAP3, rthVWAPUpper3, rthVWAPLower3] = request.security(ticker.modify(syminfo.tickerid, session.regular), timeframe.period, [vwapR3, upperR3, lowerR3])
[ethVWAP3, ethVWAPUpper3, ethVWAPLower3] = request.security(ticker.modify(syminfo.tickerid, session.extended), timeframe.period, [vwapE3, upperE3, lowerE3])
//Plots
rthPlot = plot(rth ? rthVWAP1 : na, "RTH VWAP", color.rgb(255, 244, 1, 0), style=plot.style_linebr)
plot(rthVWAP1 <= high and rthVWAP1 >= low and rth ? rthVWAP1 : na, "RTH VWAP Circles", color.rgb(255, 244, 1, 0), vwapSize, style=plot.style_circles)
upperRPlot1 = plot(rth ? rthVWAPUpper1 : na, "Upper RTH VWAP Band #1", color.rgb(255, 244, 1, 50), style=plot.style_linebr)
lowerRPlot1 = plot(rth ? rthVWAPLower1 : na, "Lower RTH VWAP Band #1", color.rgb(255, 244, 1, 50), style=plot.style_linebr)
upperRPlot2 = plot(rth ? rthVWAPUpper2 : na, "Upper RTH VWAP Band #2", color.rgb(255, 244, 1, 55), style=plot.style_linebr)
lowerRPlot2 = plot(rth ? rthVWAPLower2 : na, "Lower RTH VWAP Band #2", color.rgb(255, 244, 1, 55), style=plot.style_linebr)
upperRPlot3 = plot(rth ? rthVWAPUpper3 : na, "Upper RTH VWAP Band #3", color.rgb(255, 244, 1, 60), style=plot.style_linebr)
lowerRPlot3 = plot(rth ? rthVWAPLower3 : na, "Lower RTH VWAP Band #3", color.rgb(255, 244, 1, 60), style=plot.style_linebr)
ethPlot = plot(ethRTHToggle ? rth ? na : ethVWAP1 : ethVWAP1, "ETH VWAP", color.rgb(255, 255, 255, 0), style=plot.style_linebr)
plot(ethVWAP1 <= high and ethVWAP1 >= low ? ethVWAP1 : na, "ETH VWAP Circles", color.rgb(255, 255, 255, 0), vwapSize, style=plot.style_circles)
upperEPlot1 = plot(ethRTHToggle ? rth ? na : ethVWAPUpper1 : ethVWAPUpper1, "Upper ETH VWAP Band #1", color.rgb(255, 255, 255, 50), style=plot.style_linebr)
lowerEPlot1 = plot(ethRTHToggle ? rth ? na : ethVWAPLower1 : ethVWAPLower1, "Lower ETH VWAP Band #1", color.rgb(255, 255, 255, 50), style=plot.style_linebr)
upperEPlot2 = plot(ethRTHToggle ? rth ? na : ethVWAPUpper2 : ethVWAPUpper2, "Upper ETH VWAP Band #2", color.rgb(255, 255, 255, 55), style=plot.style_linebr)
lowerEPlot2 = plot(ethRTHToggle ? rth ? na : ethVWAPLower2 : ethVWAPLower2, "Lower ETH VWAP Band #2", color.rgb(255, 255, 255, 55), style=plot.style_linebr)
upperEPlot3 = plot(ethRTHToggle ? rth ? na : ethVWAPUpper3 : ethVWAPUpper3, "Upper ETH VWAP Band #3", color.rgb(255, 255, 255, 60), style=plot.style_linebr)
lowerEPlot3 = plot(ethRTHToggle ? rth ? na : ethVWAPLower3 : ethVWAPLower3, "Lower ETH VWAP Band #3", color.rgb(255, 255, 255, 60), style=plot.style_linebr)
closestUPlot1 = plot(rth ? rthVWAPUpper1 < ethVWAPUpper1 ? rthVWAPUpper1 : ethVWAPUpper1 : na, "Closest VWAP Upper Band #1", color.rgb(255, 255, 255, 50), style=plot.style_linebr, display=display.none)
closestDPlot1 = plot(rth ? rthVWAPLower1 >= ethVWAPLower1 ? rthVWAPLower1 : ethVWAPLower1 : na, "Closest VWAP Lower Band #1", color.rgb(255, 255, 255, 50), style=plot.style_linebr, display=display.none)
closestUPlot2 = plot(rth ? rthVWAPUpper2 < ethVWAPUpper2 ? rthVWAPUpper2 : ethVWAPUpper2 : na, "Closest VWAP Upper Band #2", color.rgb(255, 255, 255, 55), style=plot.style_linebr, display=display.none)
closestDPlot2 = plot(rth ? rthVWAPLower2 >= ethVWAPLower2 ? rthVWAPLower2 : ethVWAPLower2 : na, "Closest VWAP Lower Band #2", color.rgb(255, 255, 255, 55), style=plot.style_linebr, display=display.none)
closestUPlot3 = plot(rth ? rthVWAPUpper3 < ethVWAPUpper3 ? rthVWAPUpper3 : ethVWAPUpper3 : na, "Closest VWAP Upper Band #3", color.rgb(255, 255, 255, 60), style=plot.style_linebr, display=display.none)
closestDPlot3 = plot(rth ? rthVWAPLower3 >= ethVWAPLower3 ? rthVWAPLower3 : ethVWAPLower3 : na, "Closest VWAP Lower Band #3", color.rgb(255, 255, 255, 60), style=plot.style_linebr, display=display.none)
fill(plot1=rthPlot, plot2=ethPlot, top_value=rthVWAP1 >= ethVWAP1 ? rthVWAP1 : ethVWAP1, bottom_value=rthVWAP1 >= ethVWAP1 ? ethVWAP1 : rthVWAP1, top_color=rthVWAP1 >= ethVWAP1 ? color.rgb(255, 244, 1, 90) : color.rgb(255, 255, 255, 100), bottom_color=rthVWAP1 >= ethVWAP1 ? color.rgb(255, 255, 255, 100) : color.rgb(255, 244, 1, 90), title="RTH & ETH VWAPs Plot Fill")
fill(plot1=upperRPlot1, plot2=upperEPlot1, top_value=rthVWAPUpper1 >= ethVWAPUpper1 ? rthVWAPUpper1 : ethVWAPUpper1, bottom_value=rthVWAPUpper1 >= ethVWAPUpper1 ? ethVWAPUpper1 : rthVWAPUpper1, top_color=rthVWAPUpper1 >= ethVWAPUpper1 ? color.rgb(255, 244, 1, 90) : color.rgb(255, 255, 255, 100), bottom_color=rthVWAPUpper1 >= ethVWAPUpper1 ? color.rgb(255, 255, 255, 100) : color.rgb(255, 244, 1, 90), title="RTH & ETH VWAPs Upper Band #1 Plot Fill")
fill(plot1=upperRPlot2, plot2=upperEPlot2, top_value=rthVWAPUpper2 >= ethVWAPUpper2 ? rthVWAPUpper2 : ethVWAPUpper2, bottom_value=rthVWAPUpper2 >= ethVWAPUpper2 ? ethVWAPUpper2 : rthVWAPUpper2, top_color=rthVWAPUpper2 >= ethVWAPUpper2 ? color.rgb(255, 244, 1, 90) : color.rgb(255, 255, 255, 100), bottom_color=rthVWAPUpper2 >= ethVWAPUpper2 ? color.rgb(255, 255, 255, 100) : color.rgb(255, 244, 1, 90), title="RTH & ETH VWAPs Upper Band #2 Plot Fill")
fill(plot1=upperRPlot3, plot2=upperEPlot3, top_value=rthVWAPUpper3 >= ethVWAPUpper3 ? rthVWAPUpper3 : ethVWAPUpper3, bottom_value=rthVWAPUpper3 >= ethVWAPUpper3 ? ethVWAPUpper3 : rthVWAPUpper3, top_color=rthVWAPUpper3 >= ethVWAPUpper3 ? color.rgb(255, 244, 1, 90) : color.rgb(255, 255, 255, 100), bottom_color=rthVWAPUpper3 >= ethVWAPUpper3 ? color.rgb(255, 255, 255, 100) : color.rgb(255, 244, 1, 90), title="RTH & ETH VWAPs Upper Band #3 Plot Fill")
fill(plot1=lowerRPlot1, plot2=lowerEPlot1, top_value=rthVWAPLower1 >= ethVWAPLower1 ? rthVWAPLower1 : ethVWAPLower1, bottom_value=rthVWAPLower1 >= ethVWAPLower1 ? ethVWAPLower1 : rthVWAPLower1, top_color=rthVWAPLower1 >= ethVWAPLower1 ? color.rgb(255, 244, 1, 90) : color.rgb(255, 255, 255, 100), bottom_color=rthVWAPLower1 >= ethVWAPLower1 ? color.rgb(255, 255, 255, 100) : color.rgb(255, 244, 1, 90), title="RTH & ETH VWAPs Lower Band #1 Plot Fill")
fill(plot1=lowerRPlot2, plot2=lowerEPlot2, top_value=rthVWAPLower2 >= ethVWAPLower2 ? rthVWAPLower2 : ethVWAPLower2, bottom_value=rthVWAPLower2 >= ethVWAPLower2 ? ethVWAPLower2 : rthVWAPLower2, top_color=rthVWAPLower2 >= ethVWAPLower2 ? color.rgb(255, 244, 1, 90) : color.rgb(255, 255, 255, 100), bottom_color=rthVWAPLower2 >= ethVWAPLower2 ? color.rgb(255, 255, 255, 100) : color.rgb(255, 244, 1, 90), title="RTH & ETH VWAPs Lower Band #2 Plot Fill")
fill(plot1=lowerRPlot3, plot2=lowerEPlot3, top_value=rthVWAPLower3 >= ethVWAPLower3 ? rthVWAPLower3 : ethVWAPLower3, bottom_value=rthVWAPLower3 >= ethVWAPLower3 ? ethVWAPLower3 : rthVWAPLower3, top_color=rthVWAPLower3 >= ethVWAPLower3 ? color.rgb(255, 244, 1, 90) : color.rgb(255, 255, 255, 100), bottom_color=rthVWAPLower3 >= ethVWAPLower3 ? color.rgb(255, 255, 255, 100) : color.rgb(255, 244, 1, 90), title="RTH & ETH VWAPs Lower Band #3 Plot Fill") |
Normalized Volume | https://www.tradingview.com/script/1npbvr6U-Normalized-Volume/ | bjr117 | https://www.tradingview.com/u/bjr117/ | 34 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © bjr117
//@version=5
indicator(title = "Normalized Volume", shorttitle = "NVOL", overlay = false)
//==============================================================================
// User inputs
//==============================================================================
nvol_ma_length = input.int(title = "Normalized Volume MA Length", defval = 14)
//==============================================================================
//==============================================================================
// Calculating the normalized volume
//==============================================================================
// Calculate cumulative volume to see if there is any volume at all in the selected instrument
// Throw an error if there is no volume data in the selected instrument
var cumulative_vol = 0.0
cumulative_vol += nz(volume)
if barstate.islast and cumulative_vol == 0
runtime.error("No volume is provided by the data vendor.")
// Calculate a moving average of volume
nvol_ma = ta.sma(volume, nvol_ma_length)
// Calculate normalized volume
// Normalized volume = current volume / average volume * 100
nvol = volume / nvol_ma * 100
//==============================================================================
//==============================================================================
// Plot the normalized volume
//==============================================================================
// Calculate the color for each of the normalized volume columns
nvol_color = nvol > 100 ? color.green : color.red
// Plot the normalized volume with the appropriate colored columns
plot(nvol, title = "Normalized Volume", color = nvol_color, style = plot.style_columns)
//============================================================================== |
Normalized Volatility | https://www.tradingview.com/script/Gj8qaKLO-Normalized-Volatility/ | bjr117 | https://www.tradingview.com/u/bjr117/ | 26 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © bjr117
//@version=5
indicator(title = "Normalized Volatility", shorttitle = "NVOLT", overlay = false)
//==============================================================================
// User inputs
//==============================================================================
nvolt_ma_length = input.int(title = "Normalized Volatility MA Length", defval = 14)
//==============================================================================
//==============================================================================
// Calculating the normalized volatility
//==============================================================================
// Calculate the volatility in the market
nvolt_volatility = ta.tr
// Calculate a moving average of volatility
nvolt_ma = ta.sma(nvolt_volatility, nvolt_ma_length)
// Calculate normalized volatility
// Normalized volatility = current volatility / average volatility * 100
nvolt = nvolt_volatility / nvolt_ma * 100
//==============================================================================
//==============================================================================
// Plot the normalized volatility
//==============================================================================
// Calculate the color for each of the normalized volatility columns
nvolt_color = nvolt > 100 ? color.green : color.red
// Plot the normalized volatility with the appropriate colored columns
plot(nvolt, title = "Normalized Volatility", color = nvolt_color, style = plot.style_columns)
//============================================================================== |
RRP Daily | https://www.tradingview.com/script/HJryJ0o9-RRP-Daily/ | Nyanderfull | https://www.tradingview.com/u/Nyanderfull/ | 38 | study | 4 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Nyanderfull
//@version=4
study("RRP Flex", format = format.volume, max_labels_count=100)
//Input / Colors and Base lines
plot_lineWidth = input(1, " Line Width", input.integer, minval=1, maxval=11 )
p1 = plot(0, title="Baseline", linewidth = 0, color=#00000000, display=display.none)
hline(0,color=#FFFFFF35,linestyle=hline.style_solid)
startofnewmonth = month != month[1]
startofnewday = dayofweek != dayofweek[1]
//////US//////
US_TreasuryMA = security("TREASURY", "1D", close) //in billions
US_TreasuryWed = security("WDTGAL", "1D", close) //in millions
US_TreasuryWA = security("WTREGEN", "1D", close) //in billions
US_EFFR = security("FEDFUNDS", "1D", close[1]) //Rate: no change in %
US_SOFR = security("SOFR", "1D", close[1]) //Rate: no change in %
US_OBFR = security("OBFR", "1D", close[1]) //Rate: no change in %
US_EFFRVOL = security("EFFRVOL", "1D", close) //in billions
US_SOFRVOL = security("SOFRVOL", "1D", close) //in billions
US_OBFRVOL = security("OBFRVOL", "1D", close) //in billions
US_RCVOL = (US_EFFRVOL + US_OBFRVOL)
US_ORRP = security("RRPONTTLD", "1D", close) //in billions
US_ORRPR = security("RRPONTSYAWARD", "1D", close[1]) //no change, in %
US_LRRP = security("WLRRAL", "1D", close) //in millions
US_IRRP = security("WLRRAFOIAL", "1D", close) //in millions
US_MMFSRP = security("BOGZ1FL632051103Q", "1D", close) //in millions
US_ELRRP = US_ORRP + US_IRRP
/////Input / Colors
//US_Treasury_plot_color = input(title="US Treasury Monthly", type=input.color, defval=#CCFFFF) //CCFFFF
//US_MMFSRP_plot_color = input(title="US MMF SRP", type=input.color, defval=#FF26FF) //FF26FF
US_Treasury_plot_color1 = input(title="US Treasury Wednsday", type=input.color, defval=#00FFFF) //00FFFF
US_Treasury_plot_color2 = input(title="US Treasury Weekly", type=input.color, defval=color.yellow) //yellow
// US_EFFRVOL_plot_color = input(title="US EFFR Volume", type=input.color, defval=color.green) //green
// US_OBFRVOL_plot_color = input(title="US OBFR Volume", type=input.color, defval=color.green) //green
US_SOFRVOL_plot_color = input(title="US SOFR Volume", type=input.color, defval=color.green) //green
US_RCVOL_plot_color = input(title="US RCVOL", type=input.color, defval=color.lime) //lime
US_ORRP_plot_color = input(title="US Overnight RRP", type=input.color, defval=#4801ff) //0026FF
US_IRRP_plot_color = input(title="US Foreign RRP", type=input.color, defval=#CD26FF) //CD26FF
US_LRRP_plot_color = input(title="US Liabilities RRP", type=input.color, defval=#ff02ff) //5D26FF
US_ELRRP_plot_color = input(title="US Expected RRP", type=input.color, defval=#ff0143) //color.red
/////Plots
//US_MMFSRP_plot = plot(US_MMFSRP, title="US - Money Market Fund SRP (3 Months)", color=US_MMFSRP_plot_color, linewidth = plot_lineWidth, display=display.none),
//US_Treasury_plot = plot(US_TreasuryMA, title="US - Treasury Deposits (Montly Average)", color=US_Treasury_plot_color, linewidth = plot_lineWidth, display=display.all), //fill(US_Treasury_plot, p1, color=color.blue)
US_TreasuryFR_plot = plot(US_TreasuryWed, title="US - Treasury Deposits (Wednesday)", color=US_Treasury_plot_color1, linewidth = plot_lineWidth, display=display.all),
US_Treasuryhh_plot = plot(US_TreasuryWA, title="US - Treasury Deposits (Weekly Average)", color=US_Treasury_plot_color2, linewidth = plot_lineWidth, display=display.all),
US_RCVOL_plot = plot(US_RCVOL, title="US - EFFR + OBFR Volume (Daily)", color=US_RCVOL_plot_color, linewidth = plot_lineWidth)
US_SOFRVOL_plot = plot(US_SOFRVOL, title="US - SOFR Volume (Daily)", color=US_SOFRVOL_plot_color, linewidth = plot_lineWidth)
US_ORRP_plot = plot(US_ORRP, title="US - Total Overnight RRP (Daily)", color=US_ORRP_plot_color, linewidth = plot_lineWidth, display=display.all),
US_IRRP_plot = plot(US_IRRP, title="US - Foreign / International RRP (Wednesday)", color=US_IRRP_plot_color, linewidth = plot_lineWidth, display=display.all),
US_LRRP_plot = plot(US_LRRP, title="US - Liabilities RRP (Wednesday)", color=US_LRRP_plot_color, linewidth = plot_lineWidth, display=display.all),
US_ELRRP_plot = plot(US_ELRRP, title="US - Expected Liabilities RRP (International + Overnight)", color=US_ELRRP_plot_color, linewidth = plot_lineWidth, display=display.all),
US_LRRPtoELRRP_plot = plot((US_LRRP==US_ELRRP) and startofnewday ? US_ELRRP : na, title="Liabilities overlap", color=US_ELRRP_plot_color, style=plot.style_circles, linewidth=plot_lineWidth+2, display=display.none)
/////labels
//EFFR / SOFR / OBFR rates monthly
if ((US_RCVOL != 0) and startofnewmonth)
string US_RCVOL_Label_Text = "MONTHLY RATES\n"+ tostring(US_EFFR)+"% EFFR\n"+ tostring(US_SOFR)+"% SOFR\n"+ tostring(US_OBFR)+"% OBFR"
label.new(x=bar_index, y=0, text=US_RCVOL_Label_Text, yloc=yloc.price, color=US_RCVOL_plot_color, style=label.style_label_up, textcolor=color.white)
//RRP Award Rate
if ((US_ORRPR != US_ORRPR[1]) and startofnewday)
string US_ORRPR_Text = "ORRP Award\n"+tostring(US_ORRPR)+"%"
label.new(x=bar_index, y=US_ELRRP, text=US_ORRPR_Text, yloc=yloc.price, color=US_ELRRP_plot_color, textcolor=color.white)
|
Bearish Market Indicator V2 | https://www.tradingview.com/script/kTotXabd-Bearish-Market-Indicator-V2/ | fourkhansolo | https://www.tradingview.com/u/fourkhansolo/ | 36 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © fourkhansolo
//@version=5
indicator("Bearish Market Indicator - 4khansolo", shorttitle="BMI-4khansolo", overlay = true)
import fourkhansolo/L_Index_4khansolo/7 as index
// Color
whiteColor = color.white
yellowColor = color.yellow
// collecting closing at different ranges
high_ticker_d = request.security(syminfo.tickerid, "D", high, currency = syminfo.currency)
high_ticker_w = request.security(syminfo.tickerid, "W", high_ticker_d, currency = syminfo.currency)
high_ticker_m = request.security(syminfo.tickerid, "M", high_ticker_d, currency = syminfo.currency)
// Source: https://www.tradingview.com/pine-script-reference/v5/#fun_request{dot}security
// collecting highest from highest at different ranges
highest_highest_ticker_w = ta.highest(high_ticker_d,5) // 1 Week
highest_highest_ticker_d_m = ta.highest(high_ticker_d,30) // 1 Month
highest_highest_ticker_w_m = ta.highest(high_ticker_w,4) // 1 Month
// Source: https://www.tradingview.com/pine-script-reference/v5/#fun_ta{dot}highest
// ************************************************************ Parameter for Bearish Market Definition ******************************************************************************************************************************************************
// ........................................ Parameters for Bearish Market .....................................................................................................................................................
// Added Options for the Days of the Year ( Market Days Opened)
bmi_period = input.int(251, title="BMI-Period", options=[250,251,252,253,254,255,256,257,258,259,260])
daily_highs = request.security(syminfo.tickerid,"D",high, currency=syminfo.currency)
week52High= ta.highest(daily_highs,bmi_period)
bearish_market_value = week52High*(1-0.2)
bearish_by_definition = if close < bearish_market_value
color.new(color.purple,0)
// Source: https://www.investopedia.com/terms/b/bearmarket.asp
plot(bearish_market_value, "Bearish Market By Definiton Value", color=color.new(color.yellow,50),style=plot.style_stepline_diamond)
week52High_p = plot(week52High, title="52-Week High", color=color.green)
bearish_plot_1 = plot(week52High*(1.01), title="Bearish Market Low", display=display.none)
bearish_plot_2 = plot(week52High*(1.02), title="Bearish Market High", display=display.none)
fill(bearish_plot_1,bearish_plot_2, color=bearish_by_definition)
// ************************************************************ Dynamic Trends ******************************************************************************************************************************************************
// ........................................ Trends Based on Highs (exclusive)
// Period Based Trends trying to Mimicing manual trend lines [will improve further in the future update]
high_ticker_d_w = request.security(syminfo.tickerid, "W", highest_highest_ticker_w, currency = syminfo.currency)
smooth_high_1= ta.sma(high_ticker_d_w,5)
smooth_high_2 = ta.sma(smooth_high_1,5)
smooth_high_3 = ta.sma(smooth_high_2,5)
smooth_high_4 = ta.sma(smooth_high_3,5)
smooth_high_5 = ta.sma(smooth_high_4,5)
smooth_high_6 = ta.sma(smooth_high_5,5)
smooth_high_7 = ta.sma(smooth_high_6,5)
smooth_high_8 = ta.sma(smooth_high_7,5)
smooth_high_9 = ta.sma(smooth_high_8,5)
//plot(smooth_high_1,color=color.new(color.yellow,70))
//plot(smooth_high_2,color=color.new(color.yellow,60))
//plot(smooth_high_3,color=color.new(color.yellow,50))
//plot(smooth_high_4,color=color.new(color.yellow,40))
//plot(smooth_high_5,color=color.new(color.yellow,30))
//plot(smooth_high_6,color=color.new(color.yellow,20))
//plot(smooth_high_7,color=color.new(color.yellow,15))
//plot(smooth_high_8,color=color.new(color.yellow,10))
//plot(smooth_high_9,color=color.yellow)
// collecting closing at different ranges
low_ticker_d = request.security(syminfo.tickerid, "D", low, currency = syminfo.currency)
low_ticker_w = request.security(syminfo.tickerid, "W", low_ticker_d, currency = syminfo.currency)
low_ticker_m = request.security(syminfo.tickerid, "M", low_ticker_d, currency = syminfo.currency)
// Fiftytwo Week High
week51Low = ta.lowest(low_ticker_d,251)
plot(week51Low,"52 Week Low", color=color.red)
// collecting highest from highest at different ranges
lowest_lowest_ticker_w = ta.lowest(low_ticker_d,5) // 1 Week
lowest_lowest_ticker_d_m = ta.lowest(low_ticker_d,30) // 1 Month
lowest_lowest_ticker_w_m = ta.lowest(low_ticker_d,4) // 1 Month
//plot(highest_highest_ticker_d_m)
low_ticker_d_w = request.security(syminfo.tickerid, "W", lowest_lowest_ticker_w, currency = syminfo.currency)
//plot(high_ticker_d_w)
smooth_low_1= ta.sma(low_ticker_d_w,5)
smooth_low_2 = ta.sma(smooth_low_1,5)
smooth_low_3 = ta.sma(smooth_low_2,5)
smooth_low_4 = ta.sma(smooth_low_3,5)
smooth_low_5 = ta.sma(smooth_low_4,5)
smooth_low_6 = ta.sma(smooth_low_5,5)
smooth_low_7 = ta.sma(smooth_low_6,5)
smooth_low_8 = ta.sma(smooth_low_7,5)
smooth_low_9 = ta.sma(smooth_low_8,5)
//plot(smooth_low_1,color=color.new(color.green,70))
//plot(smooth_low_2,color=color.new(color.green,60))
//plot(smooth_low_3,color=color.new(color.green,50))
//plot(smooth_low_4,color=color.new(color.green,40))
//plot(smooth_low_5,color=color.new(color.green,30))
//plot(smooth_low_6,color=color.new(color.green,20))
//plot(smooth_low_7,color=color.new(color.green,15))
//plot(smooth_low_8,color=color.new(color.green,10))
//plot(smooth_low_9,color=color.green)
// ........................................ Super-Trends .....................................................................................................................................................
[supertrend, direction] = ta.supertrend(3, 10)
super_trend_red = ta.crossover(direction,0)
super_trend_green = ta.crossover(0,direction)
// Source: https://www.tradingview.com/pine-script-reference/v5/#fun_ta{dot}supertrend
green_1 = ta.crossover(close,smooth_high_9)
green_2 = ta.crossover (close[1],smooth_high_9[1])
red_green_signal = if (smooth_high_9 > close) and super_trend_red
color.new(color.red,30)
else if (smooth_high_9 > close) or (direction > 0)
color.new(color.red,70)
else if green_1 and (direction < 0)
color.new(color.white,70)
else if green_2 and super_trend_green
color.new(color.green,10)
filer_52 = plot(week52High*1.04,display=display.none)
fill(week52High_p,filer_52 ,color=red_green_signal)
// ************************************************************ Parameter for Bearish Market Definition ******************************************************************************************************************************************************
// ............................................... Used in the Technical Indicators ..............................................................................................
close_d = request.security(syminfo.tickerid, "D", close)
close_w = request.security(syminfo.tickerid, "W", close)
close_m = request.security(syminfo.tickerid, "M", close)
open_d = request.security(syminfo.tickerid, "D", open)
open_w = request.security(syminfo.tickerid, "W", open)
open_m = request.security(syminfo.tickerid, "M", open)
// ************************************************************************ Technical Indicators ************************************************************************************************************************************************
// ************************************************************ RSI ************************************************************************************************************************
rsi_normal = ta.rsi(close,14)
rsi_ma_normal = ta.sma(rsi_normal,14)
fourteen_D_RSI = request.security(syminfo.tickerid, "D", rsi_normal)
fourteen_W_RSI = request.security(syminfo.tickerid, "W", rsi_normal)
fourteen_M_RSI = request.security(syminfo.tickerid, "M", rsi_normal)
// RSI Based
fourteen_D_RSI_ma = request.security(syminfo.tickerid, "D", rsi_ma_normal)
fourteen_W_RSI_ma = request.security(syminfo.tickerid, "W", rsi_ma_normal)
fourteen_M_RSI_ma = request.security(syminfo.tickerid, "M", rsi_ma_normal)
// RSI Color
fourteen_D_RSI_color = index.colorRSIfull(fourteen_D_RSI,fourteen_D_RSI_ma)
fourteen_W_RSI_color = index.colorRSIfull(fourteen_W_RSI,fourteen_W_RSI_ma)
fourteen_M_RSI_color = index.colorRSIfull(fourteen_M_RSI,fourteen_M_RSI_ma)
// RSI: String Conversion
fourteen_D_RSI_string= str.tostring(math.round(fourteen_D_RSI,2))
fourteen_W_RSI_string= str.tostring(math.round(fourteen_W_RSI,2))
fourteen_M_RSI_string= str.tostring(math.round(fourteen_M_RSI,2))
// RSI-MA: String Conversion
fourteen_D_RSI_ma_string= str.tostring(math.round(fourteen_D_RSI_ma,2))
fourteen_W_RSI_ma_string= str.tostring(math.round(fourteen_W_RSI_ma,2))
fourteen_M_RSI_ma_string= str.tostring(math.round(fourteen_M_RSI_ma,2))
fourteen_d_rsi_color = if fourteen_D_RSI >= 70
color.red
else if fourteen_D_RSI <= 30
color.red
else
color.black
fourteen_m_rsi_color = if fourteen_M_RSI >= 70
color.red
else if fourteen_M_RSI <= 30
color.red
else
color.black
// ************************************************************ Stochastic RSI ************************************************************************************************************************
normal_daily_k = ta.sma(ta.stoch(rsi_normal, rsi_normal, rsi_normal, 14), 3)
normal_daily_d = ta.sma(normal_daily_k, 3)
// Stoch. RSI: K
fourteen_D_stochastic_RSI_k = request.security(syminfo.tickerid, "D", normal_daily_k)
fourteen_W_stochastic_RSI_k = request.security(syminfo.tickerid, "W", normal_daily_k)
fourteen_M_stochastic_RSI_k = request.security(syminfo.tickerid, "M", normal_daily_k)
// Stoch. RSI: D
fourteen_D_stochastic_RSI_d = request.security(syminfo.tickerid, "D", normal_daily_d)
fourteen_W_stochastic_RSI_d = request.security(syminfo.tickerid, "W", normal_daily_d)
fourteen_M_stochastic_RSI_d = request.security(syminfo.tickerid, "M", normal_daily_d)
// Stoch. RSI: String Conversion: K
fourteen_stoch_RSI_D_color =index.colorRSIfull(fourteen_D_stochastic_RSI_k,fourteen_D_stochastic_RSI_d)
fourteen_stoch_RSI_W_color =index.colorRSIfull(fourteen_W_stochastic_RSI_k,fourteen_W_stochastic_RSI_d)
fourteen_stoch_RSI_M_color =index.colorRSIfull(fourteen_M_stochastic_RSI_k,fourteen_M_stochastic_RSI_d)
// Stoch. RSI: String Conversion: K
fourteen_D_stoch_RSI_k_string = str.tostring(math.round(fourteen_D_stochastic_RSI_k,2))
fourteen_W_stoch_RSI_k_string = str.tostring(math.round(fourteen_W_stochastic_RSI_k,2))
fourteen_M_stoch_RSI_k_string = str.tostring(math.round(fourteen_M_stochastic_RSI_k,2))
// Stoch. RSI: String Conversion: D
fourteen_D_stoch_RSI_d_string = str.tostring(math.round(fourteen_D_stochastic_RSI_d,2))
fourteen_W_stoch_RSI_d_string = str.tostring(math.round(fourteen_W_stochastic_RSI_d,2))
fourteen_M_stoch_RSI_d_string = str.tostring(math.round(fourteen_M_stochastic_RSI_d,2))
// ************************************************************ MACD ***********************************************************************************************************************
// ............................................... MACD ..............................................................................................
[macd_normal, signal_normal, histLine_d] = ta.macd(close, 12, 26, 9)
macdLine_d = request.security(syminfo.tickerid, "D", macd_normal)
signalLine_d = request.security(syminfo.tickerid, "D", signal_normal)
macdLine_w = request.security(syminfo.tickerid, "W", macd_normal)
signalLine_w = request.security(syminfo.tickerid, "W", signal_normal)
macdLine_m = request.security(syminfo.tickerid, "M", macd_normal)
signalLine_m = request.security(syminfo.tickerid, "M", signal_normal)
// MACD: String Conversion
macdLine_d_string= str.tostring(math.round(macdLine_d,2))
macdLine_w_string= str.tostring(math.round(macdLine_w,2))
macdLine_m_string= str.tostring(math.round(macdLine_m,2))
signalLine_d_string= str.tostring(math.round(signalLine_d,2))
signalLine_w_string= str.tostring(math.round(signalLine_w,2))
signalLine_m_string= str.tostring(math.round(signalLine_m,2))
// MACD Color
macdLine_d_color = index.colorMACD(macdLine_d,signalLine_d)
macdLine_w_color = index.colorMACD(macdLine_w,signalLine_w)
macdLine_m_color = index.colorMACD(macdLine_m,signalLine_m)
// ............................................... Moving Average Metrics ..............................................................................................
// MA based on Daily Close
ma20_d = ta.sma(close_d,20)
ma50_d = ta.sma(close_d,50)
ma100_d = ta.sma(close_d,100)
ma200_d = ta.sma(close_d,200)
// MA 20 based
sma_20_d = request.security(syminfo.tickerid, "D", ma20_d)
sma_20_w = request.security(syminfo.tickerid, "W", ma20_d)
sma_20_m = request.security(syminfo.tickerid, "M", ma20_d)
// MA 50 based
sma_50_d = request.security(syminfo.tickerid, "D", ma50_d)
sma_50_w = request.security(syminfo.tickerid, "W", ma50_d)
sma_50_m = request.security(syminfo.tickerid, "M", ma50_d)
// MA 100 based
sma_100_d = request.security(syminfo.tickerid, "D", ma100_d)
sma_100_w = request.security(syminfo.tickerid, "W", ma100_d)
sma_100_m = request.security(syminfo.tickerid, "M", ma100_d)
// MA 200 based
sma_200_d = request.security(syminfo.tickerid, "D", ma200_d)
sma_200_w = request.security(syminfo.tickerid, "W", ma200_d)
sma_200_m = request.security(syminfo.tickerid, "M", ma200_d)
//Color
color_sma_20_d = index.colour(close_d,sma_20_d)
color_sma_20_w = index.colour(close_w,sma_20_w)
color_sma_20_m = index.colour(close_m,sma_20_m)
color_sma_50_d = index.colour(close_d,sma_50_d)
color_sma_50_w = index.colour(close_w,sma_50_w)
color_sma_50_m = index.colour(close_m,sma_50_m)
color_sma_100_d = index.colour(close_d,sma_100_d)
color_sma_100_w = index.colour(close_w,sma_100_w)
color_sma_100_m = index.colour(close_m,sma_100_m)
color_sma_200_d = index.colour(close_d,sma_200_d)
color_sma_200_w = index.colour(close_w,sma_200_w)
color_sma_200_m = index.colour(close_m,sma_200_m)
// String Conversion
sma_20_d_string = str.tostring(math.round(((close_d-sma_20_d)/sma_20_d)*100,2))
sma_20_w_string = str.tostring(math.round(((close_w-sma_20_w)/sma_20_w)*100,2))
sma_20_m_string = str.tostring(math.round(((close_m-sma_20_m)/sma_20_m)*100,2))
sma_50_d_string = str.tostring(math.round(((close_d-sma_50_d)/sma_50_d)*100,2))
sma_50_w_string = str.tostring(math.round(((close_w-sma_50_w)/sma_50_w)*100,2))
sma_50_m_string = str.tostring(math.round(((close_m-sma_50_m)/sma_50_m)*100,2))
sma_100_d_string = str.tostring(math.round(((close_d-sma_100_d)/sma_100_d)*100,2))
sma_100_w_string = str.tostring(math.round(((close_w-sma_100_w)/sma_100_w)*100,2))
sma_100_m_string = str.tostring(math.round(((close_m-sma_100_m)/sma_100_m)*100,2))
sma_200_d_string = str.tostring(math.round(((close_d-sma_200_d)/sma_200_d)*100,2))
sma_200_w_string = str.tostring(math.round(((close_w-sma_200_w)/sma_200_w)*100,2))
sma_200_m_string = str.tostring(math.round(((close_m-sma_200_m)/sma_200_m)*100,2))
// ************************************************************ Moving Average ************************************************************
// ............................................... Lagging: Indicators ..............................................................................................
technical_table = table.new(position = position.middle_right, rows = 5, columns = 4, bgcolor = color.new(color.black,0), border_width=1)
table.cell(technical_table, row = 0, column = 1, text = "D", text_color = whiteColor)
table.cell(technical_table, row = 0, column = 2, text = "W", text_color = whiteColor)
table.cell(technical_table, row = 0, column = 3, text = "M", text_color = whiteColor)
// Simple Moving Average: 20MA
table.cell(technical_table, row = 1, column = 0, text = "20MA (%)", text_color = whiteColor)
table.cell(technical_table, row = 1, column = 1, text = sma_20_d_string, text_color = whiteColor, bgcolor = color_sma_20_d)
table.cell(technical_table, row = 1, column = 2, text = sma_20_w_string, text_color = whiteColor, bgcolor = color_sma_20_w)
table.cell(technical_table, row = 1, column = 3, text = sma_20_m_string, text_color = whiteColor, bgcolor = color_sma_20_m)
// Simple Moving Average: 50MA
table.cell(technical_table, row = 2, column = 0, text = "50MA (%)", text_color = whiteColor)
table.cell(technical_table, row = 2, column = 1, text = sma_50_d_string, text_color = whiteColor, bgcolor = color_sma_50_d)
table.cell(technical_table, row = 2, column = 2, text = sma_50_w_string, text_color = whiteColor, bgcolor = color_sma_50_w)
table.cell(technical_table, row = 2, column = 3, text = sma_50_m_string, text_color = whiteColor, bgcolor = color_sma_50_m)
// Simple Moving Average: 100MA
table.cell(technical_table, row = 3, column = 0, text = "100MA (%)", text_color = whiteColor)
table.cell(technical_table, row = 3, column = 1, text = sma_100_d_string, text_color = whiteColor, bgcolor = color_sma_100_d)
table.cell(technical_table, row = 3, column = 2, text = sma_100_w_string, text_color = whiteColor, bgcolor = color_sma_100_w)
table.cell(technical_table, row = 3, column = 3, text = sma_100_m_string, text_color = whiteColor, bgcolor = color_sma_100_m)
// Simple Moving Average: 200MA
table.cell(technical_table, row = 4, column = 0, text = "200MA (%)", text_color = whiteColor)
table.cell(technical_table, row = 4, column = 1, text = sma_200_d_string, text_color = whiteColor, bgcolor = color_sma_200_d)
table.cell(technical_table, row = 4, column = 2, text = sma_200_w_string, text_color = whiteColor, bgcolor = color_sma_200_w)
table.cell(technical_table, row = 4, column = 3, text = sma_200_m_string, text_color = whiteColor, bgcolor = color_sma_200_m)
// ************************************************************ Technical Oscillator ************************************************************************************************************************
// ............................................... Technical Oscillator..............................................................................................
technical_table_oscillator = table.new(position = position.bottom_right, rows = 4, columns = 9, bgcolor = color.new(color.black,10), border_width=2)
table.cell(technical_table_oscillator, row = 0, column = 0, text = "", text_color = yellowColor)
table.cell(technical_table_oscillator, row = 1, column = 0, text = "D", text_color = whiteColor)
table.cell(technical_table_oscillator, row = 2, column = 0, text = "W", text_color = whiteColor)
table.cell(technical_table_oscillator, row = 3, column = 0, text = "M", text_color = whiteColor)
// Stochastic RSI
table.cell(technical_table_oscillator, row = 0, column = 1, text = "Stochastic-RSI", text_color = whiteColor)
table.cell(technical_table_oscillator, row = 1, column = 1, text = fourteen_D_stoch_RSI_k_string + " | "+fourteen_D_stoch_RSI_d_string, text_color = whiteColor, bgcolor=fourteen_stoch_RSI_D_color)
table.cell(technical_table_oscillator, row = 2, column = 1, text = fourteen_W_stoch_RSI_k_string + " | "+fourteen_W_stoch_RSI_d_string, text_color = whiteColor, bgcolor=fourteen_stoch_RSI_W_color)
table.cell(technical_table_oscillator, row = 3, column = 1, text = fourteen_M_stoch_RSI_k_string + " | "+fourteen_M_stoch_RSI_d_string, text_color = whiteColor, bgcolor=fourteen_stoch_RSI_M_color)
// RSI
table.cell(technical_table_oscillator, row = 0, column = 2, text = "RSI", text_color = whiteColor)
table.cell(technical_table_oscillator, row = 1, column = 2, text = fourteen_D_RSI_string + " | "+fourteen_D_RSI_ma_string, text_color = whiteColor, bgcolor=fourteen_D_RSI_color)
table.cell(technical_table_oscillator, row = 2, column = 2, text = fourteen_W_RSI_string + " | "+fourteen_W_RSI_ma_string, text_color = whiteColor, bgcolor=fourteen_W_RSI_color)
table.cell(technical_table_oscillator, row = 3, column = 2, text = fourteen_M_RSI_string + " | "+fourteen_M_RSI_ma_string, text_color = whiteColor, bgcolor=fourteen_M_RSI_color)
// MACD
table.cell(technical_table_oscillator, row = 0, column = 3, text = "MACD", text_color = whiteColor)
table.cell(technical_table_oscillator, row = 1, column = 3, text = macdLine_d_string+" | "+ signalLine_d_string, text_color = whiteColor, bgcolor = macdLine_d_color)
table.cell(technical_table_oscillator, row = 2, column = 3, text = macdLine_w_string+" | "+ signalLine_w_string, text_color = whiteColor, bgcolor = macdLine_w_color)
table.cell(technical_table_oscillator, row = 3, column = 3, text = macdLine_m_string+" | "+ signalLine_m_string, text_color = whiteColor, bgcolor = macdLine_m_color)
|
Adaptive Rebound Line Bands (ARL Bands) | https://www.tradingview.com/script/7EGiRUxc-Adaptive-Rebound-Line-Bands-ARL-Bands/ | More-Than-Enough | https://www.tradingview.com/u/More-Than-Enough/ | 56 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © More-Than-Enough
//@version=5
indicator(title = "Adaptive Rebound Line Bands", shorttitle = "ARL Bands", overlay = true, precision = 3, timeframe = "", timeframe_gaps = true)
Rsi_On = input.bool(true, "RSI Levels")
Magnetic_Waves_On = input.bool(true, "Magnetic Waves")
Extra_Lines_On = input.bool(false, "Extra Lines")
Extend_Extra_Lines_On = input.bool(false, "Extend Extra Lines")
Lines_Limit = input.int(defval = 31, title = "Lines Limit", minval = 5, maxval = 31)
Length = input(14, "Length")
Source_1 = input(hlc3, "Source 1")
Source_2 = input(low , "Source 2")
Tp = input.float(defval = 2.30, title = "Top Deviation" , minval = 0.0, step = 0.1)
Hi = input.float(defval = 1.15, title = "High Deviation" , minval = 0.0, step = 0.1)
Lo = input.float(defval = 0.00, title = "Low Deviation" , maxval = 0.0, step = 0.1)
Bt = input.float(defval = -1.2, title = "Bottom Deviation", maxval = 0.0, step = 0.1)
/// Magnetic Waves ///
Wave_Length = 75
Magnetic_Source = hlc3
Wave_Current = ta.ema(Magnetic_Source, Wave_Length)
Wave = (Wave_Current[1] * (Wave_Length - 1) + Magnetic_Source) / Wave_Length
North_Pole = Wave * (104 * 0.01)
Northern_Hemisphere = Wave * (102 * 0.01)
Equator = Wave * (100 * 0.01)
Southern_Hemisphere = Wave * (98 * 0.01)
South_Pole = Wave * (96 * 0.01)
/// Extra Lines Calculations ///
// BB Lines
Line_Deviation = ta.stdev(close, 20)
Line_Split = ta.sma(close, 20)
Top_Bb_Line = Line_Split + (Line_Deviation * 3)
High_Bb_Line = Line_Split + (Line_Deviation * 2)
Low_Bb_Line = Line_Split - (Line_Deviation * 2)
Bottom_Bb_Line = Line_Split - (Line_Deviation * 3)
// Top Dip Line (KAMA)
Source_Sum = math.sum(math.abs(hlc3 - hlc3[1]), 5)
Change_Ratio = if Source_Sum != 0
math.abs(hlc3 - hlc3[5]) / Source_Sum
Ratio_Smoothing = math.pow(Change_Ratio * ((2 / (2.5 + 1)) - (2 / (20 + 1))) + (2 / (20 + 1)), 2)
Previous_Ratio = 0.0
Previous_Ratio := nz(Previous_Ratio[1]) + Ratio_Smoothing * (hlc3 - nz(Previous_Ratio[1]))
Ratio_Close = Previous_Ratio
HAshi_Close = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, Ratio_Close)
Top_Dip_Line = ta.ema(HAshi_Close, 20)
// Bottom Dip Line
Bottom_Dip_Line_Calculation = low - (ta.atr(20) * 5.0)
Bottom_Dip_Line = ta.sma(Bottom_Dip_Line_Calculation, 75)
/// ARL Bands ///
ARL = ta.ema(Source_2, Length)[1] + (Source_1 - ta.ema(Source_2, Length)[1]) / (Length * math.pow(Source_1 / ta.ema(close, Length)[1], 0))
ARL_T = ARL * (1.00 + (Tp * 0.01))
ARL_H = ARL * (1.00 + (Hi * 0.01))
ARL_L = ARL * (1.00 + (Lo * 0.01))
ARL_B = ARL * (1.00 + (Bt * 0.01))
/// RSI Level ///
Rsi_Level = ta.rsi(close, 14)
Overbought = (Rsi_Level >= 70)
Oversold = (Rsi_Level <= 30)
/////////////////
///// Plots /////
/////////////////
// Magnetic Waves
NP = plot(Magnetic_Waves_On ? North_Pole : na, title = "North Pole" , color = color.rgb(129, 199, 132, 100), linewidth = 2) // North Pole
NH = plot(Magnetic_Waves_On ? Northern_Hemisphere : na, title = "Northern Hemisphere", color = color.rgb(129, 199, 132, 80), linewidth = 2) // Northern Hemisphere
E = plot(Magnetic_Waves_On ? Equator : na, title = "Equator" , color = color.rgb(144, 191, 249, 70), linewidth = 2) // Equator
SH = plot(Magnetic_Waves_On ? Southern_Hemisphere : na, title = "Southern Hemisphere", color = color.rgb(247, 124, 128, 80), linewidth = 2) // Southern Hemisphere
SP = plot(Magnetic_Waves_On ? South_Pole : na, title = "South Pole" , color = color.rgb(247, 124, 128, 100), linewidth = 2) // South Pole
fill(NH, NP, color.rgb(129, 199, 132, 80), "Top Zone")
fill( E, NH, color.rgb(129, 199, 132, 86), "High Zone")
fill( E, SH, color.rgb(247, 124, 128, 86), "Low Zone")
fill(SH, SP, color.rgb(247, 124, 128, 80), "Bottom Zone")
// Extra Lines
plot(Extra_Lines_On ? Top_Bb_Line : na, title = "Top BB Line" , color = color.new(color.white, 70), show_last = Extend_Extra_Lines_On ? na : Lines_Limit)
plot(Extra_Lines_On ? High_Bb_Line : na, title = "High BB Line" , color = color.new(color.white, 70), show_last = Extend_Extra_Lines_On ? na : Lines_Limit)
plot(Extra_Lines_On ? Low_Bb_Line : na, title = "Low BB Line" , color = color.new(color.white, 70), show_last = Extend_Extra_Lines_On ? na : Lines_Limit)
plot(Extra_Lines_On ? Bottom_Bb_Line : na, title = "Bottom BB Line", color = color.new(color.white, 70), show_last = Extend_Extra_Lines_On ? na : Lines_Limit)
plot(Extra_Lines_On ? Top_Dip_Line : na, title = "Top Dip Line" , color = color.new(color.yellow, 50), style = plot.style_circles, show_last = Extend_Extra_Lines_On ? na : Lines_Limit)
plot(Extra_Lines_On ? Bottom_Dip_Line : na, title = "Bottom Dip Line", color = color.new(color.yellow, 50), style = plot.style_circles, show_last = Extend_Extra_Lines_On ? na : Lines_Limit)
// ARLs
plot(ARL_T, title = "Top ARL" , color = color.red)
plot(ARL_H, title = "High ARL" , color = color.red)
plot(ARL_L, title = "Low ARL" , color = color.lime)
plot(ARL_B, title = "Bottom ARL", color = color.lime)
// RSI Level
plotshape(Rsi_On ? Overbought : na, title = "Overbought", style = shape.labeldown, location = location.abovebar, color = color.red , size = size.tiny)
plotshape(Rsi_On ? Oversold : na, title = "Oversold" , style = shape.labelup , location = location.belowbar, color = color.lime, size = size.tiny) |
Dealar VIX Implied Range + Retracement Levels | https://www.tradingview.com/script/mWFxSK8O-Dealar-VIX-Implied-Range-Retracement-Levels/ | VolTrader005 | https://www.tradingview.com/u/VolTrader005/ | 84 | study | 4 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
//@version=4
study("Dealar VIX Implied Range + Retracement Levels", overlay=true)
volatilityindex = input(title="Index", type=input.string, defval="CBOE:VIX")
vix = security(volatilityindex, timeframe.period, open)
highTimeFrame = input("D", type=input.resolution)
sessSpec = input("0830-1500", type=input.session)
is_newbar(res, sess) =>
t = time(res, sess)
na(t[1]) and not na(t) or t[1] < t
newbar = is_newbar("1440", sessSpec)
float s1 = na
s1 := newbar ? close : nz(s1[1])
float vixclose = na
vixclose := newbar ? vix : nz(vixclose[1])
float vixpercent = (vixclose / 16) * .01
float highestimate = s1 * (1 + vixpercent)
float high50estimate = s1 * (1 + (vixpercent *.5))
float lowestimate = s1 * (1 - vixpercent)
float low50estimate = s1 * (1 - (vixpercent * .5))
float high75estimate = s1 * (1 + (vixpercent *.75))
float low75estimate = s1 * (1 - (vixpercent * .75))
float high25estimate = s1 * (1 + (vixpercent *.25))
float low25estimate = s1 * (1 - (vixpercent * .25))
plot(highestimate, style=plot.style_circles, linewidth=1, color=color.rgb(64, 66, 75))
plot(lowestimate, style=plot.style_circles, linewidth=1, color=color.rgb(64, 66, 75))
plot(high50estimate, style=plot.style_circles, linewidth=1, color=color.red)
plot(low50estimate, style=plot.style_circles, linewidth=1, color=color.red)
plot(high75estimate, style=plot.style_circles, linewidth=1, color=color.gray)
plot(low75estimate, style=plot.style_circles, linewidth=1, color=color.gray)
plot(high25estimate, style=plot.style_circles, linewidth=1, color=color.rgb(64, 66, 75))
plot(low25estimate, style=plot.style_circles, linewidth=1, color=color.rgb(64, 66, 75)) |
Financial Metrics | https://www.tradingview.com/script/JMO2m0gC-Financial-Metrics/ | Fin_WhizAB | https://www.tradingview.com/u/Fin_WhizAB/ | 165 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © BasitAndrabi
//@version=5
indicator("FinMet 2.0", overlay = true)
// Financial Metrics (FinMet 2.0) - Fundamental Ratios and Quarterly Earnings
// |++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++|
// | INPUTS |
// |++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++|
// Symbol
s01Col = input.color(color.rgb(49, 126, 72), title = "EPS", inline="s01Col", group="EPS & Sales bars")
s01Col2 = input.color(color.rgb(124, 46, 46), title = "", inline="s01Col", group="EPS & Sales bars")
s01Cols = input.color((color.rgb(33, 117, 185)), title = "Sales", inline="s01cols", group="EPS & Sales bars")
Period = input.string(title="Period", defval="FQ", options=["FQ", "TTM"], group="EPS & Sales bars")
// Plot Location
in_plot_pos = input.string(title="Plot Location", defval= "Middle Right",
options =["Top Right" , "Middle Right" , "Bottom Right" ,
"Top Center", "Middle Center", "Bottom Center",
"Top Left" , "Middle Left" , "Bottom Left" ], group= "Plot Setting")
// Bar Size
barHigh = input.float(0.3, "Bar Height", minval = 0.2, step= 0.01, group = "Plot Setting")
barWdth = input.float(0.8, "Bar Width" , minval = 0.2, step= 0.01, group = "Plot Setting")
// Plot Color
pltCol = input.color(#2a3133, title="Background", group = "Plot Setting")
borCol = input.color(color.rgb(53, 64, 124), title="Border", group = "Plot Setting")
txtCol = input.color(color.white, title="Text", group = "Plot Setting")
// Financial Ratio limits
lim_PE = input.float(15, "PE", minval = 0, step= 1, group = "Set Limits", inline = "lim_PE")
lim_PEG = input.float(1, "PEG", minval = 0, step= 0.1, group = "Set Limits", inline = "lim_PE")
lim_PS = input.float(2, "P/S", minval = 0, step= 0.1, group = "Set Limits", inline = "lim_PS")
lim_PB = input.float(2, "P/B", minval = 0, step= 0.1, group = "Set Limits", inline = "lim_PB")
lim_EVFCF = input.float(10, "EV/FCF", minval = 0, step= 1, group = "Set Limits", inline = "lim_PS")
lim_OPM = input.float(15, "OPM", minval = 0, step= 1, group = "Set Limits", inline = "lim_OPM")
lim_DE = input.float(1, "D/E", minval = 0, step= 0.1, group = "Set Limits", inline = "lim_OPM")
lim_ROE = input.float(15, "ROE", minval = 0, step= 1, group = "Set Limits", inline = "lim_ROE")
lim_DVY = input.float(2, "Div_Yield", minval = 0, step= 0.1, group = "Set Limits", inline = "lim_ROE")
// |++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++|
// | CALCULATION |
// |++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++|
// Calculation
// Arrays initialised.............................................................
sym01_arr = array.new_float(12)
QOQ_arr = array.new_float(12)
YOY_arr = array.new_float(12)
sym01S_arr = array.new_float(12)
QOQs_arr = array.new_float(12)
YOYs_arr = array.new_float(12)
//EPS = request.earnings(syminfo.tickerid, earnings.actual, ignore_invalid_symbol=true)
EPS = request.earnings(syminfo.tickerid, earnings.standardized, ignore_invalid_symbol=true)
SALES = request.financial(syminfo.tickerid, "TOTAL_REVENUE", "FQ")
var earning_ticker = "ESD_FACTSET:" + syminfo.prefix + ";" + syminfo.ticker + ";EARNINGS"
ResultDate = request.security(earning_ticker, "D", time, lookahead=barmerge.lookahead_off, ignore_invalid_symbol=true) //earning report date
//
EPSBarsNumber = ta.barssince(EPS != EPS[1]) == 0
// Actual EPS
actualEPS = EPS
actualEPS1 = ta.valuewhen(EPSBarsNumber, EPS, 1) // With "1" to search the previous EPS value, etc
actualEPS2 = ta.valuewhen(EPSBarsNumber, EPS, 2)
actualEPS3 = ta.valuewhen(EPSBarsNumber, EPS, 3)
actualEPS4 = ta.valuewhen(EPSBarsNumber, EPS, 4)
actualEPS5 = ta.valuewhen(EPSBarsNumber, EPS, 5)
actualEPS6 = ta.valuewhen(EPSBarsNumber, EPS, 6)
actualEPS7 = ta.valuewhen(EPSBarsNumber, EPS, 7)
actualEPS8 = ta.valuewhen(EPSBarsNumber, EPS, 8)
actualEPS9 = ta.valuewhen(EPSBarsNumber, EPS, 9)
actualEPS10 = ta.valuewhen(EPSBarsNumber, EPS, 10)
actualEPS11 = ta.valuewhen(EPSBarsNumber, EPS, 11)
actualEPS12 = ta.valuewhen(EPSBarsNumber, EPS, 12)
actualEPS13 = ta.valuewhen(EPSBarsNumber, EPS, 13)
actualEPS14 = ta.valuewhen(EPSBarsNumber, EPS, 14)
actualEPS15 = ta.valuewhen(EPSBarsNumber, EPS, 15)
// QOQ EPS growth.................................................................
QOQ0 = (actualEPS-actualEPS1)/math.abs(actualEPS1)*100
QOQ1 = (actualEPS1-actualEPS2)/math.abs(actualEPS2)*100
QOQ2 = (actualEPS2-actualEPS3)/math.abs(actualEPS3)*100
QOQ3 = (actualEPS3-actualEPS4)/math.abs(actualEPS4)*100
QOQ4 = (actualEPS4-actualEPS5)/math.abs(actualEPS5)*100
QOQ5 = (actualEPS5-actualEPS6)/math.abs(actualEPS6)*100
QOQ6 = (actualEPS6-actualEPS7)/math.abs(actualEPS7)*100
QOQ7 = (actualEPS7-actualEPS8)/math.abs(actualEPS8)*100
QOQ8 = (actualEPS8-actualEPS9)/math.abs(actualEPS9)*100
QOQ9 = (actualEPS9-actualEPS10)/math.abs(actualEPS10)*100
QOQ10 = (actualEPS10-actualEPS11)/math.abs(actualEPS11)*100
QOQ11 = (actualEPS11-actualEPS12)/math.abs(actualEPS12)*100
// YOY EPS growth.................................................................
YOY0 = (actualEPS-actualEPS4)/math.abs(actualEPS4)*100
YOY1 = (actualEPS1-actualEPS5)/math.abs(actualEPS5)*100
YOY2 = (actualEPS2-actualEPS6)/math.abs(actualEPS6)*100
YOY3 = (actualEPS3-actualEPS7)/math.abs(actualEPS7)*100
YOY4 = (actualEPS4-actualEPS8)/math.abs(actualEPS8)*100
YOY5 = (actualEPS5-actualEPS9)/math.abs(actualEPS9)*100
YOY6 = (actualEPS6-actualEPS10)/math.abs(actualEPS10)*100
YOY7 = (actualEPS7-actualEPS11)/math.abs(actualEPS11)*100
YOY8 = (actualEPS8-actualEPS12)/math.abs(actualEPS12)*100
YOY9 = (actualEPS9-actualEPS13)/math.abs(actualEPS13)*100
YOY10 = (actualEPS10-actualEPS14)/math.abs(actualEPS14)*100
YOY11 = (actualEPS11-actualEPS15)/math.abs(actualEPS15)*100
// Set Array Elements....................................................................
if Period == "FQ"
array.set(sym01_arr, 11, actualEPS)
array.set(sym01_arr, 10, actualEPS1)
array.set(sym01_arr, 9, actualEPS2)
array.set(sym01_arr, 8, actualEPS3)
array.set(sym01_arr, 7, actualEPS4)
array.set(sym01_arr, 6, actualEPS5)
array.set(sym01_arr, 5, actualEPS6)
array.set(sym01_arr, 4, actualEPS7)
array.set(sym01_arr, 3, actualEPS8)
array.set(sym01_arr, 2, actualEPS9)
array.set(sym01_arr, 1, actualEPS10)
array.set(sym01_arr, 0, actualEPS11)
else
array.set(sym01_arr, 11, actualEPS+actualEPS1+actualEPS2+actualEPS3)
array.set(sym01_arr, 10, actualEPS1+actualEPS2+actualEPS3+actualEPS4)
array.set(sym01_arr, 9, actualEPS2+actualEPS3+actualEPS4+actualEPS5)
array.set(sym01_arr, 8, actualEPS3+actualEPS4+actualEPS5+actualEPS6)
array.set(sym01_arr, 7, actualEPS4+actualEPS5+actualEPS6+actualEPS7)
array.set(sym01_arr, 6, actualEPS5+actualEPS6+actualEPS7+actualEPS8)
array.set(sym01_arr, 5, actualEPS6+actualEPS7+actualEPS8+actualEPS9)
array.set(sym01_arr, 4, actualEPS7+actualEPS8+actualEPS9+actualEPS10)
array.set(sym01_arr, 3, actualEPS8+actualEPS9+actualEPS10+actualEPS11)
array.set(sym01_arr, 2, actualEPS9+actualEPS10+actualEPS11+actualEPS12)
array.set(sym01_arr, 1, actualEPS10+actualEPS11+actualEPS12+actualEPS13)
array.set(sym01_arr, 0, actualEPS11+actualEPS12+actualEPS13+actualEPS14)
//
array.set(QOQ_arr, 11, QOQ0)
array.set(QOQ_arr, 10, QOQ1)
array.set(QOQ_arr, 9, QOQ2)
array.set(QOQ_arr, 8, QOQ3)
array.set(QOQ_arr, 7, QOQ4)
array.set(QOQ_arr, 6, QOQ5)
array.set(QOQ_arr, 5, QOQ6)
array.set(QOQ_arr, 4, QOQ7)
array.set(QOQ_arr, 3, QOQ8)
array.set(QOQ_arr, 2, QOQ9)
array.set(QOQ_arr, 1, QOQ10)
array.set(QOQ_arr, 0, QOQ11)
array.set(YOY_arr, 11, YOY0)
array.set(YOY_arr, 10, YOY1)
array.set(YOY_arr, 9, YOY2)
array.set(YOY_arr, 8, YOY3)
array.set(YOY_arr, 7, YOY4)
array.set(YOY_arr, 6, YOY5)
array.set(YOY_arr, 5, YOY6)
array.set(YOY_arr, 4, YOY7)
array.set(YOY_arr, 3, YOY8)
array.set(YOY_arr, 2, YOY9)
array.set(YOY_arr, 1, YOY10)
array.set(YOY_arr, 0, YOY11)
float QOQ = na
float YOY = na
SalesBarsNumber = ta.barssince(SALES != SALES[1]) == 0
// Actual SALES
salesA = SALES
sales1A = ta.valuewhen(SalesBarsNumber, SALES, 1) // With "1" to search the previous SALES value, etc
sales2A = ta.valuewhen(SalesBarsNumber, SALES, 2)
sales3A = ta.valuewhen(SalesBarsNumber, SALES, 3)
sales4A = ta.valuewhen(SalesBarsNumber, SALES, 4)
sales5A = ta.valuewhen(SalesBarsNumber, SALES, 5)
sales6A = ta.valuewhen(SalesBarsNumber, SALES, 6)
sales7A = ta.valuewhen(SalesBarsNumber, SALES, 7)
sales8A = ta.valuewhen(SalesBarsNumber, SALES, 8)
sales9A = ta.valuewhen(SalesBarsNumber, SALES, 9)
sales10A = ta.valuewhen(SalesBarsNumber, SALES, 10)
sales11A = ta.valuewhen(SalesBarsNumber, SALES, 11)
sales12A = ta.valuewhen(SalesBarsNumber, SALES, 12)
sales13A = ta.valuewhen(SalesBarsNumber, SALES, 13)
sales14A = ta.valuewhen(SalesBarsNumber, SALES, 14)
sales15A = ta.valuewhen(SalesBarsNumber, SALES, 15)
// Sales in Crores
sales = (salesA/10000000)
sales1 = (sales1A/10000000)
sales2 = (sales2A/10000000)
sales3 = (sales3A/10000000)
sales4 = (sales4A/10000000)
sales5 = (sales5A/10000000)
sales6 = (sales6A/10000000)
sales7 = (sales7A/10000000)
sales8 = (sales8A/10000000)
sales9 = (sales9A/10000000)
sales10 = (sales10A/10000000)
sales11 = (sales11A/10000000)
sales12 = (sales12A/10000000)
sales13 = (sales13A/10000000)
sales14 = (sales14A/10000000)
sales15 = (sales15A/10000000)
// QOQ Sales growth.................................................................
QOQs0 = (sales-sales1)/math.abs(sales1)*100
QOQs1 = (sales1-sales2)/math.abs(sales2)*100
QOQs2 = (sales2-sales3)/math.abs(sales3)*100
QOQs3 = (sales3-sales4)/math.abs(sales4)*100
QOQs4 = (sales4-sales5)/math.abs(sales5)*100
QOQs5 = (sales5-sales6)/math.abs(sales6)*100
QOQs6 = (sales6-sales7)/math.abs(sales7)*100
QOQs7 = (sales7-sales8)/math.abs(sales8)*100
QOQs8 = (sales8-sales9)/math.abs(sales9)*100
QOQs9 = (sales9-sales10)/math.abs(sales10)*100
QOQs10 = (sales10-sales11)/math.abs(sales11)*100
QOQs11 = (sales11-sales12)/math.abs(sales12)*100
// YOY Sales growth.................................................................
YOYs0 = (sales-sales4)/math.abs(sales4)*100
YOYs1 = (sales1-sales5)/math.abs(sales5)*100
YOYs2 = (sales2-sales6)/math.abs(sales6)*100
YOYs3 = (sales3-sales7)/math.abs(sales7)*100
YOYs4 = (sales4-sales8)/math.abs(sales8)*100
YOYs5 = (sales5-sales9)/math.abs(sales9)*100
YOYs6 = (sales6-sales10)/math.abs(sales10)*100
YOYs7 = (sales7-sales11)/math.abs(sales11)*100
YOYs8 = (sales8-sales12)/math.abs(sales12)*100
YOYs9 = (sales9-sales13)/math.abs(sales13)*100
YOYs10 = (sales10-sales14)/math.abs(sales14)*100
YOYs11 = (sales11-sales15)/math.abs(sales15)*100
// Set Array Elements
if Period == "FQ"
array.set(sym01S_arr, 11, sales)
array.set(sym01S_arr, 10, sales1)
array.set(sym01S_arr, 9, sales2)
array.set(sym01S_arr, 8, sales3)
array.set(sym01S_arr, 7, sales4)
array.set(sym01S_arr, 6, sales5)
array.set(sym01S_arr, 5, sales6)
array.set(sym01S_arr, 4, sales7)
array.set(sym01S_arr, 3, sales8)
array.set(sym01S_arr, 2, sales9)
array.set(sym01S_arr, 1, sales10)
array.set(sym01S_arr, 0, sales11)
else
array.set(sym01S_arr, 11, sales+sales1+sales2+sales3)
array.set(sym01S_arr, 10, sales1+sales2+sales3+sales4)
array.set(sym01S_arr, 9, sales2+sales3+sales4+sales5)
array.set(sym01S_arr, 8, sales3+sales4+sales5+sales6)
array.set(sym01S_arr, 7, sales4+sales5+sales6+sales7)
array.set(sym01S_arr, 6, sales5+sales6+sales7+sales8)
array.set(sym01S_arr, 5, sales6+sales7+sales8+sales9)
array.set(sym01S_arr, 4, sales7+sales8+sales9+sales10)
array.set(sym01S_arr, 3, sales8+sales9+sales10+sales11)
array.set(sym01S_arr, 2, sales9+sales10+sales11+sales12)
array.set(sym01S_arr, 1, sales10+sales11+sales12+sales13)
array.set(sym01S_arr, 0, sales11+sales12+sales13+sales14)
//
array.set(QOQs_arr, 11, QOQs0)
array.set(QOQs_arr, 10, QOQs1)
array.set(QOQs_arr, 9, QOQs2)
array.set(QOQs_arr, 8, QOQs3)
array.set(QOQs_arr, 7, QOQs4)
array.set(QOQs_arr, 6, QOQs5)
array.set(QOQs_arr, 5, QOQs6)
array.set(QOQs_arr, 4, QOQs7)
array.set(QOQs_arr, 3, QOQs8)
array.set(QOQs_arr, 2, QOQs9)
array.set(QOQs_arr, 1, QOQs10)
array.set(QOQs_arr, 0, QOQs11)
array.set(YOYs_arr, 11, YOYs0)
array.set(YOYs_arr, 10, YOYs1)
array.set(YOYs_arr, 9, YOYs2)
array.set(YOYs_arr, 8, YOYs3)
array.set(YOYs_arr, 7, YOYs4)
array.set(YOYs_arr, 6, YOYs5)
array.set(YOYs_arr, 5, YOYs6)
array.set(YOYs_arr, 4, YOYs7)
array.set(YOYs_arr, 3, YOYs8)
array.set(YOYs_arr, 2, YOYs9)
array.set(YOYs_arr, 1, YOYs10)
array.set(YOYs_arr, 0, YOYs11)
float QOQs = na
float YOYs = na
//Financial Ratios-----------------------------------------------------------------------------------------
ROA = request.financial(syminfo.tickerid,"RETURN_ON_ASSETS", "FY")
ROE = request.financial(syminfo.tickerid,"RETURN_ON_EQUITY", "FY")
EPSt = request.financial(syminfo.tickerid, "EARNINGS_PER_SHARE", "TTM")
TSO = request.financial(syminfo.tickerid, "TOTAL_SHARES_OUTSTANDING", "FQ")
TR = request.financial(syminfo.tickerid, "TOTAL_REVENUE", "TTM")
GR = request.financial(syminfo.tickerid, "REVENUE_ONE_YEAR_GROWTH", "FY")
Cash = request.financial(syminfo.tickerid, "FREE_CASH_FLOW", "FY")/1000000
DY = request.financial(syminfo.tickerid, "DIVIDENDS_YIELD", "FY")
DTE = request.financial(syminfo.tickerid, "DEBT_TO_EQUITY", "FY")
PEGratio = request.financial(syminfo.tickerid, "PEG_RATIO", "FY")
RevGrowth = request.financial(syminfo.tickerid, "REVENUE_ONE_YEAR_GROWTH", "FY")/100
EnterpriseValtoEBITDA = request.financial(syminfo.tickerid, "ENTERPRISE_VALUE_EBITDA", "FY")
EBITDA = request.financial(syminfo.tickerid, "EBITDA", "FY")
OPM = request.financial(syminfo.tickerid, "OPERATING_MARGIN", "FY")
BV = request.financial(syminfo.tickerid, "BOOK_VALUE_PER_SHARE", "FY")
//Calculation-----------------------------------------------------------------------------------------
PriceEarningsRatio = close/EPSt
MarketCap = TSO*close
PriceSalesRatio = MarketCap/TR
PriceBookValueRatio = close/BV
EV = EnterpriseValtoEBITDA*EBITDA
EVtoFCF = EV/(Cash*1000000)
//Financial ratio Definition---------------------------------------------------------------------------
string def_PE = "The price-to-earnings (P/E) ratio is the ratio for valuing a company that measures its current share price relative to its per-share earnings."
string def_PEG = "The price/earnings to growth ratio (PEG ratio) is a stock's price-to-earnings (P/E) ratio divided by the growth rate of its earnings (%) for a specified time period."
string def_PS = "The price-to-sales (P/S) ratio is a valuation ratio that compares a company’s stock price to its revenues."
string def_PB = "Price-to-book value (P/B) is the ratio of the market value of a company's shares (share price) over its book value of equity. The book value of equity, in turn, is the value of a company's assets expressed on the balance sheet."
string def_EVFCF = "The Enterprise Value (EV) to Free Cash Flow (FCF) compares company valuation with its potential to create positive cash flow statements."
string def_OPM = "Operating profit margin (OPM) is a measure of a company's operating efficiency. It is calculated by dividing operating income by net sales. "
string def_DE = "Debt-to-equity (D/E) ratio is used to evaluate a company’s financial leverage and is calculated by dividing a company’s total liabilities by its shareholder equity. "
string def_ROE = "Return on equity (ROE) is a measure of financial performance calculated by dividing net income by shareholders' equity. "
string def_DY = "Dividend Yield represents the ratio of a company's current annual dividend compared to its current share price."
//Truncate to Decimal---------------------------------------------------------------------------------
truncate(number, decimals) =>
factor = math.pow(10, decimals)
int(number * factor) / factor
Trunc_1 = truncate(ROA, 2)
Trunc_2 = truncate(ROE, 2)
Trunc_4 = truncate(PriceEarningsRatio, 2)
Trunc_5 = truncate(PEGratio, 2)
Trunc_6 = truncate(PriceSalesRatio, 2)
Trunc_3 = truncate(PriceBookValueRatio, 2)
Trunc_7 = truncate(Cash, 2)
Trunc_8 = truncate(EVtoFCF, 2)
Trunc_9 = truncate(DY, 2)
Trunc_10 = truncate(DTE, 2)
Trunc_11 = truncate(OPM, 2)
//---------------------------------------------------------------------------------------------------------
//colors
color good = color.new(#5ac573, 50)
color bad = color.new(#df6464, 50)
color neutral = color.new(color.blue, 50)
color credits = color.new(color.blue, 50)
// Find the Maximum Number for Plot scale
coeff01 = math.max(math.abs(array.min(sym01_arr)), math.abs(array.max(sym01_arr)))
scalCoef = 30/math.max(coeff01, 0)
coeff01s = math.max(math.abs(array.min(sym01S_arr)), math.abs(array.max(sym01S_arr)))
scalCoefs = 30/math.max(coeff01s, 0)
// |++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++|
// | TABLE |
// |++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++|
// Get Table Position
table_pos(p) =>
switch p
"Top Right" => position.top_right
"Middle Right" => position.middle_right
"Bottom Right" => position.bottom_right
"Top Center" => position.top_center
"Middle Center" => position.middle_center
"Bottom Center" => position.bottom_center
"Top Left" => position.top_left
"Middle Left" => position.middle_left
=> position.bottom_left
var plt = table.new(position.bottom_left, 1 , 1)
// Find Number of Columns
mxArr = 12
numCol = mxArr * 2 + 1 < 26 ? 25 : mxArr * 2 + 1
// Set Up Plot Table
plt := table.new(table_pos(in_plot_pos), numCol+2, 81,
frame_width = 0, frame_color = borCol,
border_width = 0, border_color = color.new(txtCol, 100))
// Plot Cell
pltCell (x, y, w, h, col, tt) =>
table.cell(plt, x, y, width = w, height = h, bgcolor = col)
table.cell_set_tooltip(plt, x, y, tt)
// Plot Columns eps
pltCol (x, y, k, col) =>
pltCell(x, y > 0 ? 79 - k : y < 0 ? 79 + k : 79, barWdth, barHigh,
color.new(col, 0), "EPS: " + str.tostring(y, "#.## \n")+ "QOQ: "+ str.tostring(QOQ, "#.#")+"%\n"+ "YOY: " + str.tostring(YOY, "#.#") + "%")
// Plot Columns sales
pltCol2 (x, y, k, col) =>
pltCell(x, y > 0 ? 43 - k : y < 0 ? 43 + k : 43, barWdth, barHigh,
color.new(col, 0), "Sales: " + str.tostring(y, "#.##")+"Cr. \n"+ "QOQ: "+ str.tostring(QOQs, "#.#")+"%\n"+ "YOY: " + str.tostring(YOYs, "#.#") + "%")
// Plot Financial Ratio Table
table.cell(plt, 0, 0, "FinMet © Basit", width = barWdth, text_size = "small", text_color = color.white, bgcolor = borCol)
table.merge_cells(plt, 0, 0, numCol+1, 0)
table.cell(plt, 0, 1, "P/E: " +str.tostring(Trunc_4), width = barWdth, text_size = "normal", text_color = color.white, bgcolor = (Trunc_4 > lim_PE) or (Trunc_4 < 0) ? bad:good, tooltip = def_PE)
table.merge_cells(plt, 0, 1, numCol+1, 1)
table.cell(plt, 0, 2, "PEG: " +str.tostring(Trunc_5), width = barWdth, text_color = color.white, bgcolor = (Trunc_5 > lim_PEG) or (Trunc_5 < 0) ? bad:good, tooltip = def_PEG)
table.merge_cells(plt, 0, 2, numCol+1, 2)
table.cell(plt, 0, 3, "P/S: " +str.tostring(Trunc_6), width = barWdth, text_color = color.white, bgcolor = (Trunc_6 > lim_PS) or (Trunc_6 < 0) ? bad:good, tooltip = def_PS)
table.merge_cells(plt, 0, 3, numCol+1, 3)
table.cell(plt, 0, 4, "P/B: " +str.tostring(Trunc_3), width = barWdth, text_color = color.white, bgcolor = (Trunc_3 > lim_PB) or (Trunc_3 < 0) ? bad:good, tooltip = def_PB)
table.merge_cells(plt, 0, 4, numCol+1, 4)
table.cell(plt, 0, 5, "EV/FCF: " +str.tostring(Trunc_8), width = barWdth, text_color = color.white, bgcolor = (Trunc_8 > lim_EVFCF) or (Trunc_8 < 0) ? bad:good, tooltip = def_EVFCF)
table.merge_cells(plt, 0, 5, numCol+1, 5)
table.cell(plt, 0, 6, "OPM: " +str.tostring(Trunc_11) + "%", width = barWdth, text_color = color.white, bgcolor = (Trunc_11 < lim_OPM) or (Trunc_11 < 0) ? bad:good, tooltip = def_OPM)
table.merge_cells(plt, 0, 6, numCol+1, 6)
table.cell(plt, 0, 7, "D/E: " +str.tostring(Trunc_10), width = barWdth, text_color = color.white, bgcolor = (Trunc_10 > lim_DE) or (Trunc_10 < 0) ? bad:good, tooltip = def_DE)
table.merge_cells(plt, 0, 7, numCol+1, 7)
table.cell(plt, 0, 8, "ROE: " +str.tostring(Trunc_2)+ "%", width = barWdth, text_color = color.white, bgcolor = (Trunc_2 < lim_ROE) or (Trunc_2 < 0) ? bad:good, tooltip = def_ROE)
table.merge_cells(plt, 0, 8, numCol+1, 8)
table.cell(plt, 0, 9, "D_Yield: " +str.tostring(Trunc_9)+"%", width = barWdth, text_color = color.white, bgcolor = (Trunc_9 < lim_DVY) or (Trunc_9 < 0) ? bad:good, tooltip = def_DY)
table.merge_cells(plt, 0, 9, numCol+1, 9)
// Plot Sales and EPS bars
if barstate.islast
if mxArr > 0
// Reset Table.
for i = 0 to numCol + 1
for j = 9 to 80
pltCell(i, j, 0.001, 0.001, color.new(txtCol, 100), "")
//
w= 0
for i = 2 to mxArr * 2 + 1 by 2
//Plot eps Columns
if math.round(scalCoef * array.get(sym01_arr, w)) > 0
for k = 0 to math.round(scalCoef * array.get(sym01_arr, w))
QOQ = array.get(QOQ_arr, w)
YOY = array.get(YOY_arr, w)
pltCol(i, array.get(sym01_arr, w), k, s01Col)
else if math.round(scalCoef * array.get(sym01_arr, w)) < 0
for k = 0 to math.round(scalCoef * array.get(sym01_arr, w))
QOQ = array.get(QOQ_arr, w)
YOY = array.get(YOY_arr, w)
pltCol(i, array.get(sym01_arr, w), k, s01Col2)
else
QOQ = array.get(QOQ_arr, w)
YOY = array.get(YOY_arr, w)
pltCol(i, array.get(sym01_arr, w), 0, color.new(s01Col, 0))
//plot sales columns
if math.round(scalCoefs * array.get(sym01S_arr, w)) > 0
for k = 0 to math.round(scalCoefs * array.get(sym01S_arr, w))
QOQs = array.get(QOQs_arr, w)
YOYs = array.get(YOYs_arr, w)
pltCol2(i, array.get(sym01S_arr, w), k, s01Cols)
else if math.round(scalCoefs * array.get(sym01S_arr, w)) < 0
for k = 0 to math.round(scalCoefs * array.get(sym01S_arr, w))
QOQs = array.get(QOQs_arr, w)
YOYs = array.get(YOYs_arr, w)
pltCol2(i, array.get(sym01S_arr, w), k, s01Col2)
else
QOQs = array.get(QOQs_arr, w)
YOYs = array.get(YOYs_arr, w)
pltCol2(i, array.get(sym01S_arr, w), 0, color.new(s01Cols, 0))
w := w + 1
// Draw X Axis Line (X==0)
// for i = 2 to numCol
// pltCell(i, 43, 0.4, 0.005, borCol, "")
// for i = 2 to numCol
// pltCell(i, 78, 0.4, 0.005, borCol, "")
for i = 10 to 80
pltCell(0, i, 0.3, 0.005, borCol, "")
for i = 10 to 80
pltCell(numCol+1, i, 0.3, 0.005, borCol, "")
if Period == "FQ"
table.cell(plt, 0, 44, "Sales (FQ)" , width = barWdth, text_size = "small", text_color = color.white, bgcolor = borCol)
table.merge_cells(plt, 0, 44, numCol+1, 44)
else
table.cell(plt, 0, 44, "Sales (TTM)", width = barWdth, text_size = "small", text_color = color.white, bgcolor = borCol)
table.merge_cells(plt, 0, 44, numCol+1, 44)
if Period == "FQ"
table.cell(plt, 0, 80, "EPS (FQ)" + str.format_time(ResultDate, " [dd-MM]" ), width = barWdth, text_size = "small", text_color = color.white, bgcolor = borCol)
table.merge_cells(plt, 0, 80, numCol+1, 80)
else
table.cell(plt, 0, 80, "EPS (TTM)" + str.format_time(ResultDate, " [dd-MM]" ) , width = barWdth, text_size = "small", text_color = color.white, bgcolor = borCol)
table.merge_cells(plt, 0, 80, numCol+1, 80)
|
RSI Trend Veracity (RSI TV) | https://www.tradingview.com/script/FmLIEQho-RSI-Trend-Veracity-RSI-TV/ | More-Than-Enough | https://www.tradingview.com/u/More-Than-Enough/ | 54 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © More-Than-Enough
//@version=5
indicator(title = "RSI Trend Veracity", shorttitle = "RSI TV", precision = 3, timeframe = "", timeframe_gaps = true)
Tv_Line = 0.0
Rsi_Line = ta.rsi(close, 14) * 0.1 - 5
Ma_Line = ta.sma(Rsi_Line, 14)
Low_Tsi = ta.tsi(close, 1, 54)
Low_Tv_Line = ta.rsi(close, 35) * 0.1 - 5 + Low_Tsi
High_Tsi = ta.tsi(close, 1, 13)
High_Tv_Line = ta.rsi(close, 35) * 0.1 - 5 + High_Tsi
if Rsi_Line > 0
Tv_Line := High_Tv_Line
if Rsi_Line < 0
Tv_Line := Low_Tv_Line
/////////////// Thresholds ///////////////
High_Extremity_Color = input.color(color.new(color.lime, 50), "High Extremity Color")
High_Extremity = input.float(3.0, "High Extremity", minval = 0.0, step = 0.1)
High_Color = input.color(color.new(color.lime, 50), "High Color")
High = input.float(2.0, "High", minval = 0.0, step = 0.1)
High_Mid_Color = input.color(color.gray, "High-Mid Color")
Mid = 0
Mid_Color = input.color(color.rgb(91, 156, 246, 50), "Middle Color")
Low_Mid_Color = input.color(color.gray, "Low-Mid Color")
Low = input.float(-2.0, "Low", maxval = 0.0, step = 0.1)
Low_Color = input.color(color.new(color.red, 50), "Low Color")
Low_Extremity = input.float(-3.0, "Low Extremity", maxval = 0.0, step = 0.1)
Low_Extremity_Color = input.color(color.new(color.red, 50), "Low Extremity Color")
/////////////// Plots ///////////////
High_Extremity_Line = hline(High_Extremity, "High Extremity Line", High_Extremity_Color, linestyle = hline.style_dotted, editable = false)
High_Line = hline(High, "High Line", High_Color, linestyle = hline.style_solid, editable = false)
High_Mid_Line = hline(Mid + ((math.abs(High) - math.abs(Mid)) / 2), "High-Mid Line", High_Mid_Color, linestyle = hline.style_dotted, editable = false)
Mid_Line = hline(Mid, "Middle Line", Mid_Color, linestyle = hline.style_solid, editable = false)
Low_Mid_Line = hline(Mid - ((math.abs(Mid) + math.abs(Low)) / 2), "Low-Mid Line", Low_Mid_Color, linestyle = hline.style_dotted, editable = false)
Low_Line = hline(Low, "Low Line", Low_Color, linestyle = hline.style_solid, editable = false)
Low_Extremity_Line = hline(Low_Extremity, "Low Extremity Line", Low_Extremity_Color, linestyle = hline.style_dotted, editable = false)
fill(Mid_Line, High_Line, color.rgb(129, 199, 132, 86), "Up Zone")
fill(Mid_Line, Low_Line, color.rgb(247, 124, 128, 86), "Down Zone")
plot(Tv_Line, "TV Plot", color = color.new(color.aqua, 50), style = plot.style_area)
plot(Ma_Line, "MA Plot", color = color.rgb(255, 245, 157), display = display.none)
plot(Rsi_Line, "RSI Plot", color = color.white)
|
Rate Of Change For -5 Percent Rule | https://www.tradingview.com/script/QP0bic2Q/ | 87468ee8f0384037b9e29d027af485 | https://www.tradingview.com/u/87468ee8f0384037b9e29d027af485/ | 24 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © 87468ee8f0384037b9e29d027af485
//@version=5
indicator(title="Rate Of Change For -5 Percent Rule", shorttitle="ROC For -5 Percent Rule", format=format.price, precision=2, timeframe="", timeframe_gaps=true)
length = input.int(1, minval=1)
source1 = input(close, "Source1")
source2 = input(close, "Source2")
borderline = input.int(-5, "Borderline")
roc = 100 * (source2 - source1[length])/source1[length]
green_or_red = if roc > borderline
color.green
else
color.red
plot(roc, color = green_or_red, title = "Rate Of Change", style = plot.style_columns)
hline(borderline, color = color.red, linewidth = 2, linestyle = hline.style_dotted, editable = false)
|
Thursday Close Bands | https://www.tradingview.com/script/6GBDxPzn-Thursday-Close-Bands/ | Srinivas_SIP | https://www.tradingview.com/u/Srinivas_SIP/ | 9 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © sateesh1496
//@version=5
indicator("Thursday Close Bands", overlay = true)
bandsize = input.float(3,title= "Band Size")
tc= ta.valuewhen(dayofweek(time('D')) == dayofweek.thursday, close, 0)
upperband = tc*(1+(bandsize/100))
lowerband = tc*(1-(bandsize/100))
plot(tc,style=plot.style_stepline,linewidth=2)
plot(upperband[1],title="Upper Band", color=color.red,style=plot.style_stepline,linewidth=2)
plot(lowerband[1],title= "Lower Band", color=color.green,style=plot.style_stepline,linewidth=2)
c = color.green
bgColor = dayofweek == dayofweek.thursday ? color.new(c, 90) : color.new(color.white, 80)
bgcolor(color=bgColor, transp=90) |
BTC's #4 Whale Sells [TheSecretGuy] | https://www.tradingview.com/script/4Aywhbtn-BTC-s-4-Whale-Sells-TheSecretGuy/ | TheSecretsOfTrading | https://www.tradingview.com/u/TheSecretsOfTrading/ | 78 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © TheSecretsOfTrading
//@version=5
indicator("Dates: BTC's #4 Whale Sells by TheSecretGuy", overlay=true)
sell_color = color.rgb(255, 0, 85)
var whale_sell = 0
var int[] whale_sells =
array.from(
timestamp("18 Nov 2022 18:17:00 EST"), //- 1000
timestamp("16 Nov 2022 18:19:00 EST"), //- 2000
timestamp("26 Oct 2022 18:16:00 EST"), //- 1000
timestamp("5 Oct 2022 18:30:00 EST"), //- 1000
timestamp("12 Sep 2022 18:34:00 EST"), // -1000
timestamp("28 Jul 2022 18:13:00 EST"), // -500
timestamp("26 Jul 2022 17:08:00 EST"), // -500
timestamp("18 Jul 2022 17:49:00 EST"), // -500
timestamp("18 Jul 2022 15:45:00 EST"), // -500
timestamp("9 Jun 2022 18:29:00 EST"), // -500
timestamp("17 May 2022 13:30:00 EST"), // -1500
timestamp("29 Apr 2022 14:46:00 EST"), // -1500
timestamp("20 Apr 2022 19:49:00 EST"), // -1500
timestamp("4 Apr 2022 18:30:00 EST"), // -3000
timestamp("1 Apr 2022 16:56:00 EST"), // -1500
timestamp("25 Mar 2022 17:03:00 EST"), // -1500
timestamp("21 Mar 2022 14:45:00 EST"), // -1500
timestamp("1 Mar 2022 16:15:00 EST"), // -1500
timestamp("9 Nov 2021 19:13:00 EST") // -1500
)
if barstate.islastconfirmedhistory
i = 0
while i < array.size(whale_sells)
whale_sell := array.get(whale_sells, i)
line.new(x1=whale_sell, y1=high, x2=whale_sell, y2=low, extend=extend.both, color=sell_color, width=1, xloc=xloc.bar_time)
i += 1 |
Bayesian BBSMA + nQQE Oscillator + Bank funds (whales detector) | https://www.tradingview.com/script/43zBXjjp-Bayesian-BBSMA-nQQE-Oscillator-Bank-funds-whales-detector/ | tartigradia | https://www.tradingview.com/u/tartigradia/ | 189 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
//
// Three trend indicators in one. Fork of Gunslinger2005 indicator, with a fix to display the nQQE oscillator correctly and clearly, and converted to pinescript v5 (allowing to set a different timeframe and gaps).
// How to use: Essentially, nQQE is a long term trend indicator which is more adequate in daily or weekly timeframe to indicate the current market cycle. Banker Fund seems better suited to indicate current local trend, although it is sensitive to relief rallies. Bayesian BBSMA is an awesome tool to visualize the buildup in bullish/bearish sentiment, and when it is more likely to get released, however it is unreliable, so it needs to be combined with other indicators.
//
// Original indicators list:
// Bayesian BBSMA: https://www.tradingview.com/v/8lXcviYm/
// nQQE: https://www.tradingview.com/v/CfCuUCeE/
// L3 Banker Fund Flow Trend: https://www.tradingview.com/v/791WkWcm/
// Originally mixed together by Gunslinger2005: https://www.tradingview.com/script/Gan1g6EY-The-Bayesian-Q-Oscillator/
// Fixed nQQE plotting by Tartigradia
//@version=5
indicator('Bayesian BBSMA + nQQE Oscillator + Bank funds (whales detector)', shorttitle='Bayesian/nQQE/BankFunds', precision=4, timeframe="", timeframe_gaps=true)
rescale(_src, _oldMin, _oldMax, _newMin, _newMax) =>
// Rescales series with known min/max.
// _src : series to rescale.
// _oldMin, _oldMax: min/max values of series to rescale.
// _newMin, _newMin: min/max values of rescaled series.
_newMin + (_newMax - _newMin) * (_src - _oldMin) / math.max(_oldMax - _oldMin, 10e-10)
//#################### Bayesian BBSMA
bbSmaPeriod = input.int(20, title='BB SMA Period', group='═════ Bayesian BBSMA settings ═════')
bbStdDevMult = input.float(2.5, title='BB Standard Deviation', maxval=50.0)
bbBasis = ta.sma(close, bbSmaPeriod)
bbStdDev = bbStdDevMult * ta.stdev(close, bbSmaPeriod)
bbUpper = bbBasis + bbStdDev
bbLower = bbBasis - bbStdDev
// AO
aoFast = input(5, 'AO Fast EMA Length')
aoSlow = input(34, 'AO Slow EMA Length')
ao = ta.sma(hl2, aoFast) - ta.sma(hl2, aoSlow)
colorAo = ta.change(ao) > 0 ? color.green : color.red
// AC
acFast = input(5, 'AC Fast SMA Length')
acSlow = input(34, 'AC Slow SMA Length')
xSMA1_hl2 = ta.sma(hl2, acFast)
xSMA2_hl2 = ta.sma(hl2, acSlow)
xSMA1_SMA2 = xSMA1_hl2 - xSMA2_hl2
xSMA_hl2 = ta.sma(xSMA1_SMA2, acFast)
ac = xSMA1_SMA2 - xSMA_hl2
cClr = ac > ac[1] ? color.blue : color.red
acAo = (ac + ao) / 2
maAcAoPeriod = input(13, 'AC AO MA Period')
showMaAcAo = input(false, 'Show AC AO MA?')
maAcAo = ta.vwma(acAo, maAcAoPeriod)
// Combine AC & AO
acIsBlue = ac > ac[1]
acIsRed = not(ac > ac[1])
aoIsGreen = ta.change(ao) > 0
aoIsRed = not(ta.change(ao) > 0)
acAoIsBullish = acIsBlue and aoIsGreen
acAoIsBearish = acIsRed and acIsRed
acAoColorIndex = acAoIsBullish ? 1 : acAoIsBearish ? -1 : 0
// Alligator
smma(src, length) =>
smma = 0.0
smma := na(smma[1]) ? ta.sma(src, length) : (smma[1] * (length - 1) + src) / length
smma
lipsLength = input(title='🐲 Lips Length', defval=5)
teethLength = input(title='🐲 Teeth Length', defval=8)
jawLength = input(title='🐲 Jaw Length', defval=13)
lipsOffset = input(title='🐲 Lips Offset', defval=3)
teethOffset = input(title='🐲 Teeth Offset', defval=5)
jawOffset = input(title='🐲 Jaw Offset', defval=8)
lips = smma(hl2, lipsLength)
teeth = smma(hl2, teethLength)
jaw = smma(hl2, jawLength)
// SMA
smaPeriod = input(20, title='SMA Period')
smaValues = ta.sma(close, smaPeriod)
// Bayesian Theorem Starts
bayesPeriod = input(20, title='Bayesian Lookback Period')
// Next candles are breaking Down
probBbUpperUpSeq = close > bbUpper ? 1 : 0
probBbUpperUp = math.sum(probBbUpperUpSeq, bayesPeriod) / bayesPeriod
probBbUpperDownSeq = close < bbUpper ? 1 : 0
probBbUpperDown = math.sum(probBbUpperDownSeq, bayesPeriod) / bayesPeriod
probUpBbUpper = probBbUpperUp / (probBbUpperUp + probBbUpperDown)
probBbBasisUpSeq = close > bbBasis ? 1 : 0
probBbBasisUp = math.sum(probBbBasisUpSeq, bayesPeriod) / bayesPeriod
probBbBasisDownSeq = close < bbBasis ? 1 : 0
probBbBasisDown = math.sum(probBbBasisDownSeq, bayesPeriod) / bayesPeriod
probUpBbBasis = probBbBasisUp / (probBbBasisUp + probBbBasisDown)
probSmaUpSeq = close > smaValues ? 1 : 0
probSmaUp = math.sum(probSmaUpSeq, bayesPeriod) / bayesPeriod
probSmaDownSeq = close < smaValues ? 1 : 0
probSmaDown = math.sum(probSmaDownSeq, bayesPeriod) / bayesPeriod
probUpSma = probSmaUp / (probSmaUp + probSmaDown)
sigmaProbsDown = nz(probUpBbUpper * probUpBbBasis * probUpSma / probUpBbUpper * probUpBbBasis * probUpSma + (1 - probUpBbUpper) * (1 - probUpBbBasis) * (1 - probUpSma))
// Next candles are breaking Up
probDownBbUpper = probBbUpperDown / (probBbUpperDown + probBbUpperUp)
probDownBbBasis = probBbBasisDown / (probBbBasisDown + probBbBasisUp)
probDownSma = probSmaDown / (probSmaDown + probSmaUp)
sigmaProbsUp = nz(probDownBbUpper * probDownBbBasis * probDownSma / probDownBbUpper * probDownBbBasis * probDownSma + (1 - probDownBbUpper) * (1 - probDownBbBasis) * (1 - probDownSma))
showNextCandleDown = input(true, title='Plot Next Candles Breaking Down?')
plot(showNextCandleDown ? sigmaProbsDown * 100 : na, title='Next Candle Breaking Down Probs', style=plot.style_area, color=color.new(color.red, 60), linewidth=2)
showNextCandleUp = input(true, title='Plot Next Candles Breaking Up?')
plot(showNextCandleUp ? sigmaProbsUp * 100 : na, title='Next Candle Breaking Up Probs', style=plot.style_area, color=color.new(color.green, 60), linewidth=2)
probPrime = nz(sigmaProbsDown * sigmaProbsUp / sigmaProbsDown * sigmaProbsUp + (1 - sigmaProbsDown) * (1 - sigmaProbsUp))
showPrime = input(true, title='Plot Prime Probability?')
plot(showPrime ? probPrime * 100 : na, title='Prime Probability', style=plot.style_area, color=color.new(color.blue, 60), linewidth=2)
lowerThreshold = input(15.0, title='Lower Threshold')
sideways = probPrime < lowerThreshold / 100 and sigmaProbsUp < lowerThreshold / 100 and sigmaProbsDown < lowerThreshold / 100
longUsingProbPrime = probPrime > lowerThreshold / 100 and probPrime[1] == 0
longUsingSigmaProbsUp = sigmaProbsUp < 1 and sigmaProbsUp[1] == 1
shortUsingProbPrime = probPrime == 0 and probPrime[1] > lowerThreshold / 100
shortUsingSigmaProbsDown = sigmaProbsDown < 1 and sigmaProbsDown[1] == 1
milanIsRed = acAoColorIndex == -1
milanIsGreen = acAoColorIndex == 1
pricesAreMovingAwayUpFromAlligator = close > jaw and open > jaw
pricesAreMovingAwayDownFromAlligator = close < jaw and open < jaw
useBWConfirmation = input(false, title='Use Bill Williams indicators for confirmation?')
bwConfirmationUp = useBWConfirmation ? milanIsGreen and pricesAreMovingAwayUpFromAlligator : true
bwConfirmationDown = useBWConfirmation ? milanIsRed and pricesAreMovingAwayDownFromAlligator : true
longSignal = bwConfirmationUp and (longUsingProbPrime or longUsingSigmaProbsUp)
shortSignal = bwConfirmationDown and (shortUsingProbPrime or shortUsingSigmaProbsDown)
barcolor(longSignal ? color.lime : na, title='Long Bars')
barcolor(shortSignal ? color.maroon : na, title='Short Bars')
//hzl3 = hline(lowerThreshold, color=#333333, linestyle=hline.style_solid)
//hzl4 = hline(0, color=#333333, linestyle=hline.style_solid)
//fill(hzl3, hzl4, title="Lower Threshold", color=sideways ? color.gray : color.maroon, transp=70)
alertcondition(longSignal, title='Long!', message='Bayesian BBSMA - LONG - {{exchange}}:{{ticker}} at {{close}}')
alertcondition(shortSignal, title='Short!', message='Bayesian BBSMA - SHORT - {{exchange}}:{{ticker}} at {{close}}')
//#################### nQQE
src = input(close)
length = input.int(14, 'RSI Length', minval=1, group='═════ nQQE settings ═════')
SSF = input.int(5, 'SF RSI SMoothing Factor', minval=1)
showsignals = input(title='Show Crossing Signals?', defval=false)
RSII = ta.ema(ta.rsi(src, length), SSF)
TR = math.abs(RSII - RSII[1])
wwalpha = 1 / length
WWMA = 0.0
WWMA := wwalpha * TR + (1 - wwalpha) * nz(WWMA[1])
ATRRSI = 0.0
ATRRSI := wwalpha * WWMA + (1 - wwalpha) * nz(ATRRSI[1])
QQEF = ta.ema(ta.rsi(src, length), SSF)
QUP = QQEF + ATRRSI * 4.236
QDN = QQEF - ATRRSI * 4.236
QQES = 0.0
QQES := QUP < nz(QQES[1]) ? QUP : QQEF > nz(QQES[1]) and QQEF[1] < nz(QQES[1]) ? QDN : QDN > nz(QQES[1]) ? QDN : QQEF < nz(QQES[1]) and QQEF[1] > nz(QQES[1]) ? QUP : nz(QQES[1])
Colorh = QQEF > 60 ? color.lime : QQEF < 40 ? color.red : #E8E81A
QQF = plot(QQEF, 'nQQE FAST', color=color.new(color.maroon, 0), linewidth=2, display=display.none)
plot(QQEF, color=color.new(Colorh, 30), linewidth=2, style=plot.style_area, histbase=50)
QQS = plot(QQES, 'nQQE SLOW', color=color.new(color.white, 0), linewidth=2, display=display.none)
hline(60, color=color.gray, linestyle=hline.style_dashed)
hline(40, color=color.gray, linestyle=hline.style_dashed)
buySignalr = ta.crossover(QQEF, QQES)
plotshape(buySignalr and showsignals ? QQES * 0.995 : na, title='Buy', text='Buy', location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(color.black, 50), textcolor=color.new(color.white, 50))
sellSignallr = ta.crossunder(QQEF, QQES)
plotshape(sellSignallr and showsignals ? QQES * 1.005 : na, title='Sell', text='Sell', location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.black, 50), textcolor=color.new(color.white, 50))
alertcondition(ta.cross(QQEF, QQES), title='Cross Alert', message='QQE Crossing Signal!')
alertcondition(ta.crossover(QQEF, QQES), title='Crossover Alarm', message='QQE BUY SIGNAL!')
alertcondition(ta.crossunder(QQEF, QQES), title='Crossunder Alarm', message='QQE SELL SIGNAL!')
alertcondition(ta.crossover(QQEF, 50), title='Cross 0 Up Alert', message='QQE FAST Crossing 0 UP!')
alertcondition(ta.crossunder(QQEF, 50), title='Cross 0 Down Alert', message='QQE FAST Crossing 0 DOWN!')
alertcondition(ta.crossover(QQEF, 60), title='Cross 10 Up Alert', message='QQE Above 10 UPTREND SIGNAL!')
alertcondition(ta.crossunder(QQEF, 40), title='Cross -10 Down Alert', message='QQE Below -10 DOWNTREND SIGNAL!')
alertcondition(ta.crossunder(QQEF, 60) or ta.crossover(QQEF, 40), title='SIDEWAYS', message='QQE Entering Sideways Market!')
//#################### L3 Banker
//functions
xrf(values, length) =>
r_val = float(na)
if length >= 1
for i = 0 to length by 1
if na(r_val) or not na(values[i])
r_val := values[i]
r_val
r_val
xsa(src, len, wei) =>
sumf = 0.0
ma = 0.0
out = 0.0
sumf := nz(sumf[1]) - nz(src[len]) + src
ma := na(src[len]) ? na : sumf / len
out := na(out[1]) ? ma : (src * wei + out[1] * (len - wei)) / len
out
//set up a simple model of banker fund flow trend
fundtrend = (3 * xsa((close - ta.lowest(low, 27)) / (ta.highest(high, 27) - ta.lowest(low, 27)) * 100, 5, 1) - 2 * xsa(xsa((close - ta.lowest(low, 27)) / (ta.highest(high, 27) - ta.lowest(low, 27)) * 100, 5, 1), 3, 1) - 50) * 1.032 + 50
//define typical price for banker fund
typ = (2 * close + high + low + open) / 5
//lowest low with mid term fib # 34
lol = ta.lowest(low, 34)
//highest high with mid term fib # 34
hoh = ta.highest(high, 34)
//define banker fund flow bull bear line
bullbearline = ta.ema((typ - lol) / (hoh - lol) * 100, 13)
//define banker entry signal
bankerentry = ta.crossover(fundtrend, bullbearline) and bullbearline < 25
//banker fund entry with yellow candle
plotcandle(0, 50, 0, 50, color=bankerentry ? color.new(color.yellow, 0) : na, bordercolor=color.new(color.black, 100))
//banker increase position with green candle
plotcandle(fundtrend, bullbearline, fundtrend, bullbearline, color=fundtrend > bullbearline ? color.new(color.green, 0) : na, bordercolor=color.new(color.black, 100))
//banker decrease position with white candle
plotcandle(fundtrend, bullbearline, fundtrend, bullbearline, color=fundtrend < xrf(fundtrend * 0.95, 1) ? color.new(color.white, 0) : na, bordercolor=color.new(color.black, 100))
//banker fund exit/quit with red candle
plotcandle(fundtrend, bullbearline, fundtrend, bullbearline, color=fundtrend < bullbearline ? color.new(color.red, 0) : na, bordercolor=color.new(color.black, 100))
//banker fund Weak rebound with blue candle
plotcandle(fundtrend, bullbearline, fundtrend, bullbearline, color=fundtrend < bullbearline and fundtrend > xrf(fundtrend * 0.95, 1) ? color.new(color.blue, 0) : na, bordercolor=color.new(color.black, 100))
//overbought and oversold threshold lines
//h1 = hline(80,color=color.red, linestyle=hline.style_dotted)
//h2 = hline(20, color=color.yellow, linestyle=hline.style_dotted)
//h3 = hline(10,color=color.lime, linestyle=hline.style_dotted)
//h4 = hline(90, color=color.fuchsia, linestyle=hline.style_dotted)
//fill(h2,h3,color=color.yellow,transp=70)
//fill(h1,h4,color=color.fuchsia,transp=70)
alertcondition(bankerentry, title='Alert on Yellow Candle', message='Yellow Candle!')
alertcondition(fundtrend > bullbearline, title='Alert on Green Candle', message='Green Candle!')
alertcondition(fundtrend < xrf(fundtrend * 0.95, 1), title='Alert on White Candle', message='White Candle!')
alertcondition(fundtrend < bullbearline, title='Alert on Red Candle', message='Red Candle!')
alertcondition(fundtrend < bullbearline and fundtrend > xrf(fundtrend * 0.95, 1), title='Alert on Blue Candle', message='Blue Candle!')
|
Display Momento -[0.1]- | https://www.tradingview.com/script/oBIZKM4W-Display-Momento-0-1/ | DIemotion | https://www.tradingview.com/u/DIemotion/ | 30 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © DI-emotion
// Use for education in Discord: The Big Secret Channel
//@version=5
indicator("Display Momento ", shorttitle = "Momentum Panel", overlay = true)
// receive value from user
sourcebar = input.source(defval = close, title = 'source')
left_tab = input(defval = true , title = 'Turn on/off left tab' , group = '=======Table setting=======')
Panel_header_text_size = input.string(defval = size.normal , title = 'Header size', options = [size.tiny,size.small,size.normal,size.large,size.huge], group = '=======Table setting=======')
Panel_text_size = input.string(defval = size.small, title = 'Text size',options = [size.tiny,size.small,size.normal,size.large,size.huge], group = '=======Table setting=======')
Panel_pos = input.session(defval = position.top_right , title = 'Panel Position' , options = [position.top_left,position.top_center,position.top_right,position.middle_left,position.middle_center,position.middle_right,position.bottom_left,position.bottom_center,position.bottom_right], group = '=======Table setting=======')
indi_rsi_bool = input(defval = true,title = '', inline = 'rsi' , group = '=======RSI=======')
indi_rsi = input(defval = 14, title = 'RSI' , inline = 'rsi' , group = '=======RSI=======')
// indi_rsi_middle = input(defval = true, title = 'RSI seperate middle zone?')
indi_stoch_bool = input(defval = true, title ='Stochastic ON/OFF ' , group = '=======Stochastic=======')
indi_stoch_K = input(defval = 14, title = 'Stochastic length' , group = '=======Stochastic=======')
indi_stoch_K_smooth = input.int(defval = 3 , title = 'SmoothK(Stochastic)',minval = 0 , group = '=======Stochastic=======')
indi_stoch_D = input.int(defval = 3, title = 'SmoothD(Stochastic)',minval = 0 , group = '=======Stochastic=======')
indi_atr_bool = input(defval = true, title ='' , inline = 'atr' , group = '=======ATR=======')
indi_atr = input(defval = 14, title = 'ATR' , inline = 'atr' , group = '=======ATR=======')
tf1 = input.timeframe(defval = '60' , title = 'Timeframe 1' , group = '=======Timeframe setting=======')
tf2 = input.timeframe(defval = '240' , title = 'Timeframe 2' , group = '=======Timeframe setting=======')
tf3 = input.timeframe(defval = '480' , title = 'Timeframe 3' , group = '=======Timeframe setting=======')
tf4 = input.timeframe(defval = '720' , title = 'Timeframe 4' , group = '=======Timeframe setting=======')
tf5 = input.timeframe(defval = 'D' , title = 'Timeframe 5' , group = '=======Timeframe setting=======')
chart1 = input.symbol(defval = 'BTCUSDT' , title = 'Chart1' , group = '=======Chart setting=======')
chart2 = input.symbol(defval = 'ETHUSDT', title = 'Chart2' , group = '=======Chart setting=======')
chart3 = input.symbol(defval = 'GOLD', title = 'Chart3' , group = '=======Chart setting=======')
chart4 = input.symbol(defval = 'US30', title = 'Chart4' , group = '=======Chart setting=======')
note = input.string(defval = 'Note me :)' , title = 'Note')
// Sad_mode = input.bool(defval = false , title = 'เปิด/ปิดไปก็เท่านั้นก็ยังโสดอยู่ดี55+')
//style tab
rsi_oversold = input.color(defval = color.new(#742421 , 10) , title = 'RSI oversold', group = '=======Color=======')
rsi_bearzone = input.color(defval = color.new(#ec4141, 10) , title = 'RSI bearzone', group = '=======Color=======')
rsi_nature = input.color(defval = color.new(#e47d38, 2) , title = 'RSI nature', group = '=======Color=======')
rsi_bullzone = input.color(defval = color.new(#67f06b, 30) , title = 'RSI bullzone', group = '=======Color=======')
rsi_overbought = input.color(defval = color.new(#2c812f, 30) , title = 'RSI overbought', group = '=======Color=======')
stoch_oversold = input.color(defval = color.new(#742421 , 10) , title = 'STOCH oversold', group = '=======Color=======')
stoch_bearzone = input.color(defval = color.new(#ec4141, 10) , title = 'STOCH bearzone', group = '=======Color=======')
stoch_overbought = input.color(defval = color.new(#2c812f, 30) , title = 'STOCH overbought', group = '=======Color=======')
stoch_bullzone = input.color(defval = color.new(#67f06b, 30) , title = 'STOCH bullzone', group = '=======Color=======')
stoch_crossup_color = input.color(defval = color.green , title = 'STOCH crossup', group = '=======Color=======')
stoch_crossdown_color = input.color(defval = color.red , title = 'STOCH crossdown', group = '=======Color=======')
atr_color = input.color(defval = color.gray , title = 'ATR', group = '=======Color=======')
// ta set
ta_stoch_K = ta.sma(ta.stoch(sourcebar , high , low , indi_stoch_K) , indi_stoch_K_smooth)
ta_stoch_D = ta.sma(ta_stoch_K , indi_stoch_D)
ta_rsi = ta.rsi(sourcebar, indi_rsi)
ta_atr = ta.atr(indi_atr)
//rsi tf
ta_rsi_1 = request.security(syminfo.tickerid , tf1 , ta_rsi)
ta_rsi_2 = request.security(syminfo.tickerid , tf2 , ta_rsi)
ta_rsi_3 = request.security(syminfo.tickerid , tf3 , ta_rsi)
ta_rsi_4 = request.security(syminfo.tickerid , tf4 , ta_rsi)
ta_rsi_5 = request.security(syminfo.tickerid , tf5 , ta_rsi)
//%K stoch tf
ta_stoch_1 = request.security(syminfo.tickerid , tf1 , ta_stoch_K)
ta_stoch_2 = request.security(syminfo.tickerid , tf2 , ta_stoch_K)
ta_stoch_3 = request.security(syminfo.tickerid , tf3 , ta_stoch_K)
ta_stoch_4 = request.security(syminfo.tickerid , tf4 , ta_stoch_K)
ta_stoch_5 = request.security(syminfo.tickerid , tf5 , ta_stoch_K)
//%D Stoch tf
ta_stoch_D_1 = request.security(syminfo.tickerid , tf1 , ta_stoch_D)
ta_stoch_D_2 = request.security(syminfo.tickerid , tf2 , ta_stoch_D)
ta_stoch_D_3 = request.security(syminfo.tickerid , tf3 , ta_stoch_D)
ta_stoch_D_4 = request.security(syminfo.tickerid , tf4 , ta_stoch_D)
ta_stoch_D_5 = request.security(syminfo.tickerid , tf5 , ta_stoch_D)
//atr tf
ta_atr_1 = request.security(syminfo.ticker , tf1 , ta_atr)
ta_atr_2 = request.security(syminfo.ticker , tf2 , ta_atr)
ta_atr_3 = request.security(syminfo.ticker , tf3 , ta_atr)
ta_atr_4 = request.security(syminfo.ticker , tf4 , ta_atr)
ta_atr_5 = request.security(syminfo.ticker , tf5 , ta_atr)
//TF
tf_list = array.new_string(112 , '')
array.set(tf_list , 0 , tf1)
array.set(tf_list , 1 , tf2)
array.set(tf_list , 2 , tf3)
array.set(tf_list , 3 , tf4)
array.set(tf_list , 4 , tf5)
//array chart list
chart_list = array.new_string(112 , '')
array.set(chart_list , 0 , chart1)
array.set(chart_list , 1 , chart2)
array.set(chart_list , 2 , chart3)
array.set(chart_list , 3 , chart4)
// symbol rsi
rsi_symbol_1 = array.new_float(800 , 0)
array.set(rsi_symbol_1 , 0 , request.security(chart1 , '' , ta_rsi))
array.set(rsi_symbol_1 , 1 , request.security(chart1 , tf1 , ta_rsi))
array.set(rsi_symbol_1 , 2 , request.security(chart1 , tf2 , ta_rsi))
array.set(rsi_symbol_1 , 3 , request.security(chart1 , tf3 , ta_rsi))
array.set(rsi_symbol_1 , 4 , request.security(chart1 , tf4 , ta_rsi))
array.set(rsi_symbol_1 , 5 , request.security(chart1 , tf5 , ta_rsi))
rsi_symbol_2 = array.new_float(800 , 0)
array.set(rsi_symbol_2 , 0 , request.security(chart2 , '' , ta_rsi))
array.set(rsi_symbol_2 , 1 , request.security(chart2 , tf1 , ta_rsi))
array.set(rsi_symbol_2 , 2 , request.security(chart2 , tf2 , ta_rsi))
array.set(rsi_symbol_2 , 3 , request.security(chart2 , tf3 , ta_rsi))
array.set(rsi_symbol_2 , 4 , request.security(chart2 , tf4 , ta_rsi))
array.set(rsi_symbol_2 , 5 , request.security(chart2 , tf5 , ta_rsi))
rsi_symbol_3 = array.new_float(800 , 0)
array.set(rsi_symbol_3 , 0 , request.security(chart3 , '' , ta_rsi))
array.set(rsi_symbol_3 , 1 , request.security(chart3 , tf1 , ta_rsi))
array.set(rsi_symbol_3 , 2 , request.security(chart3 , tf2 , ta_rsi))
array.set(rsi_symbol_3 , 3 , request.security(chart3 , tf3 , ta_rsi))
array.set(rsi_symbol_3 , 4 , request.security(chart3 , tf4 , ta_rsi))
array.set(rsi_symbol_3 , 5 , request.security(chart3 , tf5 , ta_rsi))
//limit secure request symbol 4 was close
// rsi_symbol_4 = array.new_float(800 , 0)
// array.set(rsi_symbol_4 , 0 , request.security(chart4 , '' , ta_rsi))
// array.set(rsi_symbol_4 , 1 , request.security(chart4 , tf1 , ta_rsi))
// array.set(rsi_symbol_4 , 2 , request.security(chart4 , tf2 , ta_rsi))
// array.set(rsi_symbol_4 , 3 , request.security(chart4 , tf3 , ta_rsi))
// array.set(rsi_symbol_4 , 4 , request.security(chart4 , tf4 , ta_rsi))
// array.set(rsi_symbol_4 , 5 , request.security(chart4 , tf5 , ta_rsi))
//rsi array set
rsi_value = array.new_float(800 , 0)
rsi_color = array.new_color(800 , color.black)
array.set(rsi_value , 0 , ta_rsi)
array.set(rsi_value , 1 , ta_rsi_1)
array.set(rsi_value , 2 , ta_rsi_2)
array.set(rsi_value , 3 , ta_rsi_3)
array.set(rsi_value , 4 , ta_rsi_4)
array.set(rsi_value , 5 , ta_rsi_5)
//stoch color upto value
stoch_value = array.new_float(800 , 0 )
stoch_value_d = array.new_float(800 , 0)
stoch_cross = array.new_string(800 , '')
stoch_color = array.new_color(800 , color.black)
stoch_cross_color = array.new_color(800 , color.yellow)
//%k stoch array set
array.set(stoch_value , 0 , ta_stoch_K)
array.set(stoch_value , 1 , ta_stoch_1)
array.set(stoch_value , 2 , ta_stoch_2)
array.set(stoch_value , 3 , ta_stoch_3)
array.set(stoch_value , 4 , ta_stoch_4)
array.set(stoch_value , 5 , ta_stoch_5)
// %d stoch array set
array.set(stoch_value_d , 0 , ta_stoch_D)
array.set(stoch_value_d , 1 , ta_stoch_D_1)
array.set(stoch_value_d , 2 , ta_stoch_D_2)
array.set(stoch_value_d , 3 , ta_stoch_D_3)
array.set(stoch_value_d , 4 , ta_stoch_D_4)
array.set(stoch_value_d , 4 , ta_stoch_D_5)
//atr array set
atr_value = array.new_float(800, 0)
atr_string = array.new_string(800, '')
array.set(atr_value , 0 , ta_atr)
array.set(atr_value , 1 , ta_atr_1)
array.set(atr_value , 2 , ta_atr_2)
array.set(atr_value , 3 , ta_atr_3)
array.set(atr_value , 4 , ta_atr_4)
array.set(atr_value , 5 , ta_atr_5)
//atr filter
rsi_symbol_1_color = array.new_color(800 , color.black)
rsi_symbol_2_color = array.new_color(800 , color.black)
rsi_symbol_3_color = array.new_color(800 , color.black)
//add hr to string tf
for i = 0 to 4
if str.tonumber(array.get(tf_list , i)) >= 60
array.set(tf_list , i , str.tostring(str.tonumber(array.get(tf_list , i))/60) + 'HR')
//bg rsi symbol 1
for i = 0 to 5
if array.get(rsi_symbol_1 , i) < 30
array.set(rsi_symbol_1_color , i , rsi_oversold)
if array.get(rsi_symbol_1 , i) < 50 and array.get(rsi_symbol_1 , i) > 30
array.set(rsi_symbol_1_color , i , rsi_bearzone)
if array.get(rsi_symbol_1 , i) > 50 and array.get(rsi_symbol_1 , i) < 60
array.set(rsi_symbol_1_color , i , rsi_nature)
if array.get(rsi_symbol_1 , i) > 60 and array.get(rsi_symbol_1 , i) < 70
array.set(rsi_symbol_1_color , i , rsi_bullzone)
if array.get(rsi_symbol_1 , i) > 70
array.set(rsi_symbol_1_color , i , rsi_overbought)
//bg rsi symbol 2
if array.get(rsi_symbol_2 , i) < 30
array.set(rsi_symbol_2_color , i , rsi_oversold)
if array.get(rsi_symbol_2 , i) < 50 and array.get(rsi_symbol_2 , i) > 30
array.set(rsi_symbol_2_color , i , rsi_bearzone)
if array.get(rsi_symbol_2 , i) > 50 and array.get(rsi_symbol_2 , i) < 60
array.set(rsi_symbol_2_color , i , rsi_nature)
if array.get(rsi_symbol_2 , i) > 60 and array.get(rsi_symbol_2 , i) < 70
array.set(rsi_symbol_2_color , i , rsi_bullzone)
if array.get(rsi_symbol_2 , i) > 70
array.set(rsi_symbol_2_color , i , rsi_overbought)
//bg rsi symbol 3
if array.get(rsi_symbol_3 , i) < 30
array.set(rsi_symbol_3_color , i , rsi_oversold)
if array.get(rsi_symbol_3 , i) < 50 and array.get(rsi_symbol_3 , i) > 30
array.set(rsi_symbol_3_color , i , rsi_bearzone)
if array.get(rsi_symbol_3 , i) > 50 and array.get(rsi_symbol_3 , i) < 60
array.set(rsi_symbol_3_color , i , rsi_nature)
if array.get(rsi_symbol_3 , i) > 60 and array.get(rsi_symbol_3 , i) < 70
array.set(rsi_symbol_3_color , i , rsi_bullzone)
if array.get(rsi_symbol_3 , i) > 70
array.set(rsi_symbol_3_color , i , rsi_overbought)
// for i= 0 to 5
// if array.get(atr_value , i) < 0.01
// array.set(rsi_symbol_1 , i , '#.######')
//bg rsi upto value
for i = 0 to 5
if array.get(rsi_value , i) < 30
array.set(rsi_color , i , rsi_oversold)
if array.get(rsi_value , i)<50 and array.get(rsi_value , i) > 30
array.set(rsi_color , i , rsi_bearzone)
if array.get(rsi_value , i)>50 and array.get(rsi_value , i)<60
array.set(rsi_color , i , rsi_nature)
if array.get(rsi_value , i)>60 and array.get(rsi_value , i) < 70
array.set(rsi_color , i , rsi_bullzone)
if array.get(rsi_value , i)>70
array.set(rsi_color , i , rsi_overbought)
//bg stoch upto value
for i = 0 to 5
if array.get(stoch_value , i) > 70
array.set(stoch_color , i , stoch_overbought)
if array.get(stoch_value , i) > 50 and array.get(stoch_value , i) <70
array.set(stoch_color , i , stoch_bullzone)
if array.get(stoch_value , i) > 30 and array.get(stoch_value , i) <50
array.set(stoch_color , i , stoch_bearzone)
if array.get(stoch_value , i) < 30
array.set(stoch_color , i , stoch_oversold)
//stoch cross + bg stoch cross upto value
for i = 0 to 5
if array.get(stoch_value, i) > array.get(stoch_value_d, i)
array.set(stoch_cross , i , 'Crossup' )
array.set(stoch_cross_color , i , stoch_crossup_color)
else
array.set(stoch_cross , i , 'Crossdown' )
array.set(stoch_cross_color , i , stoch_crossdown_color)
//table set
var table1 = table.new(Panel_pos, 30, 30, bgcolor = color.rgb(68, 68, 68, 28), border_width = 1, border_color = color.rgb(255, 255, 255))
table.set_frame_color(table1 , color.white)
table.set_frame_width(table1 , 1)
if left_tab == true
table.cell(table1, 0 , 0 , text = '𓁹 ‿ 𓁹' , text_color = color.white , text_size = Panel_text_size )
table.cell(table1, 0 , 1 , text = 'WatchList' , text_color = color.white , text_size = Panel_text_size )
table.cell(table1, 0 , 2 , text = 'Current chart' , text_color = color.white , text_size = Panel_text_size)
table.cell(table1, 0 , 3 , text = chart1 , text_color = color.white , text_size = Panel_text_size)
table.cell(table1, 0 , 4 , text = chart2 , text_color = color.white , text_size = Panel_text_size)
table.cell(table1, 0 , 5 , text = chart3 , text_color = color.white , text_size = Panel_text_size)
table.cell(table1, 0 , 6 , text = 'Note' , text_color = color.rgb(255, 255, 255) , text_size = Panel_text_size)
if indi_rsi_bool==true
table.merge_cells(table1 , 1, 6 , 6, 6)
table.merge_cells(table1 , 1, 0 ,6 ,0 )
//rsi symbol 1
table.cell(table1,1,3,str.tostring(array.get(rsi_symbol_1 , 0), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_1_color , 0))
table.cell(table1,2,3,str.tostring(array.get(rsi_symbol_1 , 1), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_1_color , 1))
table.cell(table1,3,3,str.tostring(array.get(rsi_symbol_1 , 2), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_1_color , 2))
table.cell(table1,4,3,str.tostring(array.get(rsi_symbol_1 , 3), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_1_color , 3))
table.cell(table1,5,3,str.tostring(array.get(rsi_symbol_1 , 4), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_1_color , 4))
table.cell(table1,6,3,str.tostring(array.get(rsi_symbol_1 , 5), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_1_color , 5))
//rsi symbol 2 , bgcolor = array.get(rsi_symbol_1_color , ))
table.cell(table1,1,4,str.tostring(array.get(rsi_symbol_2 , 0), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_2_color , 0))
table.cell(table1,2,4,str.tostring(array.get(rsi_symbol_2 , 1), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_2_color , 1))
table.cell(table1,3,4,str.tostring(array.get(rsi_symbol_2 , 2), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_2_color , 2))
table.cell(table1,4,4,str.tostring(array.get(rsi_symbol_2 , 3), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_2_color , 3))
table.cell(table1,5,4,str.tostring(array.get(rsi_symbol_2 , 4), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_2_color , 4))
table.cell(table1,6,4,str.tostring(array.get(rsi_symbol_2 , 5), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_2_color , 5))
//rsi symbol 3 , bgcolor = array.get(rsi_symbol_1_color , ))
table.cell(table1,1,5,str.tostring(array.get(rsi_symbol_3 , 0), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_3_color , 0))
table.cell(table1,2,5,str.tostring(array.get(rsi_symbol_3 , 1), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_3_color , 1))
table.cell(table1,3,5,str.tostring(array.get(rsi_symbol_3 , 2), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_3_color , 2))
table.cell(table1,4,5,str.tostring(array.get(rsi_symbol_3 , 3), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_3_color , 3))
table.cell(table1,5,5,str.tostring(array.get(rsi_symbol_3 , 4), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_3_color , 4))
table.cell(table1,6,5,str.tostring(array.get(rsi_symbol_3 , 5), '#.##'), text_color = color.white , text_size = Panel_text_size , bgcolor = array.get(rsi_symbol_3_color , 5))
//Interest chart
table.cell(table1, 1 , 6 , text = note , text_color = color.white , text_size = Panel_text_size)
//rsi symbol 4 // limit secure
// table.cell(table1,1,6,str.tostring(array.get(rsi_symbol_4 , 0), '#.##'), text_color = color.white , text_size = Panel_text_size)
// table.cell(table1,2,6,str.tostring(array.get(rsi_symbol_4 , 1), '#.##'), text_color = color.white , text_size = Panel_text_size)
// table.cell(table1,3,6,str.tostring(array.get(rsi_symbol_4 , 2), '#.##'), text_color = color.white , text_size = Panel_text_size)
// table.cell(table1,4,6,str.tostring(array.get(rsi_symbol_4 , 3), '#.##'), text_color = color.white , text_size = Panel_text_size)
// table.cell(table1,5,6,str.tostring(array.get(rsi_symbol_4 , 4), '#.##'), text_color = color.white , text_size = Panel_text_size)
// table.cell(table1,6,6,str.tostring(array.get(rsi_symbol_4 , 5), '#.##'), text_color = color.white , text_size = Panel_text_size)
//rsi current chart
table.cell(table1,1,0,text = 'RSI',text_color = color.white , text_size = Panel_header_text_size , bgcolor = color.rgb(0, 0, 0)) //header
table.cell(table1,1,1,text = 'CURRENT TF',text_color = color.white , text_size = Panel_text_size)
table.cell(table1,2,1,text = array.get(tf_list , 0),text_color = color.white , text_size = Panel_text_size)
table.cell(table1,3,1,text = array.get(tf_list , 1),text_color = color.white , text_size = Panel_text_size)
table.cell(table1,4,1,text = array.get(tf_list , 2),text_color = color.white , text_size = Panel_text_size)
table.cell(table1,5,1,text = array.get(tf_list , 3),text_color = color.white , text_size = Panel_text_size)
table.cell(table1,6,1,text = array.get(tf_list , 4),text_color = color.white , text_size = Panel_text_size)
table.cell(table1,1,2,str.tostring(ta_rsi, '#.##'), text_color = color.white , bgcolor = (array.get(rsi_color , 0)) , text_size = Panel_text_size )
table.cell(table1,2,2,str.tostring(ta_rsi_1, '#.##'), text_color = color.white , bgcolor = (array.get(rsi_color , 1)) , text_size = Panel_text_size )
table.cell(table1,3,2,str.tostring(ta_rsi_2, '#.##'), text_color = color.white , bgcolor = (array.get(rsi_color , 2)) , text_size = Panel_text_size )
table.cell(table1,4,2,str.tostring(ta_rsi_3, '#.##'), text_color = color.white , bgcolor = (array.get(rsi_color , 3)) , text_size = Panel_text_size )
table.cell(table1,5,2,str.tostring(ta_rsi_4, '#.##'), text_color = color.white , bgcolor = (array.get(rsi_color , 4)) , text_size = Panel_text_size )
table.cell(table1,6,2,str.tostring(ta_rsi_5, '#.##'), text_color = color.white , bgcolor = (array.get(rsi_color , 5)) , text_size = Panel_text_size )
// table.cell(table1,2,1,str.tostring(ta_rsi_1hr[1], '#.##'), text_color = color.white , bgcolor = (bg_color_rsi) , text_size = Panel_text_size )
if indi_stoch_bool == true
table.merge_cells(table1 , 7 , 0 , 12 , 0)
table.cell(table1,7,0,text = 'STOCH', text_color = color.white , text_size = Panel_header_text_size , bgcolor = color.rgb(0, 0, 0)) //header
table.cell(table1,7,1,text = 'CURRENT TF' , text_color = color.white , text_size = Panel_text_size)
table.cell(table1,8,1,text = array.get(tf_list , 0), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,9,1,text = array.get(tf_list , 1), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,10,1,text = array.get(tf_list , 2), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,11,1,text = array.get(tf_list , 3), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,12,1,text = array.get(tf_list , 4), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,7,2,str.tostring(ta_stoch_K,'#.##'), text_color = color.white , bgcolor = array.get(stoch_color , 0) , text_size = Panel_text_size)
table.cell(table1,8,2,str.tostring(ta_stoch_1,'#.##'), text_color = color.white , bgcolor = array.get(stoch_color , 1) , text_size = Panel_text_size)
table.cell(table1,9,2,str.tostring(ta_stoch_2,'#.##'), text_color = color.white , bgcolor = array.get(stoch_color , 2) , text_size = Panel_text_size)
table.cell(table1,10,2,str.tostring(ta_stoch_3,'#.##'), text_color = color.white , bgcolor = array.get(stoch_color , 3) , text_size = Panel_text_size)
table.cell(table1,11,2,str.tostring(ta_stoch_4,'#.##'), text_color = color.white , bgcolor = array.get(stoch_color , 4) , text_size = Panel_text_size)
table.cell(table1,12,2,str.tostring(ta_stoch_5,'#.##'), text_color = color.white , bgcolor = array.get(stoch_color , 5) , text_size = Panel_text_size)
table.cell(table1,7,3, text = array.get(stoch_cross , 0) , text_color = color.white , bgcolor = array.get(stoch_cross_color , 0) , text_size = Panel_text_size)
table.cell(table1,8,3, text = array.get(stoch_cross , 1) , text_color = color.white , bgcolor = array.get(stoch_cross_color , 1) , text_size = Panel_text_size)
table.cell(table1,9,3, text = array.get(stoch_cross , 2) , text_color = color.white , bgcolor = array.get(stoch_cross_color , 2) , text_size = Panel_text_size)
table.cell(table1,10,3, text = array.get(stoch_cross , 3) , text_color = color.white , bgcolor = array.get(stoch_cross_color , 3) , text_size = Panel_text_size)
table.cell(table1,11,3, text = array.get(stoch_cross , 4) , text_color = color.white , bgcolor = array.get(stoch_cross_color , 4) , text_size = Panel_text_size)
table.cell(table1,12,3, text = array.get(stoch_cross , 5) , text_color = color.white , bgcolor = array.get(stoch_cross_color , 5) , text_size = Panel_text_size)
if indi_atr_bool == true
if close < 0.001
table.merge_cells(table1 , 7 , 4 , 12 , 4)
table.cell(table1,7,4,text = 'ATR', text_color = color.white , text_size = Panel_header_text_size , bgcolor = color.rgb(0, 0, 0)) //header
table.cell(table1,7,5,text = 'CURRENT TF', text_color = color.white , text_size = Panel_text_size)
table.cell(table1,8,5,text = array.get(tf_list , 0), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,9,5,text = array.get(tf_list , 1), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,10,5,text = array.get(tf_list , 2), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,11,5,text = array.get(tf_list , 3), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,12,5,text = array.get(tf_list , 4), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,7,6,str.tostring(ta_atr,'#.########'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,8,6,str.tostring(ta_atr_1,'#.########'), text_color = color.white , bgcolor = atr_color, text_size = Panel_text_size)
table.cell(table1,9,6,str.tostring(ta_atr_2,'#.########'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,10,6,str.tostring(ta_atr_3,'#.########'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,11,6,str.tostring(ta_atr_4,'#.########'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,12,6,str.tostring(ta_atr_5,'#.########'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
if close < 0.01 and close > 0.001
table.merge_cells(table1 , 7 , 4 , 12 , 4)
table.cell(table1,7,4,text = 'ATR', text_color = color.white , text_size = Panel_header_text_size , bgcolor = color.rgb(0, 0, 0)) //header
table.cell(table1,7,5,text = 'CURRENT TF', text_color = color.white , text_size = Panel_text_size)
table.cell(table1,8,5,text = array.get(tf_list , 0), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,9,5,text = array.get(tf_list , 1), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,10,5,text = array.get(tf_list , 2), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,11,5,text = array.get(tf_list , 3), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,12,5,text = array.get(tf_list , 4), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,7,6,str.tostring(ta_atr,'#.######'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,8,6,str.tostring(ta_atr_1,'#.######'), text_color = color.white , bgcolor = atr_color, text_size = Panel_text_size)
table.cell(table1,9,6,str.tostring(ta_atr_2,'#.#######'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,10,6,str.tostring(ta_atr_3,'#.#######'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,11,6,str.tostring(ta_atr_4,'#.#######'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,12,6,str.tostring(ta_atr_5,'#.#######'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
if close < 0.1 and close > 0.01
table.merge_cells(table1 , 7 , 4 , 12 , 4)
table.cell(table1,7,4,text = 'ATR', text_color = color.white , text_size = Panel_header_text_size , bgcolor = color.rgb(0, 0, 0)) //header
table.cell(table1,7,5,text = 'CURRENT TF', text_color = color.white , text_size = Panel_text_size)
table.cell(table1,8,5,text = array.get(tf_list , 0), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,9,5,text = array.get(tf_list , 1), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,10,5,text = array.get(tf_list , 2), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,11,5,text = array.get(tf_list , 3), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,12,5,text = array.get(tf_list , 4), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,7,6,str.tostring(ta_atr,'#.#####'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,8,6,str.tostring(ta_atr_1,'#.#####'), text_color = color.white , bgcolor = atr_color, text_size = Panel_text_size)
table.cell(table1,9,6,str.tostring(ta_atr_2,'#.#####'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,10,6,str.tostring(ta_atr_3,'#.#####'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,11,6,str.tostring(ta_atr_4,'#.#####'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,12,6,str.tostring(ta_atr_5,'#.#####'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
if close < 10 and close > 0
table.merge_cells(table1 , 7 , 4 , 12 , 4)
table.cell(table1,7,4,text = 'ATR', text_color = color.white , text_size = Panel_header_text_size , bgcolor = color.rgb(0, 0, 0)) //header
table.cell(table1,7,5,text = 'CURRENT TF', text_color = color.white , text_size = Panel_text_size)
table.cell(table1,8,5,text = array.get(tf_list , 0), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,9,5,text = array.get(tf_list , 1), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,10,5,text = array.get(tf_list , 2), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,11,5,text = array.get(tf_list , 3), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,12,5,text = array.get(tf_list , 4), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,7,6,str.tostring(ta_atr,'#.####'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,8,6,str.tostring(ta_atr_1,'#.####'), text_color = color.white , bgcolor = atr_color, text_size = Panel_text_size)
table.cell(table1,9,6,str.tostring(ta_atr_2,'#.###'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,10,6,str.tostring(ta_atr_3,'#.###'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,11,6,str.tostring(ta_atr_4,'#.###'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,12,6,str.tostring(ta_atr_5,'#.###'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
else if close > 10
table.merge_cells(table1 , 7 , 4 , 12 , 4)
table.cell(table1,7,4,text = 'ATR', text_color = color.white , text_size = Panel_header_text_size , bgcolor = color.rgb(0, 0, 0)) //header
table.cell(table1,7,5,text = 'CURRENT TF', text_color = color.white , text_size = Panel_text_size)
table.cell(table1,8,5,text = array.get(tf_list , 0), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,9,5,text = array.get(tf_list , 1), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,10,5,text = array.get(tf_list , 2), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,11,5,text = array.get(tf_list , 3), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,12,5,text = array.get(tf_list , 4), text_color = color.white , text_size = Panel_text_size)
table.cell(table1,7,6,str.tostring(ta_atr,'#.##'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,8,6,str.tostring(ta_atr_1,'#.##'), text_color = color.white , bgcolor = atr_color, text_size = Panel_text_size)
table.cell(table1,9,6,str.tostring(ta_atr_2,'#.##'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,10,6,str.tostring(ta_atr_3,'#.#'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,11,6,str.tostring(ta_atr_4,'#.#'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size)
table.cell(table1,12,6,str.tostring(ta_atr_5,'#.#'), text_color = color.white , bgcolor = atr_color , text_size = Panel_text_size) |
Recession And Bull Run Warning | https://www.tradingview.com/script/f8h1Hjzt-Recession-And-Bull-Run-Warning/ | chinmaysk1 | https://www.tradingview.com/u/chinmaysk1/ | 129 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © chinmaysk1
//@version=5
indicator("Recession Warning",overlay = true)
// EMA values
ema1 = ta.ema(close,5)
ema2 = ta.ema(close,21)
// Getting moving averages from UNEMPLOY
low_ema = request.security('UNEMPLOY', 'D', ema1)
high_ema = request.security('UNEMPLOY', 'D', ema2)
// Check When Unemploy Avgs Could Cross
cross = ((102 * high_ema[1]) - (22 * low_ema[1])) / 80
// Signals and plots
warning_true = low_ema[2] < high_ema[2] and low_ema >= high_ema
plotshape(warning_true, "Recession Warning", style = shape.circle, location = location.abovebar, color = color.red, size = size.small)
bullrun = low_ema >= high_ema and low_ema[2] > low_ema
plotshape(bullrun, "Bullrun Incoming", style = shape.circle, location = location.belowbar, color = color.green, size = size.small)
current_unemploy = request.security('UNEMPLOY', 'D', close)
projection = label.new(bar_index + 10, close, style = label.style_label_left, color = color.rgb(15,15,15))
label.set_textcolor(projection, color.white)
label.set_textalign(projection, text.align_left)
label.delete(projection[1])
if low_ema < high_ema
label.set_text(projection, "Current Unemployment: " + str.tostring(current_unemploy) + "\nRecession When Unemployment Reaches " + str.tostring(math.round(cross)))
else
label.set_text(projection, "Current Unemployment: " + str.tostring(current_unemploy) + "\nBull Run When Unemployment Drops To " + str.tostring(math.round(cross)) + "\n(Ignore If Green Dot Signalled)")
|
Big Money Flow & Drift Oscillator [Spiritualhealer117] | https://www.tradingview.com/script/tRxPLDfK-Big-Money-Flow-Drift-Oscillator-Spiritualhealer117/ | spiritualhealer117 | https://www.tradingview.com/u/spiritualhealer117/ | 124 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © spiritualhealer117
//@version=5
indicator("BM&D Oscillator")
src = input.source(close,"Source")
len = input(14,"Length")
ret = (src-src[1])/src[1]
vol_cond = volume>ta.ema(volume, len)
drift_arr = array.new<float>(len)
bmf_arr = array.new<float>(len)
for i = 0 to len
if vol_cond[i]
array.insert(bmf_arr,i,ret[i])
else
array.insert(drift_arr,i,ret[i])
drift = array.avg(drift_arr)
bmf = array.avg(bmf_arr)
line1=plot(drift*100, "Drift", #003049)
hline(0)
line2=plot(bmf*100,"Big Money Flow", #003049)
clr = drift>bmf?(drift>0?#eae2b7:#d62828):(bmf>0?#fcbf49:#f77f00)
fill(line1,line2, clr)
|
HZlog | https://www.tradingview.com/script/tBSMkraL-HZlog/ | RafaelZioni | https://www.tradingview.com/u/RafaelZioni/ | 778 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © RafaelZioni
//@version=5
indicator('HZlog ', overlay=true)
src = input(close)
tf = input(3600)
len = timeframe.isintraday and timeframe.multiplier >= 1 ? tf / timeframe.multiplier * 7 : timeframe.isintraday and timeframe.multiplier < 60 ? 60 / timeframe.multiplier * 24 * 7 : 7
ma = ta.ema(src * close, len) / ta.ema(close, len)
//
src1 = ma
z(src1, len) =>
n = 0.0
s = 0.0
for i = 0 to len - 1 by 1
wr = (len - i) * len
n += wr
s += src[i] * wr
s
s / n
hm = 2.0 * z(src1, math.floor(len / 2)) - z(src1, len)
zhma = z(hm, math.floor(math.sqrt(len)))
lineColor = zhma > zhma[2] ? color.lime : color.red
plot(zhma, title='ZHMA', color=lineColor, linewidth=3)
hColor = true
vis = true
hu = hColor ? zhma > zhma[2] ? #00ff00 : #ff0000 : #ff9800
vl = zhma[0]
ll = zhma[2]
m1 = plot(vl, color=hu, linewidth=1, transp=60)
m2 = plot(vis ? ll : na, color=hu, linewidth=2, transp=80)
fill(m1, m2, color=hu, transp=70)
c5 = zhma
f1 = 1
f2 = 1000
//
up = c5 - f1 * math.log(f2)
dn = c5 + f1 * math.log(f2)
//
factor = input.float(title='Factor', defval=0.001, minval=0.001, maxval=5, step=0.01)
hb = 0.00
hb := nz(hb[1])
hl = 0.000
hl := nz(hl[1])
lb = 0.00
lb := nz(lb[1])
l1 = 0.000
l1 := nz(l1[1])
c = 0
c := nz(c[1]) + 1
trend = 0
trend := nz(trend[1])
n = dn
x = up
if barstate.isfirst
c := 0
lb := n
hb := x
l1 := c5
hl := c5
hl
if c == 1
if x >= hb[1]
hb := x
hl := c5
trend := 1
trend
else
lb := n
l1 := c5
trend := -1
trend
if c > 1
if trend[1] > 0
hl := math.max(hl[1], c5)
if x >= hb[1]
hb := x
hb
else
if n < hb[1] - hb[1] * factor
lb := n
l1 := c5
trend := -1
trend
else
l1 := math.min(l1[1], c5)
if n <= lb[1]
lb := n
lb
else
if x > lb[1] + lb[1] * factor
hb := x
hl := c5
trend := 1
trend
v = trend == 1 ? hb : trend == -1 ? lb : na
//plot(v, color=trend == 1 ? color.blue : color.yellow, style=plot.style_circles, linewidth=1, title='trend', join=true, transp=0)
//
long = trend == 1 and trend[1] == -1
short = trend == -1 and trend[1] == 1
//
last_long = 0.0
last_short = 0.0
last_long := long ? time : nz(last_long[1])
last_short := short ? time : nz(last_short[1])
buy = ta.crossover(last_long, last_short)
sell = ta.crossover(last_short, last_long)
/////////////// Plotting ///////////////
plotshape(buy, title='buy', text='Buy', color=color.new(color.green, 0), style=shape.labelup, location=location.belowbar, size=size.small, textcolor=color.new(color.white, 0)) //plot for buy icon
plotshape(sell, title='sell', text='Sell', color=color.new(color.red, 0), style=shape.labeldown, location=location.abovebar, size=size.small, textcolor=color.new(color.white, 0))
/////////////// Alerts ///////////////
alertcondition(buy, title='buy', message='Buy')
alertcondition(sell, title='sell', message='Sell')
|
FinNifty Volumes | https://www.tradingview.com/script/IWcqIJUZ-FinNifty-Volumes/ | bullseyetrading_lko | https://www.tradingview.com/u/bullseyetrading_lko/ | 51 | study | 4 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © carefulTortois38674
//@version=4
study("Finnifty volume",resolution="",format=format.volume)
barColorsOnPrevClose = input(title="Color bars based on previous close", type=input.bool, defval=false)
palette = barColorsOnPrevClose ? close[1] > close ? color.red : color.green : open > close ? color.red : color.green
a= security("NSE:AXISBANK",timeframe.period,volume)
b= security("NSE:BAJAJFINSV",timeframe.period,volume)
c= security("NSE:BAJFINANCE",timeframe.period,volume)
d= security("NSE:CHOLAFIN",timeframe.period,volume)
e= security("NSE:HDFC",timeframe.period,volume)
f= security("NSE:HDFCAMC",timeframe.period,volume)
g= security("NSE:HDFCBANK",timeframe.period,volume)
h= security("NSE:HDFCLIFE",timeframe.period,volume)
i= security("NSE:ICICIBANK",timeframe.period,volume)
j= security("NSE:ICICIGI",timeframe.period,volume)
k= security("NSE:ICICIPRULI",timeframe.period,volume)
l= security("NSE:KOTAKBANK",timeframe.period,volume)
m= security("NSE:MUTHOOTFIN",timeframe.period,volume)
n= security("NSE:PFC",timeframe.period,volume)
o= security("NSE:RECLTD",timeframe.period,volume)
p= security("NSE:SBICARD",timeframe.period,volume)
q= security("NSE:SBILIFE",timeframe.period,volume)
r= security("NSE:SBIN",timeframe.period,volume)
s= security("NSE:SRTRANSFIN",timeframe.period,volume)
Finnifty_volume=a+b+c+d+e+f+g+h+i+j+k+l+m+n+o+p+q+r+s
Finnifty_average=sma(Finnifty_volume,length=input(defval=10))
plot(Finnifty_volume, color = palette, style=plot.style_columns, title="Finnifty volume")
plot(Finnifty_average,color=color.black,title="moving average")
plot(close)
|
Chart CAGR | https://www.tradingview.com/script/xbwxRNY6-Chart-CAGR/ | TradingView | https://www.tradingview.com/u/TradingView/ | 200 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © TradingView
//@version=5
indicator("Chart CAGR", overlay = true)
// Chart CAGR
// v1, 2022.10.09
// This code was written using the recommendations from the Pine Script™ User Manual's Style Guide:
// https://www.tradingview.com/pine-script-docs/en/v5/writing/Style_guide.html
import PineCoders/VisibleChart/1 as chart
import TradingView/ta/2 as ta
//#region ———————————————————— Constants and Inputs
// ————— Constants
color GRAY = color.silver
color NOCOLOR = #FFFFFF00
// ————— Inputs
string infoBoxSizeInput = input.string("normal", "Size ", inline = "display", options = ["tiny", "small", "normal", "large", "huge", "auto"])
string infoBoxYPosInput = input.string("bottom", "↕", inline = "display", options = ["top", "middle", "bottom"])
string infoBoxXPosInput = input.string("right", "↔", inline = "display", options = ["left", "center", "right"])
color infoBoxColorInput = input.color(NOCOLOR, "", inline = "display")
color infoBoxTxtColorInput = input.color(GRAY, "T", inline = "display")
//#endregion
//#region ———————————————————— Functions
//@function Calculates the growth rate as a percent from the `exitPrice` relative to the `entryPrice`.
//@param entryPrice (series float) The entry price.
//@param exitPrice (series float) The exit price.
//@returns (float) The percent growth rate.
growthRate(series float entryPrice, series float exitPrice) =>
float result = (exitPrice / entryPrice - 1) * 100
//#endregion
//#region ———————————————————— Calculations
float firstChartBarOpen = chart.open()
float lastChartBarClose = chart.close()
int firstChartBarTime = chart.left_visible_bar_time
int lastChartBarTime = chart.right_visible_bar_time
float cagr = ta.cagr(firstChartBarTime, firstChartBarOpen, lastChartBarTime, lastChartBarClose)
float gr = growthRate(firstChartBarOpen, lastChartBarClose)
//#endregion
//#region ———————————————————— Visuals
var table infoBox = table.new(infoBoxYPosInput + "_" + infoBoxXPosInput, 2, 3)
if barstate.isfirst
table.cell(infoBox, 0, 0, "Growth rate:", text_color = infoBoxTxtColorInput, text_size = infoBoxSizeInput, bgcolor = infoBoxColorInput)
table.cell(infoBox, 0, 1, "CAGR:", text_color = infoBoxTxtColorInput, text_size = infoBoxSizeInput, bgcolor = infoBoxColorInput)
table.cell(infoBox, 1, 0, "", text_color = infoBoxTxtColorInput, text_size = infoBoxSizeInput, bgcolor = infoBoxColorInput)
table.cell(infoBox, 1, 1, "", text_color = infoBoxTxtColorInput, text_size = infoBoxSizeInput, bgcolor = infoBoxColorInput)
else if barstate.islast
table.cell_set_text(infoBox, 1, 0, str.tostring(gr, format.percent))
table.cell_set_text(infoBox, 1, 1, str.tostring(cagr, format.percent))
//#endregion
|
Altcoin Analyzer [Lysergik] | https://www.tradingview.com/script/fwb7gfGw-Altcoin-Analyzer-Lysergik/ | lysergik | https://www.tradingview.com/u/lysergik/ | 28 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © lysergik
//@version=5
indicator("Altcoin Analyzer [Lysergik]", shorttitle='AltAnal', precision=8)
// ------------
// Inputs
int f_length = input.int(21, 'Fast MA Length', minval=2, group='Configs')
int s_length = input.int(50, 'Slow MA Length', minval=2, group='Configs')
bool use_fma = input.bool(true, 'Show Fast Moving Average', group='Settings')
bool use_sma = input.bool(true, 'Show Slow Moving Average', group='Settings')
bool predict_ema = input.bool(true, 'Show MA Prediction', group='Settings')
bool ema = input.bool(true, 'Use EMA instead of SMA', group='Settings')
bool use_candles = input.bool(true, 'Use Candles', group='Settings')
bool heikin = input.bool(true, 'Heikin Candles', group='Settings')
bool dark_mode = input.bool(true, 'Dark Mode', group='Swag')
bool mini_display = input.bool(false, 'Mini-Display', 'Show less information in the table', group="Swag")
bool col = input.bool(true, 'Color MAs to Reflect the Trend', group='Swag')
// ------------
// Data
float btc_open = request.security("INDEX:BTCUSD",
timeframe.period, open, barmerge.gaps_off, barmerge.lookahead_off)
float btc_high = request.security("INDEX:BTCUSD",
timeframe.period, high, barmerge.gaps_off, barmerge.lookahead_off)
float btc_low = request.security("INDEX:BTCUSD",
timeframe.period, low, barmerge.gaps_off, barmerge.lookahead_off)
float btc_close = request.security("INDEX:BTCUSD",
timeframe.period, close, barmerge.gaps_off, barmerge.lookahead_off)
float o = open/btc_open
float h = high/btc_high
float l = low/btc_low
float c = close/btc_close
float btcusd_change = ( ta.highest(btc_high, 2) ) - ( ta.lowest(btc_low, 2) )
float altusd_change = ( ta.highest(high, 2) ) - ( ta.lowest(low, 2) )
color neutral_col = dark_mode ? color.white : color.black
color back_col = dark_mode ? color.black : color.white
float fMA = 0.00
float sMA = 0.00
string predict_type = "EMA"
bool colInvert = true
string id = syminfo.basecurrency
// ------------
// Pure Functions
ma(_type, _src, _len) =>
if _type == "EMA"
ta.ema(_src, _len)
else if _type == "SMA"
ta.sma(_src, _len)
ma_prediction(_type, _src, _period, _offset) => (ma(_type, _src, _period - _offset) * (_period - _offset) + _src * _offset) / _period
isBelow(_v2, _v1) =>
out = false
if _v1 > _v2
out := true
volatility(_change, _length, _close) =>
lowest_roc = ta.lowest(_change, _length)
highest_roc = ta.highest(_change, _length)
volatility = ta.ema((highest_roc - lowest_roc), 2)
percent = volatility/_close*100
// ------------
// Math & Logic
btc_volatility = volatility(btcusd_change, 21, btc_close)
alt_volatility = volatility(altusd_change, 21, close)
relative_volatility = alt_volatility - btc_volatility
src(_src) =>
Close = not heikin ? c : math.avg(o, h, l, c)
Open = float(na)
Open := not heikin ? o : na(Open[1]) ? (o + c) / 2 : (nz(Open[1]) + nz(Close[1])) / 2
High = not heikin ? h : math.max(h, math.max(Open, Close))
Low = not heikin ? l : math.min(l, math.min(Open, Close))
HL2 = not heikin ? math.avg(l, h) : math.avg(High, Low)
HLC3 = not heikin ? math.avg(l, h, c) : math.avg(High, Low, Close)
OHLC4 = not heikin ? math.avg(o, h, l, c) : math.avg(Open, High, Low, Close)
Price = _src == 'close' ? Close : _src == 'open' ? Open : _src == 'high' ? High : _src == 'low' ? Low : _src == 'hl2' ? HL2 : _src == 'hlc3' ? HLC3 : OHLC4
// PineCoders method for aligning Pine prices with chart instrument prices
//Source = math.round(Price / syminfo.mintick) * syminfo.mintick
if id == ''
id := 'invalid'
if ema
fMA := ta.ema(c, f_length)
sMA := ta.ema(c, s_length)
predict_type := "EMA"
else
fMA := ta.sma(c, f_length)
sMA := ta.sma(c, s_length)
predict_type := "SMA"
longemapredictor_1 = ma_prediction(predict_type, c, s_length, 1)
longemapredictor_2 = ma_prediction(predict_type, c, s_length, 2)
longemapredictor_3 = ma_prediction(predict_type, c, s_length, 3)
longemapredictor_4 = ma_prediction(predict_type, c, s_length, 4)
longemapredictor_5 = ma_prediction(predict_type, c, s_length, 5)
shortemapredictor_1 = ma_prediction(predict_type, c, f_length, 1)
shortemapredictor_2 = ma_prediction(predict_type, c, f_length, 2)
shortemapredictor_3 = ma_prediction(predict_type, c, f_length, 3)
shortemapredictor_4 = ma_prediction(predict_type, c, f_length, 4)
shortemapredictor_5 = ma_prediction(predict_type, c, f_length, 5)
isBullish = c <= fMA ? true : false
slowIsBelow = sMA < fMA ? true : false
color fastCol =
not colInvert ? (isBullish and col ? color.rgb(0,255,0,70) : not isBullish and col ? color.rgb(255,0,0,70) : na) :
(isBullish and col ? color.rgb(255,0,0,70) : not isBullish and col ? color.rgb(0,255,0,70) : na)
color slowCol =
not colInvert ? (slowIsBelow and col ? color.new(color.purple,75) : not slowIsBelow and col ? color.new(color.aqua,75) : na) :
(slowIsBelow and col ? color.new(color.aqua,75) : not slowIsBelow and col ? color.new(color.purple,75) : na)
// ------------
// Front-End
f_plot = plot(use_fma ? fMA : na, 'Fast Moving Average', color=col ? color.black : color.blue, linewidth=2)
s_plot = plot(use_sma ? sMA : na, 'Slow Moving Average', color=color.white, linewidth=2)
main = plot(c, 'Price Line', color=use_candles ? na : neutral_col, trackprice=true)
fill(main, f_plot, color=fastCol)
fill(f_plot, s_plot, color=slowCol)
barColor = not use_candles ? na : src('close') >= src('open') ? color.teal : color.purple
plotcandle(src('open'), src('high'), src('low'), src('close'),
'Candles', color=barColor, wickcolor=not use_candles ? na : color.new(neutral_col, 50), bordercolor=na)
plot(predict_ema and use_sma ? longemapredictor_1 : na, color=isBelow(shortemapredictor_1, longemapredictor_1) ? color.white : color.gray,
linewidth=2, style=plot.style_cross, offset=1, show_last=1, editable=false)
plot(predict_ema and use_sma ? longemapredictor_2 : na, color=isBelow(shortemapredictor_2, longemapredictor_2) ? color.white : color.gray,
linewidth=2, style=plot.style_cross, offset=2, show_last=1, editable=false)
plot(predict_ema and use_sma ? longemapredictor_3 : na, color=isBelow(shortemapredictor_3, longemapredictor_3) ? color.white : color.gray,
linewidth=2, style=plot.style_cross, offset=3, show_last=1, editable=false)
plot(predict_ema and use_sma ? longemapredictor_4 : na, color=isBelow(shortemapredictor_4, longemapredictor_4) ? color.white : color.gray,
linewidth=2, style=plot.style_cross, offset=4, show_last=1, editable=false)
plot(predict_ema and use_sma ? longemapredictor_5 : na, color=isBelow(shortemapredictor_5, longemapredictor_5) ? color.white : color.gray,
linewidth=2, style=plot.style_cross, offset=5, show_last=1, editable=false)
plot(predict_ema and use_fma ? shortemapredictor_1 : na, color=isBelow(shortemapredictor_1, longemapredictor_1) ? color.aqua : color.purple,
linewidth=2, style=plot.style_cross, offset=1, show_last=1, editable=false)
plot(predict_ema and use_fma ? shortemapredictor_2 : na, color=isBelow(shortemapredictor_2, longemapredictor_2) ? color.aqua : color.purple,
linewidth=2, style=plot.style_cross, offset=2, show_last=1, editable=false)
plot(predict_ema and use_fma ? shortemapredictor_3 : na, color=isBelow(shortemapredictor_3, longemapredictor_3) ? color.aqua : color.purple,
linewidth=2, style=plot.style_cross, offset=3, show_last=1, editable=false)
plot(predict_ema and use_fma ? shortemapredictor_4 : na, color=isBelow(shortemapredictor_4, longemapredictor_4) ? color.aqua : color.purple,
linewidth=2, style=plot.style_cross, offset=4, show_last=1, editable=false)
plot(predict_ema and use_fma ? shortemapredictor_5 : na, color=isBelow(shortemapredictor_5, longemapredictor_5) ? color.aqua : color.purple,
linewidth=2, style=plot.style_cross, offset=5, show_last=1, editable=false)
var line realLine = na
varip lineVis = false
if use_candles and
((lineVis == false and not barstate.isconfirmed) or
(barstate.isrealtime and barstate.islast and not barstate.isconfirmed))
line.delete(id=realLine)
realLine := line.new(x1=bar_index[1], y1=c, x2=bar_index, y2=c, width=1, extend=extend.both)
line.set_color(id=realLine, color=c > o ? color.purple : c < o ? color.teal : neutral_col)
line.set_style(id=realLine, style=line.style_dashed)
if barstate.isconfirmed
line.delete(id=realLine)
lineVis := false
var table disp = table.new(position.bottom_right, 710, 2)
if barstate.islast
if not mini_display
table.cell(disp, 0, 0, str.format('{0}/BTC', id), text_color=neutral_col, text_size=size.auto, bgcolor=back_col)
table.cell(disp, 1, 0, str.tostring(c, '0.00000000'), text_color=neutral_col, text_size=size.auto, bgcolor=back_col)
table.cell(disp, 0, 1, str.format('{0} - BTC Volatility', id), text_color=neutral_col, text_size=size.auto, bgcolor=back_col)
table.cell(disp, 1, 1, str.format('{0}%', math.round(relative_volatility, 2)), text_color=neutral_col,
text_size=size.auto, bgcolor=back_col)
else if mini_display
table.cell(disp, 0, 0, str.tostring(c, '0.00000000'), text_color=neutral_col, text_size=size.auto, bgcolor=back_col)
|
Trend/Retracement - ZigZag - New way | https://www.tradingview.com/script/xfLT1Tl1-Trend-Retracement-ZigZag-New-way/ | Sharad_Gaikwad | https://www.tradingview.com/u/Sharad_Gaikwad/ | 547 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Sharad_Gaikwad
//import Sharad_Gaikwad/SSGLibrary/1 as lib
//@version=5
indicator("Trend/Retracement - ZigZag - New way", shorttitle = 'ZigZag - Trend/Retracement', overlay = true, max_lines_count = 500)
//bt_start = input.time(timestamp("01 Jan 2022"))
bt_start = timestamp("01 Jan 1900")
_g1 = '========== Zigzag Parameters =========='
lb_predefined = input.bool(title = 'Use predefined Lookback (See "TF based Lookback period config" section below for defaults)', defval = true, group = _g1)
lb_manual = input.int(title = 'Trend lookback candles (used if predefined is unchecked)', defval = 50, group = _g1)
manual_retracement_percent = input.float(title = 'Retracement % of look back candles', defval = 25, group = _g1)/100
mark_retracements = input.bool(title = 'Mark retracements', defval = true, group = _g1)
plot_zigzag = input.bool(title = 'Plot zigzag', defval = true, group = _g1, inline = 'g1')
trend_color = input.color(title = 'Zigzag line color', defval = color.blue, group = _g1, inline = 'g1')
retrace_color = trend_color
//retrace_color = input.color(title = 'Retracement line color', defval = color.yellow, group = _g1, inline = 'g1')
plot_sr = input.bool(title = 'Plot support/resistance', defval = true, group = _g1, inline = 'l2')
support_line_color = input.color(title = 'Color - Support', defval = color.green, group = _g1, inline = 'l2')
resistance_line_color = input.color(title = 'Color - Resistance', defval = color.red, group = _g1, inline = 'l2')
keep_tested = input.bool(title = 'Show support/resistance tested lines', defval = true, group = _g1)
high_src = input.source(title = 'Data source - High', defval = high, group = _g1)
low_src = input.source(title = 'Data source - Low', defval = low, group = _g1)
_g2 = '========== TF based Lookback period config =========='
tf_min_1 = input.int(title = 'Timeframe in minute', defval = 5, minval = 1, maxval = 1440, group = _g2, inline = 'min1')
tf_min_1_lb = input.int(title = 'Trend lookback candles', defval = 375, group = _g2, inline = 'min1')
tf_min_2 = input.int(title = 'Timeframe in minute', defval = 15, minval = 1, maxval = 1440, group = _g2, inline ='min2')
tf_min_2_lb = input.int(title = 'Trend lookback candles', defval = 250, group = _g2, inline = 'min2')
tf_min_3 = input.int(title = 'Timeframe in minute', defval = 60, minval = 1, maxval = 1440, group = _g2, inline = 'min3')
tf_min_3_lb = input.int(title = 'Trend lookback candles', defval = 90, group = _g2, inline = 'min3')
tf_day_lb = input.int(title = "Trend lookback candles for timeframe 'D'", defval = 30, group = _g2 )
tf_week_lb = input.int(title = "Trend lookback candles for timeframe 'W'", defval = 21, group = _g2 )
tf_month_lb = input.int(title = "Trend lookback candles for timeframe 'M'", defval = 12, group = _g2 )
predefined_retracement_percent = input.float(title = 'Retracement % of look back candles', defval = 25, group = _g2)/100
//=========================
// tf based lb defaults
// tf ~days LB candles
// data
//========================
// 5m 5 375
// 15m 10 250
// 60m 15 90
// 1d 30 30
// 1w 105 21
// 1m 250 12
//========================
//switch_sr = input.bool(title = 'Switch SR lines on 1st cross', defval = true, tooltip = 'Supprt will turn resistance and resistance will turn support only on 1st cross. \n The lines would be removed on 2nd cross')
var tabd = table.new(position=position.bottom_right, columns=1, rows=1)
disp(msg) => table.cell(table_id=tabd, column=0, row=0, text=msg, text_color=color.yellow, text_size = size.small)
tab = table.new(position=position.top_right, columns=10, rows=200,frame_color = color.yellow, frame_width = 1)
msg(int row, int col, string msg_str, clr=color.blue) =>
table.cell(table_id=tab, column=col, row=row, text=msg_str, text_color=clr)
t(val) => str.tostring(val)
remove_lines(_arr , top_bottom = 'Top') =>
size = array.size(_arr)
__arr = array.new<int>()
if(size > 1)
for i = 0 to size - 1
if(top_bottom == 'Top'
and ((not keep_tested and high > line.get_price(array.get(_arr, i), bar_index))
or (keep_tested and close > line.get_price(array.get(_arr, i), bar_index)
or keep_tested and open > line.get_price(array.get(_arr, i), bar_index))))
line.delete(array.get(_arr, i))
array.unshift(__arr, i)
if(top_bottom == 'Bottom'
and ((not keep_tested and low < line.get_price(array.get(_arr, i), bar_index))
or (keep_tested and close < line.get_price(array.get(_arr, i), bar_index)
or keep_tested and open < line.get_price(array.get(_arr, i), bar_index))))
line.delete(array.get(_arr, i))
array.unshift(__arr, i)
_size = array.size(__arr)
if(_size > 1)
for i = 0 to _size - 1
element = array.get(__arr, i)
array.remove(_arr, element)
var top_arr = array.new<line>()
var bottom_arr = array.new<line>()
remove_lines(top_arr, 'Top')
remove_lines(bottom_arr, 'Bottom')
draw(x1, y1, x2, y2, state_) =>
clr = state_ == 'HM' or state_ == 'LM' ? trend_color : retrace_color
ln = line.new(x1, y1, x2, y2, color = clr)
ln
extend(ln, x2, y2, state_) =>
clr = state_ == 'HM' or state_ == 'LM' ? trend_color : retrace_color
line.set_xy2(ln, x2, y2)
line.set_color(ln, clr)
process(_state, _price, _bar, dir, is_pivot) =>
var ln = line.new(na, na, na, na)
var x1 = int(na), var y1 = float(na)
var x2 = int(na), var y2 = float(na)
var is_pending_extend = bool(na)
var pending_x2 = int(na)
var pending_y2 = float(na)
var pending_state = string(na)
// var dow_hip1 = float(na), var dow_lop1 = float(na)
// var dow_hip2 = float(na), var dow_lop2 = float(na)
// var dow_hib1 = int(na), var dow_lob1 = int(na)
// var dow_hib2 = int(na), var dow_lob2 = int(na)
if(plot_zigzag)
new_line = na(ln) ? 1 : 0
wip_line = not na(ln) ? 1 : 0
if(is_pivot)
if((_state != 'NA' and _state[1] == 'NA') or (new_line and _state == _state[1]))
x1 := _bar, y1 := _price
if(new_line and _state != _state[1])
// if(is_pending_extend)
// extend(ln, pending_x2, pending_y2, pending_state)
// is_pending_extend := false
x2 := _bar, y2 := _price
ln := draw(x1, y1, x2, y2, _state)
if(wip_line and dir == dir[1])
x2 := _bar, y2 := _price
// pending_x2 := _bar
// pending_y2 := _price
// pending_state := _state
// is_pending_extend := true
extend(ln, x2, y2, _state)
if(wip_line and dir != dir[1])
// if(is_pending_extend)
// extend(ln, pending_x2, pending_y2, 'HM')
// is_pending_extend := false
x1 := x2, y1 := y2
x2 := _bar, y2 := _price
ln := draw(x1, y1, x2, y2, _state)
[x1, y1, x2, y2]
var wip_state = string('NA'), var wip_price = float(na), var wip_bar = int(na)
var direction = int(na)
var lb_candles = not lb_predefined ? lb_manual
: timeframe.multiplier == tf_min_1 ? tf_min_1_lb
: timeframe.multiplier == tf_min_2 ? tf_min_2_lb
: timeframe.multiplier == tf_min_3 ? tf_min_3_lb
: timeframe.isdaily ? tf_day_lb
: timeframe.isweekly ? tf_week_lb
: timeframe.ismonthly ? tf_month_lb
: 50
var lb_retrace = lb_predefined ? math.max(math.floor(lb_candles * predefined_retracement_percent), 2)
: math.max(math.floor(lb_candles * manual_retracement_percent), 2)
if(barstate.islast)
var trend_msg = str.tostring(lb_candles) +' Candles'
var retrace_msg = not mark_retracements ? 'NA' : str.tostring(lb_retrace) + ' Candles'
disp('Parameters: Trend:'+ trend_msg + ' Retracement:'+ retrace_msg)
phm = time >= bt_start and ta.highestbars(high_src, lb_candles) == 0 ? high_src : na
plm = time >= bt_start and ta.lowestbars(low_src, lb_candles) == 0 ? low_src : na
phr = time >= bt_start and ta.highestbars(high_src, lb_retrace) == 0 ? mark_retracements ? high_src : na : na
plr = time >= bt_start and ta.lowestbars(low_src, lb_retrace) == 0 ? mark_retracements ? low_src : na : na
wip_state := phm ? 'HM' : phr ? 'HR' : plm ? 'LM' : plr ? 'LR' : wip_state
wip_price := phm ? phm : phr ? phr : plm ? plm : plr ? plr : float(na)
wip_bar := phm ? bar_index : phr ? bar_index : plm ? bar_index : plr ? bar_index : int(na)
direction := phm or phr ? 1 : plm or plr ? -1 : direction
if(phm)
if(plot_sr)
lnt = line.new(bar_index, high_src, bar_index+30, high_src, color = resistance_line_color, extend = extend.right)
array.unshift(top_arr, lnt)
if(plm)
if(plot_sr)
lnb = line.new(bar_index, low_src, bar_index+20, low_src, color = support_line_color, extend = extend.right)
array.unshift(bottom_arr, lnb)
if(phr)
if(plot_sr)
lnt = line.new(bar_index, high_src, bar_index+30, high_src, color = resistance_line_color, extend = extend.right)
array.unshift(top_arr, lnt)
if(plr)
if(plot_sr)
lnb = line.new(bar_index, low_src, bar_index+20, low_src, color = support_line_color, extend = extend.right)
array.unshift(bottom_arr, lnb)
[x1, y1, x2, y2] = process(wip_state, wip_price, wip_bar, direction, phm or plm or phr or plr)
// msg(0, 0, "Data")
// msg(1, 0, "wip state = "+t(wip_state))
// msg(2, 0, "wip bar = "+t(wip_bar))
// msg(3, 0, "wip price = "+t(wip_price))
// msg(4, 0, "wip state[1] = "+t(wip_state[1]))
// msg(5, 0, "y1 = "+t(y1))
// msg(6, 0, "y2 = "+t(y2))
// msg(7, 0 ,'Dir / dir[1]= '+t(direction)+ ' / '+t(direction[1]))
// msg(8, 0, 'phm/plm = '+t(phm) + '/ '+t(plm))
// msg(9, 0, 'phr/plr = '+t(phr) + '/ '+t(plr)) |
Volume Buoyancy [LucF] | https://www.tradingview.com/script/18fu8TxD-Volume-Buoyancy-LucF/ | LucF | https://www.tradingview.com/u/LucF/ | 569 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © LucF
//@version=5
int MAX_BARS_BACK = 1000
indicator("Volume Buoyancy [LucF]", "Volume Buoyancy", max_bars_back = MAX_BARS_BACK, timeframe = "", timeframe_gaps = false, precision = 2)
// Buoyancy [LucF]
// v3, 2022.11.06 13:05 — LucF
// This code was written using the recommendations from the Pine Script™ User Manual's Style Guide:
// https://www.tradingview.com/pine-script-docs/en/v5/writing/Style_guide.html
import LucF/ta/2 as LucfTa
//#region ———————————————————— Constants and inputs
// Key levels
float LEVEL_MID = 0.
float LEVEL_HI = 0.3
float LEVEL_LO = -0.3
// Colors
color BLUE = #3179f5
color GRAY = #434651
color GRAY_LT = #9598a1
color GREEN = #006200
color LIME = #00FF00
color MAROON = #800000
color ORANGE = #e65100
color PINK = #FF0080
color YELLOW = #fbc02d
// MAs
string MA01 = "Simple MA"
string MA02 = "Exponential MA"
string MA03 = "Wilder MA"
string MA04 = "Weighted MA"
string MA05 = "Volume-weighted MA"
string MA06 = "Arnaud Legoux MA"
string MA07 = "Hull MA"
string MA08 = "Symmetrically-weighted MA"
// Bar coloring modes
string CB1 = "Buoyancy line"
string CB2 = "MA line"
string CB3 = "Channel fill"
string CB4 = "MA fill"
// Tooltips
string TT_TARGET = "This value specifies the number of bars for which volume is added to calculate the target."
string TT_LINE = "'🡑' and '🡓' indicate bull/bear conditions, which occur when the line is above/below the centerline."
string TT_CHANNEL = "'🡑' and '🡓' indicate bull/bear conditions, which occur when buoyancy is above/below its MA while not also being above/below the centerline.
\n\n'🡑🡑' and '🡓🡓' indicate strong bull/bear conditions, which require buoyancy to be above/below its MA, and above/below the centerline."
// Inputs
int periodInput = input.int(20, "Target bars", inline = "target", minval = 1, maxval = int(MAX_BARS_BACK / 4), tooltip = TT_TARGET)
bool buoyancyShowInput = input.bool(true, "Buoyancy", inline = "buoyancy")
color buoyancyUpColorInput = input.color(GRAY_LT, "🡑", inline = "buoyancy")
color buoyancyDnColorInput = input.color(GRAY_LT, "🡓", inline = "buoyancy", tooltip = TT_LINE)
bool maShowInput = input.bool(false, "MA line", inline = "ma")
color maUpColorInput = input.color(YELLOW, " 🡑", inline = "ma")
color maDnColorInput = input.color(ORANGE, "🡓", inline = "ma")
string maTypeInput = input.string(MA06, "", inline = "ma", options = [MA01, MA02, MA03, MA04, MA05, MA06, MA07, MA08])
int maLengthInput = input.int(20, "Length", inline = "ma", minval = 2, tooltip = TT_LINE)
bool channelShowInput = input.bool(true, "Channel", inline = "channel")
color channelUpColorInput = input.color(GREEN, " 🡑", inline = "channel")
color channelDnColorInput = input.color(MAROON, "🡓", inline = "channel")
color channelUpUpColorInput = input.color(LIME, "🡑🡑", inline = "channel")
color channelDnDnColorInput = input.color(PINK, "🡓🡓", inline = "channel", tooltip = TT_CHANNEL)
bool maFillShowInput = input.bool(true, "MA fill", inline = "maFill")
color maFillUpColorInput = input.color(GRAY, " 🡑", inline = "maFill")
color maFillDnColorInput = input.color(BLUE, "🡓", inline = "maFill")
bool colorBarsInput = input.bool(false, "Color chart bars using the color of", inline = "bars")
string colorBarsModeInput = input.string(CB3, "", inline = "bars", options = [CB1, CB2, CB3, CB4])
//#endregion
//#region ———————————————————— Calculations
// Stop the indicator on charts with no volume.
if barstate.islast and ta.cum(nz(volume)) == 0
runtime.error("No volume is provided by the data vendor.")
// Calculate buoyancy and its MA.
float buoyancy = LucfTa.buoyancy(volume, periodInput, MAX_BARS_BACK)
float ma = LucfTa.ma(maTypeInput, buoyancy, maLengthInput)
// States
bool maIsBull = ma > LEVEL_MID
bool buoyancyIsBull = buoyancy > LEVEL_MID
bool channelIsBull = buoyancy > ma
//#endregion
//#region ———————————————————— Plots
// Plotting colors
color channelColor = channelIsBull ? buoyancyIsBull ? channelUpUpColorInput : channelUpColorInput : buoyancyIsBull ? channelDnColorInput : channelDnDnColorInput
color buoyancyColor = buoyancyIsBull ? buoyancyUpColorInput : buoyancyDnColorInput
color maColor = maIsBull ? maUpColorInput : maDnColorInput
color maChannelTopColor = maIsBull ? maFillUpColorInput : color.new(maFillDnColorInput, 95)
color maChannelBotColor = maIsBull ? color.new(maFillUpColorInput, 95) : maFillDnColorInput
// Plots
buoyancyPlot = plot(buoyancy, "Buoyancy", buoyancyShowInput ? buoyancyColor : na)
maPlot = plot(ma, "MA", maShowInput ? maColor : na)
zeroPlot = plot(LEVEL_MID, "Phantom Mid Level", display = display.none)
// Fill the MA channel (the space between the middle level and the MA).
fill(maPlot, zeroPlot, not maFillShowInput ? na : maIsBull ? LEVEL_HI : LEVEL_MID, maIsBull ? LEVEL_MID : LEVEL_LO, maChannelTopColor, maChannelBotColor)
// Fill the buoyancy channel (between the buoyancy line and its MA).
fill(maPlot, buoyancyPlot, ma, not channelShowInput ? na : buoyancy, color.new(channelColor, 70), channelColor)
// Levels
hline(LEVEL_HI, "High level", buoyancyUpColorInput, hline.style_dotted)
hline(LEVEL_MID, "Mid level", color.gray, hline.style_dotted)
hline(LEVEL_LO, "Low level", buoyancyDnColorInput, hline.style_dotted)
// Color bars
color barColor =
switch colorBarsModeInput
CB1 => buoyancyColor
CB2 => maColor
CB3 => channelColor
CB4 => maIsBull ? maFillUpColorInput : maFillDnColorInput
=> na
barcolor(colorBarsInput ? barColor : na)
//#endregion
|
Multiple RSI One Time Frame | https://www.tradingview.com/script/o2sfa0qY-Multiple-RSI-One-Time-Frame/ | SirDrBroclawEsq | https://www.tradingview.com/u/SirDrBroclawEsq/ | 24 | study | 4 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © SirDrBroclawEsq
//@version=4
study("Multiple RSI")
rsi1length = input(defval=7, title="RSI 1 Length", minval=1, type=input.integer, group="RSI 1 Settings")
rsi1source = input(defval=close, title="RSI 1 Source", type=input.source, group="RSI 1 Settings")
rsi1set = rsi(rsi1source, rsi1length)
rsi2length = input(defval=14, title="RSI 2 Length", minval=1, type=input.integer, group="RSI 2 Settings")
rsi2source = input(defval=close, title="RSI 2 Source", type=input.source, group="RSI 2 Settings")
rsi2set = rsi(rsi2source, rsi2length)
rsi3length = input(defval=21, title="RSI 3 Length", minval=1, type=input.integer, group="RSI 3 Settings")
rsi3source = input(defval=close, title="RSI 3 Source", type=input.source, group="RSI 3 Settings")
rsi3set = rsi(rsi3source, rsi3length)
rsi4length = input(defval=50, title="RSI 4 Length", minval=1, type=input.integer, group="RSI 4 Settings")
rsi4source = input(defval=close, title="RSI 4 Source", type=input.source, group="RSI 4 Settings")
rsi4set = rsi(rsi4source, rsi4length)
rsi5length = input(defval=144, title="RSI 5 Length", minval=1, type=input.integer, group="RSI 5 Settings")
rsi5source = input(defval=close, title="RSI 5 Source", type=input.source, group="RSI 5 Settings")
rsi5set = rsi(rsi5source, rsi5length)
//rsi1 = security(syminfo.tickerid, "5", rsi1set)
//rsi2 = security(syminfo.tickerid, "15", rsi2set)
//rsi3 = security(syminfo.tickerid, "30", rsi3set)
//rsi4 = security(syminfo.tickerid, "60", rsi4set)
//rsi5 = security(syminfo.tickerid, "240", rsi5set)
plot(rsi1set, color=color.aqua)
plot(rsi2set, color=color.navy)
plot(rsi3set, color=color.black)
plot(rsi4set, color=color.green)
plot(rsi5set, color=color.yellow)
|
Hussarya compare DJI SPX BTC | https://www.tradingview.com/script/pmp1FYlY/ | charthussars | https://www.tradingview.com/u/charthussars/ | 8 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © hussarya
//@version=5
indicator(title="Hussarya coin", overlay=true, timeframe="", timeframe_gaps=true)
timeframe = timeframe.period
i_sym = input.symbol("SP:SPX", "Symbol" )
i_sym2 = input.symbol("BINANCE:BTCUSD", "Symbol" )
a1c = request.security(i_sym, timeframe , close)
a2c = request.security(i_sym2, timeframe , close)
spx = a1c * 8
btc = a2c *1.5
plot(spx, color=#cc0000 , linewidth=1 )
plot(btc, color=#00cc00 , linewidth=1 )
|
Reset Strike Options-Type 1 [Loxx] | https://www.tradingview.com/script/CmozzqH5-Reset-Strike-Options-Type-1-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 18 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Reset Strike Options-Type 1 [Loxx]",
shorttitle ="RSIT1 [Loxx]",
overlay = true,
max_lines_count = 500)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/cnd/1
import loxx/cbnd/1
color darkGreenColor = #1B7E02
string srcAPrice = "Source Asset Price"
string manAPrice = "Manual Asset Price"
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
// Reset Strike Option Type 1
ResetOptionGrayWhaleyT1(string CallPutFlag, float S, float X, float tau, float T,float r, float b, float v)=>
float ResetOptionGrayWhaleyT1 = 0
float a1 = (math.log(S / X) + (b + math.pow(v, 2) / 2) * tau) / (v * math.sqrt(tau))
float a2 = a1 - v * math.sqrt(tau)
float y1 = (math.log(S / X) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
float y2 = y1 - v * math.sqrt(T)
float z1 = (b + math.pow(v, 2) / 2) * (T - tau) / (v * math.sqrt(T - tau))
float z2 = z1 - v * math.sqrt(T - tau)
float rho = math.sqrt(tau / T)
if CallPutFlag == callString
ResetOptionGrayWhaleyT1 := math.exp((b - r) * (T - tau))
* cnd.CND1(-a2) * cnd.CND1(z1)
* math.exp(-r * tau)
- math.exp(-r * T) * cnd.CND1(-a2) * cnd.CND1(z2)
- math.exp(-r * T) * cbnd.CBND3(a2, y2, rho)
+ (S / X) * math.exp((b - r) * T) * cbnd.CBND3(a1, y1, rho)
else
ResetOptionGrayWhaleyT1 := math.exp(-r * T) * cnd.CND1(a2) * cnd.CND1(-z2)
- math.exp((b - r) * (T - tau)) * cnd.CND1(a2) * cnd.CND1(-z1) * math.exp(-r * tau)
+ math.exp(-r * T) * cbnd.CBND3(-a2, -y2, rho)
- (S / X) * math.exp((b - r) * T) * cbnd.CBND3(-a1, -y1, rho)
ResetOptionGrayWhaleyT1
EResetOptionGrayWhaleyT1(string OutPutFlag, string CallPutFlag, float S, float X, float tau, float T, float r, float b, float v, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float EResetOptionGrayWhaleyT1 = 0
if OutPutFlag == "p" // Value
EResetOptionGrayWhaleyT1 := ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v)
else if OutPutFlag == "d" //Delta
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S + dS, X, tau, T, r, b, v)
- ResetOptionGrayWhaleyT1(CallPutFlag, S - dS, X, tau, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S + dS, X, tau, T, r, b, v)
- ResetOptionGrayWhaleyT1(CallPutFlag, S - dS, X, tau, T, r, b, v))
/ (2 * dS) * S / ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v)
else if OutPutFlag == "g" //Gamma
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S + dS, X, tau, T, r, b, v)
- 2 * ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v)
+ ResetOptionGrayWhaleyT1(CallPutFlag, S - dS, X, tau, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S + dS, X, tau, T, r, b, v + 0.01)
- 2 * ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v + 0.01)
+ ResetOptionGrayWhaleyT1(CallPutFlag, S - dS, X, tau, T, r, b, v + 0.01)
- ResetOptionGrayWhaleyT1(CallPutFlag, S + dS, X, tau, T, r, b, v - 0.01)
+ 2 * ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v - 0.01)
- ResetOptionGrayWhaleyT1(CallPutFlag, S - dS, X, tau, T, r, b, v - 0.01))
/ (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
EResetOptionGrayWhaleyT1 := S / 100 * (ResetOptionGrayWhaleyT1(CallPutFlag, S + dS, X, tau, T, r, b, v)
- 2 * ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v)
+ ResetOptionGrayWhaleyT1(CallPutFlag, S - dS, X, tau, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
EResetOptionGrayWhaleyT1 := 1 / (4 * dS * 0.01)
* (ResetOptionGrayWhaleyT1(CallPutFlag, S + dS, X, tau, T, r, b, v + 0.01)
- ResetOptionGrayWhaleyT1(CallPutFlag, S + dS, X, tau, T, r, b, v - 0.01)
- ResetOptionGrayWhaleyT1(CallPutFlag, S - dS, X, tau, T, r, b, v + 0.01)
+ ResetOptionGrayWhaleyT1(CallPutFlag, S - dS, X, tau, T, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" //Vega
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v + 0.01)
- ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v + 0.01)
- 2 * ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v)
+ ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v - 0.01)) / math.pow(0.01, 2)/ 10000
else if OutPutFlag == "vp" //VegaP
EResetOptionGrayWhaleyT1 := v / 0.1 * (ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v + 0.01)
- ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v + 0.01)
- 2 * ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v)
+ ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v - 0.01))
else if OutPutFlag == "t" //Theta
if tau <= 1 / 365
EResetOptionGrayWhaleyT1 := ResetOptionGrayWhaleyT1(CallPutFlag, S, X, 0, T - 1 / 365, r, b, v)
- ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v)
else
EResetOptionGrayWhaleyT1 := ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau - 1 / 365, T - 1 / 365, r, b, v)
- ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v)
else if OutPutFlag == "r" //Rho
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r + 0.01, b + 0.01, v)
- ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag == "fr" //Futures options rho
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r + 0.01, b, v)
- ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r - 0.01, b, v)) / 2
else if OutPutFlag == "f" //Rho2
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b - 0.01, v)
- ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b + 0.01, v)) / 2
else if OutPutFlag == "b" //Carry
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b + 0.01, v)
- ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b - 0.01, v)) / 2
else if OutPutFlag == "s" //Speed
EResetOptionGrayWhaleyT1 := 1 / math.pow(dS, 3) * (ResetOptionGrayWhaleyT1(CallPutFlag, S + 2 * dS, X, tau, T, r, b, v)
- 3 * ResetOptionGrayWhaleyT1(CallPutFlag, S + dS, X, tau, T, r, b, v)
+ 3 * ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v)
- ResetOptionGrayWhaleyT1(CallPutFlag, S - dS, X, tau, T, r, b, v))
else if OutPutFlag == "dx" //Strike Delta
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S, X + dS, tau, T, r, b, v)
- ResetOptionGrayWhaleyT1(CallPutFlag, S, X - dS, tau, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "dxdx" //Gamma
EResetOptionGrayWhaleyT1 := (ResetOptionGrayWhaleyT1(CallPutFlag, S, X + dS, tau, T, r, b, v)
- 2 * ResetOptionGrayWhaleyT1(CallPutFlag, S, X, tau, T, r, b, v)
+ ResetOptionGrayWhaleyT1(CallPutFlag, S, X - dS, tau, T, r, b, v)) / math.pow(dS, 2)
EResetOptionGrayWhaleyT1
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float Sm = input.float(100, "Manual Asset Price", group = "Basic Settings")
float Ssrc = input.source(close, "Source Asset Price", group = "Basic Settings")
string assetswtich = input.string(manAPrice, "Asset Price Type", options = [srcAPrice, manAPrice], group = "Basic Settings")
float K = input.float(100, "Strike Price", group = "Basic Settings")
float r = input.float(6., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(6., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(20., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
float S = assetswtich == srcAPrice ? Ssrc : Sm
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int startthruMonth = input.int(12, title = "Reset Time Start Month", minval = 1, maxval = 12, group = "Reset Date/Time")
int startthruDay = input.int(31, title = "Reset Time Start Day", minval = 1, maxval = 31, group = "Reset Date/Time")
int startthruYear = input.int(2022, title = "Reset Time Start Year", minval = 1970, group = "Reset Date/Time")
int startmins = input.int(0, title = "Reset Time Start Minute", minval = 0, maxval = 60, group = "Reset Date/Time")
int starthours = input.int(9, title = "Reset Time Start Hour", minval = 0, maxval = 24, group = "Reset Date/Time")
int startsecs = input.int(0, title = "Reset Time Start Second", minval = 0, maxval = 60, group = "Reset Date/Time")
int expirythruMonth = input.int(3, title = "Expiry Time Month", minval = 1, maxval = 12, group = "Time to Maturity Date/Time")
int expirythruDay = input.int(31, title = "Expiry Time Day", minval = 1, maxval = 31, group = "Time to Maturity Date/Time")
int expirythruYear = input.int(2023, title = "Expiry Time Year", minval = 1970, group = "Time to Maturity Date/Time")
int expirymins = input.int(0, title = "Expiry Time Minute", minval = 0, maxval = 60, group = "Time to Maturity Date/Time")
int expiryhours = input.int(9, title = "Expiry Time Hour", minval = 0, maxval = 24, group = "Time to Maturity Date/Time")
int expirysecs = input.int(0, title = "Expiry Time Second", minval = 0, maxval = 60, group = "Time to Maturity Date/Time")
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
float startstart = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
float startfinish = timestamp(startthruYear, startthruMonth, startthruDay, starthours, startmins, startsecs)
float starttemp = (startfinish - startstart)
float T1 = (startfinish - startstart) / spyr / 1000
// precision calculation miliseconds in time intreval from time equals now
float expirystart = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
float expiryfinish = timestamp(expirythruYear, expirythruMonth, expirythruDay, expiryhours, expirymins, expirysecs)
float expirytemp = (expiryfinish - expirystart)
float T2 = (expiryfinish - expirystart) / spyr / 1000
string txtsize = input.string("Auto", title = "Text Size", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
float rcmpval = switch rcmp
Continuous=> 0
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
if barstate.islast
float sideout = side == "Long" ? 1 : -1
float kouta = convertingToCCRate(r, rcmpval)
float koutb = convertingToCCRate(b, bcmpval)
float amaproxprice = EResetOptionGrayWhaleyT1("p", OpType, S, K, T1, T2, kouta, koutb, v, na)
float Delta = EResetOptionGrayWhaleyT1("d", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Elasticity = EResetOptionGrayWhaleyT1("e", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Gamma = EResetOptionGrayWhaleyT1("g", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float DGammaDvol = EResetOptionGrayWhaleyT1("gv", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float GammaP = EResetOptionGrayWhaleyT1("gp", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Vega = EResetOptionGrayWhaleyT1("v", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float DvegaDvol = EResetOptionGrayWhaleyT1("dvdv", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float VegaP = EResetOptionGrayWhaleyT1("vp", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Theta = EResetOptionGrayWhaleyT1("t", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Rho = EResetOptionGrayWhaleyT1("r", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float RhoFuturesOption = EResetOptionGrayWhaleyT1("fr", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float PhiRho2 = EResetOptionGrayWhaleyT1("f", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Carry = EResetOptionGrayWhaleyT1("b", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float DDeltaDvol = EResetOptionGrayWhaleyT1("dddv", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Speed = EResetOptionGrayWhaleyT1("s", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 18, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Reset Strike Options-Type 1", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Asset Price: " + str.tostring(S) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Asset Price Source: " + assetswtich, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "Strike Price: " + str.tostring(K), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Reset Date/Time: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", startfinish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Maturity Date/Time: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", expiryfinish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Reset Strike Options-Type 1 Price: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
three bar breakout diego | https://www.tradingview.com/script/3fOEj545-three-bar-breakout-diego/ | drjorge | https://www.tradingview.com/u/drjorge/ | 22 | study | 4 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © drjorge
//@version=4
study("3BB",overlay=false)
threebarbreakout1 = (low > low [1] or low > low [2]) and (high < high [1] or high < high[2])
plotchar(threebarbreakout1, char= "3", location=location.bottom, size=size.tiny, color= #e91e63, transp=0, offset=0)
|
myBBands | https://www.tradingview.com/script/Agxg0XQf-myBBands/ | Threshold | https://www.tradingview.com/u/Threshold/ | 28 | study | 4 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Threshold
//@version=4
study(title="myBBands", shorttitle="myBbands", overlay=true)
len_bb = input(20, minval=1, title="BB Length")
mult = input(2.0, minval=0.001, maxval=50, title="StdDev")
bbp = input (100, minval = 3, title ="BBand Pinch length")
src = input(close, title="Source")
basis = sma(src, len_bb)
dev = mult * stdev(src, len_bb)
upper = basis + dev
lower = basis - dev
bbbw = bbw(close, len_bb, mult)
Lowestbbw = lowest(bbbw, bbp)[1]
pinch = float(na)
pinch := bbbw <= Lowestbbw ? 1 : close [1] > upper[1] ? na : close [1] < lower[1] ? na : pinch[1]
plot(basis, color=#ffffff, title="BB Basis", transp=85)
p1 = plot(upper, color=#ffffff, title="BB Upper", transp=85)
p2 = plot(lower, color=#ffffff, title="BB Lower", transp=85)
plot(pinch == 1 ? upper : na, style = plot.style_linebr, linewidth=2, color=#ff00ff, transp=10, title= 'BBand Pinch Coloru')
plot(pinch == 1 ? lower : na, style = plot.style_linebr, linewidth=2, color=#ff00ff, transp=10, title= 'BBand Pinch Colord')
fill(p1, p2, color=iff(pinch == 1, #9598a1, na), transp= 77, title= "Pinch Background")
// |
Reset Strike Options-Type 2 (Gray Whaley) [Loxx] | https://www.tradingview.com/script/yrtqazX9-Reset-Strike-Options-Type-2-Gray-Whaley-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 19 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Reset Strike Options-Type 2 (Gray Whaley) [Loxx]",
shorttitle ="RSOT2 [Loxx]",
overlay = true,
max_lines_count = 500)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/cnd/1
import loxx/cbnd/1
color darkGreenColor = #1B7E02
string srcAPrice = "Source Asset Price"
string manAPrice = "Manual Asset Price"
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
ResetOptionGrayWhaley(string CallPutFlag, float S, float X, float tau, float T, float r, float b, float v)=>
float ResetOptionGrayWhaley = 0
float a1 = (math.log(S / X) + (b + math.pow(v, 2) / 2) * tau) / (v * math.sqrt(tau))
float a2 = a1 - v * math.sqrt(tau)
float y1 = (math.log(S / X) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
float y2 = y1 - v * math.sqrt(T)
float z1 = (b + math.pow(v, 2) / 2) * (T - tau) / (v * math.sqrt(T - tau))
float z2 = z1 - v * math.sqrt(T - tau)
float rho = math.sqrt(tau / T)
if CallPutFlag == callString
ResetOptionGrayWhaley := S * math.exp((b - r) * T) * cbnd.CBND3(a1, y1, rho)
- X * math.exp(-r * T) * cbnd.CBND3(a2, y2, rho)
- S * math.exp((b - r) * tau) * cnd.CND1(-a1) * cnd.CND1(z2) * math.exp(-r * (T - tau))
+ S * math.exp((b - r) * T) * cnd.CND1(-a1) * cnd.CND1(z1)
else
ResetOptionGrayWhaley := S * math.exp((b - r) * tau) * cnd.CND1(a1) * cnd.CND1(-z2) * math.exp(-r * (T - tau))
- S * math.exp((b - r) * T) * cnd.CND1(a1) * cnd.CND1(-z1)
+ X * math.exp(-r * T) * cbnd.CBND3(-a2, -y2, rho)
- S * math.exp((b - r) * T) * cbnd.CBND3(-a1, -y1, rho)
ResetOptionGrayWhaley
EResetOptionGrayWhaley(string OutPutFlag, string CallPutFlag, float S, float X, float tau, float T, float r, float b, float v, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float EResetOptionGrayWhaley = 0
if OutPutFlag == "p" // Value
EResetOptionGrayWhaley := ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v)
else if OutPutFlag == "d" //Delta
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S + dS, X, tau, T, r, b, v)
- ResetOptionGrayWhaley(CallPutFlag, S - dS, X, tau, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S + dS, X, tau, T, r, b, v)
- ResetOptionGrayWhaley(CallPutFlag, S - dS, X, tau, T, r, b, v))
/ (2 * dS) * S / ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v)
else if OutPutFlag == "g" //Gamma
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S + dS, X, tau, T, r, b, v)
- 2 * ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v)
+ ResetOptionGrayWhaley(CallPutFlag, S - dS, X, tau, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S + dS, X, tau, T, r, b, v + 0.01)
- 2 * ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v + 0.01)
+ ResetOptionGrayWhaley(CallPutFlag, S - dS, X, tau, T, r, b, v + 0.01)
- ResetOptionGrayWhaley(CallPutFlag, S + dS, X, tau, T, r, b, v - 0.01)
+ 2 * ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v - 0.01)
- ResetOptionGrayWhaley(CallPutFlag, S - dS, X, tau, T, r, b, v - 0.01)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
EResetOptionGrayWhaley := S / 100 * (ResetOptionGrayWhaley(CallPutFlag, S + dS, X, tau, T, r, b, v)
- 2 * ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v)
+ ResetOptionGrayWhaley(CallPutFlag, S - dS, X, tau, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
EResetOptionGrayWhaley := 1 / (4 * dS * 0.01) * (ResetOptionGrayWhaley(CallPutFlag, S + dS, X, tau, T, r, b, v + 0.01)
- ResetOptionGrayWhaley(CallPutFlag, S + dS, X, tau, T, r, b, v - 0.01)
- ResetOptionGrayWhaley(CallPutFlag, S - dS, X, tau, T, r, b, v + 0.01)
+ ResetOptionGrayWhaley(CallPutFlag, S - dS, X, tau, T, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" //Vega
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v + 0.01)
- ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v + 0.01)
- 2 * ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v)
+ ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v - 0.01)) / math.pow(0.01, 2)/ 10000
else if OutPutFlag == "vp" //VegaP
EResetOptionGrayWhaley := v / 0.1 * (ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v + 0.01)
- ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v + 0.01)
- 2 * ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v)
+ ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v - 0.01))
else if OutPutFlag == "t" //Theta
if tau <= 1 / 365
EResetOptionGrayWhaley := ResetOptionGrayWhaley(CallPutFlag, S, X, 0, T - 1 / 365, r, b, v)
- ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v)
else
EResetOptionGrayWhaley := ResetOptionGrayWhaley(CallPutFlag, S, X, tau - 1 / 365, T - 1 / 365, r, b, v)
- ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v)
else if OutPutFlag == "r" //Rho
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r + 0.01, b + 0.01, v)
- ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag == "fr" //Futures options rho
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r + 0.01, b, v)
- ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r - 0.01, b, v)) / 2
else if OutPutFlag == "f" //Rho2
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b - 0.01, v)
- ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b + 0.01, v)) / 2
else if OutPutFlag == "b" //Carry
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b + 0.01, v)
- ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b - 0.01, v)) / 2
else if OutPutFlag == "s" //Speed
EResetOptionGrayWhaley := 1 / math.pow(dS, 3) * (ResetOptionGrayWhaley(CallPutFlag, S + 2 * dS, X, tau, T, r, b, v)
- 3 * ResetOptionGrayWhaley(CallPutFlag, S + dS, X, tau, T, r, b, v)
+ 3 * ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v)
- ResetOptionGrayWhaley(CallPutFlag, S - dS, X, tau, T, r, b, v))
else if OutPutFlag == "dx" //Strike Delta
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S, X + dS, tau, T, r, b, v)
- ResetOptionGrayWhaley(CallPutFlag, S, X - dS, tau, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "dxdx" //Gamma
EResetOptionGrayWhaley := (ResetOptionGrayWhaley(CallPutFlag, S, X + dS, tau, T, r, b, v)
- 2 * ResetOptionGrayWhaley(CallPutFlag, S, X, tau, T, r, b, v)
+ ResetOptionGrayWhaley(CallPutFlag, S, X - dS, tau, T, r, b, v)) / math.pow(dS, 2)
EResetOptionGrayWhaley
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float Sm = input.float(100, "Manual Asset Price", group = "Basic Settings")
float Ssrc = input.source(close, "Source Asset Price", group = "Basic Settings")
string assetswtich = input.string(manAPrice, "Asset Price Type", options = [srcAPrice, manAPrice], group = "Basic Settings")
float K = input.float(100, "Strike Price", group = "Basic Settings")
float r = input.float(10., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(10., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
float S = assetswtich == srcAPrice ? Ssrc : Sm
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int startthruMonth = input.int(12, title = "Reset Time Month", minval = 1, maxval = 12, group = "Reset Date/Time")
int startthruDay = input.int(31, title = "Reset Time Day", minval = 1, maxval = 31, group = "Reset Date/Time")
int startthruYear = input.int(2022, title = "Reset Time Year", minval = 1970, group = "Reset Date/Time")
int startmins = input.int(0, title = "Reset Time Minute", minval = 0, maxval = 60, group = "Reset Date/Time")
int starthours = input.int(9, title = "Reset Time Hour", minval = 0, maxval = 24, group = "Reset Date/Time")
int startsecs = input.int(0, title = "Reset Time Second", minval = 0, maxval = 60, group = "Reset Date/Time")
int expirythruMonth = input.int(3, title = "Maturity Time Month", minval = 1, maxval = 12, group = "Time to Maturity Date/Time")
int expirythruDay = input.int(31, title = "Maturity Time Day", minval = 1, maxval = 31, group = "Time to Maturity Date/Time")
int expirythruYear = input.int(2023, title = "Maturity Time Year", minval = 1970, group = "Time to Maturity Date/Time")
int expirymins = input.int(0, title = "Maturity Time Minute", minval = 0, maxval = 60, group = "Time to Maturity Date/Time")
int expiryhours = input.int(9, title = "Maturity Time Hour", minval = 0, maxval = 24, group = "Time to Maturity Date/Time")
int expirysecs = input.int(0, title = "Maturity Time Second", minval = 0, maxval = 60, group = "Time to Maturity Date/Time")
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
float startstart = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
float startfinish = timestamp(startthruYear, startthruMonth, startthruDay, starthours, startmins, startsecs)
float starttemp = (startfinish - startstart)
float T1 = (startfinish - startstart) / spyr / 1000
// precision calculation miliseconds in time intreval from time equals now
float expirystart = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
float expiryfinish = timestamp(expirythruYear, expirythruMonth, expirythruDay, expiryhours, expirymins, expirysecs)
float expirytemp = (expiryfinish - expirystart)
float T2 = (expiryfinish - expirystart) / spyr / 1000
string txtsize = input.string("Auto", title = "Text Size", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
float rcmpval = switch rcmp
Continuous=> 0
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
if barstate.islast
float sideout = side == "Long" ? 1 : -1
float kouta = convertingToCCRate(r, rcmpval)
float koutb = convertingToCCRate(b, bcmpval)
float amaproxprice = EResetOptionGrayWhaley("p", OpType, S, K, T1, T2, kouta, koutb, v, na)
float Delta = EResetOptionGrayWhaley("d", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Elasticity = EResetOptionGrayWhaley("e", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Gamma = EResetOptionGrayWhaley("g", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float DGammaDvol = EResetOptionGrayWhaley("gv", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float GammaP = EResetOptionGrayWhaley("gp", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Vega = EResetOptionGrayWhaley("v", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float DvegaDvol = EResetOptionGrayWhaley("dvdv", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float VegaP = EResetOptionGrayWhaley("vp", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Theta = EResetOptionGrayWhaley("t", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Rho = EResetOptionGrayWhaley("r", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float RhoFuturesOption = EResetOptionGrayWhaley("fr", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float PhiRho2 = EResetOptionGrayWhaley("f", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Carry = EResetOptionGrayWhaley("b", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float DDeltaDvol = EResetOptionGrayWhaley("dddv", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float Speed = EResetOptionGrayWhaley("s", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float StrikeDelta = EResetOptionGrayWhaley("dx", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
float StrikeGamma = EResetOptionGrayWhaley("dxdx", OpType, S, K, T1, T2, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 20, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Reset Strike Options-Type 2 (Gray Whaley)", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Asset Price: " + str.tostring(S) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Asset Price Source: " + assetswtich, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "Strike Price: " + str.tostring(K), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Reset Date/Time: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", startfinish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Maturity Date/Time: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", expiryfinish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Reset Strike Options-Type 2 (Gray Whaley) Price: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
[Floride] 4 Layers of Bollinger Shadow | https://www.tradingview.com/script/68VJWmkn/ | Floride11 | https://www.tradingview.com/u/Floride11/ | 83 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Floride
//@version=5
indicator('MLBS - Multi Layers of Bollinger Shadow', 'MLBS', overlay=true)
len = input.int(192, minval=1, title='주기-기간')
len2 = len * 2
len3 = len * 3
len4 = len * 4
len5 = len * 5
len15 = math.round(len * 1.5)
len25 = math.round(len * 2.5)
len35 = math.round(len * 3.5)
len45 = math.round(len * 4.5)
len55 = math.round(len * 5.5)
tunaon = input(true,"Tuna signal ON")
lmarlinon = input(true,"Little Marlin signal ON")
marlinon = input(true,"Marlin signal ON")
src = input(close, title='Input Source')
// m1 = input(1, minval=0.001, maxval=50)
m2 = input.float(1.62, minval=0.001, maxval=50)
m3 = input.float(2.62, minval=0.001, maxval=50)
cl = ta.ema(src, len) // central line
dev11 = m2 * ta.stdev(src, len)
up11 = cl + dev11
low11 = cl - dev11
dev12 = m3 * ta.stdev(src, len)
up12 = cl + dev12
low12 = cl - dev12
dev151 = m2 * ta.stdev(src, len15)
up151 = cl + dev151
low151 = cl - dev151
dev152 = m3 * ta.stdev(src, len15)
up152 = cl + dev152
low152 = cl - dev152
dev22 = m2 * ta.stdev(src, len2)
up22 = cl + dev22
low22 = cl - dev22
dev252 = m2 * ta.stdev(src, len25)
up252 = cl + dev252
low252 = cl - dev252
dev32 = m2 * ta.stdev(src, len3)
up32 = cl + dev32
low32 = cl - dev32
dev352 = m2 * ta.stdev(src, len35)
up352 = cl + dev352
low352 = cl - dev352
dev42 = m2 * ta.stdev(src, len4)
up42 = cl + dev42
low42 = cl - dev42
dev452 = m2 * ta.stdev(src, len45)
up452 = cl + dev452
low452 = cl - dev452
dev52 = m2 * ta.stdev(src, len5)
up52 = cl + dev52
low52 = cl - dev52
dev53 = m3 * ta.stdev(src, len5)
up53 = cl + dev53
low53 = cl - dev53
L1ON = input(true, 'L1(Basis Layer) ON')
L2ON = input(true, 'L2 ON')
L3ON = input(true, 'L3 ON')
L4ON = input(true, 'L4 ON')
PRON = input(true, 'Precedence Layer on') //precede layer 1,2 on
betweenshadowon = input(true, 'Shadows between shadows ON?')
shadeoff = input(false,"shade off")
plot(PRON ? up11 : na, 'up11', color=color.new(#acff2f, 50), linewidth=0 ,style=plot.style_circles)
plot(PRON ? low11 : na, 'low11', color=color.new(#acff2f, 55), linewidth=0,style=plot.style_circles)
plot(PRON ? up151 : na, 'up151', color=color.new(#aee161, 25), linewidth=1,style=plot.style_circles)
plot(PRON ? low151 : na, 'low151', color=color.new(#acdf60, 22), linewidth=1,style=plot.style_circles)
pu252 = plot(L1ON and betweenshadowon? up252 : na, 'up2', color=color.new(#006400, 33), linewidth=3)
pl252 = plot(L1ON and betweenshadowon? low252 : na, 'low2', color=color.new(#006400, 33), linewidth=3)
pu32 = plot(L2ON ? up32 : na, 'up32', color=color.new(#414b94, 32), linewidth=3)
pl32 = plot(L2ON ? low32 : na, 'low32', color=color.new(#414b94, 44), linewidth=3)
pu352 = plot(L2ON and betweenshadowon? up352 : na, 'up352', color=color.new(#414b94, 55), linewidth=2)
pl352 = plot(L2ON and betweenshadowon? low352 : na, 'low352', color=color.new(#414b94, 55), linewidth=2)
pu42 = plot(L3ON ? up42 : na, 'up42', color=color.new(#737373, 55), linewidth=2)
pl42 = plot(L3ON ? low42 : na, 'low42', color=color.new(#737373, 55), linewidth=2)
pu452 = plot(L3ON and betweenshadowon? up452 : na, 'up452', color=color.new(#737373, 66), linewidth=2)
pl452 = plot(L3ON and betweenshadowon? low452 : na, 'low452', color=color.new(#737373, 66), linewidth=2)
pu52 = plot(L4ON ? up52 : na, 'up22', color=color.new(#FF0000, 66), linewidth=4)
pl52 = plot(L4ON ? low52 : na, 'low22', color=color.new(#FF0000, 66), linewidth=4)
pu53 = plot(L4ON ? up53 : na, 'up23', color=color.new(#FF0000, 33), linewidth=2)
pl53 = plot(L4ON ? low53 : na, 'low23', color=color.new(#FF0000, 33), linewidth=2)
CL = plot(cl, 'cl', color=color.new(color.gray, 0), linewidth=4)
MP = plot(hl2,color=color.new(color.silver,99))
var tr0 = 0
var tr0s = 0
if ta.crossover(close, up22)
tr0 := 1
if ta.crossunder(close, up22)
tr0 := 0
if ta.crossunder(close, low22)
tr0 := -1
if ta.crossover(close, low22)
tr0 := 0
low3 = ta.ema(low,3)
high3 = ta.ema(high,3)
if ta.crossover(low3, up22)
tr0s := 1
if ta.crossunder(high3, low22)
tr0s := -1
var float tr0p = na
float tuna = na
if tr0s[1] != 1 and tr0s == 1 and tunaon
tuna := close
if tr0s[1] != -1 and tr0s == -1 and tunaon
tuna := close
tr0cu = tr0 == 1 ? color.lime : na
tr0cl = tr0 == -1 ? color.lime : na
plot(tunaon ? tuna : na,color=color.lime,linewidth=7,style=plot.style_cross)
var tr1 = 0
if ta.crossover(close, up32)
tr1 := 1
if ta.crossunder(close, up32)
tr1 := 0
if ta.crossunder(close, low32)
tr1 := -1
if ta.crossover(close, low32)
tr1 := 0
tr1cu = tr1 == 1 ? color.rgb(255, 153, 0, 25) : na
tr1cl = tr1 == -1 ? color.rgb(255, 153, 0, 33) : na
float marlin = na
float lmarlin = na
var int tr3s = na
var tr3 = 0
if ta.crossover(close, up53)
tr3 := 1
if ta.crossunder(close, up53)
tr3 := 0
if ta.crossunder(close, low53)
tr3 := -1
if ta.crossover(close, low53)
tr3 := 0
if ta.crossunder((hl2+close)/2, low52)
tr3s := -1
if ta.crossover((hl2+close)/2 , up52)
tr3s := 1
if tr3s[1] == -1 and tr3s == 1
lmarlin := close
if tr3s[1] == 1 and tr3s == -1
lmarlin := close
tr3sc = tr3s == 1 ? color.new(color.orange,96) : color.new(color.lime,77)
tr0bgon = input(true,"L1 transition BGC ON")
tr3bgon = input(false,"L4 transition BGC ON")
bgcolor(tr0bgon and tr0s == 1 ? color.new(color.orange,99) : tr0bgon and tr0s == -1 ? color.new(color.blue,80) : na)
bgcolor(tr3bgon ? tr3sc : na)
if ta.crossover(low, up53) and marlinon
marlin := close
if ta.crossunder(high, low53) and marlinon
marlin := close
tr3cu = tr3 == 1 ? color.red : na
tr3cl = tr3 == -1 ? color.red : na
plot(marlinon ? marlin : na,style=plot.style_cross,linewidth=12,color=color.red)
plot(lmarlinon ? lmarlin : na,style=plot.style_cross,linewidth=9,color=color.rgb(243, 226, 77))
pu22 = plot(L1ON ? up22 : na, 'up2' , color=color.new(#d3ff91, 55), linewidth=10)
pl22 = plot(L1ON ? low22 : na, 'low2', color=color.new(#d3ff91, 55), linewidth=10)
plot(L1ON and tr0s == -1 ? up22 : na, 'up2' , color=color.new(#ADFF2F, 0), linewidth=9,style= plot.style_linebr)
plot(L1ON and tr0s == 1 ? low22 : na, 'low2' , color=color.new(#ADFF2F, 0), linewidth=9,style= plot.style_linebr)
plot(L1ON and tr0s == -1 ? up22 : na, 'up2' , color=color.new(#7cc254, 19) , linewidth=6 ,style= plot.style_linebr)
plot(L1ON and tr0s == 1 ? low22 : na, 'low2', color=color.new(#7cc254, 19), linewidth=6 ,style= plot.style_linebr)
plot(L1ON and tr0s == -1 ? up22 : na, 'up2' , color=color.new(#006400, 0), linewidth=3,style= plot.style_linebr)
plot(L1ON and tr0s == 1 ? low22 : na, 'low2', color=color.new(#006400, 0), linewidth=3,style= plot.style_linebr)
alttrend = input(false,"alt trend")
plot(alttrend == false ? up22 : na, 'up2' , color=color.new(#ADFF2F, 77), linewidth=4,style= plot.style_linebr)
plot(alttrend == false ? low22 : na, 'low2' , color=color.new(#ADFF2F, 77), linewidth=4,style= plot.style_linebr)
plot(alttrend == false ? up22 : na, 'up2' , color=color.new(#7cc254, 22) , linewidth=3 ,style= plot.style_linebr)
plot(alttrend == false ? low22 : na, 'low2', color=color.new(#7cc254, 22), linewidth=3 ,style= plot.style_linebr)
plot(alttrend == false ? up22 : na, 'up2' , color=color.new(#006400, 0), linewidth=2,style= plot.style_linebr)
plot(alttrend == false ? low22 : na, 'low2', color=color.new(#006400, 0), linewidth=2,style= plot.style_linebr)
fill(pu52, pl52, color=shadeoff ? na :color.new(color.red, 88))
fill(pu42, pl42, color=shadeoff ? na :color.new(#737373, 80))
fill(pu32, pl32, color=shadeoff ? na : color.new(#414b94, 80))
fill(pu22, pl22, color=shadeoff ? na : color.new(color.green, 77))
fill(MP, pu22, color=tr0cu )
fill(MP, pl22, color=tr0cl )
fill(MP, pu32, color=tr1cu )
fill(MP, pl32, color=tr1cl )
fill(MP, pu53, color=tr3cu )
fill(MP, pl53, color=tr3cl )
alertcondition(tr0 > 0 and tuna , title='ASCENDING TUNA' , message = 'ASCENDING TUNA-상승참치')
alertcondition(tr0 < 0 and tuna , title='DESCENDING TUNA' , message = 'DESCENDING TUNA-하락참치')
alertcondition(tr0 > 0 and lmarlin , title='ASCENDING LITTLE MARLIN-상승소새치', message = 'ASCENDING LITTLE MARLIN-상승소새치')
alertcondition(tr0 < 0 and lmarlin , title='DESCENDING LITTLE MARLIN-하락소새치', message = 'DESCENDING LITTLE MARLIN-하락소새치')
alertcondition(tr0 > 0 and marlin , title='ASCENDING MARLIN-상승청새치', message = 'ASCENDING MARLIN-상승청새치')
alertcondition(tr0 < 0 and marlin , title='DESCENDING MARLIN-하락청새치', message = 'DESCENDING MARLIN-하락청새치')
// © Floride
|
Writer Extendible Option [Loxx] | https://www.tradingview.com/script/4eCSgAnR-Writer-Extendible-Option-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 11 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Writer Extendible Option [Loxx]",
shorttitle ="WEO [Loxx]",
overlay = true,
max_lines_count = 500)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/cnd/1
import loxx/cbnd/1
color darkGreenColor = #1B7E02
string srcAPrice = "Source Asset Price"
string manAPrice = "Manual Asset Price"
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
//// Writer extendible options
ExtendibleWriter(string CallPutFlag, float S, float X1, float X2, float t1, float T2, float r, float b, float v)=>
float ExtendibleWriter = 0
float rho = math.sqrt(t1 / T2)
float z1 = (math.log(S / X2) + (b + math.pow(v, 2) / 2) * T2) / (v * math.sqrt(T2))
float z2 = (math.log(S / X1) + (b + math.pow(v, 2) / 2) * t1) / (v * math.sqrt(t1))
if CallPutFlag == callString
ExtendibleWriter := GBlackScholes(CallPutFlag, S, X1, t1, r, b, v)
+ S * math.exp((b - r) * T2) * cbnd.CBND3(z1, -z2, -rho)
- X2 * math.exp(-r * T2) * cbnd.CBND3(z1 - math.sqrt(math.pow(v, 2) * T2), -z2 + math.sqrt(math.pow(v, 2) * t1), -rho)
else
ExtendibleWriter := GBlackScholes(CallPutFlag, S, X1, t1, r, b, v)
+ X2 * math.exp(-r * T2) * cbnd.CBND3(-z1 + math.sqrt(math.pow(v, 2) * T2), z2
- math.sqrt(math.pow(v, 2) * t1), -rho) - S * math.exp((b - r) * T2) * cbnd.CBND3(-z1, z2, -rho)
ExtendibleWriter
EExtendibleWriter(string OutPutFlag, string CallPutFlag, float S, float X1, float X2, float t1, float T2, float r, float b, float v, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float EExtendibleWriter = 0
if OutPutFlag == "p" // Value
EExtendibleWriter := ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v)
else if OutPutFlag == "d" //Delta
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S + dS, X1, X2, t1, T2, r, b, v)
- ExtendibleWriter(CallPutFlag, S - dS, X1, X2, t1, T2, r, b, v)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S + dS, X1, X2, t1, T2, r, b, v)
- ExtendibleWriter(CallPutFlag, S - dS, X1, X2, t1, T2, r, b, v))
/ (2 * dS) * S / ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v)
else if OutPutFlag == "g" //Gamma
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S + dS, X1, X2, t1, T2, r, b, v)
- 2 * ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v)
+ ExtendibleWriter(CallPutFlag, S - dS, X1, X2, t1, T2, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S + dS, X1, X2, t1, T2, r, b, v + 0.01)
- 2 * ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v + 0.01)
+ ExtendibleWriter(CallPutFlag, S - dS, X1, X2, t1, T2, r, b, v + 0.01)
- ExtendibleWriter(CallPutFlag, S + dS, X1, X2, t1, T2, r, b, v - 0.01)
+ 2 * ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v - 0.01)
- ExtendibleWriter(CallPutFlag, S - dS, X1, X2, t1, T2, r, b, v - 0.01)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
EExtendibleWriter := S / 100 * (ExtendibleWriter(CallPutFlag, S + dS, X1, X2, t1, T2, r, b, v)
- 2 * ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v)
+ ExtendibleWriter(CallPutFlag, S - dS, X1, X2, t1, T2, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
EExtendibleWriter := 1 / (4 * dS * 0.01) * (ExtendibleWriter(CallPutFlag, S + dS, X1, X2, t1, T2, r, b, v + 0.01)
- ExtendibleWriter(CallPutFlag, S + dS, X1, X2, t1, T2, r, b, v - 0.01)
- ExtendibleWriter(CallPutFlag, S - dS, X1, X2, t1, T2, r, b, v + 0.01)
+ ExtendibleWriter(CallPutFlag, S - dS, X1, X2, t1, T2, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" //Vega
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v + 0.01)
- ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v - 0.01)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v + 0.01)
- 2 * ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v)
+ ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v - 0.01)) / math.pow(0.01, 2)/ 10000
else if OutPutFlag == "vp" //VegaP
EExtendibleWriter := v / 0.1 * (ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v + 0.01)
- ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v + 0.01)
- 2 * ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v)
+ ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v - 0.01))
else if OutPutFlag == "t" //Theta
if t1 <= 1 / 365
EExtendibleWriter := ExtendibleWriter(CallPutFlag, S, X1, X2, 1E-05, T2 - 1 / 365, r, b, v)
- ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v)
else
EExtendibleWriter := ExtendibleWriter(CallPutFlag, S, X1, X2, t1 - 1 / 365, T2 - 1 / 365, r, b, v)
- ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v)
else if OutPutFlag == "r" //Rho
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r + 0.01, b + 0.01, v)
- ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag == "fr" //Futures options rho
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r + 0.01, b, v)
- ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r - 0.01, b, v)) / 2
else if OutPutFlag == "f" //Rho2
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b - 0.01, v)
- ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b + 0.01, v)) / 2
else if OutPutFlag == "b" //Carry
EExtendibleWriter := (ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b + 0.01, v)
- ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b - 0.01, v)) / 2
else if OutPutFlag == "s" //Speed
EExtendibleWriter := 1 / math.pow(dS, 3) * (ExtendibleWriter(CallPutFlag, S + 2 * dS, X1, X2, t1, T2, r, b, v)
- 3 * ExtendibleWriter(CallPutFlag, S + dS, X1, X2, t1, T2, r, b, v)
+ 3 * ExtendibleWriter(CallPutFlag, S, X1, X2, t1, T2, r, b, v) - ExtendibleWriter(CallPutFlag, S - dS, X1, X2, t1, T2, r, b, v))
EExtendibleWriter
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float Sm = input.float(100, "Manual Asset Price", group = "Basic Settings")
float Ssrc = input.source(close, "Source Asset Price", group = "Basic Settings")
string assetswtich = input.string(manAPrice, "Asset Price Type", options = [srcAPrice, manAPrice], group = "Basic Settings")
float K1 = input.float(100, "Initial Strike Price", group = "Basic Settings")
float K2 = input.float(100, "Extended Strike Price", group = "Basic Settings")
float r = input.float(6., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(6., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(20., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
float S = assetswtich == srcAPrice ? Ssrc : Sm
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int startthruMonth = input.int(12, title = "Initial Time Start Month", minval = 1, maxval = 12, group = "Initial Time to Maturity Date/Time")
int startthruDay = input.int(31, title = "Initial Time Start Day", minval = 1, maxval = 31, group = "Initial Time to Maturity Date/Time")
int startthruYear = input.int(2022, title = "Initial Time Start Year", minval = 1970, group = "Initial Time to Maturity Date/Time")
int startmins = input.int(0, title = "Initial Time Start Minute", minval = 0, maxval = 60, group = "Initial Time to Maturity Date/Time")
int starthours = input.int(9, title = "Initial Time Start Hour", minval = 0, maxval = 24, group = "Initial Time to Maturity Date/Time")
int startsecs = input.int(0, title = "Initial Time Start Second", minval = 0, maxval = 60, group = "Initial Time to Maturity Date/Time")
int expirythruMonth = input.int(3, title = "Extended Time Month", minval = 1, maxval = 12, group = "Extended Time to Maturity Date/Time")
int expirythruDay = input.int(31, title = "Extended Time Day", minval = 1, maxval = 31, group = "Extended Time to Maturity Date/Time")
int expirythruYear = input.int(2023, title = "Extended Time Year", minval = 1970, group = "Extended Time to Maturity Date/Time")
int expirymins = input.int(0, title = "Extended Time Minute", minval = 0, maxval = 60, group = "Extended Time to Maturity Date/Time")
int expiryhours = input.int(9, title = "Extended Time Hour", minval = 0, maxval = 24, group = "Extended Time to Maturity Date/Time")
int expirysecs = input.int(0, title = "Extended Time Second", minval = 0, maxval = 60, group = "Extended Time to Maturity Date/Time")
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
float startstart = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
float startfinish = timestamp(startthruYear, startthruMonth, startthruDay, starthours, startmins, startsecs)
float starttemp = (startfinish - startstart)
float T1 = (startfinish - startstart) / spyr / 1000
// precision calculation miliseconds in time intreval from time equals now
float expirystart = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
float expiryfinish = timestamp(expirythruYear, expirythruMonth, expirythruDay, expiryhours, expirymins, expirysecs)
float expirytemp = (expiryfinish - expirystart)
float T2 = (expiryfinish - expirystart) / spyr / 1000
string txtsize = input.string("Auto", title = "Text Size", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
float rcmpval = switch rcmp
Continuous=> 0
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
if barstate.islast
float sideout = side == "Long" ? 1 : -1
float kouta = convertingToCCRate(r, rcmpval)
float koutb = convertingToCCRate(b, bcmpval)
float amaproxprice = EExtendibleWriter("p", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na)
float Delta = EExtendibleWriter("d", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float Elasticity = EExtendibleWriter("e", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float Gamma = EExtendibleWriter("g", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float DGammaDvol = EExtendibleWriter("gv", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float GammaP = EExtendibleWriter("gp", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float Vega = EExtendibleWriter("v", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float DvegaDvol = EExtendibleWriter("dvdv", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float VegaP = EExtendibleWriter("vp", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float Theta = EExtendibleWriter("t", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float Rho = EExtendibleWriter("r", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float RhoFuturesOption = EExtendibleWriter("fr", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float PhiRho2 = EExtendibleWriter("f", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float Carry = EExtendibleWriter("b", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float DDeltaDvol = EExtendibleWriter("dddv", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
float Speed = EExtendibleWriter("s", OpType, S, K1, K2, T1, T2, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 18, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Writer Extendible Option", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Asset Price: " + str.tostring(S) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Asset Price Source: " + assetswtich, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "Iniital Strike Price: " + str.tostring(K1), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "Extended Strike Price: " + str.tostring(K2), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Iniital Date/Time to Maturity: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", startfinish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Extended Date/Time to Maturity: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", expiryfinish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 15, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Writer Extendible Option Price: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Crossover Alerts for Yesterday O/H/L/C , Today Vwap [Zero54] | https://www.tradingview.com/script/wlYximf1-Crossover-Alerts-for-Yesterday-O-H-L-C-Today-Vwap-Zero54/ | zero54 | https://www.tradingview.com/u/zero54/ | 95 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © zero54. Happy Trading!
//@version=5
indicator("Crossover Alerts [Zero54]",overlay=true)
_cross_over_close = ta.crossover(close,close[1])
_cross_under_close = ta.crossunder(close,close[1])
_cross_over_open = ta.crossover(close,open[1])
_cross_under_open = ta.crossunder(close,open[1])
_cross_over_high = ta.crossover(close,high[1])
_cross_under_high = ta.crossunder(close,high[1])
_cross_over_low = ta.crossover(close,low[1])
_cross_under_low = ta.crossunder(close,low[1])
_cross_over_vwap = ta.crossover(close,ta.vwap(hlc3))
_cross_under_vwap = ta.crossunder(close,ta.vwap(hlc3))
[__cross__over__close,__cross__under__close,__cross__over__open,__cross__under__open,__cross__over__high,__cross__under__high,__cross__over__low,__cross__under__low]= request.security("","D",[_cross_over_close,_cross_under_close,_cross_over_open,_cross_under_open,_cross_over_high,_cross_under_high,_cross_over_low,_cross_under_low])
[__cross__over__vwap,__cross__under__vwap]= request.security("","60",[_cross_over_vwap,_cross_under_vwap])
if __cross__over__close and (not __cross__over__close[1])
alert("Price (" + str.tostring(close) + ") crossed above yesterday's close.", alert.freq_once_per_bar)
if __cross__under__close and (not __cross__under__close[1])
alert("Price (" + str.tostring(close) + ") crossed below yesterday's close.", alert.freq_once_per_bar)
if __cross__over__open and (not __cross__over__open[1])
alert("Price (" + str.tostring(close) + ") crossed above yesterday's open.", alert.freq_once_per_bar)
if __cross__under__open and (not __cross__under__open[1])
alert("Price (" + str.tostring(close) + ") crossed below yesterday's open.", alert.freq_once_per_bar)
if __cross__over__high and (not __cross__over__high[1])
alert("Price (" + str.tostring(close) + ") crossed above yesterday's high.", alert.freq_once_per_bar)
if __cross__under__high and (not __cross__under__high[1])
alert("Price (" + str.tostring(close) + ") crossed below yesterday's high.", alert.freq_once_per_bar)
if __cross__over__low and (not __cross__over__low[1])
alert("Price (" + str.tostring(close) + ") crossed above yesterday's low.", alert.freq_once_per_bar)
if __cross__under__low and (not __cross__under__low[1])
alert("Price (" + str.tostring(close) + ") crossed below yesterday's low.", alert.freq_once_per_bar)
if __cross__over__low and (not __cross__over__low[1])
alert("Price (" + str.tostring(close) + ") crossed above yesterday's low.", alert.freq_once_per_bar)
if __cross__under__low and (not __cross__under__low[1])
alert("Price (" + str.tostring(close) + ") crossed below yesterday's low.", alert.freq_once_per_bar)
if __cross__over__vwap and (not __cross__over__vwap[1])
alert("Price (" + str.tostring(close) + ") crossed above Vwap.", alert.freq_once_per_bar)
if __cross__under__vwap and (not __cross__under__vwap[1])
alert("Price (" + str.tostring(close) + ") crossed under Vwap.", alert.freq_once_per_bar)
print_string = "Right click on me and click on 'Add Alert'. \n After you've set the alert you remove the indicator from the chart"
print(txt) =>
// Create label on the first bar.
var lbl = label.new(bar_index, na, txt, xloc.bar_index, yloc.price, color(na), label.style_none, color.gray, size.large, text.align_left)
// On next bars, update the label's x and y position, and the text it displays.
label.set_xy(lbl, bar_index, ta.highest(10)[1])
label.set_text(lbl, txt)
print(print_string) |
Log Option [Loxx] | https://www.tradingview.com/script/lRJ6eRpE-Log-Option-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 14 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Log Option [Loxx]",
shorttitle ="LO [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/combin/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
LogOption(float S, float X, float T, float r, float b, float v)=>
float d2 = (math.log(S / X) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
LogOption = math.exp(-r * T) * ND(d2) * v * math.sqrt(T) + math.exp(-r * T) * (math.log(S / X) + (b - math.pow(v, 2) / 2) * T) * cnd.CND1(d2)
LogOption
ELogOption(string OutPutFlag, float S, float X, float T, float r, float b, float v, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float ELogOption = 0
if OutPutFlag == "p" // Value
ELogOption := LogOption(S, X, T, r, b, v)
else if OutPutFlag == "d" //Delta
ELogOption := (LogOption(S + dS, X, T, r, b, v)
- LogOption(S - dS, X, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
ELogOption := (LogOption(S + dS, X, T, r, b, v)
- LogOption(S - dS, X, T, r, b, v)) / (2 * dS) * S
/ LogOption(S, X, T, r, b, v)
else if OutPutFlag == "g" //Gamma
ELogOption := (LogOption(S + dS, X, T, r, b, v)
- 2 * LogOption(S, X, T, r, b, v)
+ LogOption(S - dS, X, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
ELogOption := (LogOption(S + dS, X, T, r, b, v + 0.01)
- 2 * LogOption(S, X, T, r, b, v + 0.01)
+ LogOption(S - dS, X, T, r, b, v + 0.01)
- LogOption(S + dS, X, T, r, b, v - 0.01)
+ 2 * LogOption(S, X, T, r, b, v - 0.01)
- LogOption(S - dS, X, T, r, b, v - 0.01))
/ (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
ELogOption := S / 100 * (LogOption(S + dS, X, T, r, b, v)
- 2 * LogOption(S, X, T, r, b, v)
+ LogOption(S - dS, X, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "tg" //time Gamma
ELogOption := (LogOption(S, X, T + 1 / 365, r, b, v)
- 2 * LogOption(S, X, T, r, b, v)
+ LogOption(S, X, T - 1 / 365, r, b, v)) / math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
ELogOption := 1 / (4 * dS * 0.01)
* (LogOption(S + dS, X, T, r, b, v + 0.01)
- LogOption(S + dS, X, T, r, b, v - 0.01)
- LogOption(S - dS, X, T, r, b, v + 0.01)
+ LogOption(S - dS, X, T, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" //Vega
ELogOption := (LogOption(S, X, T, r, b, v + 0.01)
- LogOption(S, X, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
ELogOption := (LogOption(S, X, T, r, b, v + 0.01)
- 2 * LogOption(S, X, T, r, b, v)
+ LogOption(S, X, T, r, b, v - 0.01)) / math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" //VegaP
ELogOption := v / 0.1 * (LogOption(S, X, T, r, b, v + 0.01)
- LogOption(S, X, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
ELogOption := (LogOption(S, X, T, r, b, v + 0.01)
- 2 * LogOption(S, X, T, r, b, v)
+ LogOption(S, X, T, r, b, v - 0.01))
else if OutPutFlag == "t" //Theta
if T <= 1 / 365
ELogOption := LogOption(S, X, 1E-05, r, b, v)
- LogOption(S, X, T, r, b, v)
else
ELogOption := LogOption(S, X, T - 1 / 365, r, b, v)
- LogOption(S, X, T, r, b, v)
else if OutPutFlag == "r" //Rho
ELogOption := (LogOption(S, X, T, r + 0.01, b + 0.01, v)
- LogOption(S, X, T, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag == "fr" //Futures options rho
ELogOption := (LogOption(S, X, T, r + 0.01, b, v)
- LogOption(S, X, T, r - 0.01, b, v)) / 2
else if OutPutFlag == "f" //Rho2
ELogOption := (LogOption(S, X, T, r, b - 0.01, v)
- LogOption(S, X, T, r, b + 0.01, v)) / 2
else if OutPutFlag == "b" //Carry
ELogOption := (LogOption(S, X, T, r, b + 0.01, v)
- LogOption(S, X, T, r, b - 0.01, v)) / 2
else if OutPutFlag == "s" //Speed
ELogOption := 1 / math.pow(dS, 3)
* (LogOption(S + 2 * dS, X, T, r, b, v)
- 3 * LogOption(S + dS, X, T, r, b, v)
+ 3 * LogOption(S, X, T, r, b, v)
- LogOption(S - dS, X, T, r, b, v))
else if OutPutFlag == "dx" //Strike Delta
ELogOption := (LogOption(S, X + dS, T, r, b, v)
- LogOption(S, X - dS, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "dxdx" //Strike Gamma
ELogOption := (LogOption(S, X + dS, T, r, b, v)
- 2 * LogOption(S, X, T, r, b, v)
+ LogOption(S, X - dS, T, r, b, v)) / math.pow(dS, 2)
ELogOption
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(65, "Strike Price", group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float r = input.float(3.7, "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(1.84, "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(62.05, "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
amaproxprice = ELogOption("p", S, K, T, kouta, koutb, v, na)
Delta = ELogOption("d", S, K, T, kouta, koutb, v, na) * sideout
Elasticity = ELogOption("e", S, K, T, kouta, koutb, v, na) * sideout
Gamma = ELogOption("g", S, K, T, kouta, koutb, v, na) * sideout
DGammaDvol = ELogOption("gv", S, K, T, kouta, koutb, v, na) * sideout
GammaP = ELogOption("gp", S, K, T, kouta, koutb, v, na) * sideout
Vega = ELogOption("v", S, K, T, kouta, koutb, v, na) * sideout
DvegaDvol = ELogOption("dvdv", S, K, T, kouta, koutb, v, na) * sideout
VegaP = ELogOption("vp", S, K, T, kouta, koutb, v, na) * sideout
Theta = ELogOption("t", S, K, T, kouta, koutb, v, na) * sideout
Rho = ELogOption("r", S, K, T, kouta, koutb, v, na) * sideout
RhoFuturesOption = ELogOption("fr", S, K, T, kouta, koutb, v, na) * sideout
PhiRho2 = ELogOption("f", S, K, T, kouta, koutb, v, na) * sideout
Carry = ELogOption("b", S, K, T, kouta, koutb, v, na) * sideout
DDeltaDvol = ELogOption("dddv", S, K, T, kouta, koutb, v, na) * sideout
Speed = ELogOption("s", S, K, T, kouta, koutb, v, na) * sideout
StrikeDelta = ELogOption("dx", S, K, T, kouta, koutb, v, na) * sideout
StrikeGamma = ELogOption("dxdx", S, K, T, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 20, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Log Option", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Log Option Value: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
RTI Volume Weighted Average Price | https://www.tradingview.com/script/OzbiRuR4-RTI-Volume-Weighted-Average-Price/ | superkumar2020 | https://www.tradingview.com/u/superkumar2020/ | 27 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © superkumar2020
//@version=5
indicator(title="Volume Weighted Average Price", shorttitle="VWAP", overlay=true, timeframe="", timeframe_gaps=true)
hideonDWM = input(false, title="Hide VWAP on 1D or Above", group="VWAP Settings")
var anchor = input.string(defval = "Session", title="Anchor Period",
options=["Session", "Week", "Month", "Quarter", "Year", "Decade", "Century", "Earnings", "Dividends", "Splits"], group="VWAP Settings")
src = input(title = "Source", defval = hlc3, group="VWAP Settings")
offset = input(0, title="Offset", group="VWAP Settings")
showBand_1 = input(true, title="", group="Standard Deviation Bands Settings", inline="band_1")
stdevMult_1 = input(1.0, title="Bands Multiplier #1", group="Standard Deviation Bands Settings", inline="band_1")
showBand_2 = input(false, title="", group="Standard Deviation Bands Settings", inline="band_2")
stdevMult_2 = input(2.0, title="Bands Multiplier #2", group="Standard Deviation Bands Settings", inline="band_2")
showBand_3 = input(false, title="", group="Standard Deviation Bands Settings", inline="band_3")
stdevMult_3 = input(3.0, title="Bands Multiplier #3", group="Standard Deviation Bands Settings", inline="band_3")
if barstate.islast and ta.cum(volume) == 0
runtime.error("No volume is provided by the data vendor.")
new_earnings = request.earnings(syminfo.tickerid, earnings.actual, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
new_dividends = request.dividends(syminfo.tickerid, dividends.gross, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
new_split = request.splits(syminfo.tickerid, splits.denominator, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
isNewPeriod = switch anchor
"Earnings" => not na(new_earnings)
"Dividends" => not na(new_dividends)
"Splits" => not na(new_split)
"Session" => timeframe.change("D")
"Week" => timeframe.change("W")
"Month" => timeframe.change("M")
"Quarter" => timeframe.change("3M")
"Year" => timeframe.change("12M")
"Decade" => timeframe.change("12M") and year % 10 == 0
"Century" => timeframe.change("12M") and year % 100 == 0
=> false
isEsdAnchor = anchor == "Earnings" or anchor == "Dividends" or anchor == "Splits"
if na(src[1]) and not isEsdAnchor
isNewPeriod := true
float vwapValue = na
float upperBandValue1 = na
float lowerBandValue1 = na
float upperBandValue2 = na
float lowerBandValue2 = na
float upperBandValue3 = na
float lowerBandValue3 = na
if not (hideonDWM and timeframe.isdwm)
[_vwap, _stdevUpper, _] = ta.vwap(src, isNewPeriod, 1)
vwapValue := _vwap
stdevAbs = _stdevUpper - _vwap
upperBandValue1 := _vwap + stdevAbs * stdevMult_1
lowerBandValue1 := _vwap - stdevAbs * stdevMult_1
upperBandValue2 := _vwap + stdevAbs * stdevMult_2
lowerBandValue2 := _vwap - stdevAbs * stdevMult_2
upperBandValue3 := _vwap + stdevAbs * stdevMult_3
lowerBandValue3 := _vwap - stdevAbs * stdevMult_3
plot(vwapValue, title="VWAP", color=#2962FF, offset=offset)
upperBand_1 = plot(upperBandValue1, title="Upper Band #1", color=color.green, offset=offset, display = showBand_1 ? display.all : display.none)
lowerBand_1 = plot(lowerBandValue1, title="Lower Band #1", color=color.green, offset=offset, display = showBand_1 ? display.all : display.none)
fill(upperBand_1, lowerBand_1, title="Bands Fill #1", color= color.new(color.green, 95) , display = showBand_1 ? display.all : display.none)
upperBand_2 = plot(upperBandValue2, title="Upper Band #2", color=color.olive, offset=offset, display = showBand_2 ? display.all : display.none)
lowerBand_2 = plot(lowerBandValue2, title="Lower Band #2", color=color.olive, offset=offset, display = showBand_2 ? display.all : display.none)
fill(upperBand_2, lowerBand_2, title="Bands Fill #2", color= color.new(color.olive, 95) , display = showBand_2 ? display.all : display.none)
upperBand_3 = plot(upperBandValue3, title="Upper Band #3", color=color.teal, offset=offset, display = showBand_3 ? display.all : display.none)
lowerBand_3 = plot(lowerBandValue3, title="Lower Band #3", color=color.teal, offset=offset, display = showBand_3 ? display.all : display.none)
fill(upperBand_3, lowerBand_3, title="Bands Fill #3", color= color.new(color.teal, 95) , display = showBand_3 ? display.all : display.none)
//indicator(shorttitle="BB", title="Bollinger Bands", overlay=true, timeframe="", timeframe_gaps=true)
length = input.int(20, minval=1)
src1 = input(close, title="Source")
mult = input.float(2.0, minval=0.001, maxval=50, title="StdDev")
basis = ta.sma(src, length)
dev = mult * ta.stdev(src, length)
upper = basis + dev
lower = basis - dev
offset1 = input.int(0, "Offset", minval = -500, maxval = 500)
plot(basis, "Basis", color=#FF6D00, offset = offset)
p1 = plot(upper, "Upper", color=#2962FF, offset = offset)
p2 = plot(lower, "Lower", color=#2962FF, offset = offset)
fill(p1, p2, title = "Background", color=color.rgb(33, 150, 243, 95))
|
Trend Dominance Multi Timeframe [Misu] | https://www.tradingview.com/script/uo2IyKkL-Trend-Dominance-Multi-Timeframe-Misu/ | Fontiramisu | https://www.tradingview.com/u/Fontiramisu/ | 178 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// ©Misu
//@version=5
indicator("Trend Dominance MTF [Misu]", overlay = true, shorttitle="Trend Dom [Misu]")
// import Fontiramisu/fontLib/86 as fontilab
import Fontiramisu/fontilab/11 as fontilab
// ] -------- Input --------------- [
src = input.source(close, "Source", group="Trend Settings")
len = input.int(5, "Length Atr", group = "Trend Settings")
mult = input.float(7.6, "Multiplier Atr", step = 0.1, group = "Trend Settings")
// To Remove.
colorbars = input.bool(true, "Color Bars", group = "UI Settings", inline="1")
showlmidbs = input.bool(true, "Show Label", group = "UI Settings", inline="1")
// Show table.
show_table = input.bool(true, "Show stats", group = "Table Settings")
show5min = input.bool(true, "Show 5m -------", group = "Table Settings", inline="2")
show15min = input.bool(true, "Show 15m", group = "Table Settings", inline="2")
show1h = input.bool(true, "Show 1h --------", group = "Table Settings", inline="3")
show4h = input.bool(true, "Show 4h", group = "Table Settings", inline="3")
show12h = input.bool(true, "Show 12h ------", group = "Table Settings", inline="4")
showD = input.bool(true, "Show D", group = "Table Settings", inline="4")
showW = input.bool(true, "Show W", group = "Table Settings", inline="5")
// ] -------- Vars --------------- [
// Period.
var string format = "{0,date,yyyy.MM.dd}"
var sTime = str.format(format, time_close)
eTime = str.format(format, time_close)
// Trend.
var utrendSum5m = 0, var dtrendSum5m = 0, var state5m = 99, utrendDom5m = 0.
var utrendSum15m = 0, var dtrendSum15m = 0, var state15m = 99, utrendDom15m = 0.
var utrendSum1h = 0, var dtrendSum1h = 0, var state1h = 99, utrendDom1h = 0.
var utrendSum4h = 0, var dtrendSum4h = 0, var state4h = 99, utrendDom4h = 0.
var utrendSum12h = 0, var dtrendSum12h = 0, var state12h = 99, utrendDom12h = 0.
var utrendSumD = 0, var dtrendSumD = 0, var stateD = 99, utrendDomD = 0.
var utrendSumW = 0, var dtrendSumW = 0, var stateW = 99, utrendDomW = 0.
// ] -------- Function ----------------- [
// @function: get trend dominance.
getTrendDom(midb, utrendSum, dtrendSum, state) =>
trendUp = nz(midb[1]) ? midb > midb[1] : false
trendDown = nz(midb[1]) ? midb < midb[1] : false
stateNew = trendUp ? 1 : trendDown ? -1 : state
utrendSumNew = state == 1 ? utrendSum + 1 : utrendSum
dtrendSumNew = state == -1 ? dtrendSum + 1 : dtrendSum
[utrendSumNew, dtrendSumNew, stateNew, math.round(utrendSum / (utrendSum + dtrendSum) * 100, 1)]
// ] -------- Dominance Trend Logic ----------------- [
// Get multi timeframe trend.
deltaAtr = mult * ta.atr(len)
// Get Trend Doms.
// 5m.
[midb5m, upperb5m, lowerb5m] = request.security(syminfo.tickerid, "5", fontilab.getTrendBands(src, deltaAtr), lookahead = barmerge.lookahead_on)
[utrendSum5mDup, dtrendSum5mDup, state5mDup, utrendDom5mDup] = getTrendDom(midb5m, utrendSum5m, dtrendSum5m, state5m)
utrendSum5m := utrendSum5mDup
dtrendSum5m := dtrendSum5mDup
state5m := state5mDup
utrendDom5m := utrendDom5mDup
// 15m.
[midb15m, upperb15m, lowerb15m] = request.security(syminfo.tickerid, "15", fontilab.getTrendBands(src, deltaAtr), lookahead = barmerge.lookahead_on)
[utrendSum15mDup, dtrendSum15mDup, state15mDup, utrendDom15mDup] = getTrendDom(midb15m, utrendSum15m, dtrendSum15m, state15m)
utrendSum15m := utrendSum15mDup
dtrendSum15m := dtrendSum15mDup
state15m := state15mDup
utrendDom15m := utrendDom15mDup
// 1h.
[midb1h, upperb1h, lowerb1h] = request.security(syminfo.tickerid, "60", fontilab.getTrendBands(src, deltaAtr), lookahead = barmerge.lookahead_on)
[utrendSum1hDup, dtrendSum1hDup, state1hDup, utrendDom1hDup] = getTrendDom(midb1h, utrendSum1h, dtrendSum1h, state1h)
utrendSum1h := utrendSum1hDup
dtrendSum1h := dtrendSum1hDup
state1h := state1hDup
utrendDom1h := utrendDom1hDup
// 4h.
[midb4h, upperb4h, lowerb4h] = request.security(syminfo.tickerid, "240", fontilab.getTrendBands(src, deltaAtr), lookahead = barmerge.lookahead_on)
[utrendSum4hDup, dtrendSum4hDup, state4hDup, utrendDom4hDup] = getTrendDom(midb4h, utrendSum4h, dtrendSum4h, state4h)
utrendSum4h := utrendSum4hDup
dtrendSum4h := dtrendSum4hDup
state4h := state4hDup
utrendDom4h := utrendDom4hDup
// 12h.
[midb12h, upperb12h, lowerb12h] = request.security(syminfo.tickerid, "720", fontilab.getTrendBands(src, deltaAtr), lookahead = barmerge.lookahead_on)
[utrendSum12hDup, dtrendSum12hDup, state12hDup, utrendDom12hDup] = getTrendDom(midb12h, utrendSum12h, dtrendSum12h, state12h)
utrendSum12h := utrendSum12hDup
dtrendSum12h := dtrendSum12hDup
state12h := state12hDup
utrendDom12h := utrendDom12hDup
// D.
[midbD, upperbD, lowerbD] = request.security(syminfo.tickerid, "D", fontilab.getTrendBands(src, deltaAtr), lookahead = barmerge.lookahead_on)
[utrendSumDDup, dtrendSumDDup, stateDDup, utrendDomDDup] = getTrendDom(midbD, utrendSumD, dtrendSumD, stateD)
utrendSumD := utrendSumDDup
dtrendSumD := dtrendSumDDup
stateD := stateDDup
utrendDomD := utrendDomDDup
// W.
[midbW, upperbW, lowerbW] = request.security(syminfo.tickerid, "W", fontilab.getTrendBands(src, deltaAtr), lookahead = barmerge.lookahead_on)
[utrendSumWDup, dtrendSumWDup, stateWDup, utrendDomWDup] = getTrendDom(midbW, utrendSumW, dtrendSumW, stateW)
utrendSumW := utrendSumWDup
dtrendSumW := dtrendSumWDup
stateW := stateWDup
utrendDomW := utrendDomWDup
// ] -------- Period Logic ----------------- [
// ] -------- Plot Part --------------- [
// var color colorTrend = na
// colorTrend := state == -1 ? color.red : state == 1 ? color.green : state == 99 ? color.gray : nz(colorTrend[1])
// barcolor(colorbars ? colorTrend : na)
// plot(upperb, "Upper Band", color = colorTrend, linewidth = 2)
// plot(lowerb, "Lower Band", color = colorTrend, linewidth = 2)
// ] -------- Alerts ----------------- [
// alertcondition(buyCond, title = "Long", message = "ATR Trend Bands [Misu]: Long\nSymbol: {{ticker}}\nPrice: {{close}}")
// alertcondition(sellCond, title = "Short", message = "ATR Trend Bands [Misu]: Short\nSymbol: {{ticker}}\nPrice: {{close}}")
// ] -------- Show results ----------------- [
// Period color.
pColor5m = not na(utrendDom5m) ? utrendDom5m >= 50 ? color.new(color.green, 20) : color.new(color.red, 20) : color.gray
pColor15m = not na(utrendDom15m) ? utrendDom15m >= 50 ? color.new(color.green, 20) : color.new(color.red, 20) : color.gray
pColor1h = not na(utrendDom1h) ? utrendDom1h >= 50 ? color.new(color.green, 20) : color.new(color.red, 20) : color.gray
pColor4h = not na(utrendDom4h) ? utrendDom4h >= 50 ? color.new(color.green, 20) : color.new(color.red, 20) : color.gray
pColor12h = not na(utrendDom12h) ? utrendDom12h >= 50 ? color.new(color.green, 20) : color.new(color.red, 20) : color.gray
pColorD = not na(utrendDomD) ? utrendDomD >= 50 ? color.new(color.green, 20) : color.new(color.red, 20) : color.gray
pColorW = not na(utrendDomW) ? utrendDomW >= 50 ? color.new(color.green, 20) : color.new(color.red, 20) : color.gray
// Last color.
lColor5m = state5m == 1 ? color.new(color.green, 20) : state5m == -1 ? color.new(color.red, 20) : color.gray
lColor15m = state15m == 1 ? color.new(color.green, 20) : state15m == -1 ? color.new(color.red, 20) : color.gray
lColor1h = state1h == 1 ? color.new(color.green, 20) : state1h == -1 ? color.new(color.red, 20) : color.gray
lColor4h = state4h == 1 ? color.new(color.green, 20) : state4h == -1 ? color.new(color.red, 20) : color.gray
lColor12h = state12h == 1 ? color.new(color.green, 20) : state12h == -1 ? color.new(color.red, 20) : color.gray
lColorD = stateD == 1 ? color.new(color.green, 20) : stateD == -1 ? color.new(color.red, 20) : color.gray
lColorW = stateW == 1 ? color.new(color.green, 20) : stateW == -1 ? color.new(color.red, 20) : color.gray
// // Last Text.
lTxt5m = state5m == 1 ? "▲" : state5m == -1 ? "▼" : "X"
lTxt15m = state15m == 1 ? "▲" : state15m == -1 ? "▼" : "X"
lTxt1h = state1h == 1 ? "▲" : state1h == -1 ? "▼" : "X"
lTxt4h = state4h == 1 ? "▲" : state4h == -1 ? "▼" : "X"
lTxt12h = state12h == 1 ? "▲" : state12h == -1 ? "▼" : "X"
lTxtD = stateD == 1 ? "▲" : stateD == -1 ? "▼" : "X"
lTxtW = stateW == 1 ? "▲" : stateW == -1 ? "▼" : "X"
// ▼
if show_table
var ATHtable = table.new(position.bottom_right, 10, 11, frame_color=#162815, frame_width=1, border_width=2, border_color=color.new(color.white, 100)) //table.new(position.top_right, 6, 41, frame_color=#151715, frame_width=1, border_width=2, border_color=color.new(color.white, 100))
// var table ATHtable = table.new(position.bottom_right, 10, 10, frame_color = color.gray, bgcolor = color.gray, border_width = 1, frame_width = 1, border_color = color.white)
// Header
table.cell(ATHtable, 0, 0, 'Period', bgcolor=color.new(color.gray, 40), text_color=color.white, text_size=size.small)
table.cell(ATHtable, 1, 0, str.tostring(sTime) + " - " + str.tostring(eTime), bgcolor = color.new(color.gray, 40), text_color=color.white, text_size=size.small)
table.cell(ATHtable, 2, 0, "last", bgcolor = color.new(color.gray, 40), text_color=color.white, text_size=size.small)
if show5min
table.cell(ATHtable, 0, 1, "5m", bgcolor=color.new(color.gray, 10), text_color=color.white, text_size=size.small)
table.cell(ATHtable, 1, 1, str.tostring(utrendDom5m) + "% / " + str.tostring(100 - utrendDom5m) + "%", bgcolor=pColor5m, text_color=color.white, text_size=size.small)
table.cell(ATHtable, 2, 1, lTxt5m, bgcolor=lColor5m, text_color=color.white, text_size=size.small)
if show15min
table.cell(ATHtable, 0, 2, '15m', bgcolor=color.new(color.gray, 10), text_color=color.white, text_size=size.small)
table.cell(ATHtable, 1, 2, str.tostring(utrendDom15m) + "% / " + str.tostring(100 - utrendDom15m) + "%", bgcolor=pColor15m, text_color=color.white, text_size=size.small)
table.cell(ATHtable, 2, 2, lTxt15m, bgcolor=lColor15m, text_color=color.white, text_size=size.small)
if show1h
table.cell(ATHtable, 0, 3, '1h', bgcolor=color.new(color.gray, 10), text_color=color.white, text_size=size.small)
table.cell(ATHtable, 1, 3, str.tostring(utrendDom1h) + "% / " + str.tostring(100 - utrendDom1h) + "%", bgcolor=pColor1h, text_color=color.white, text_size=size.small)
table.cell(ATHtable, 2, 3, lTxt1h, bgcolor=lColor1h, text_color=color.white, text_size=size.small)
if show4h
table.cell(ATHtable, 0, 4, '4h', bgcolor=color.new(color.gray, 10), text_color=color.white, text_size=size.small)
table.cell(ATHtable, 1, 4, str.tostring(utrendDom4h) + "% / " + str.tostring(100 - utrendDom4h) + "%", bgcolor=pColor4h, text_color=color.white, text_size=size.small)
table.cell(ATHtable, 2, 4, lTxt4h, bgcolor=lColor4h, text_color=color.white, text_size=size.small)
if show12h
table.cell(ATHtable, 0, 5, '12h', bgcolor=color.new(color.gray, 10), text_color=color.white, text_size=size.small)
table.cell(ATHtable, 1, 5, str.tostring(utrendDom12h) + "% / " + str.tostring(100 - utrendDom12h) + "%", bgcolor=pColor12h, text_color=color.white, text_size=size.small)
table.cell(ATHtable, 2, 5, lTxt12h, bgcolor=lColor12h, text_color=color.white, text_size=size.small)
if showD
table.cell(ATHtable, 0, 6, 'D', bgcolor=color.new(color.gray, 10), text_color=color.white, text_size=size.small)
table.cell(ATHtable, 1, 6, str.tostring(utrendDomD) + "% / " + str.tostring(100 - utrendDomD) + "%", bgcolor=pColorD, text_color=color.white, text_size=size.small)
table.cell(ATHtable, 2, 6, lTxtD, bgcolor=lColorD, text_color=color.white, text_size=size.small)
if showW
table.cell(ATHtable, 0, 7, 'W', bgcolor=color.new(color.gray, 10), text_color=color.white, text_size=size.small)
table.cell(ATHtable, 1, 7, str.tostring(utrendDomW) + "% / " + str.tostring(100 - utrendDomW) + "%", bgcolor=pColorW, text_color=color.white, text_size=size.small)
table.cell(ATHtable, 2, 7, lTxtW, bgcolor=lColorW, text_color=color.white, text_size=size.small)
// ]
|
Fade-in Options [Loxx] | https://www.tradingview.com/script/1wAKV5Q2-Fade-in-Options-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 15 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Fade-in Options [Loxx]",
shorttitle ="FIO [Loxx]",
overlay = true,
max_lines_count = 500)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/cbnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
FadeInOption(string CallPutFlag, float S, float X, float L, float H, float T, float r, float b, float v, float n)=>
float dt = T / n
float d1 = (math.log(S / X) + (b + v * v / 2) * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
float d3 = 0
float d4 = 0
float d5 = 0
float d6 = 0
float sum = 0
for i = 1 to n
t1 = i * dt
float rho = math.sqrt(t1) / math.sqrt(T)
d3 := (math.log(S / L) + (b + v * v / 2) * t1) / (v * math.sqrt(t1))
d4 := d3 - v * math.sqrt(t1)
d5 := (math.log(S / H) + (b + v * v / 2) * t1) / (v * math.sqrt(t1))
d6 := d5 - v * math.sqrt(t1)
if CallPutFlag == callString
sum := sum + S * math.exp((b - r) * T) * (cbnd.CBND3(-d5, d1, -rho) - cbnd.CBND3(-d3, d1, -rho))
- X * math.exp(-r * T) * (cbnd.CBND3(-d6, d2, -rho) - cbnd.CBND3(-d4, d2, -rho))
else
sum := sum + X * math.exp(-r * T) * (cbnd.CBND3(-d6, -d2, rho) - cbnd.CBND3(-d4, -d2, rho))
- S * math.exp((b - r) * T) * (cbnd.CBND3(-d5, -d1, rho) - cbnd.CBND3(-d3, -d1, rho))
FadeInOption = 1 / n * sum
FadeInOption
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Asset Price Settings")
srcin = input.string("Close", "Asset Price", group= "Asset Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
float K = input.float(100, "Strike Price", group = "Basic Settings")
float L = input.float(80., "Lower Barrier", group = "Basic Settings")
float H = input.float(130., "Upper Barrier", group = "Basic Settings")
float n = input.float(183., "Fixings", group = "Basic Settings")
float r = input.float(10., "% Risk-free Rate", group = "Rates Settings") / 100
float b = input.float(5., "% Cost of Carry", group = "Rates Settings") / 100
float v = input.float(20., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Time to Maturity Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Text Size", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
float amaproxprice = FadeInOption(OpType, S, K, L, H, T, r, b, v, n)
var testTable = table.new(position = position.middle_right, columns = 2, rows = 17, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Fade-in Options", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Asset Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Lower Bound: " + str.tostring(L, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Upper Bound: " + str.tostring(H, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "Time to Maturity: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Fixings: " + str.tostring(n, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 15, text = "Option Ouput", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 16, text = "Fade-in Option Value: " + str.tostring(amaproxprice, "##.#############"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Log Contract Ln(S/X) [Loxx] | https://www.tradingview.com/script/jSsrlo92-Log-Contract-Ln-S-X-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 11 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Log Contract Ln(S/X) [Loxx]",
shorttitle ="LCSX [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/combin/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
LogContract_lnSX(float S, float X, float T, float r, float b, float v)=>
LogContract_lnSX = math.exp(-r * T) * (math.log(S / X) + (b - math.pow(v, 2) / 2) * T)
LogContract_lnSX
ELogContract_lnSX(string OutPutFlag, float S, float X, float T, float r, float b, float v, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float ELogContract_lnSX = 0
if OutPutFlag == "p" // Value
ELogContract_lnSX := LogContract_lnSX(S, X, T, r, b, v)
else if OutPutFlag == "d" //Delta
ELogContract_lnSX := (LogContract_lnSX(S + dS, X, T, r, b, v)
- LogContract_lnSX(S - dS, X, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
ELogContract_lnSX := (LogContract_lnSX(S + dS, X, T, r, b, v)
- LogContract_lnSX(S - dS, X, T, r, b, v)) / (2 * dS) * S
/ LogContract_lnSX(S, X, T, r, b, v)
else if OutPutFlag == "g" //Gamma
ELogContract_lnSX := (LogContract_lnSX(S + dS, X, T, r, b, v)
- 2 * LogContract_lnSX(S, X, T, r, b, v)
+ LogContract_lnSX(S - dS, X, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
ELogContract_lnSX := (LogContract_lnSX(S + dS, X, T, r, b, v + 0.01)
- 2 * LogContract_lnSX(S, X, T, r, b, v + 0.01)
+ LogContract_lnSX(S - dS, X, T, r, b, v + 0.01)
- LogContract_lnSX(S + dS, X, T, r, b, v - 0.01)
+ 2 * LogContract_lnSX(S, X, T, r, b, v - 0.01)
- LogContract_lnSX(S - dS, X, T, r, b, v - 0.01))
/ (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
ELogContract_lnSX := S / 100 * (LogContract_lnSX(S + dS, X, T, r, b, v)
- 2 * LogContract_lnSX(S, X, T, r, b, v)
+ LogContract_lnSX(S - dS, X, T, r, b, v))
/ math.pow(dS, 2)
else if OutPutFlag == "tg" //time Gamma
ELogContract_lnSX := (LogContract_lnSX(S, X, T + 1 / 365, r, b, v)
- 2 * LogContract_lnSX(S, X, T, r, b, v)
+ LogContract_lnSX(S, X, T - 1 / 365, r, b, v))
/ math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
ELogContract_lnSX := 1 / (4 * dS * 0.01)
* (LogContract_lnSX(S + dS, X, T, r, b, v + 0.01)
- LogContract_lnSX(S + dS, X, T, r, b, v - 0.01)
- LogContract_lnSX(S - dS, X, T, r, b, v + 0.01)
+ LogContract_lnSX(S - dS, X, T, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" //Vega
ELogContract_lnSX := (LogContract_lnSX(S, X, T, r, b, v + 0.01)
- LogContract_lnSX(S, X, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
ELogContract_lnSX := (LogContract_lnSX(S, X, T, r, b, v + 0.01)
- 2 * LogContract_lnSX(S, X, T, r, b, v)
+ LogContract_lnSX(S, X, T, r, b, v - 0.01))
/ math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" //VegaP
ELogContract_lnSX := v / 0.1 * (LogContract_lnSX(S, X, T, r, b, v + 0.01)
- LogContract_lnSX(S, X, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
ELogContract_lnSX := (LogContract_lnSX(S, X, T, r, b, v + 0.01)
- 2 * LogContract_lnSX(S, X, T, r, b, v)
+ LogContract_lnSX(S, X, T, r, b, v - 0.01))
else if OutPutFlag == "t" //Theta
if T <= 1 / 365
ELogContract_lnSX := LogContract_lnSX(S, X, 1E-05, r, b, v)
- LogContract_lnSX(S, X, T, r, b, v)
else
ELogContract_lnSX := LogContract_lnSX(S, X, T - 1 / 365, r, b, v)
- LogContract_lnSX(S, X, T, r, b, v)
else if OutPutFlag == "r" //Rho
ELogContract_lnSX := (LogContract_lnSX(S, X, T, r + 0.01, b + 0.01, v)
- LogContract_lnSX(S, X, T, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag == "fr" //Futures options rho
ELogContract_lnSX := (LogContract_lnSX(S, X, T, r + 0.01, b, v)
- LogContract_lnSX(S, X, T, r - 0.01, b, v)) / 2
else if OutPutFlag == "f" //Rho2
ELogContract_lnSX := (LogContract_lnSX(S, X, T, r, b - 0.01, v)
- LogContract_lnSX(S, X, T, r, b + 0.01, v)) / 2
else if OutPutFlag == "b" //Carry
ELogContract_lnSX := (LogContract_lnSX(S, X, T, r, b + 0.01, v)
- LogContract_lnSX(S, X, T, r, b - 0.01, v)) / 2
else if OutPutFlag == "s" //Speed
ELogContract_lnSX := 1 / math.pow(dS, 3) * (LogContract_lnSX(S + 2 * dS, X, T, r, b, v)
- 3 * LogContract_lnSX(S + dS, X, T, r, b, v)
+ 3 * LogContract_lnSX(S, X, T, r, b, v)
- LogContract_lnSX(S - dS, X, T, r, b, v))
else if OutPutFlag == "dx" //Strike Delta
ELogContract_lnSX := (LogContract_lnSX(S, X + dS, T, r, b, v)
- LogContract_lnSX(S, X - dS, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "dxdx" //Strike Gamma
ELogContract_lnSX := (LogContract_lnSX(S, X + dS, T, r, b, v)
- 2 * LogContract_lnSX(S, X, T, r, b, v)
+ LogContract_lnSX(S, X - dS, T, r, b, v)) / math.pow(dS, 2)
ELogContract_lnSX
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(80, "Strike Price", group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float r = input.float(8., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(8., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(35., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
amaproxprice = ELogContract_lnSX("p", S, K, T, kouta, koutb, v, na)
Delta = ELogContract_lnSX("d", S, K, T, kouta, koutb, v, na) * sideout
Elasticity = ELogContract_lnSX("e", S, K, T, kouta, koutb, v, na) * sideout
Gamma = ELogContract_lnSX("g", S, K, T, kouta, koutb, v, na) * sideout
DGammaDvol = ELogContract_lnSX("gv", S, K, T, kouta, koutb, v, na) * sideout
GammaP = ELogContract_lnSX("gp", S, K, T, kouta, koutb, v, na) * sideout
Vega = ELogContract_lnSX("v", S, K, T, kouta, koutb, v, na) * sideout
DvegaDvol = ELogContract_lnSX("dvdv", S, K, T, kouta, koutb, v, na) * sideout
VegaP = ELogContract_lnSX("vp", S, K, T, kouta, koutb, v, na) * sideout
Theta = ELogContract_lnSX("t", S, K, T, kouta, koutb, v, na) * sideout
Rho = ELogContract_lnSX("r", S, K, T, kouta, koutb, v, na) * sideout
RhoFuturesOption = ELogContract_lnSX("fr", S, K, T, kouta, koutb, v, na) * sideout
PhiRho2 = ELogContract_lnSX("f", S, K, T, kouta, koutb, v, na) * sideout
Carry = ELogContract_lnSX("b", S, K, T, kouta, koutb, v, na) * sideout
DDeltaDvol = ELogContract_lnSX("dddv", S, K, T, kouta, koutb, v, na) * sideout
Speed = ELogContract_lnSX("s", S, K, T, kouta, koutb, v, na) * sideout
StrikeDelta = ELogContract_lnSX("dx", S, K, T, kouta, koutb, v, na) * sideout
StrikeGamma = ELogContract_lnSX("dxdx", S, K, T, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 20, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Log Contract Ln(S/X)", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Log Contract Ln(S/X) Value: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Pro Trading Art - Candlestick Patterns with alert | https://www.tradingview.com/script/Lpsn1af1-Pro-Trading-Art-Candlestick-Patterns-with-alert/ | protradingart | https://www.tradingview.com/u/protradingart/ | 370 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © protradingart
//@version=5
indicator("Pro Trading Art - Candlestick Patterns with alert", "PTA - Candlestick Patterns", overlay=true)
emaLen = input.int(21, "EMA Length")
ema = ta.ema(close, emaLen)
distance = math.abs((open - close)/close*100)
var candleRange = array.new_float(na)
array.push(candleRange, distance)
avgRange = array.avg(candleRange)
//#region Hammer
shadowGroup = "=========== Shadow ==========="
isHammer = input.bool(true, "Hammer", group=shadowGroup, inline = "Hammer")
hammerMult = input.float(defval=2.0, title="Multiplier", step=0.1, group=shadowGroup, inline = "Hammer")
hammer = (open-low) > (close-open)*hammerMult and (close-open) > (high-close) and isHammer and close < ema
plotshape(hammer ? low : na, title="Hammer", text = "Hammer", style=shape.labelup, color=color.lime, size=size.normal, location=location.absolute, textcolor = color.black)
if hammer
alert("Hammer in : "+syminfo.ticker, alert.freq_once_per_bar_close)
//#endregion
//#region Hanging Man
isHanging = input.bool(true, "Hanging Man", group=shadowGroup, inline = "Hanging Man")
hangingMult = input.float(defval=3.0, title="Multiplier", step=0.1, group=shadowGroup, inline = "Hanging Man")
hanging = (open-low) > (close-open)*hangingMult and (close-open) > (high-close) and isHanging and close > ema
plotshape(hanging ? high : na, title="Hanging Man", text = "Hanging Man", style=shape.labeldown, color=color.rgb(240, 116, 116), size=size.normal, location=location.absolute, textcolor = color.white)
if hanging
alert("Hanging Man In : "+syminfo.ticker, alert.freq_once_per_bar_close)
//#endregion
//#region Inverted Hammer
isInvertedHammer = input.bool(true, "Inverted Hammer", group=shadowGroup, inline = "Inverted Hammer")
invertedHammerMult = input.float(defval=2.0, title="Multiplier", step=0.1, group=shadowGroup, inline = "Inverted Hammer")
invertedHammer = (high-open) > (open-close)*invertedHammerMult and (open-close) > (close-low) and isInvertedHammer and close < ema
plotshape(invertedHammer ? low : na, title=" Inverted Hammer", text = "Inverted Hammer", style=shape.labelup, color=color.rgb(60, 231, 148), size=size.normal, location=location.absolute, textcolor = color.black)
if invertedHammer
alert("Inverted Hammer : "+syminfo.ticker, alert.freq_once_per_bar_close)
//#endregion
//#region Shooting Star
starGroup = "=========== Star ==========="
isShootingStar = input.bool(true, "Shooting Star", group=starGroup, inline = "Shooting Star")
shootingStarMult = input.float(defval=2.0, title="Multiplier", step=0.1, group=starGroup, inline = "Shooting Star")
shootingStar = (high-open) > (open-close)*shootingStarMult and (open-close) > (close-low) and isShootingStar and close > ema
plotshape(shootingStar ? high : na, title="Shooting Star", text = "Shooting Star", style=shape.labeldown, color=color.red, size=size.normal, location=location.absolute, textcolor = color.white)
if shootingStar
alert("Shooting Star : "+syminfo.ticker, alert.freq_once_per_bar_close)
//#endregion
//#region Morning Star
isMorningStar = input.bool(true, "Morning Star", group=starGroup)
morningStar(Open, Close, High, Low)=>
Close > Open and Close > Close[1] and Open > Open[1] and Open > Close [1] and Open[1] < Open[2] and Open[1] < Close[2] and Close[1] < Open[2] and Close[1] < Close[2] and Close < ta.sma(Close, 50) and
High > Low[2] and Close > Low[2]
morningstar = morningStar(open, close, high, low) and isMorningStar and close < ema
plotshape(morningstar ? low : na, title="Morning Star", style=shape.labelup, color=color.rgb(54, 167, 58), location=location.absolute, text="Morning Star", textcolor=color.black, size=size.normal)
if morningstar
alert("Morning Star : "+syminfo.ticker, alert.freq_once_per_bar_close)
//#endregion
//#region Evening Star
isEveningStar = input.bool(true, "Evening Star", group=starGroup)
eveningStar(Open, Close, High, Low)=>
Close < Open and Close < Close[1] and Open < Open[1] and Open < Close [1] and Open[1] > Open[2] and Open[1] > Close[2] and Close[1] > Open[2] and Close[1] > Close[2] and Close > ta.sma(Close, 50) and
Low < High[2] and Close < High[2]
eveningstar = eveningStar(open, close, high, low) and isEveningStar and close > ema
plotshape(eveningstar ? high : na, title="Evening Star", style=shape.labeldown, color=color.rgb(230, 47, 47, 7), location=location.absolute, text="Evening Star", textcolor=color.white, size=size.normal)
if eveningstar
alert("Evening Star : "+syminfo.ticker, alert.freq_once_per_bar_close)
//#endregion
//#region Bullish Engulfing
engulfingGroup = "=========== Engulfing ==========="
isBulllishEngulfing = input.bool(true, "Bullish Engulfing", group=engulfingGroup)
bullishEngulfing = close > open[1] and close > close[1] and open < open[1] and open < close[1] and close < ema and distance > avgRange and isBulllishEngulfing
plotshape(bullishEngulfing ? low : na, title="Bullish Engulfing", text = "Bullish Engulfing", style=shape.labelup, color=color.rgb(1, 189, 98), size=size.normal, location=location.absolute, textcolor = color.black)
if bullishEngulfing
alert("Bullish Engulfing in : "+syminfo.ticker, alert.freq_once_per_bar_close)
//#endregion
//#region Bearish Engulfing
isBearishEngulfing = input.bool(true, "Bearish Engulfing", group=engulfingGroup)
bearishEngulfing = close < open[1] and close < close[1] and open > open[1] and open > close[1] and close > ema and distance > avgRange and isBearishEngulfing
plotshape(bearishEngulfing ? high : na, title="Bearish Engulfing", text = "Bearish Engulfing", style=shape.labeldown, color=color.rgb(250, 64, 64), size=size.normal, location=location.absolute, textcolor = color.white)
if bearishEngulfing
alert("Bearish Engulfing in : "+syminfo.ticker, alert.freq_once_per_bar_close)
//#endregion
//#region Dark Cloud Cover
cloudGroup = "=========== Cloud ==========="
isDarkCloudCover = input.bool(true, "Dark - Cloud Cover", group = cloudGroup)
darkCloud = close[1] > open[1] and close < open and open > high[1] and close < close[1] - (high[1] - low[1])/4 and close > open[1] and close > ema
plotshape(darkCloud ? high : na, title="Dark - Cloud Cover", text = "Dark - Cloud Cover", style=shape.labeldown, color=color.rgb(250, 64, 64), size=size.normal, location=location.absolute, textcolor = color.white)
if darkCloud
alert("Dark - Cloud Cover in : "+syminfo.ticker, alert.freq_once_per_bar_close)
//#endregion
//#region Piercing Pattern
isPiercingPattern = input.bool(true, "Piercing Pattern", group = cloudGroup)
piercing = close[1] < open[1] and close > open and close > close[1] + (open[1] - close[1])/2 and open < low[1] and close < open[1] and close < ema
plotshape(piercing ? low : na, title="Piercing Pattern", text = "Piercing Pattern", style=shape.labelup, color=color.rgb(1, 189, 98), size=size.normal, location=location.absolute, textcolor = color.black)
if piercing
alert("Piercing Pattern in : "+syminfo.ticker, alert.freq_once_per_bar_close)
//#endregion |
Golden Gate | https://www.tradingview.com/script/SJauXAU1-Golden-Gate/ | vaibhavpatil216 | https://www.tradingview.com/u/vaibhavpatil216/ | 18 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © vaibhavpatil216
//@version=5
indicator(title="Golden Gate", shorttitle="EMA", overlay=true, timeframe="", timeframe_gaps=true)
len20 = input.int(20, minval=1, title="Length")
src20 = input(close, title="Source")
offset20 = input.int(title="Offset", defval=0, minval=-500, maxval=500)
out20 = ta.ema(src20, len20)
plot(out20, title="EMA", color=color.blue, offset=offset20)
ma(source, length, type) =>
switch type
"EMA" => ta.ema(source, length)
typeMA20 = input.string(title = "Method", defval = "EMA", options=["EMA"])
len50 = input.int(50, minval=1, title="Length")
src50 = input(close, title="Source")
offset50 = input.int(title="Offset", defval=0, minval=-500, maxval=500)
out50 = ta.ema(src50, len50)
plot(out50, title="EMA", color=color.red, offset=offset50)
ma50(source, length, type) =>
switch type
"EMA" => ta.ema(source, length)
typeMA50 = input.string(title = "Method", defval = "EMA", options=["EMA"])
len200 = input.int(200, minval=1, title="Length")
src200 = input(close, title="Source")
offset200 = input.int(title="Offset", defval=0, minval=-500, maxval=500)
out200 = ta.ema(src200, len200)
plot(out200, title="EMA", color=color.lime, offset=offset200)
ma200(source, length, type) =>
switch type
"EMA" => ta.ema(source, length)
typeMA200 = input.string(title = "Method", defval = "EMA", options=["EMA"])
len100 = input.int(100, minval=1, title="Length")
src100 = input(close, title="Source")
offset100 = input.int(title="Offset", defval=0, minval=-500, maxval=500)
out100 = ta.ema(src100, len100)
plot(out100, title="EMA", color=color.rgb(226, 230, 0), offset=offset100)
ma100(source, length, type) =>
switch type
"EMA" => ta.ema(source, length)
typeMA100 = input.string(title = "Method", defval = "EMA", options=["EMA"])
|
FREE PVT 2 [BELES] | https://www.tradingview.com/script/D7bIcKXi/ | CoinFix | https://www.tradingview.com/u/CoinFix/ | 129 | study | 5 | CC-BY-NC-SA-4.0 | // This work is licensed under a Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) https://creativecommons.org/licenses/by-nc-sa/4.0/
// © BELESCOIN
//@version=5
indicator("FREE PVT 2 [BELES]",overlay=true,max_bars_back=500,max_lines_count=500)
length = input.int(50,minval=2,maxval=500)
max_color = input.color(color.rgb(255, 255, 255, 100),'Trailing Maximum Color',group='Style')
min_color = input.color(color.rgb(255, 255, 255, 100),'Trailing Minimum Color',group='Style')
avg_color = input.color(#00ff15,'Trailing Maximum Color',group='Style')
bull_fill = input.color(color.new(color.teal,80),'Uptrend Area',group='Style')
bear_fill = input.color(color.new(color.red,80),'Downtrend Area',group='Style')
//----
var max = 0.
var min = 0.
ph = ta.pivothigh(length,length)
pl = ta.pivotlow(length,length)
if ph or pl
max := high[length]
min := low[length]
max := math.max(high[length],max)
min := math.min(low[length],min)
avg = math.avg(max,min)
//----
plot1 = plot(max,'Trailing Maximum',ph or pl ? na : max_color,1,plot.style_linebr,offset=-length)
plot2 = plot(min,'Trailing Minimum',ph or pl ? na : min_color,1,plot.style_linebr,offset=-length)
fill_css = fixnan(ph ? bear_fill : pl ? bull_fill : na)
fill(plot1,plot2,ph or pl ? na : fill_css)
plot(avg,'Average',ph or pl ? na : avg_color,1,plot.style_linebr,offset=-length)
plotshape(pl ? pl : na,"Pivot High",shape.labelup,location.absolute,max_color,-length,text="▲",textcolor=color.rgb(74, 255, 128),size=size.large)
plotshape(ph ? ph : na,"Pivot Low",shape.labeldown,location.absolute,min_color,-length,text="▼",textcolor=color.rgb(255, 72, 72),size=size.large)
//----
n = bar_index
max_prev = max
min_prev = min
avg_prev = avg
max2 = max
min2 = min
if barstate.islast
for line_object in line.all
line.delete(line_object)
for i = 0 to length-1
max2 := math.max(high[length-1-i],max_prev)
min2 := math.min(low[length-1-i],min_prev)
avg2 = math.avg(max2,min2)
line1 = line.new(n-(length-i),max_prev,n-(length-1-i),max2,color=max_color)
line2 = line.new(n-(length-i),min_prev,n-(length-1-i),min2,color=min_color)
linefill.new(line1,line2,color.new(fill_css,80))
line.new(n-(length-i),avg_prev,n-(length-1-i),avg2,color=avg_color)
max_prev := max2
min_prev := min2
avg_prev := avg2
|
AI-EngulfingCandle | https://www.tradingview.com/script/58m8mjwG-AI-EngulfingCandle/ | ahmedirshad419 | https://www.tradingview.com/u/ahmedirshad419/ | 1,913 | study | 4 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © ahmedirshad419
//@version=4
study("EngulfingCandle", overlay=true )
bullishCandle=close >= open[1] and close[1] < open[1] //and high >= high[1] and low <= low[1]
bearishCandle=close <= open[1] and close[1] >open[1] //and high > high[1] and low < low[1]
// RSI integration
rsiSource=input(title="rsiSource", defval=close, type=input.source)
rsiLenghth=input(title="rsi length", type=input.integer, defval=14)
rsiOverBought=input(title="rsi overbought level", type=input.integer, defval=70)
rsiOverSold=input(title="rsi over sold level", type=input.integer, defval=30)
//rsiOverBoughtThreshold=input(title="rsiOBThreshold level", type=input.integer, defval=97)
//rsiOverSoldThreshold=input(title="rsiOSThreshold level", type=input.integer, defval=18)
//get RSI value
rsiValue=rsi(rsiSource,rsiLenghth)
isRSIOB=rsiValue >= rsiOverBought and rsiValue
isRSIOS=rsiValue <= rsiOverSold and rsiValue
tradeSignal=((isRSIOS or isRSIOS[1] or isRSIOS[2]) and bullishCandle ) or ((isRSIOB or isRSIOB[1] or isRSIOB[2]) and bearishCandle)
//plot on chart
plotshape(tradeSignal and bullishCandle,title="bullish", location=location.belowbar, color=color.green,style=shape.triangleup, text="buy MIT")
plotshape(tradeSignal and bearishCandle,title="bearish", location=location.abovebar, color=color.red,style=shape.triangledown, text="sell MIT")
|
Volatility Elvis | https://www.tradingview.com/script/UEsBQg8j-Volatility-Elvis/ | mwangielvis49 | https://www.tradingview.com/u/mwangielvis49/ | 21 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © hajixde
//@version=5
indicator("Volatility Screener", overlay = false)
coin1 = input.string("WINUSDT", group = "Coins" , inline = "coins_")
coin2 = input.string("DODOUSDT", group = "Coins" , inline = "coins_")
coin3 = input.string("AUCTIONUSDT", group = "Coins" , inline = "coins_")
coin4 = input.string("MBOXUSDT", group = "Coins" , inline = "coins_")
coin5 = input.string("ETHUSDT", group = "Coins" , inline = "coins_")
coin6 = input.string("BTCUSDT", group = "Coins" , inline = "coins_")
coin7 = input.string("IMXUSDT", group = "Coins" , inline = "coins_")
coin8 = input.string("VIDYUSDT", group = "Coins" , inline = "coins_")
coin9 = input.string("ALICEUSDT", group = "Coins" , inline = "coins_")
coin10 = input.string("VGXUSDT", group = "Coins" , inline = "coins_")
coin11 = input.string("CTKUSDT", group = "Coins" , inline = "coins_")
coin12 = input.string("BORINGUSDT", group = "Coins" , inline = "coins_")
length = input.int(100, minval=1)
minVolatility = input.float(10, title = "Minimum Volatility Percentage")
volatility(src, len) =>
dev = ta.stdev(src, len)
s = ta.sma(src, len)
v = 100*dev / s
v
var table statTable = table.new(position.middle_center, 4, 36, bgcolor = color.black, frame_width = 1, frame_color = color.black, border_color = color.black, border_width = 1)
table.cell(statTable, 0, 0, " Ticker ", text_color = color.white, bgcolor = #336688)
table.cell(statTable, 1, 0, " Volatility", text_color = color.white, bgcolor = #336688)
table.cell(statTable, 2, 0, " Ticker ", text_color = color.white, bgcolor = #336688)
table.cell(statTable, 3, 0, " Volatility", text_color = color.white, bgcolor = #336688)
table.cell(statTable, 0, 1, coin1, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 0, 2, coin2, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 0, 3, coin3, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 0, 4, coin4, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 0, 5, coin5, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 0, 6, coin6, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 2, 1, coin7, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 2, 2, coin8, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 2, 3, coin9, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 2, 4, coin10, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 2, 5, coin11, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 2, 6, coin12, text_color = color.white, bgcolor = #9999EE)
table.cell(statTable, 1, 1, str.tostring(volatility(request.security(coin1, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin1, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 1, 2, str.tostring(volatility(request.security(coin2, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin2, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 1, 3, str.tostring(volatility(request.security(coin3, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin3, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 1, 4, str.tostring(volatility(request.security(coin4, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin4, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 1, 5, str.tostring(volatility(request.security(coin5, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin5, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 1, 6, str.tostring(volatility(request.security(coin6, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin6, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 3, 1, str.tostring(volatility(request.security(coin7, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin7, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 3, 2, str.tostring(volatility(request.security(coin8, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin8, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 3, 3, str.tostring(volatility(request.security(coin9, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin9, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 3, 4, str.tostring(volatility(request.security(coin10, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin10, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 3, 5, str.tostring(volatility(request.security(coin11, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin11, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
table.cell(statTable, 3, 6, str.tostring(volatility(request.security(coin12, timeframe.period, close), length), "#.##") + " %", text_color = color.white,
bgcolor = volatility(request.security(coin12, timeframe.period, close), length) > minVolatility ? #992266 : #998833)
|
MA 6 Ribbon-Bollinger Band | https://www.tradingview.com/script/EUaLW4ip-MA-6-Ribbon-Bollinger-Band/ | sarojinideviperumalla | https://www.tradingview.com/u/sarojinideviperumalla/ | 4 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © sarojinideviperumalla
//@version=5
indicator("MA 6 Ribbon", shorttitle="MA Ribbon", overlay=true, timeframe="", timeframe_gaps=true)
ma(source, length, type) =>
type == "SMA" ? ta.sma(source, length) :
type == "EMA" ? ta.ema(source, length) :
type == "SMMA (RMA)" ? ta.rma(source, length) :
type == "WMA" ? ta.wma(source, length) :
type == "VWMA" ? ta.vwma(source, length) :
na
show_ma1 = input(true , "MA №1", inline="MA #1")
ma1_type = input.string("SMA" , "" , inline="MA #1", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"])
ma1_source = input(close , "" , inline="MA #1")
ma1_length = input.int(20 , "" , inline="MA #1", minval=1)
ma1_color = input(#f6c309, "" , inline="MA #1")
ma1 = ma(ma1_source, ma1_length, ma1_type)
plot(show_ma1 ? ma1 : na, color = ma1_color, title="MA №1")
show_ma2 = input(true , "MA №2", inline="MA #2")
ma2_type = input.string("SMA" , "" , inline="MA #2", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"])
ma2_source = input(close , "" , inline="MA #2")
ma2_length = input.int(50 , "" , inline="MA #2", minval=1)
ma2_color = input(#fb9800, "" , inline="MA #2")
ma2 = ma(ma2_source, ma2_length, ma2_type)
plot(show_ma2 ? ma2 : na, color = ma2_color, title="MA №2")
show_ma3 = input(true , "MA №3", inline="MA #3")
ma3_type = input.string("SMA" , "" , inline="MA #3", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"])
ma3_source = input(close , "" , inline="MA #3")
ma3_length = input.int(100 , "" , inline="MA #3", minval=1)
ma3_color = input(#fb6500, "" , inline="MA #3")
ma3 = ma(ma3_source, ma3_length, ma3_type)
plot(show_ma3 ? ma3 : na, color = ma3_color, title="MA №3")
show_ma4 = input(true , "MA №4", inline="MA #4")
ma4_type = input.string("SMA" , "" , inline="MA #4", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"])
ma4_source = input(close , "" , inline="MA #4")
ma4_length = input.int(200 , "" , inline="MA #4", minval=1)
ma4_color = input(#f60c0c, "" , inline="MA #4")
ma4 = ma(ma4_source, ma4_length, ma4_type)
plot(show_ma4 ? ma4 : na, color = ma4_color, title="MA №4")
show_ma5 = input(true , "MA №5", inline="MA #5")
ma5_type = input.string("SMA" , "" , inline="MA #5", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"])
ma5_source = input(close , "" , inline="MA #5")
ma5_length = input.int(200 , "" , inline="MA #5", minval=1)
ma5_color = input(#f60c0c, "" , inline="MA #5")
ma5 = ma(ma5_source, ma5_length, ma5_type)
plot(show_ma5 ? ma5 : na, color = ma5_color, title="MA №5")
show_ma6 = input(true , "MA №6", inline="MA #6")
ma6_type = input.string("SMA" , "" , inline="MA #6", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"])
ma6_source = input(close , "" , inline="MA #6")
ma6_length = input.int(200 , "" , inline="MA #6", minval=1)
ma6_color = input(#f60c0c, "" , inline="MA #6")
ma6 = ma(ma6_source, ma6_length, ma6_type)
plot(show_ma6 ? ma6 : na, color = ma6_color, title="MA №6")
length = input.int(20, minval=1)
src = input(close, title="Source")
mult = input.float(2.0, minval=0.001, maxval=50, title="StdDev")
basis = ta.sma(src, length)
dev = mult * ta.stdev(src, length)
upper = basis + dev
lower = basis - dev
offset = input.int(0, "Offset", minval = -500, maxval = 500)
plot(basis, "Basis", color=#FF6D00, offset = offset)
p1 = plot(upper, "Upper", color=#2962FF, offset = offset)
p2 = plot(lower, "Lower", color=#2962FF, offset = offset)
fill(p1, p2, title = "Background", color=color.rgb(33, 150, 243, 95))
|
Volume/Market Profile | https://www.tradingview.com/script/WWqoUu7e-Volume-Market-Profile/ | SamRecio | https://www.tradingview.com/u/SamRecio/ | 1,462 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © SamRecio
//@version=5
indicator("Volume/Market Profile", shorttitle = "VMP", overlay = true, max_lines_count = 500, max_boxes_count = 500)
//Profile Settings
tf = input.timeframe("D", title = "Timeframe", inline = "0", group = "PROFILE SETTINGS")
lb_calc = input.bool(false, title = "Use Lookback Calc?", inline = "0", group = "PROFILE SETTINGS", tooltip = "Lookback Calculation Historically compiles a profile to display the data from the requested timeframe amount of time.\nProgressive Calculation (Default) restarts the profile calculation on each change of the requested timeframe(New Bar).\n\nExamples:\nLookback = '1D' will display a profile based on 1 Day of historical data.\nProgressive = '1D' will display a profile base on data since the start of the Day.\n\nTip: There is a manual control for lookback bars at the bottom if you prefer to see a specific number.")
vap = input.float(70, title = "Value Area %", inline = "1_1", group = "PROFILE SETTINGS")/100
mp = input.bool(false, title = "Calculate As Market Profile", inline = "2", group = "PROFILE SETTINGS", tooltip = "Calculations will distribue a 1 instead of the candle's volume.")
//Display Settings
disp_size = input.int(-50, minval = -500,maxval = 500,title = "Display Size ", inline = "3", group = "DISPLAY SETTINGS", tooltip = "The entire range of your profile will scale to fit inside this range.\nNotes:\n-This value is # bars away from your profile's axis.\n-The larger this value is, the more granular your (horizontal) view will be. This does not change the Profiles' value; because of this, sometimes the POC looks tied with other values widely different. The POC CAN be tied to values close to it, but if the value is far away it is likely to just be a visual constraint.\n-This Value CAN be negative")
prof_offset = input.int(50, minval = -500,maxval = 500, title = "Display Offset", inline = "4", group = "DISPLAY SETTINGS", tooltip = "Offset your profile's axis (Left/Right) to customize your display to fit your style.\nNotes:\n-Zero = Current Bar\n-This Value CAN be negative")
//Additional Data Displays
extend_day = input.bool(false, title = "Extend POC/VAH/VAL", inline = "1", group = "Additional Data Displays")
lab_tog = input.bool(true, title = "Label POC/VAH/VAL", inline = "2", group = "Additional Data Displays")
dev_poc = input.bool(false, title = "Rolling POC/TPO", inline = "3", group = "Additional Data Displays", tooltip = "Displays Value as it Develops!\nNote: Will Cause Longer Load Time. If not needed, it is reccomended to turn these off.")
dev_va = input.bool(false, title = "Rolling VAH/VAL", inline = "4", group = "Additional Data Displays")
//High/Low Volume Nodes
node_tog = input.bool(true, title = "Highlight Nodes", group = "High/Low Volume Nodes")
hi_width = input.int(10, maxval = 100, minval = 1,title = "[HVN] Analysis Width % ↕", group = "High/Low Volume Nodes", tooltip = "[HVN] = High Volume Node\nAnalysis Width % = % of profile to take into account when determining what is a High Volume Node and what is Not.")*0.01
lo_width = input.int(10, maxval = 100, minval = 1, title = "[LVN] Analysis Width % ↕", group = "High/Low Volume Nodes", tooltip = "[LVN] = Low Volume Node\nAnalysis Width % = % of profile to take into account when determining what is a Low Volume Node and what is Not.")*0.01
//Colors
poc_color = input.color(#ff033e, title = "POC/TPO Color", group = "Colors")
var_color = input.color(color.white, title = "Value High/Low Color", group = "Colors")
vaz_color = input.color(color.new(#555555,50), title = "Value Zone Color", group = "Colors")
ov_color = input.color(#555555, title = "Profile Color", group = "Colors")
lv_color = input.color(#801922, title = "Low Volume Color", group = "Colors")
hv_color = input.color(#2295BF, title = "High Volume Color", group = "Colors")
//⭕Manual Lookback Override⭕
lb_override = input.bool(false, title = "[Check to Enable]", group = "⭕Manual Lookback Override⭕", inline = "1")
lb_over_bars = input.int(500, title = " Lookback", group = "⭕Manual Lookback Override⭕", inline = "1", tooltip = "Lookback Calc must be enabled for this feature.")
///_________________________________________
///Misc Stuff
///‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾
decimal_places = str.contains(str.tostring(syminfo.mintick),".")?str.length(array.get(str.split(str.tostring(syminfo.mintick),"."),1)):0
round_to(_round,_to) =>
math.round(_round/_to)*_to
///_________________________________________
///Setup for Length
///‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾
tf_change = timeframe.change(tf)
var int bi_nd = na // BI_ND = Bar Index _ New Day
var int bi_lnd = na //BI_LND = Bar Index Last New Day
bi_lnd := tf_change?bi_nd:bi_lnd
bi_nd := tf_change?bar_index:bi_nd
tf_len = (bi_nd - bi_lnd)+1
bs_newtf = (bar_index - bi_nd)+1
id_lb_bars = timeframe.in_seconds(tf)/timeframe.in_seconds(timeframe.period)
dwm_lb_bars = (math.max(tf_len,bs_newtf)>1?math.max(tf_len,bs_newtf)-1:1)
auto_lb_bars = timeframe.in_seconds(tf) >= timeframe.in_seconds("D")?dwm_lb_bars:id_lb_bars
lb_bars = (lb_calc?(na(tf_len)?bar_index:(lb_override?lb_over_bars:auto_lb_bars)):na(bs_newtf)?bar_index:bs_newtf)
///_________________________________________
///Warning for Large Timeframe
///‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾
var d = dayofmonth
var m = switch
month == 1 => "Jan"
month == 2 => "Feb"
month == 3 => "Mar"
month == 4 => "Apr"
month == 5 => "May"
month == 6 => "Jun"
month == 7 => "Jul"
month == 8 => "Aug"
month == 9 => "Sep"
month == 10 => "Oct"
month == 11 => "Nov"
month == 12 => "Dec"
var y = year - (int(year/100)*100)
send_warning = (lb_calc and na(tf_len)) or (not lb_calc and na(bs_newtf))
warning = "[WARNING ⚠]"+" ["+tf+"]"+"\nData Start: " + str.tostring(d,"00")+" "+m + " '" + str.tostring(y) + "\n\n"
if na(volume) and (mp == false)
runtime.error("No Volume Data. Please Use a Ticker with Volume Data or Switch to Market Profile Calculation.")
///_________________________________________
///Start Data Accumulation
///‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾
//By storing the data, I can use it later without the need for historical reference.
//Additionally, I can control the amount of data kept in memory to only hold the lookback amount of bars.
//This is all of the advantages of lookback calcs, with all the advantages of progressive calculations.
src_high = math.round_to_mintick(high)
src_low = math.round_to_mintick(low)
var highs = array.new_float(na)
var lows = array.new_float(na)
var vol = array.new_float(na)
highs.push(src_high)
lows.push(src_low)
vol.push(volume)
if highs.size() >= lb_bars
for i = highs.size()-1 to lb_bars
if highs.size() == lb_bars
break
else
highs.shift()
lows.shift()
vol.shift()
//Granularity Gets more corse farther from current bar for speed. Replay mode can get a full gran profile if needed.
v_gran = bar_index>=(last_bar_index-1000)?999: bar_index>=(last_bar_index-2000)?249: bar_index>=(last_bar_index-4000)?124:64
tick_size = math.max(syminfo.mintick,(highs.max()-lows.min())/v_gran)
full_hist_calc = (dev_poc or dev_va)
///_________________________________________
///Profile Calcs
///‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾
data_map = map.new<float,float>()
if full_hist_calc and highs.size() > 0
for i = 0 to array.size(highs)-1
hi = round_to(highs.get(i),tick_size)
lo = round_to(lows.get(i),tick_size)
candle_index = ((hi-lo)/tick_size)
tick_vol = mp?1:math.round((vol.get(i)/(candle_index+1)),3)
for e = 0 to candle_index
val = round_to(lo+(e*tick_size),tick_size)
data_map.put(val, math.round(nz(data_map.get(val)),3)+tick_vol)
if (full_hist_calc == false) and barstate.islast
for i = 0 to array.size(highs)-1
hi = round_to(highs.get(i),tick_size)
lo = round_to(lows.get(i),tick_size)
candle_index = ((hi-lo)/tick_size)
tick_vol = mp?1:math.round((vol.get(i)/(candle_index+1)),3)
for e = 0 to candle_index
val = round_to(lo+(e*tick_size),tick_size)
data_map.put(val, math.round(nz(data_map.get(val)),3)+tick_vol)
///_________________________________________
////Other Profile Values
///‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾
keys = map.keys(data_map)
values = map.values(data_map)
array.sort(keys, order.ascending)
///_________________________________________
///AQUIRE POC
///‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾
//POC = Largest Volume Closest to Price Average of Profile
//
float poc = 0
float poc_vol = 0
prof_avg = array.avg(keys)
for [key, value] in data_map
if (value > poc_vol) or (value == poc_vol and math.abs(key-prof_avg)<math.abs(poc-prof_avg))
poc := key
poc_vol := value
///_________________________________________
///VALUE ZONES
///‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾
max_vol = array.sum(values)*vap
max_index = poc
vol_count = poc_vol
up_count = max_index
down_count = max_index
for i = 0 to array.size(keys)
if vol_count >= max_vol
break
upper_vol = nz(data_map.get(round_to(up_count+tick_size,tick_size))) + nz(data_map.get(round_to(up_count+(tick_size*2),tick_size)))
lower_vol = nz(data_map.get(round_to(down_count-tick_size,tick_size))) + nz(data_map.get(round_to(down_count-(tick_size*2),tick_size)))
if (((upper_vol >= lower_vol) and upper_vol > 0) or (lower_vol>0 == false)) and up_count < array.max(keys)-tick_size
vol_count += upper_vol
up_count := round_to(up_count+(tick_size*2),tick_size)
else if down_count > array.min(keys)+tick_size
vol_count += lower_vol
down_count := round_to(down_count-(tick_size*2),tick_size)
val = down_count
vah = up_count
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//END PROFILE CALCs//
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//Cluster ID for Volume Nodes//
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// Cluster ID analyzes a local group (cluster) of volume profile indexes (rows) to determine if the current index is higher(or lower) than those around it.
// The Analysis width is a % of the entire # of rows in the profile to pull into a cluster, by increasing or decreasing this value, we can tune the profile to our individual preference.
vgroup_pull(_var,_array,_num1,_num2) =>
_var == 1 and _num1>=_num2?data_map.get(array.get(_array,_num1-_num2)): //Pulls Index Value from Below
_var == 2 and array.size(_array)-1 >= (_num1 + _num2)?data_map.get(array.get(_array,_num1+_num2)) //Pulls Index Value from Above
:0
var hvn_points = array.new_int(na)
if array.size(keys) > 0 and barstate.islast and node_tog
array.clear(hvn_points)
for i = 0 to array.size(keys)-1
_val = data_map.get(array.get(keys,i))
ary = array.new_float(na)
for e = 0 to int(array.size(keys)*hi_width)
array.push(ary,vgroup_pull(1,keys,i,e))
array.push(ary,vgroup_pull(2,keys,i,e))
max = array.max(ary)
avg = array.avg(ary)
if _val >= math.avg(max,avg)
array.push(hvn_points,i)
var lvn_points = array.new_int(na)
if array.size(keys) > 0 and barstate.islast and node_tog
array.clear(lvn_points)
for i = 0 to array.size(keys)-1
_val = data_map.get(array.get(keys,i))
ary = array.new_float(na)
for e = 0 to int(array.size(keys)*lo_width)
array.push(ary,vgroup_pull(1,keys,i,e))
array.push(ary,vgroup_pull(2,keys,i,e))
min = array.min(ary)
avg = array.avg(ary)
if _val <= math.avg(min,avg)
array.push(lvn_points,i)
///_________________________________________
///Cluster Merging
///‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾
merge_clusters(_array) =>
if array.size(_array)>0
for i = 0 to array.size(_array)-1
hi_found = false
lo_found = false
_val = array.get(_array,i)
for e = int(array.size(keys)*0.02) to 0
if hi_found
array.push(_array,_val+e)
else if array.includes(_array,_val+e)
hi_found := true
if lo_found
array.push(_array,_val-e)
else if array.includes(_array,_val-e)
lo_found := true
dummy = "This is here to make the loop return 'void'. "
// run it
if barstate.islast and node_tog
merge_clusters(hvn_points)
merge_clusters(lvn_points)
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//END Cluster ID Calcs//
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//Display//
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
var profile = array.new_line(na)
var box_profile = array.new_box(na)
if barstate.islast and array.size(profile) > 0
for [index,line] in profile
line.delete(line)
array.clear(profile)
if barstate.islast and array.size(box_profile) > 0
for [index,box] in box_profile
box.delete(box)
array.clear(box_profile)
prof_color(_num,_key) => //Function for determining what color each profile index gets
switch
_key==poc => poc_color //If its the max Value, give it poc color
(_key==up_count or _key==down_count) => var_color //If its the value high or low, give it those colors
array.includes(hvn_points,_num) and array.includes(lvn_points,_num) => ((_key>up_count or _key<down_count)?ov_color:vaz_color) /// If its BOTH a HVN and LVN only display color based on valuezone (in value or out) I plan to imporove this in the future.
array.includes(lvn_points,_num) => lv_color //If it is < lv% of the max volume, give it the low volume color
array.includes(hvn_points,_num) => hv_color //If its > hv% of the max volume, give it the high volume color
(_key>up_count or _key<down_count) => ov_color //If its above or below our value zone, give it the out of value color
=> vaz_color // Everything else is inside the value zone so it gets the value zone color
dash(_i) => (_i/2 - math.floor(_i/2)) > 0 //only true when the number is odd, Making it oscillate on/off, I can make use of this to evenly distribute boxes and lines throughout the display to make it cleaner.
roof = keys.max()
///_________________________________________
///Drawing the Profile
///‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾‾
if barstate.islast and array.size(keys) > 0
for [i,get_key] in keys
scale = disp_size/array.max(values)
get_vol = data_map.get(get_key)
scaled = math.round(get_vol*scale)
too_far_back = (lb_calc?bar_index-lb_bars:bi_nd)<bar_index-4999
p1 = extend_day ? (too_far_back?bar_index-4999:(lb_calc?bar_index-lb_bars:bi_nd)) : (bar_index+prof_offset)
p2 = extend_day ? (disp_size<0?(bar_index+prof_offset):((bar_index+scaled)+prof_offset)) : ((bar_index+scaled)+prof_offset)
if get_key == poc
array.push(box_profile,box.new(p1,poc,p2,poc, border_color = poc_color, border_style = line.style_solid, border_width = 1, extend = (extend_day and too_far_back?extend.left:extend.none)))
else if get_key == vah
array.push(box_profile,box.new(p1,vah,p2,vah, border_color = var_color, border_style = line.style_solid, border_width = 1, extend = (extend_day and too_far_back?extend.left:extend.none)))
else if get_key == val
array.push(box_profile,box.new(p1,val,p2,val, border_color = var_color, border_style = line.style_solid, border_width = 1, extend = (extend_day and too_far_back?extend.left:extend.none)))
else if dash(i) and (array.size(profile) <= 499) and (math.abs(scaled)>=1)
array.push(profile,line.new(bar_index+prof_offset,get_key,(bar_index+scaled)+prof_offset,get_key, color = prof_color(i,get_key), style = (get_key<down_count or get_key>up_count?line.style_dotted:line.style_solid),width = 1))
else if (array.size(box_profile) <= 499) and (math.abs(scaled)>=1)
array.push(box_profile,box.new(bar_index+prof_offset,get_key,(bar_index+scaled)+prof_offset,get_key, border_color = prof_color(i,get_key), border_style = (get_key<down_count or get_key>up_count?line.style_dotted:line.style_solid), border_width = 1))
//Drawing labels for the profile
lab = label.new(bar_index+prof_offset,roof, text = (send_warning?warning:"")+(mp?"Market Profile [":"Volume Profile [") + (send_warning?"MAX":(lb_override?"Manual":tf)) + "] " + (lb_calc?"\nLookback [" + str.tostring(lb_bars) + " Bars]":"") + "\nGranularity: " + str.tostring(math.round(tick_size,decimal_places),"$#.################"), style = (disp_size<0?label.style_label_lower_right:label.style_label_lower_left), color = color.rgb(0,0,0,100), textcolor = send_warning?color.rgb(255, 136, 0):chart.fg_color, textalign = (disp_size<0?text.align_left:text.align_right), text_font_family = font.family_monospace)
label.delete(lab[1])
if lab_tog
poc_lab = label.new(bar_index+prof_offset,poc, text = mp?"TPO":"POC", tooltip = (mp?"TPO: ":"POC: ") + str.tostring(math.round(poc,decimal_places),"$#.################"),size = size.small, style = (disp_size<0?label.style_label_left:label.style_label_right), color = color.rgb(0,0,0,100), textcolor = poc_color, textalign = (disp_size<0?text.align_right:text.align_left), text_font_family = font.family_monospace)
vah_lab = label.new(bar_index+prof_offset,vah, text = "VAH",size = size.small,tooltip = "VAH: " + str.tostring(math.round(vah,decimal_places),"$#.################"), style = (disp_size<0?label.style_label_left:label.style_label_right), color = color.rgb(0,0,0,100), textcolor = var_color, textalign = (disp_size<0?text.align_right:text.align_left), text_font_family = font.family_monospace)
val_lab = label.new(bar_index+prof_offset,val, text = "VAL",size = size.small,tooltip = "VAL: " + str.tostring(math.round(val,decimal_places),"$#.################"), style = (disp_size<0?label.style_label_left:label.style_label_right), color = color.rgb(0,0,0,100), textcolor = var_color, textalign = (disp_size<0?text.align_right:text.align_left), text_font_family = font.family_monospace)
label.delete(poc_lab[1])
label.delete(vah_lab[1])
label.delete(val_lab[1])
// Alerts
alertcondition(ta.crossover(close,poc), "Cross-Over Point of Control")
alertcondition(ta.crossunder(close,poc), "Cross-Under Point of Control")
alertcondition(ta.crossover(close,vah), "Cross-Over Value High")
alertcondition(ta.crossunder(close,vah), "Cross-Under Value High")
alertcondition(ta.crossover(close,val), "Cross-Over Value Low")
alertcondition(ta.crossunder(close,val),"Cross-Under Value Low")
//Plotting Developing Lines
plot(dev_poc?(poc==0?na:poc):na, color = poc_color, title = "Developing POC/TOP")
plot(dev_va?vah:na, color = var_color, title = "Developing VAH")
plot(dev_va?val:na, color = var_color, title = "Developing VAL")
|
Power Contract [Loxx] | https://www.tradingview.com/script/Lo0kSwww-Power-Contract-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 7 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Power Contract [Loxx]",
shorttitle ="PC [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
PowerContract(float S, float X, float T, float r, float b, float v, float i)=>
PowerContract = math.pow(S / X, i) * math.exp(((b - v * v / 2) * i - r + math.pow(i, 2) * v * v / 2) * T)
PowerContract
EPowerContract(string OutPutFlag, float S, float X, float T, float r, float b, float v, float i, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float EPowerContract = 0
if OutPutFlag == "p" // Value
EPowerContract := PowerContract(S, X, T, r, b, v, i)
else if OutPutFlag == "d" //Delta
EPowerContract := (PowerContract(S + dS, X, T, r, b, v, i)
- PowerContract(S - dS, X, T, r, b, v, i)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
EPowerContract := (PowerContract(S + dS, X, T, r, b, v, i)
- PowerContract(S - dS, X, T, r, b, v, i)) / (2 * dS) * S / PowerContract(S, X, T, r, b, v, i)
else if OutPutFlag == "g" //Gamma
EPowerContract := (PowerContract(S + dS, X, T, r, b, v, i)
- 2 * PowerContract(S, X, T, r, b, v, i) + PowerContract(S - dS, X, T, r, b, v, i)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
EPowerContract := (PowerContract(S + dS, X, T, r, b, v + 0.01, i)
- 2 * PowerContract(S, X, T, r, b, v + 0.01, i) + PowerContract(S - dS, X, T, r, b, v + 0.01, i)
- PowerContract(S + dS, X, T, r, b, v - 0.01, i)
+ 2 * PowerContract(S, X, T, r, b, v - 0.01, i)
- PowerContract(S - dS, X, T, r, b, v - 0.01, i)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
EPowerContract := S / 100 * (PowerContract(S + dS, X, T, r, b, v, i)
- 2 * PowerContract(S, X, T, r, b, v, i) + PowerContract(S - dS, X, T, r, b, v, i)) / math.pow(dS, 2)
else if OutPutFlag == "tg" //time Gamma
EPowerContract := (PowerContract(S, X, T + 1 / 365, r, b, v, i)
- 2 * PowerContract(S, X, T, r, b, v, i)
+ PowerContract(S, X, T - 1 / 365, r, b, v, i)) / math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
EPowerContract := 1 / (4 * dS * 0.01)
* (PowerContract(S + dS, X, T, r, b, v + 0.01, i)
- PowerContract(S + dS, X, T, r, b, v - 0.01, i)
- PowerContract(S - dS, X, T, r, b, v + 0.01, i)
+ PowerContract(S - dS, X, T, r, b, v - 0.01, i)) / 100
else if OutPutFlag == "v" //Vega
EPowerContract := (PowerContract(S, X, T, r, b, v + 0.01, i)
- PowerContract(S, X, T, r, b, v - 0.01, i)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
EPowerContract := (PowerContract(S, X, T, r, b, v + 0.01, i)
- 2 * PowerContract(S, X, T, r, b, v, i)
+ PowerContract(S, X, T, r, b, v - 0.01, i)) / math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" //VegaP
EPowerContract := v / 0.1 * (PowerContract(S, X, T, r, b, v + 0.01, i)
- PowerContract(S, X, T, r, b, v - 0.01, i)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
EPowerContract := (PowerContract(S, X, T, r, b, v + 0.01, i)
- 2 * PowerContract(S, X, T, r, b, v, i)
+ PowerContract(S, X, T, r, b, v - 0.01, i))
else if OutPutFlag == "t" //Theta
if T <= (1 / 365)
EPowerContract := PowerContract(S, X, 1E-05, r, b, v, i)
- PowerContract(S, X, T, r, b, v, i)
else
EPowerContract := PowerContract(S, X, T - 1 / 365, r, b, v, i)
- PowerContract(S, X, T, r, b, v, i)
else if OutPutFlag == "r" //Rho
EPowerContract := (PowerContract(S, X, T, r + 0.01, b + 0.01, v, i)
- PowerContract(S, X, T, r - 0.01, b - 0.01, v, i)) / 2
else if OutPutFlag == "fr" //Futures options rho
EPowerContract := (PowerContract(S, X, T, r + 0.01, b, v, i)
- PowerContract(S, X, T, r - 0.01, b, v, i)) / 2
else if OutPutFlag == "f" //Rho2
EPowerContract := (PowerContract(S, X, T, r, b - 0.01, v, i)
- PowerContract(S, X, T, r, b + 0.01, v, i)) / 2
else if OutPutFlag == "b" //Carry
EPowerContract := (PowerContract(S, X, T, r, b + 0.01, v, i)
- PowerContract(S, X, T, r, b - 0.01, v, i)) / 2
else if OutPutFlag == "s" //Speed
EPowerContract := 1 / math.pow(dS, 3)
* (PowerContract(S + 2 * dS, X, T, r, b, v, i)
- 3 * PowerContract(S + dS, X, T, r, b, v, i)
+ 3 * PowerContract(S, X, T, r, b, v, i)
- PowerContract(S - dS, X, T, r, b, v, i))
else if OutPutFlag == "dx" //Strike Delta
EPowerContract := (PowerContract(S, X + dS, T, r, b, v, i)
- PowerContract(S, X - dS, T, r, b, v, i)) / (2 * dS)
else if OutPutFlag == "dxdx" //Strike Gamma
EPowerContract := (PowerContract(S, X + dS, T, r, b, v, i)
- 2 * PowerContract(S, X, T, r, b, v, i)
+ PowerContract(S, X - dS, T, r, b, v, i)) / math.pow(dS, 2)
EPowerContract
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(450, "Strike Price", group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float r = input.float(8., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(6., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(25., "% Volatility", group = "Rates Settings") / 100
float i = input.float(2, "Power", group = "Rates Settings")
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
amaproxprice = PowerContract(S, K, T, kouta, koutb, v, i)
Delta = EPowerContract("d", S, K, T, kouta, koutb, v, i, na) * sideout
Elasticity = EPowerContract("e", S, K, T, kouta, koutb, v, i, na) * sideout
Gamma = EPowerContract("g", S, K, T, kouta, koutb, v, i, na) * sideout
DGammaDvol = EPowerContract("gv", S, K, T, kouta, koutb, v, i, na) * sideout
GammaP = EPowerContract("gp", S, K, T, kouta, koutb, v, i, na) * sideout
Vega = EPowerContract("v", S, K, T, kouta, koutb, v, i, na) * sideout
DvegaDvol = EPowerContract("dvdv", S, K, T, kouta, koutb, v, i, na) * sideout
VegaP = EPowerContract("vp", S, K, T, kouta, koutb, v, i, na) * sideout
Theta = EPowerContract("t", S, K, T, kouta, koutb, v, i, na) * sideout
Rho = EPowerContract("r", S, K, T, kouta, koutb, v, i, na) * sideout
RhoFuturesOption = EPowerContract("fr", S, K, T, kouta, koutb, v, i, na) * sideout
PhiRho2 = EPowerContract("f", S, K, T, kouta, koutb, v, i, na) * sideout
Carry = EPowerContract("b", S, K, T, kouta, koutb, v, i, na) * sideout
DDeltaDvol = EPowerContract("dddv", S, K, T, kouta, koutb, v, i, na) * sideout
Speed = EPowerContract("s", S, K, T, kouta, koutb, v, i, na) * sideout
StrikeDelta = EPowerContract("dx", S, K, T, kouta, koutb, v, i, na) * sideout
StrikeGamma = EPowerContract("dxdx", S, K, T, kouta, koutb, v, i, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 20, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Power Contract", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "Power: " + str.tostring(i, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Power Contract Value: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Triple SuperTrend | https://www.tradingview.com/script/4XFdaIrL/ | DebbyLe1487 | https://www.tradingview.com/u/DebbyLe1487/ | 66 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © DebbyLe1487
//@version=5
indicator("Triple supertrend", overlay = true, format=format.price, precision=2)
Periods_1 = input.int(title="ATR Period 1", defval=10)
Multiplier_1 = input.float(title="ATR Multiplier 1", step=0.1, defval=1.0)
Periods_2 = input.int(title="ATR Period 2", defval=11)
Multiplier_2 = input.float(title="ATR Multiplier 2", step=0.1, defval=2.0)
Periods_3 = input.int(title="ATR Period 3", defval=12)
Multiplier_3 = input.float(title="ATR Multiplier 3", step=0.1, defval=3.0)
src = input(hl2, title="Source")
changeATR= input.bool(title="Change ATR Calculation Method ?", defval=true)
showsignals = input.bool(title="Show Buy/Sell Signals ?", defval=true)
highlighting = input.bool(title="Highlighter Trend lines On/Off ?", defval=true)
highlightingBG = input.bool(title="Highlighter BackGround Buy/Sell On/Off ?", defval=true)
//common
mPlot = plot(ohlc4, title="", style=plot.style_circles, linewidth=0)
//Line 1
atr2_1 = ta.sma(ta.tr, Periods_1)
atr_1= changeATR ? ta.atr(Periods_1) : atr2_1
up_1=src-(Multiplier_1*atr_1)
up1_1 = nz(up_1[1],up_1)
up_1 := close[1] > up1_1 ? math.max(up_1,up1_1) : up_1
dn_1=src+(Multiplier_1*atr_1)
dn1_1 = nz(dn_1[1], dn_1)
dn_1 := close[1] < dn1_1 ? math.min(dn_1, dn1_1) : dn_1
trend_1 = 1
trend_1 := nz(trend_1[1], trend_1)
trend_1 := trend_1 == -1 and close > dn1_1 ? 1 : trend_1 == 1 and close < up1_1 ? -1 : trend_1
upPlot_1 = plot(trend_1 == 1 ? up_1 : na, title="Up Trend 1", style=plot.style_linebr, linewidth=2, color=color.new(color.green,0))
buySignal_1 = trend_1 == 1 and trend_1[1] == -1
plotshape(buySignal_1 ? up_1 : na, title="UpTrend Begins 1", location=location.absolute, style=shape.circle, size=size.tiny, color=color.green)
//plotshape(buySignal_1 and showsignals ? up_1 : na, title="Buy_1", text="Buy_1", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(color.green,75), textcolor=color.new(color.white,75))
dnPlot_1 = plot(trend_1 == 1 ? na : dn_1, title="Down Trend", style=plot.style_linebr, linewidth=2, color=color.red)
sellSignal_1 = trend_1 == -1 and trend_1[1] == 1
plotshape(sellSignal_1 ? dn_1 : na, title="DownTrend Begins 1", location=location.absolute, style=shape.circle, size=size.tiny, color=color.red)
//plotshape(sellSignal_1 and showsignals ? dn_1 : na, title="Sell_1", text="Sell_1", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.red,75), textcolor=color.new(color.white,75))
longFillColor_1 = highlighting ? (trend_1 == 1 ? color.new(color.green,95) : color.new(color.white,100)) : color.new(color.white,100)
shortFillColor_1 = highlighting ? (trend_1 == -1 ? color.new(color.red,95) : color.new(color.white,100)) : color.new(color.white,100)
fill(mPlot, upPlot_1, title="UpTrend Highligter", color=longFillColor_1)
fill(mPlot, dnPlot_1, title="DownTrend Highligter", color=shortFillColor_1)
//alertcondition(buySignal_1, title="SuperTrend Buy", message="SuperTrend Buy!")
//alertcondition(sellSignal_1, title="SuperTrend Sell", message="SuperTrend Sell!")
changeCond_1 = trend_1 != trend_1[1]
//alertcondition(changeCond_1, title="SuperTrend Direction Change", message="SuperTrend has changed direction!")
//Line 2
atr2_2 = ta.sma(ta.tr, Periods_2)
atr_2= changeATR ? ta.atr(Periods_2) : atr2_2
up_2=src-(Multiplier_2*atr_2)
up1_2 = nz(up_2[1],up_2)
up_2 := close[1] > up1_2 ? math.max(up_2,up1_2) : up_2
dn_2=src+(Multiplier_2*atr_2)
dn1_2 = nz(dn_2[1], dn_2)
dn_2 := close[1] < dn1_2 ? math.min(dn_2, dn1_2) : dn_2
trend_2 = 1
trend_2 := nz(trend_2[1], trend_2)
trend_2 := trend_2 == -1 and close > dn1_2 ? 1 : trend_2 == 1 and close < up1_2 ? -1 : trend_2
upPlot_2 = plot(trend_2 == 1 ? up_2 : na, title="Up Trend 1", style=plot.style_linebr, linewidth=2, color=color.new(color.green,0))
buySignal_2 = trend_2 == 1 and trend_2[1] == -1
plotshape(buySignal_2 ? up_2 : na, title="UpTrend Begins 1", location=location.absolute, style=shape.circle, size=size.tiny, color=color.green)
//plotshape(buySignal_2 and showsignals ? up_2 : na, title="Buy_2", text="Buy_2", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(color.green,75), textcolor=color.new(color.white,75))
dnPlot_2 = plot(trend_2 == 1 ? na : dn_2, title="Down Trend", style=plot.style_linebr, linewidth=2, color=color.red)
sellSignal_2 = trend_2 == -1 and trend_2[1] == 1
plotshape(sellSignal_2 ? dn_2 : na, title="DownTrend Begins 1", location=location.absolute, style=shape.circle, size=size.tiny, color=color.red)
//plotshape(sellSignal_2 and showsignals ? dn_2 : na, title="Sell_2", text="Sell_2", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.red,75), textcolor=color.new(color.white,75))
longFillColor_2 = highlighting ? (trend_2 == 1 ? color.new(color.green,95) : color.new(color.white,100)) : color.new(color.white,100)
shortFillColor_2 = highlighting ? (trend_2 == -1 ? color.new(color.red,95) : color.new(color.white,100)) : color.new(color.white,100)
fill(mPlot, upPlot_2, title="UpTrend Highligter", color=longFillColor_2)
fill(mPlot, dnPlot_2, title="DownTrend Highligter", color=shortFillColor_2)
//alertcondition(buySignal_2, title="SuperTrend Buy", message="SuperTrend Buy!")
//alertcondition(sellSignal_2, title="SuperTrend Sell", message="SuperTrend Sell!")
changeCond_2 = trend_2 != trend_2[1]
//alertcondition(changeCond_2, title="SuperTrend Direction Change", message="SuperTrend has changed direction!")
//Line 3
atr2_3 = ta.sma(ta.tr, Periods_3)
atr_3= changeATR ? ta.atr(Periods_3) : atr2_3
up_3=src-(Multiplier_3*atr_3)
up1_3 = nz(up_3[1],up_3)
up_3 := close[1] > up1_3 ? math.max(up_3,up1_3) : up_3
dn_3=src+(Multiplier_3*atr_3)
dn1_3 = nz(dn_3[1], dn_3)
dn_3 := close[1] < dn1_3 ? math.min(dn_3, dn1_3) : dn_3
trend_3 = 1
trend_3 := nz(trend_3[1], trend_3)
trend_3 := trend_3 == -1 and close > dn1_3 ? 1 : trend_3 == 1 and close < up1_3 ? -1 : trend_3
upPlot_3 = plot(trend_3 == 1 ? up_3 : na, title="Up Trend 1", style=plot.style_linebr, linewidth=2, color=color.new(color.green,0))
buySignal_3 = trend_3 == 1 and trend_3[1] == -1
plotshape(buySignal_3 ? up_3 : na, title="UpTrend Begins 1", location=location.absolute, style=shape.circle, size=size.tiny, color=color.green)
//plotshape(buySignal_3 and showsignals ? up_3 : na, title="Buy_3", text="Buy_3", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(color.green,75), textcolor=color.new(color.white,75))
dnPlot_3 = plot(trend_3 == 1 ? na : dn_3, title="Down Trend", style=plot.style_linebr, linewidth=2, color=color.red)
sellSignal_3 = trend_3 == -1 and trend_3[1] == 1
plotshape(sellSignal_3 ? dn_3 : na, title="DownTrend Begins 1", location=location.absolute, style=shape.circle, size=size.tiny, color=color.red)
//plotshape(sellSignal_3 and showsignals ? dn_3 : na, title="Sell_3", text="Sell_3", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.red,75), textcolor=color.new(color.white,75))
longFillColor_3 = highlighting ? (trend_3 == 1 ? color.new(color.green,95) : color.new(color.white,100)) : color.new(color.white,100)
shortFillColor_3 = highlighting ? (trend_3 == -1 ? color.new(color.red,95) : color.new(color.white,100)) : color.new(color.white,100)
fill(mPlot, upPlot_3, title="UpTrend Highligter", color=longFillColor_3)
fill(mPlot, dnPlot_3, title="DownTrend Highligter", color=shortFillColor_3)
//alertcondition(buySignal_3, title="SuperTrend Buy", message="SuperTrend Buy!")
//alertcondition(sellSignal_3, title="SuperTrend Sell", message="SuperTrend Sell!")
changeCond_3 = trend_3 != trend_3[1]
//alertcondition(changeCond_3, title="SuperTrend Direction Change", message="SuperTrend has changed direction!")
//General Buy
buy = (buySignal_1 or buySignal_2 or buySignal_3) and trend_1 == 1 and trend_2 == 1 and trend_3 == 1
plotshape(buy and showsignals ? up_3 : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(color.green,60), textcolor=color.new(color.white,40))
//General Sell
sell = (sellSignal_1 or sellSignal_2 or sellSignal_3) and trend_1 == -1 and trend_2 == -1 and trend_3 == -1
plotshape(sell and showsignals ? dn_3 : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.red,60), textcolor=color.new(color.white,40))
longCondition = trend_1 == 1 and trend_2 == 1 and trend_3 == 1
shortCondition = trend_1 == -1 and trend_2 == -1 and trend_3 == -1
bgcolor(longCondition and highlightingBG ? color.new(color.blue,90) : shortCondition and highlightingBG ? color.new(color.purple,90) : color.new(color.blue,100))
|
Powered Option [Loxx] | https://www.tradingview.com/script/UXFRaYFF-Powered-Option-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 12 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Powered Option [Loxx]",
shorttitle ="PO [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/combin/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
PoweredOption(string CallPutFlag, float S, float X, float T, float r, float b, float v, float i)=>
float d1 = 0
float PoweredOption = 0
if CallPutFlag == callString
float sum = 0
for j = 0 to i
d1 := (math.log(S / X) + (b + (i - j - 0.5) * v * v) * T) / (v * math.sqrt(T))
sum := sum + combin.combin(int(i), j) * math.pow(S, (i - j)) * math.pow(-X, j) * math.exp((i - j - 1) * (r + (i - j) * v * v / 2) * T - (i - j) * (r - b) * T) * cnd.CND1(d1)
PoweredOption := sum
else
float sum = 0
for j = 0 to i
d1 := (math.log(S / X) + (b + (i - j - 0.5) * v * v) * T) / (v * math.sqrt(T))
sum := sum + combin.combin(int(i), j) * math.pow(-S, (i - j)) * math.pow(X, j) * math.exp((i - j - 1) * (r + (i - j) * v * v / 2) * T - (i - j) * (r - b) * T) * cnd.CND1(-d1)
PoweredOption := sum
PoweredOption
EPoweredOption(string OutPutFlag, string CallPutFlag, float S, float X, float T, float r, float b, float v, float i, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float EPoweredOption = 0
if OutPutFlag == "p" // Value
EPoweredOption := PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
else if OutPutFlag == "d" //Delta
EPoweredOption := (PoweredOption(CallPutFlag, S + dS, X, T, r, b, v, i)
- PoweredOption(CallPutFlag, S - dS, X, T, r, b, v, i)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
EPoweredOption := (PoweredOption(CallPutFlag, S + dS, X, T, r, b, v, i)
- PoweredOption(CallPutFlag, S - dS, X, T, r, b, v, i))
/ (2 * dS) * S / PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
else if OutPutFlag == "g" //Gamma
EPoweredOption := (PoweredOption(CallPutFlag, S + dS, X, T, r, b, v, i)
- 2 * PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
+ PoweredOption(CallPutFlag, S - dS, X, T, r, b, v, i)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
EPoweredOption := (PoweredOption(CallPutFlag, S + dS, X, T, r, b, v + 0.01, i)
- 2 * PoweredOption(CallPutFlag, S, X, T, r, b, v + 0.01, i)
+ PoweredOption(CallPutFlag, S - dS, X, T, r, b, v + 0.01, i)
- PoweredOption(CallPutFlag, S + dS, X, T, r, b, v - 0.01, i)
+ 2 * PoweredOption(CallPutFlag, S, X, T, r, b, v - 0.01, i)
- PoweredOption(CallPutFlag, S - dS, X, T, r, b, v - 0.01, i)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
EPoweredOption := S / 100 * (PoweredOption(CallPutFlag, S + dS, X, T, r, b, v, i)
- 2 * PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
+ PoweredOption(CallPutFlag, S - dS, X, T, r, b, v, i)) / math.pow(dS, 2)
else if OutPutFlag == "tg" //time Gamma
EPoweredOption := (PoweredOption(CallPutFlag, S, X, T + 1 / 365, r, b, v, i)
- 2 * PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
+ PoweredOption(CallPutFlag, S, X, T - 1 / 365, r, b, v, i)) / math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
EPoweredOption := 1 / (4 * dS * 0.01)
* (PoweredOption(CallPutFlag, S + dS, X, T, r, b, v + 0.01, i)
- PoweredOption(CallPutFlag, S + dS, X, T, r, b, v - 0.01, i)
- PoweredOption(CallPutFlag, S - dS, X, T, r, b, v + 0.01, i)
+ PoweredOption(CallPutFlag, S - dS, X, T, r, b, v - 0.01, i)) / 100
else if OutPutFlag == "v" //Vega
EPoweredOption := (PoweredOption(CallPutFlag, S, X, T, r, b, v + 0.01, i)
- PoweredOption(CallPutFlag, S, X, T, r, b, v - 0.01, i)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
EPoweredOption := (PoweredOption(CallPutFlag, S, X, T, r, b, v + 0.01, i)
- 2 * PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
+ PoweredOption(CallPutFlag, S, X, T, r, b, v - 0.01, i)) / math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" //VegaP
EPoweredOption := v / 0.1 * (PoweredOption(CallPutFlag, S, X, T, r, b, v + 0.01, i)
- PoweredOption(CallPutFlag, S, X, T, r, b, v - 0.01, i)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
EPoweredOption := (PoweredOption(CallPutFlag, S, X, T, r, b, v + 0.01, i)
- 2 * PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
+ PoweredOption(CallPutFlag, S, X, T, r, b, v - 0.01, i))
else if OutPutFlag == "t" //Theta
if T <= 1 / 365
EPoweredOption := PoweredOption(CallPutFlag, S, X, 1E-05, r, b, v, i)
- PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
else
EPoweredOption := PoweredOption(CallPutFlag, S, X, T - 1 / 365, r, b, v, i)
- PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
else if OutPutFlag == "r" //Rho
EPoweredOption := (PoweredOption(CallPutFlag, S, X, T, r + 0.01, b + 0.01, v, i)
- PoweredOption(CallPutFlag, S, X, T, r - 0.01, b - 0.01, v, i)) / 2
else if OutPutFlag == "fr" //Futures options rho
EPoweredOption := (PoweredOption(CallPutFlag, S, X, T, r + 0.01, b, v, i)
- PoweredOption(CallPutFlag, S, X, T, r - 0.01, b, v, i)) / 2
else if OutPutFlag == "f" //Rho2
EPoweredOption := (PoweredOption(CallPutFlag, S, X, T, r, b - 0.01, v, i)
- PoweredOption(CallPutFlag, S, X, T, r, b + 0.01, v, i)) / 2
else if OutPutFlag == "b" //Carry
EPoweredOption := (PoweredOption(CallPutFlag, S, X, T, r, b + 0.01, v, i)
- PoweredOption(CallPutFlag, S, X, T, r, b - 0.01, v, i)) / (2)
else if OutPutFlag == "s" //Speed
EPoweredOption := 1 / math.pow(dS, 3) * (PoweredOption(CallPutFlag, S + 2 * dS, X, T, r, b, v, i)
- 3 * PoweredOption(CallPutFlag, S + dS, X, T, r, b, v, i)
+ 3 * PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
- PoweredOption(CallPutFlag, S - dS, X, T, r, b, v, i))
else if OutPutFlag == "dx" //Strike Delta
EPoweredOption := (PoweredOption(CallPutFlag, S, X + dS, T, r, b, v, i)
- PoweredOption(CallPutFlag, S, X - dS, T, r, b, v, i)) / (2 * dS)
else if OutPutFlag == "dxdx" //Strike Gamma
EPoweredOption := (PoweredOption(CallPutFlag, S, X + dS, T, r, b, v, i)
- 2 * PoweredOption(CallPutFlag, S, X, T, r, b, v, i)
+ PoweredOption(CallPutFlag, S, X - dS, T, r, b, v, i)) / math.pow(dS, 2)
EPoweredOption
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(100, "Strike Price", group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
float r = input.float(0., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(2., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(42., "% Volatility", group = "Rates Settings") / 100
float i = input.float(2, "Power", group = "PO Settings")
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
amaproxprice = EPoweredOption("p", OpType, S, K, T, kouta, koutb, v, i, na)
Delta = EPoweredOption("d", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Elasticity = EPoweredOption("e", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Gamma = EPoweredOption("g", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
DGammaDvol = EPoweredOption("gv", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
GammaP = EPoweredOption("gp", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Vega = EPoweredOption("v", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
DvegaDvol = EPoweredOption("dvdv", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
VegaP = EPoweredOption("vp", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Theta = EPoweredOption("t", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Rho = EPoweredOption("r", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
RhoFuturesOption = EPoweredOption("fr", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
PhiRho2 = EPoweredOption("f", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Carry = EPoweredOption("b", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
DDeltaDvol = EPoweredOption("dddv", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Speed = EPoweredOption("s", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
StrikeDelta = EPoweredOption("dx", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
StrikeGamma = EPoweredOption("dxdx", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 20, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Powered Option", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Power: " + str.tostring(i, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Powered Option Value: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Log Contract Ln(S) [Loxx] | https://www.tradingview.com/script/BCL36aZI-Log-Contract-Ln-S-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 10 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Log Contract Ln(S) [Loxx]",
shorttitle ="LC [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/combin/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
LogContract_LnS(float S, float T, float r, float b, float v)=>
LogContract_LnS = math.exp(-r * T) * (math.log(S)
+ (b - math.pow(v, 2) / 2) * T)
LogContract_LnS
ELogContract_LnS(string OutPutFlag, float S, float T, float r, float b, float v, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float ELogContract_LnS = 0
if OutPutFlag == "p" // Value
ELogContract_LnS := LogContract_LnS(S, T, r, b, v)
else if OutPutFlag == "d" //Delta
ELogContract_LnS := (LogContract_LnS(S + dS, T, r, b, v)
- LogContract_LnS(S - dS, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
ELogContract_LnS := (LogContract_LnS(S + dS, T, r, b, v)
- LogContract_LnS(S - dS, T, r, b, v))
/ (2 * dS) * S / LogContract_LnS(S, T, r, b, v)
else if OutPutFlag == "g" //Gamma
ELogContract_LnS := (LogContract_LnS(S + dS, T, r, b, v)
- 2 * LogContract_LnS(S, T, r, b, v)
+ LogContract_LnS(S - dS, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
ELogContract_LnS := (LogContract_LnS(S + dS, T, r, b, v + 0.01)
- 2 * LogContract_LnS(S, T, r, b, v + 0.01)
+ LogContract_LnS(S - dS, T, r, b, v + 0.01)
- LogContract_LnS(S + dS, T, r, b, v - 0.01)
+ 2 * LogContract_LnS(S, T, r, b, v - 0.01)
- LogContract_LnS(S - dS, T, r, b, v - 0.01))
/ (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
ELogContract_LnS := S / 100 * (LogContract_LnS(S + dS, T, r, b, v)
- 2 * LogContract_LnS(S, T, r, b, v)
+ LogContract_LnS(S - dS, T, r, b, v))
/ math.pow(dS, 2)
else if OutPutFlag == "tg" //time Gamma
ELogContract_LnS := (LogContract_LnS(S, T + 1 / 365, r, b, v)
- 2 * LogContract_LnS(S, T, r, b, v)
+ LogContract_LnS(S, T - 1 / 365, r, b, v))
/ math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
ELogContract_LnS := 1 / (4 * dS * 0.01)
* (LogContract_LnS(S + dS, T, r, b, v + 0.01)
- LogContract_LnS(S + dS, T, r, b, v - 0.01)
- LogContract_LnS(S - dS, T, r, b, v + 0.01)
+ LogContract_LnS(S - dS, T, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" //Vega
ELogContract_LnS := (LogContract_LnS(S, T, r, b, v + 0.01)
- LogContract_LnS(S, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
ELogContract_LnS := (LogContract_LnS(S, T, r, b, v + 0.01)
- 2 * LogContract_LnS(S, T, r, b, v)
+ LogContract_LnS(S, T, r, b, v - 0.01))
/ math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" //VegaP
ELogContract_LnS := v / 0.1
* (LogContract_LnS(S, T, r, b, v + 0.01)
- LogContract_LnS(S, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
ELogContract_LnS := (LogContract_LnS(S, T, r, b, v + 0.01)
- 2 * LogContract_LnS(S, T, r, b, v)
+ LogContract_LnS(S, T, r, b, v - 0.01))
else if OutPutFlag == "t" //Theta
if T <= 1 / 365
ELogContract_LnS := LogContract_LnS(S, 1E-05, r, b, v)
- LogContract_LnS(S, T, r, b, v)
else
ELogContract_LnS := LogContract_LnS(S, T - 1 / 365, r, b, v)
- LogContract_LnS(S, T, r, b, v)
else if OutPutFlag == "r" //Rho
ELogContract_LnS := (LogContract_LnS(S, T, r + 0.01, b + 0.01, v)
- LogContract_LnS(S, T, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag == "fr" //Futures options rho
ELogContract_LnS := (LogContract_LnS(S, T, r + 0.01, b, v)
- LogContract_LnS(S, T, r - 0.01, b, v)) / 2
else if OutPutFlag == "f" //Rho2
ELogContract_LnS := (LogContract_LnS(S, T, r, b - 0.01, v)
- LogContract_LnS(S, T, r, b + 0.01, v)) / 2
else if OutPutFlag == "b" //Carry
ELogContract_LnS := (LogContract_LnS(S, T, r, b + 0.01, v)
- LogContract_LnS(S, T, r, b - 0.01, v)) / 2
else if OutPutFlag == "s" //Speed
ELogContract_LnS := 1 / math.pow(dS, 3)
* (LogContract_LnS(S + 2 * dS, T, r, b, v)
- 3 * LogContract_LnS(S + dS, T, r, b, v)
+ 3 * LogContract_LnS(S, T, r, b, v)
- LogContract_LnS(S - dS, T, r, b, v))
ELogContract_LnS
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float r = input.float(8., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(8., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(35., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
amaproxprice = ELogContract_LnS("p", S, T, kouta, koutb, v, na)
Delta = ELogContract_LnS("d", S, T, kouta, koutb, v, na) * sideout
Elasticity = ELogContract_LnS("e", S, T, kouta, koutb, v, na) * sideout
Gamma = ELogContract_LnS("g", S, T, kouta, koutb, v, na) * sideout
DGammaDvol = ELogContract_LnS("gv", S, T, kouta, koutb, v, na) * sideout
GammaP = ELogContract_LnS("gp", S, T, kouta, koutb, v, na) * sideout
Vega = ELogContract_LnS("v", S, T, kouta, koutb, v, na) * sideout
DvegaDvol = ELogContract_LnS("dvdv", S, T, kouta, koutb, v, na) * sideout
VegaP = ELogContract_LnS("vp", S, T, kouta, koutb, v, na) * sideout
Theta = ELogContract_LnS("t", S, T, kouta, koutb, v, na) * sideout
Rho = ELogContract_LnS("r", S, T, kouta, koutb, v, na) * sideout
RhoFuturesOption = ELogContract_LnS("fr", S, T, kouta, koutb, v, na) * sideout
PhiRho2 = ELogContract_LnS("f", S, T, kouta, koutb, v, na) * sideout
Carry = ELogContract_LnS("b", S, T, kouta, koutb, v, na) * sideout
DDeltaDvol = ELogContract_LnS("dddv", S, T, kouta, koutb, v, na) * sideout
Speed = ELogContract_LnS("s", S, T, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 20, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Log Contract Ln(S)", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Log Contract Ln(S) Value: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Standard Power Option [Loxx] | https://www.tradingview.com/script/E5CvlhCe-Standard-Power-Option-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 7 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Standard Power Option [Loxx]",
shorttitle ="SPO [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
PowerOptionAsymmetric(string CallPutFlag, float S, float X, float T, float r, float b, float v, float i)=>
float PowerOptionAsymmetric = 0
float d1 = (math.log(S / math.pow(X, (1 / i))) + (b + (i - 1 / 2) * v * v) * T) / (v * math.sqrt(T))
float d2 = d1 - i * v * math.sqrt(T)
if CallPutFlag == callString
PowerOptionAsymmetric := math.pow(S, i) * math.exp(((i - 1) * (r + i * v * v / 2) - i * (r - b)) * T) * cnd.CND1(d1) - X * math.exp(-r * T) * cnd.CND1(d2)
else
PowerOptionAsymmetric := X * math.exp(-r * T) * cnd.CND1(-d2) - math.pow(S, i) * math.exp(((i - 1) * (r + i * v * v / 2) - i * (r - b)) * T) * cnd.CND1(-d1)
PowerOptionAsymmetric
EPowerOptionAsymmetric(string OutPutFlag, string CallPutFlag, float S, float X, float T, float r, float b, float v, float i, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float EPowerOptionAsymmetric = 0
if OutPutFlag == "p" // Value
EPowerOptionAsymmetric := PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
else if OutPutFlag == "d" //Delta
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S + dS, X, T, r, b, v, i)
- PowerOptionAsymmetric(CallPutFlag, S - dS, X, T, r, b, v, i)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S + dS, X, T, r, b, v, i)
- PowerOptionAsymmetric(CallPutFlag, S - dS, X, T, r, b, v, i))
/ (2 * dS) * S / PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
else if OutPutFlag == "g" //Gamma
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S + dS, X, T, r, b, v, i)
- 2 * PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
+ PowerOptionAsymmetric(CallPutFlag, S - dS, X, T, r, b, v, i)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S + dS, X, T, r, b, v + 0.01, i)
- 2 * PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v + 0.01, i)
+ PowerOptionAsymmetric(CallPutFlag, S - dS, X, T, r, b, v + 0.01, i)
- PowerOptionAsymmetric(CallPutFlag, S + dS, X, T, r, b, v - 0.01, i)
+ 2 * PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v - 0.01, i)
- PowerOptionAsymmetric(CallPutFlag, S - dS, X, T, r, b, v - 0.01, i)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
EPowerOptionAsymmetric := S / 100 * (PowerOptionAsymmetric(CallPutFlag, S + dS, X, T, r, b, v, i)
- 2 * PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
+ PowerOptionAsymmetric(CallPutFlag, S - dS, X, T, r, b, v, i)) / math.pow(dS, 2)
else if OutPutFlag == "tg" //time Gamma
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S, X, T + 1 / 365, r, b, v, i)
- 2 * PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
+ PowerOptionAsymmetric(CallPutFlag, S, X, T - 1 / 365, r, b, v, i)) / math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
EPowerOptionAsymmetric := 1 / (4 * dS * 0.01)
* (PowerOptionAsymmetric(CallPutFlag, S + dS, X, T, r, b, v + 0.01, i)
- PowerOptionAsymmetric(CallPutFlag, S + dS, X, T, r, b, v - 0.01, i)
- PowerOptionAsymmetric(CallPutFlag, S - dS, X, T, r, b, v + 0.01, i)
+ PowerOptionAsymmetric(CallPutFlag, S - dS, X, T, r, b, v - 0.01, i)) / 100
else if OutPutFlag == "v" //Vega
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v + 0.01, i)
- PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v - 0.01, i)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v + 0.01, i)
- 2 * PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
+ PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v - 0.01, i)) / math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" //VegaP
EPowerOptionAsymmetric := v / 0.1
* (PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v + 0.01, i)
- PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v - 0.01, i)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v + 0.01, i)
- 2 * PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
+ PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v - 0.01, i))
else if OutPutFlag == "t" //Theta
if T <= 1 / 365
EPowerOptionAsymmetric := PowerOptionAsymmetric(CallPutFlag, S, X, 1E-05, r, b, v, i)
- PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
else
EPowerOptionAsymmetric := PowerOptionAsymmetric(CallPutFlag, S, X, T - 1 / 365, r, b, v, i)
- PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
else if OutPutFlag == "r" //Rho
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S, X, T, r + 0.01, b + 0.01, v, i)
- PowerOptionAsymmetric(CallPutFlag, S, X, T, r - 0.01, b - 0.01, v, i)) / 2
else if OutPutFlag == "fr" //Futures options rho
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S, X, T, r + 0.01, b, v, i)
- PowerOptionAsymmetric(CallPutFlag, S, X, T, r - 0.01, b, v, i)) / 2
else if OutPutFlag == "f" //Rho2
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b - 0.01, v, i)
- PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b + 0.01, v, i)) / 2
else if OutPutFlag == "b" //Carry
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b + 0.01, v, i)
- PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b - 0.01, v, i)) / 2
else if OutPutFlag == "s" //Speed
EPowerOptionAsymmetric := 1 / math.pow(dS, 3) * (PowerOptionAsymmetric(CallPutFlag, S + 2 * dS, X, T, r, b, v, i)
- 3 * PowerOptionAsymmetric(CallPutFlag, S + dS, X, T, r, b, v, i)
+ 3 * PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
- PowerOptionAsymmetric(CallPutFlag, S - dS, X, T, r, b, v, i))
else if OutPutFlag == "dx" //Strike Delta
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S, X + dS, T, r, b, v, i)
- PowerOptionAsymmetric(CallPutFlag, S, X - dS, T, r, b, v, i)) / (2 * dS)
else if OutPutFlag == "dxdx" //Strike Gamma
EPowerOptionAsymmetric := (PowerOptionAsymmetric(CallPutFlag, S, X + dS, T, r, b, v, i)
- 2 * PowerOptionAsymmetric(CallPutFlag, S, X, T, r, b, v, i)
+ PowerOptionAsymmetric(CallPutFlag, S, X - dS, T, r, b, v, i)) / math.pow(dS, 2)
EPowerOptionAsymmetric
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(450, "Strike Price", group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
float r = input.float(8., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(6., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(25., "% Volatility", group = "Rates Settings") / 100
float i = input.float(2, "Power", group = "Rates Settings")
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
amaproxprice = EPowerOptionAsymmetric("p", OpType, S, K, T, kouta, koutb, v, i, na)
Delta = EPowerOptionAsymmetric("d", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Elasticity = EPowerOptionAsymmetric("e", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Gamma = EPowerOptionAsymmetric("g", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
DGammaDvol = EPowerOptionAsymmetric("gv", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
GammaP = EPowerOptionAsymmetric("gp", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Vega = EPowerOptionAsymmetric("v", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
DvegaDvol = EPowerOptionAsymmetric("dvdv", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
VegaP = EPowerOptionAsymmetric("vp", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Theta = EPowerOptionAsymmetric("t", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Rho = EPowerOptionAsymmetric("r", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
RhoFuturesOption = EPowerOptionAsymmetric("fr", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
PhiRho2 = EPowerOptionAsymmetric("f", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Carry = EPowerOptionAsymmetric("b", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
DDeltaDvol = EPowerOptionAsymmetric("dddv", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
Speed = EPowerOptionAsymmetric("s", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
StrikeDelta = EPowerOptionAsymmetric("dx", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
StrikeGamma = EPowerOptionAsymmetric("dxdx", OpType, S,K, T, kouta, koutb, v, i, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 20, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Standard Power Option", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Power: " + str.tostring(i, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Power Contract Value: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Capped Standard Power Option [Loxx] | https://www.tradingview.com/script/ndzulKRE-Capped-Standard-Power-Option-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 7 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Capped Standard Power Option [Loxx]",
shorttitle ="CSPO [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
CappedPowerOption(string CallPutFlag, float S, float X, float T, float r, float b, float v, float i, float c)=>
float e1 = (math.log(S / math.pow(X, (1 / i))) + (b + (i - 1 / 2) * v * v) * T) / (v * math.sqrt(T))
float e2 = e1 - i * v * math.sqrt(T)
float e3 = 0
float e4 = 0
float CappedPowerOption = 0
if CallPutFlag == callString
e3 := (math.log(S / math.pow(X + c, (1 / i))) + (b + (i - 1 / 2) * v * v) * T) / (v * math.sqrt(T))
e4 := e3 - i * v * math.sqrt(T)
CappedPowerOption := math.pow(S, i) * math.exp((i - 1) * (r + i * v * v / 2) * T
- i * (r - b) * T) * (cnd.CND1(e1) - cnd.CND1(e3))
- math.exp(-r * T) * (X * cnd.CND1(e2) - (c + X) * cnd.CND1(e4))
else
e3 := (math.log(S / math.pow(X - c, (1 / i))) + (b + (i - 1 / 2) * v * v) * T) / (v * math.sqrt(T))
e4 := e3 - i * v * math.sqrt(T)
CappedPowerOption := math.exp(-r * T)
* (X * cnd.CND1(-e2) - (X - c) * cnd.CND1(-e4))
- math.pow(S, i) * math.exp((i - 1) * (r + i * v * v / 2)
* T - i * (r - b) * T)
* (cnd.CND1(-e1) - cnd.CND1(-e3))
CappedPowerOption
ECappedPowerOption(string OutPutFlag, string CallPutFlag, float S, float X, float T, float r, float b, float v, float i, float c, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float ECappedPowerOption = 0
if OutPutFlag == "p" // Value
ECappedPowerOption := CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
else if OutPutFlag == "d" //Delta
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S + dS, X, T, r, b, v, i, c) - CappedPowerOption(CallPutFlag, S - dS, X, T, r, b, v, i, c)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S + dS, X, T, r, b, v, i, c)
- CappedPowerOption(CallPutFlag, S - dS, X, T, r, b, v, i, c))
/ (2 * dS) * S / CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
else if OutPutFlag == "g" //Gamma
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S + dS, X, T, r, b, v, i, c)
- 2 * CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
+ CappedPowerOption(CallPutFlag, S - dS, X, T, r, b, v, i, c)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S + dS, X, T, r, b, v + 0.01, i, c)
- 2 * CappedPowerOption(CallPutFlag, S, X, T, r, b, v + 0.01, i, c)
+ CappedPowerOption(CallPutFlag, S - dS, X, T, r, b, v + 0.01, i, c)
- CappedPowerOption(CallPutFlag, S + dS, X, T, r, b, v - 0.01, i, c)
+ 2 * CappedPowerOption(CallPutFlag, S, X, T, r, b, v - 0.01, i, c)
- CappedPowerOption(CallPutFlag, S - dS, X, T, r, b, v - 0.01, i, c))
/ (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
ECappedPowerOption := S / 100 * (CappedPowerOption(CallPutFlag, S + dS, X, T, r, b, v, i, c)
- 2 * CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
+ CappedPowerOption(CallPutFlag, S - dS, X, T, r, b, v, i, c)) / math.pow(dS, 2)
else if OutPutFlag == "tg" //time Gamma
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S, X, T + 1 / 365, r, b, v, i, c)
- 2 * CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
+ CappedPowerOption(CallPutFlag, S, X, T - 1 / 365, r, b, v, i, c)) / math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
ECappedPowerOption := 1 / (4 * dS * 0.01) * (CappedPowerOption(CallPutFlag, S + dS, X, T, r, b, v + 0.01, i, c)
- CappedPowerOption(CallPutFlag, S + dS, X, T, r, b, v - 0.01, i, c)
- CappedPowerOption(CallPutFlag, S - dS, X, T, r, b, v + 0.01, i, c)
+ CappedPowerOption(CallPutFlag, S - dS, X, T, r, b, v - 0.01, i, c)) / 100
else if OutPutFlag == "v" //Vega
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S, X, T, r, b, v + 0.01, i, c)
- CappedPowerOption(CallPutFlag, S, X, T, r, b, v - 0.01, i, c)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S, X, T, r, b, v + 0.01, i, c)
- 2 * CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
+ CappedPowerOption(CallPutFlag, S, X, T, r, b, v - 0.01, i, c)) / math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" //VegaP
ECappedPowerOption := v / 0.1 * (CappedPowerOption(CallPutFlag, S, X, T, r, b, v + 0.01, i, c)
- CappedPowerOption(CallPutFlag, S, X, T, r, b, v - 0.01, i, c)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S, X, T, r, b, v + 0.01, i, c)
- 2 * CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
+ CappedPowerOption(CallPutFlag, S, X, T, r, b, v - 0.01, i, c))
else if OutPutFlag == "t" //Theta
if T <= 1 / 365
ECappedPowerOption := CappedPowerOption(CallPutFlag, S, X, 1E-05, r, b, v, i, c)
- CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
else
ECappedPowerOption := CappedPowerOption(CallPutFlag, S, X, T - 1 / 365, r, b, v, i, c)
- CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
else if OutPutFlag == "r" //Rho
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S, X, T, r + 0.01, b + 0.01, v, i, c)
- CappedPowerOption(CallPutFlag, S, X, T, r - 0.01, b - 0.01, v, i, c)) / 2
else if OutPutFlag == "fr" //Futures options rho
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S, X, T, r + 0.01, b, v, i, c)
- CappedPowerOption(CallPutFlag, S, X, T, r - 0.01, b, v, i, c)) / 2
else if OutPutFlag == "f" //Rho2
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S, X, T, r, b - 0.01, v, i, c)
- CappedPowerOption(CallPutFlag, S, X, T, r, b + 0.01, v, i, c)) / 2
else if OutPutFlag == "b" //Carry
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S, X, T, r, b + 0.01, v, i, c)
- CappedPowerOption(CallPutFlag, S, X, T, r, b - 0.01, v, i, c)) / 2
else if OutPutFlag == "s" //Speed
ECappedPowerOption := 1 / math.pow(dS, 3) * (CappedPowerOption(CallPutFlag, S + 2 * dS, X, T, r, b, v, i, c)
- 3 * CappedPowerOption(CallPutFlag, S + dS, X, T, r, b, v, i, c)
+ 3 * CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
- CappedPowerOption(CallPutFlag, S - dS, X, T, r, b, v, i, c))
else if OutPutFlag == "dx" //Strike Delta
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S, X + dS, T, r, b, v, i, c)
- CappedPowerOption(CallPutFlag, S, X - dS, T, r, b, v, i, c)) / (2 * dS)
else if OutPutFlag == "dxdx" //Strike Gamma
ECappedPowerOption := (CappedPowerOption(CallPutFlag, S, X + dS, T, r, b, v, i, c)
- 2 * CappedPowerOption(CallPutFlag, S, X, T, r, b, v, i, c)
+ CappedPowerOption(CallPutFlag, S, X - dS, T, r, b, v, i, c)) / math.pow(dS, 2)
ECappedPowerOption
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(100, "Strike Price", group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
float r = input.float(10., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(5., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float i = input.float(2, "Power", group = "CSPO Settings")
float c = input.float(5, "Capped on Pay Off", group = "CSPO Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
amaproxprice = ECappedPowerOption("p", OpType, S, K, T, kouta, koutb, v, i, c, na)
Delta = ECappedPowerOption("d", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
Elasticity = ECappedPowerOption("e", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
Gamma = ECappedPowerOption("g", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
DGammaDvol = ECappedPowerOption("gv", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
GammaP = ECappedPowerOption("gp", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
Vega = ECappedPowerOption("v", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
DvegaDvol = ECappedPowerOption("dvdv", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
VegaP = ECappedPowerOption("vp", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
Theta = ECappedPowerOption("t", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
Rho = ECappedPowerOption("r", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
RhoFuturesOption = ECappedPowerOption("fr", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
PhiRho2 = ECappedPowerOption("f", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
Carry = ECappedPowerOption("b", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
DDeltaDvol = ECappedPowerOption("dddv", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
Speed = ECappedPowerOption("s", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
StrikeDelta = ECappedPowerOption("dx", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
StrikeGamma = ECappedPowerOption("dxdx", OpType, S,K, T, kouta, koutb, v, i, c, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 20, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Capped Standard Power Option", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Power: " + str.tostring(i, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Capped on Pay Off: " + str.tostring(c, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 15, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Capped Standard Power Option Value: " + str.tostring(amaproxprice, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Firestorm Trend Chaser | https://www.tradingview.com/script/aEba9Qc0-Firestorm-Trend-Chaser/ | firestormtd | https://www.tradingview.com/u/firestormtd/ | 210 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © firestormtd
//@version=5
indicator('Firestorm Trend Chaser', overlay=true, format=format.price, precision=2, timeframe='')
Periods = input(title='ATR Period', defval=10)
src = input(hl2, title='Source')
Multiplier = input.float(title='ATR Multiplier', step=0.1, defval=3.0)
changeATR = input(title='Change ATR Calculation Method ?', defval=true)
showsignals = input(title='Show Buy/Sell Signals ?', defval=true)
highlighting = input(title='Highlighter On/Off ?', defval=true)
atr2 = ta.sma(ta.tr, Periods)
atr = changeATR ? ta.atr(Periods) : atr2
up = src - Multiplier * atr
up1 = nz(up[1], up)
up := close[1] > up1 ? math.max(up, up1) : up
dn = src + Multiplier * atr
dn1 = nz(dn[1], dn)
dn := close[1] < dn1 ? math.min(dn, dn1) : dn
trend = 1
trend := nz(trend[1], trend)
trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend
upPlot = plot(trend == 1 ? up : na, title='Up Trend', style=plot.style_linebr, linewidth=2, color=color.new(color.green, 0))
buySignal = trend == 1 and trend[1] == -1
plotshape(buySignal ? up : na, title='UpTrend Begins', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.green, 0))
plotshape(buySignal and showsignals ? up : na, title='Buy', text='Buy', location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(color.green, 0), textcolor=color.new(color.white, 0))
dnPlot = plot(trend == 1 ? na : dn, title='Down Trend', style=plot.style_linebr, linewidth=2, color=color.new(color.red, 0))
sellSignal = trend == -1 and trend[1] == 1
plotshape(sellSignal ? dn : na, title='DownTrend Begins', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.red, 0))
plotshape(sellSignal and showsignals ? dn : na, title='Sell', text='Sell', location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.red, 0), textcolor=color.new(color.white, 0))
mPlot = plot(ohlc4, title='', style=plot.style_circles, linewidth=0)
longFillColor = highlighting ? trend == 1 ? color.green : color.white : color.white
shortFillColor = highlighting ? trend == -1 ? color.red : color.white : color.white
fill(mPlot, upPlot, title='UpTrend Highligter', color=longFillColor, transp=90)
fill(mPlot, dnPlot, title='DownTrend Highligter', color=shortFillColor, transp=90)
alertcondition(buySignal, title='SuperTrend Buy', message='SuperTrend Buy!')
alertcondition(sellSignal, title='SuperTrend Sell', message='SuperTrend Sell!')
changeCond = trend != trend[1]
alertcondition(changeCond, title='SuperTrend Direction Change', message='SuperTrend has changed direction!')
//Inputs
avg_type = input.string("EMA", "Average Type", options=["EMA","SMA"])
annual_avg = input(252, "Annual Moving Avg Length")
month_step_down = input(21, "Monthly Step Down")
annual_ribbon = input.color(color.rgb(255, 255, 255, 88), "Annual Ribbon")
bull_ribbon = input.color(color.rgb(83, 224, 88, 68), "Bull Ribbon")
bear_ribbon = input.color(color.rgb(255, 82, 82, 73), "Bear Ribbon")
bull_fill = input.color(color.new(#62df66, 80), "Bull Fill")
bear_fill = input.color(color.new(#f76c6c, 88), "Bear Fill")
//Ribbion Colors
ribbon_color1 = annual_ribbon
ribbon_color2 = bull_ribbon
ribbon_color3 = bull_ribbon
ribbon_color4 = bull_ribbon
ribbon_color5 = bull_ribbon
ribbon_color6 = bull_ribbon
ribbon_color7 = bull_ribbon
ribbon_color8 = bull_ribbon
ribbon_color9 = bull_ribbon
ribbon_color10 = bull_ribbon
ribbon_color11 = bull_ribbon
ribbon_color12 = bull_ribbon
//Fill Color
fill_color1 = bull_fill
fill_color2 = bull_fill
fill_color3 = bull_fill
fill_color4 = bull_fill
fill_color5 = bull_fill
fill_color6 = bull_fill
fill_color7 = bull_fill
fill_color8 = bull_fill
fill_color9 = bull_fill
fill_color10 = bull_fill
fill_color11 = bull_fill
//Step Values
month_step_down1 = month_step_down
month_step_down2 = month_step_down*2
month_step_down3 = month_step_down*3
month_step_down4 = month_step_down*4
month_step_down5 = month_step_down*5
month_step_down6 = month_step_down*6
month_step_down7 = month_step_down*7
month_step_down8 = month_step_down*8
month_step_down9 = month_step_down*9
month_step_down10 = month_step_down*10
month_step_down11 = month_step_down*11
//Inital Avg plot values
avg1 = 0.0
avg2 = 0.0
avg3 = 0.0
avg4 = 0.0
avg5 = 0.0
avg6 = 0.0
avg7 = 0.0
avg8 = 0.0
avg9 = 0.0
avg10 = 0.0
avg11 = 0.0
avg12 = 0.0
// MA Values
if avg_type == "EMA"
avg1 := ta.ema(close, annual_avg)
if ta.ema(close,annual_avg-month_step_down1) < ta.ema(close,annual_avg)
ribbon_color2 := bear_ribbon
avg2 := ta.ema(close,annual_avg-month_step_down1)
if ta.ema(close,annual_avg-month_step_down2) < ta.ema(close,annual_avg)
ribbon_color3 := bear_ribbon
avg3 := ta.ema(close,annual_avg-month_step_down2)
if ta.ema(close,annual_avg-month_step_down3) < ta.ema(close,annual_avg)
ribbon_color4 := bear_ribbon
avg4 := ta.ema(close,annual_avg-month_step_down3)
if ta.ema(close,annual_avg-month_step_down4) < ta.ema(close,annual_avg)
ribbon_color5 := bear_ribbon
avg5 := ta.ema(close,annual_avg-month_step_down4)
if ta.ema(close,annual_avg-month_step_down5) < ta.ema(close,annual_avg)
ribbon_color6 := bear_ribbon
avg6 := ta.ema(close,annual_avg-month_step_down5)
if ta.ema(close,annual_avg-month_step_down6) < ta.ema(close,annual_avg)
ribbon_color7 := bear_ribbon
avg7 := ta.ema(close,annual_avg-month_step_down6)
if ta.ema(close,annual_avg-month_step_down7) < ta.ema(close,annual_avg)
ribbon_color8 := bear_ribbon
avg8 := ta.ema(close,annual_avg-month_step_down7)
if ta.ema(close,annual_avg-month_step_down8) < ta.ema(close,annual_avg)
ribbon_color9 := bear_ribbon
avg9 := ta.ema(close,annual_avg-month_step_down8)
if ta.ema(close,annual_avg-month_step_down9) < ta.ema(close,annual_avg)
ribbon_color10 := bear_ribbon
avg10 := ta.ema(close,annual_avg-month_step_down9)
if ta.ema(close,annual_avg-month_step_down10) < ta.ema(close,annual_avg)
ribbon_color11 := bear_ribbon
avg11 := ta.ema(close,annual_avg-month_step_down10)
if ta.ema(close,annual_avg-month_step_down11) < ta.ema(close,annual_avg)
ribbon_color12 := bear_ribbon
avg12 := ta.ema(close,annual_avg-month_step_down11)
else
avg1 := ta.sma(close, annual_avg)
if ta.sma(close,annual_avg-month_step_down1) < ta.sma(close,annual_avg)
ribbon_color2 := bear_ribbon
avg2 := ta.sma(close,annual_avg-month_step_down1)
if ta.sma(close,annual_avg-month_step_down2) < ta.sma(close,annual_avg)
ribbon_color3 := bear_ribbon
avg3 := ta.sma(close,annual_avg-month_step_down2)
if ta.sma(close,annual_avg-month_step_down3) < ta.sma(close,annual_avg)
ribbon_color4 := bear_ribbon
avg4 := ta.sma(close,annual_avg-month_step_down3)
if ta.sma(close,annual_avg-month_step_down4) < ta.sma(close,annual_avg)
ribbon_color5 := bear_ribbon
avg5 := ta.sma(close,annual_avg-month_step_down4)
if ta.sma(close,annual_avg-month_step_down5) < ta.sma(close,annual_avg)
ribbon_color6 := bear_ribbon
avg6 := ta.sma(close,annual_avg-month_step_down5)
if ta.sma(close,annual_avg-month_step_down6) < ta.sma(close,annual_avg)
ribbon_color7 := bear_ribbon
avg7 := ta.sma(close,annual_avg-month_step_down6)
if ta.sma(close,annual_avg-month_step_down7) < ta.sma(close,annual_avg)
ribbon_color8 := bear_ribbon
avg8 := ta.sma(close,annual_avg-month_step_down7)
if ta.sma(close,annual_avg-month_step_down8) < ta.sma(close,annual_avg)
ribbon_color9 := bear_ribbon
avg9 := ta.sma(close,annual_avg-month_step_down8)
if ta.sma(close,annual_avg-month_step_down9) < ta.sma(close,annual_avg)
ribbon_color10 := bear_ribbon
avg10 := ta.sma(close,annual_avg-month_step_down9)
if ta.sma(close,annual_avg-month_step_down10) < ta.sma(close,annual_avg)
ribbon_color11 := bear_ribbon
avg11 := ta.sma(close,annual_avg-month_step_down10)
if ta.sma(close,annual_avg-month_step_down11) < ta.sma(close,annual_avg)
ribbon_color12 := bear_ribbon
avg12 := ta.sma(close,annual_avg-month_step_down11)
//Fill Colors
if avg2 < avg1
fill_color1 := bear_fill
if avg3 < avg2
fill_color2 := bear_fill
if avg4 < avg3
fill_color3 := bear_fill
if avg5 < avg4
fill_color4 := bear_fill
if avg6 < avg5
fill_color5 := bear_fill
if avg7 < avg6
fill_color6 := bear_fill
if avg8 < avg7
fill_color7 := bear_fill
if avg9 < avg8
fill_color8 := bear_fill
if avg10 < avg9
fill_color9 := bear_fill
if avg11 < avg10
fill_color10 := bear_fill
if avg12 < avg11
fill_color11 := bear_fill
//Plots
p1 = plot(avg1, linewidth = 3, title="Annual Avg", color = ribbon_color1)
p2 = plot(avg2, title="Monthly Step Down 1", color = ribbon_color2)
p3 = plot(avg3, title="Monthly Step Down 2", color = ribbon_color3)
p4 = plot(avg4, title="Monthly Step Down 3", color = ribbon_color4)
p5 = plot(avg5, title="Monthly Step Down 4", color = ribbon_color5)
p6 = plot(avg6, title="Monthly Step Down 5", color = ribbon_color6)
p7 = plot(avg7, title="Monthly Step Down 6", color = ribbon_color7)
p8 = plot(avg8, title="Monthly Step Down 7", color = ribbon_color8)
p9 = plot(avg9, title="Monthly Step Down 8", color = ribbon_color9)
p10 = plot(avg10, title="Monthly Step Down 9", color = ribbon_color10)
p11 = plot(avg11, title="Monthly Step Down 10", color = ribbon_color11)
p12 = plot(avg12, linewidth = 3, title="Monthly Step Down 11", color = ribbon_color12)
fill(p1, p2, color=fill_color1, title = "Gap Slow Avg Step Down 1")
fill(p2, p3, color=fill_color2, title = "Step Down 1 Step Down 2")
fill(p3, p4, color=fill_color3, title = "Step Down 2 Step Down 3")
fill(p4, p5, color=fill_color4, title = "Step Down 3 Step Down 4")
fill(p5, p6, color=fill_color5, title = "Step Down 4 Step Down 5")
fill(p6, p7, color=fill_color6, title = "Step Down 5 Step Down 6")
fill(p7, p8, color=fill_color7, title = "Step Down 6 Step Down 7")
fill(p8, p9, color=fill_color8, title = "Step Down 7 Step Down 8")
fill(p9, p10, color=fill_color9, title = "Step Down 8 Step Down 9")
fill(p10, p11, color=fill_color10, title = "Step Down 9 Step Down 10")
fill(p11, p12, color=fill_color11, title = "Step Down 10 Step Down 11")
|
Bollinger Bands Width and Bollinger Bands %B | https://www.tradingview.com/script/VzwzkmnX-Bollinger-Bands-Width-and-Bollinger-Bands-B/ | polarbearking | https://www.tradingview.com/u/polarbearking/ | 49 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © polarbearking
//@version=5
indicator(title="Bollinger Bands Width and Bollinger Bands %B", shorttitle="BBW & %B", format=format.price, precision=2, timeframe="", timeframe_gaps=true)
// Bollinger Bands Width (BBW): Color = (Default: Green [#138484])
// Bollinger Bands %B (%B): Color = (Default: Blue [#62b6ee])
length = input.int(20, minval=1)
src = input(close, title="Source")
mult = input.float(2.0, minval=0.001, maxval=50, title="StdDev")
basis = ta.sma(src, length)
stdev = ta.stdev(src, length)
dev = mult * stdev
upper = basis + dev
lower = basis - dev
bbw = ((upper-lower)/basis) * 10
bbr = (src - lower)/(upper - lower) * 10
hline(mult * 4)
hline(mult * 3)
hline(mult * 2)
hline(mult)
hline(1)
hline(10)
plot(bbr, "Bollinger Bands %B", color=#62b6ee)
plot(bbw, "Bollinger Bands Width", color=#138484)
|
Swing Top / Bottom Finder | https://www.tradingview.com/script/xWqqt8HN-Swing-Top-Bottom-Finder/ | UnknownUnicorn36161431 | https://www.tradingview.com/u/UnknownUnicorn36161431/ | 454 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © zathruswriter
//@version=5
indicator("Swing Top / Bottom Finder", overlay = true, max_bars_back = 4900, max_boxes_count = 500, max_labels_count = 500, max_lines_count = 500)
GROUP_GENERAL = "General Settings"
GROUP_ADVANCED = "Advanced Settings"
GROUP_VISUAL = "Visual Settings"
search_threshold = input.float( 0.04, "Search Threshold %", step = 0.01, group = GROUP_GENERAL, tooltip = "How many % around our currently checked high/low should we consider when checking for similar swing highs and lows in the past." )
lookback_bars = input.int( 500, "Lookback length (bars)", group = GROUP_GENERAL, tooltip = "Number of bars in the past up to where highs and lows are being checked for similarities with the current high/low." )
min_prev_bottoms = input.int( 3, "Min previous horizontals with same high/low", group = GROUP_GENERAL, tooltip = "A swing top/bottom must be confirmed by at least this many times in the past to be considered valid.")
min_diff_between_highs_lows = input.float( 0.17, "Min difference between two highs/lows %", step = 0.01, group = GROUP_GENERAL, tooltip = "This setting will tell us how much apart will two similar highs/lows be in order to be counted and displayed as different highs/lows." )
bars_wait_before_next_swing = input.int( 17, "Pause after a high/low is found (bars)", group = GROUP_GENERAL, tooltip = "Sometimes, there could be many highs/lows with a very simmilar price tag around the same area. This setting allows waiting for X amount of bars before searching for the next one, eliminating this crowd effect." )
bars_wait_before_next_swing_potential = input.int( 3, "Pause after a potential high/low is found (bars)", group = GROUP_ADVANCED )
check_only_current_swing_candles = input.bool( true, "Perform checks on current swing high/low candles ONLY", group = GROUP_ADVANCED, tooltip = "When ticked, only candles that are actually swing highs/lows will be checked for validity (e.g. against other similar previous highs/lows). Otherwise, all candles will be checked." )
show_potential_swings = input.bool( true, "Show potential swing highs/lows", group = GROUP_ADVANCED, tooltip = "When ticked, potential swing highs/lows will be shown even when no previous high/low exists in the history for that price level yet." )
show_lines = input.bool( true, "Show high/low lines", group = GROUP_VISUAL, tooltip = "High/low lines serve the purpose of showing you the last unbroken swing high/low. This could be used to observe a potential TP level during scalping." )
i_trend_line_color = input.color( color.black, "Trend Line Color", group = GROUP_VISUAL, inline = "tl" )
i_trend_line_width = input.int( 2, "width", group = GROUP_VISUAL, inline = "tl" )
i_trend_line_style = input.string( line.style_solid, "style", options = [line.style_solid, line.style_dashed, line.style_dotted], group = GROUP_VISUAL, inline = "tl" )
// VARIABLES
transparentcolor = color.new(color.white,100)
var last_low_point = -1.0
var last_high_point = -1.0
var last_low_point_potential = -1.0
var last_high_point_potential = -1.0
var paused_highs = false
var paused_lows = false
var paused_highs_potential = false
var paused_lows_potential = false
var pause_counter_highs = 0
var pause_counter_lows = 0
var pause_counter_highs_potential = 0
var pause_counter_lows_potential = 0
var swing_high_line = line.new( bar_index, 0, bar_index, 0, color = transparentcolor, width = i_trend_line_width, style = i_trend_line_style )
var swing_low_line = line.new( bar_index, 0, bar_index, 0, color = transparentcolor, width = i_trend_line_width, style = i_trend_line_style )
// FUNCTIONS
s_( txt ) =>
str.tostring( txt )
f_debug_label( txt ) =>
label.new(bar_index, high, str.tostring( txt ), color = color.lime, textcolor = color.black)
f_debug_label_down( txt ) =>
label.new(bar_index, low, str.tostring( txt ), color = color.lime, textcolor = color.black, style = label.style_label_up)
f_set_swing_line_to_current_bar( which, offset ) =>
if show_lines
//f_debug_label_down( which + " / " + s_( bar_index ) + " / " + s_( offset ) )
// f_debug_label( s_( bar_index[ offset ] ) + " / " + s_( bar_index - offset ) )
//f_debug_label( s_( bar_index - offset) + " / " + s_( which == "high" ? last_high_point > last_high_point_potential ? last_high_point : last_high_point_potential : last_low_point > last_low_point_potential ? last_low_point : last_low_point_potential ) )
//f_debug_label( s_( last_low_point ) + " / " + s_( last_low_point_potential ) )
swing_line = which == "high" ? swing_high_line : swing_low_line
line.set_x1( swing_line, bar_index - offset )
line.set_x2( swing_line, bar_index - offset )
line.set_y1( swing_line, which == "high" ? last_high_point > last_high_point_potential ? last_high_point : last_high_point_potential : last_low_point > last_low_point_potential ? last_low_point : last_low_point_potential )
line.set_y2( swing_line, which == "high" ? last_high_point > last_high_point_potential ? last_high_point : last_high_point_potential : last_low_point > last_low_point_potential ? last_low_point : last_low_point_potential )
line.set_color( swing_line, i_trend_line_color )
f_extend_swing_line_to_current_bar( which ) =>
if show_lines
swing_line = which == "high" ? swing_high_line : swing_low_line
line.set_x2( swing_line, bar_index )
f_reset_swing_line( which ) =>
if show_lines
swing_line = which == "high" ? swing_high_line : swing_low_line
line.set_x1( swing_line, bar_index )
line.set_x2( swing_line, bar_index )
line.set_y1( swing_line, 0 )
line.set_y2( swing_line, 0 )
line.set_color( swing_line, transparentcolor )
f_is_swing_line_reset( which ) =>
swing_line = which == "high" ? swing_high_line : swing_low_line
line.get_y1( swing_line ) == 0
// LOGIC
num_bottoms = 0
num_tops = 0
// if we enabled checking of swing candles only, activate offset here
last_candle_was_swing = check_only_current_swing_candles ? false : true
last_candle_swing_type = ""
check_offset = check_only_current_swing_candles ? 1 : 0
is_unmarked_swing_top = false
is_unmarked_swing_bot = false
// also, check for last candle as swing candle
if check_only_current_swing_candles
if high < high[ check_offset ] and high[ check_offset + 1] < high[ check_offset ]
last_candle_was_swing := true
last_candle_swing_type := "high"
if low > low[ check_offset ] and low[ check_offset + 1] > low[ check_offset ]
last_candle_was_swing := true
last_candle_swing_type := "low"
// even if swing candles checking is disabled, this variable will still be set to true
if last_candle_was_swing
if ( paused_lows == false or ( check_only_current_swing_candles and paused_lows_potential == false ) ) and ( check_only_current_swing_candles == false or last_candle_swing_type == "low" )
// find swing bottoms if this low is not too close to the previous swing low found
if last_low_point == -1.0 or math.abs( ( ( low[ check_offset ] - last_low_point ) / last_low_point ) * 100 ) >= min_diff_between_highs_lows
//f_debug_label( str.tostring( low ) + " / " + str.tostring( last_low_point ) + "\n" + str.tostring( math.abs( ( ( low - last_low_point ) / last_low_point ) * 100 ) ) + " / " + s_( min_diff_between_highs_lows ) )
for i = 0 to lookback_bars
low_with_threshold = ( ( low[ i + check_offset ] / 100 ) * search_threshold )
point_was_swing_low = false
if i > 0
point_was_swing_low := low[ i + check_offset - 1 ] > low[ i + check_offset ] and low[ i + check_offset + 1 ] > low[ i + check_offset ]
if paused_lows == false and point_was_swing_low and low[ check_offset ] < low[ i + check_offset ] + low_with_threshold and low[ check_offset ] > low[ i + check_offset ] - low_with_threshold
num_bottoms := num_bottoms + 1
if num_bottoms >= min_prev_bottoms
last_low_point := low[ check_offset ]
else if paused_lows_potential == false and low > low[ check_offset ] and low[ check_offset + 1] > low[ check_offset ]
is_unmarked_swing_bot := true
last_low_point_potential := low[ check_offset ]
else
f_extend_swing_line_to_current_bar( "low" )
if pause_counter_lows >= bars_wait_before_next_swing
pause_counter_lows := 0
paused_lows := false
else
pause_counter_lows := pause_counter_lows + 1
if pause_counter_lows_potential >= bars_wait_before_next_swing_potential
pause_counter_lows_potential := 0
paused_lows_potential := false
else
pause_counter_lows_potential := pause_counter_lows_potential + 1
if ( paused_highs == false or ( check_only_current_swing_candles and paused_highs_potential == false ) ) and ( check_only_current_swing_candles == false or last_candle_swing_type == "high" )
// find swing tops if this high is not too close to the previous swing high found
if last_high_point == -1.0 or math.abs( ( ( high[ check_offset ] - last_high_point ) / last_high_point ) * 100 ) >= min_diff_between_highs_lows
for i = 0 to lookback_bars
high_with_threshold = ( ( high[ i + check_offset ] / 100 ) * search_threshold )
point_was_swing_high = false
if i > 0
point_was_swing_high := high[ i + check_offset - 1 ] < high[ i + check_offset ] and high[ i + check_offset + 1 ] < high[ i + check_offset ]
if paused_highs == false and point_was_swing_high and high[ check_offset ] < high[ i + check_offset ] + high_with_threshold and high[ check_offset ] > high[ i + check_offset ] - high_with_threshold
num_tops := num_tops + 1
if num_tops >= min_prev_bottoms
last_high_point := high[ check_offset ]
else if paused_highs_potential == false and high < high[ check_offset ] and high[ check_offset + 1] < high[ check_offset ]
is_unmarked_swing_top := true
last_high_point_potential := high[ check_offset ]
else
f_extend_swing_line_to_current_bar( "high" )
if pause_counter_highs >= bars_wait_before_next_swing
pause_counter_highs := 0
paused_highs := false
else
pause_counter_highs := pause_counter_highs + 1
if pause_counter_highs_potential >= bars_wait_before_next_swing_potential
pause_counter_highs_potential := 0
paused_highs_potential := false
else
pause_counter_highs_potential := pause_counter_highs_potential + 1
if num_bottoms >= min_prev_bottoms
// pause until the number of new bars is reached
paused_lows := true
last_low_point_potential := -1
// also activate the low point line
if f_is_swing_line_reset( "low" )
f_set_swing_line_to_current_bar( "low", check_offset )
f_extend_swing_line_to_current_bar( "low" )
if is_unmarked_swing_bot
// pause until the number of new bars is reached
paused_lows_potential := true
last_low_point := -1
// also activate the low point line
if f_is_swing_line_reset( "low" )
f_set_swing_line_to_current_bar( "low", check_offset )
f_extend_swing_line_to_current_bar( "low" )
if num_tops >= min_prev_bottoms
// pause until the number of new bars is reached
paused_highs := true
// also activate the high point line
if f_is_swing_line_reset( "high" )
f_set_swing_line_to_current_bar( "high", check_offset )
f_extend_swing_line_to_current_bar( "high" )
if is_unmarked_swing_top
// pause until the number of new bars is reached
paused_highs_potential := true
// also activate the high point line
if f_is_swing_line_reset( "high" )
f_set_swing_line_to_current_bar( "high", check_offset )
f_extend_swing_line_to_current_bar( "high" )
// PLOTTING
plotshape( num_bottoms >= min_prev_bottoms ? 1 : na, "Swing Low", shape.triangleup, location.belowbar, color.green, size = size.small, offset = -check_offset )
plotshape( num_tops >= min_prev_bottoms ? 1 : na, "Swing High", shape.triangledown, location.abovebar, color.red, size = size.small, offset = -check_offset )
plotshape( show_potential_swings and is_unmarked_swing_bot ? 1 : na, "Potential Swing Low", shape.triangleup, location.belowbar, color.aqua, size = size.tiny, offset = -check_offset )
plotshape( show_potential_swings and is_unmarked_swing_top ? 1 : na, "Potential Swing High", shape.triangledown, location.abovebar, color.fuchsia, size = size.tiny, offset = -check_offset )
// reset or update swing lines
high_line_was_reset = false
low_line_was_reset = false
if ( last_high_point > last_high_point_potential and high < last_high_point ) or ( last_high_point < last_high_point_potential and high < last_high_point_potential )
f_extend_swing_line_to_current_bar( "high" )
else if ( last_high_point > last_high_point_potential and high >= last_high_point ) or ( last_high_point < last_high_point_potential and high >= last_high_point_potential )
if f_is_swing_line_reset( "high" ) == false
f_reset_swing_line( "high" )
high_line_was_reset := true
if ( last_low_point > last_low_point_potential and low > last_low_point ) or ( last_low_point < last_low_point_potential and low > last_low_point_potential )
f_extend_swing_line_to_current_bar( "low" )
else if ( last_low_point > last_low_point_potential and low <= last_low_point ) or ( last_low_point < last_low_point_potential and low <= last_low_point_potential )
if f_is_swing_line_reset( "low" ) == false
f_reset_swing_line( "low" )
low_line_was_reset := true
// ALERTS
alertcondition( num_bottoms >= min_prev_bottoms, "Swing Low Found", "Swing Low Found" )
alertcondition( num_tops >= min_prev_bottoms, "Swing High Found", "Swing High Found" )
alertcondition( show_potential_swings and is_unmarked_swing_bot, "Potential Swing Low Found", "Potential Swing Low Found" )
alertcondition( show_potential_swings and is_unmarked_swing_top, "Potential Swing High Found", "Potential Swing High Found" )
alertcondition( high_line_was_reset, "Swing High Level Broken", "Swing High Level Broken" )
alertcondition( low_line_was_reset, "Swing Low Level Broken", "Swing High Level Broken" )
// provide a one to serve them all option as well
if num_bottoms >= min_prev_bottoms
alert( "Swing Low Found", alert.freq_once_per_bar )
if num_tops >= min_prev_bottoms
alert( "Swing High Found", alert.freq_once_per_bar )
if show_potential_swings and is_unmarked_swing_bot
alert( "Potential Swing Low Found", alert.freq_once_per_bar )
if show_potential_swings and is_unmarked_swing_top
alert( "Potential Swing High Found", alert.freq_once_per_bar )
if show_lines and high_line_was_reset
alert( "Swing High Level Broken", alert.freq_once_per_bar )
if show_lines and low_line_was_reset
alert( "Swing Low Level Broken", alert.freq_once_per_bar ) |
Variable Purchase Options [Loxx] | https://www.tradingview.com/script/0xhjnrFz-Variable-Purchase-Options-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 12 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Variable Purchase Options [Loxx]",
shorttitle ="VPO [Loxx]",
overlay = true,
max_lines_count = 500)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/cbnd/1
color darkGreenColor = #1B7E02
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
VPO(float S, float X, float L, float U, float D, float T, float r, float b, float v)=>
float NMin = X / (U * (1 - D))
float NMax = X / (L * (1 - D))
float d1 = (math.log(S / U) + (b + v * v / 2) * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
float d3 = (math.log(S / L) + (b + v * v / 2) * T) / (v * math.sqrt(T))
float d4 = d3 - v * math.sqrt(T)
float d5 = (math.log(S / (L * (1 - D))) + (b + v * v / 2) * T) / (v * math.sqrt(T))
float d6 = d5 - v * math.sqrt(T)
VPO = X * D / (1 - D) * math.exp(-r * T) + NMin * (S * math.exp((b - r) * T) *cnd.CND1(d1) - U * math.exp(-r * T) *cnd.CND1(d2))
- NMax * (L * math.exp(-r * T) *cnd.CND1(-d4) - S * math.exp((b - r) * T) *cnd.CND1(-d3))
+ NMax * (L * (1 - D) * math.exp(-r * T) *cnd.CND1(-d6) - S * math.exp((b - r) * T) *cnd.CND1(-d5))
VPO
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Asset Price Settings")
srcin = input.string("Close", "Asset Price", group= "Asset Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
float L = input.float(90., "Lower Bound", group = "Basic Settings")
float U = input.float(200., "Upper Bound", group = "Basic Settings")
float discount = input.float(20., "% Discount Rate", group = "Rates Settings") / 100
float r = input.float(5., "% Risk-free Rate", group = "Rates Settings") / 100
float b = input.float(5., "% Cost of Carry", group = "Rates Settings") / 100
float v = input.float(20., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Time to Maturity Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Text Size", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
float amaproxprice = VPO(S, K, L, U, discount, T, r, b, v)
var testTable = table.new(position = position.middle_right, columns = 2, rows = 21, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Variable Purchase Options", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Asset Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "% Discount Rate: " + str.tostring(discount * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Lower Bound: " + str.tostring(L, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "Upper Bound: " + str.tostring(U, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "Time to Maturity: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 15, text = "Option Ouput", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 16, text = "Value: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Executive Stock Options [Loxx] | https://www.tradingview.com/script/qfDoaFEi-Executive-Stock-Options-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 8 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Executive Stock Options [Loxx]",
shorttitle ="ESO [Loxx]",
overlay = true,
max_lines_count = 500)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/cbnd/1
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
//// Executive stock options
Executive(string CallPutFlag, float S, float X, float T, float r, float b, float v, float lambda)=>
float EExecutive = math.exp(-lambda * T) * GBlackScholes(CallPutFlag, S, X, T, r, b, v)
EExecutive
EExecutive(string OutPutFlag, string CallPutFlag, float S, float X, float T,float r, float b, float v, float lambda, float dSin)=>
float dS = 0
if na(dSin)
dS := 0.01
float EExecutive = 0
if OutPutFlag == "p" // Value
EExecutive := Executive(CallPutFlag, S, X, T, r, b, v, lambda)
else if OutPutFlag == "d" //Delta
EExecutive := (Executive(CallPutFlag, S + dS, X, T, r, b, v, lambda)
- Executive(CallPutFlag, S - dS, X, T, r, b, v, lambda)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
EExecutive := (Executive(CallPutFlag, S + dS, X, T, r, b, v, lambda)
- Executive(CallPutFlag, S - dS, X, T, r, b, v, lambda)) / (2 * dS)
* S / Executive(CallPutFlag, S, X, T, r, b, v, lambda)
else if OutPutFlag == "g" //Gamma
EExecutive := (Executive(CallPutFlag, S + dS, X, T, r, b, v, lambda)
- 2 * Executive(CallPutFlag, S, X, T, r, b, v, lambda)
+ Executive(CallPutFlag, S - dS, X, T, r, b, v, lambda)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
EExecutive := (Executive(CallPutFlag, S + dS, X, T, r, b, v + 0.01, lambda)
- 2 * Executive(CallPutFlag, S, X, T, r, b, v + 0.01, lambda)
+ Executive(CallPutFlag, S - dS, X, T, r, b, v + 0.01, lambda)
- Executive(CallPutFlag, S + dS, X, T, r, b, v - 0.01, lambda)
+ 2 * Executive(CallPutFlag, S, X, T, r, b, v - 0.01, lambda)
- Executive(CallPutFlag, S - dS, X, T, r, b, v - 0.01, lambda)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
EExecutive := S / 100 * (Executive(CallPutFlag, S + dS, X, T, r, b, v, lambda)
- 2 * Executive(CallPutFlag, S, X, T, r, b, v, lambda)
+ Executive(CallPutFlag, S - dS, X, T, r, b, v, lambda)) / math.pow(dS, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
EExecutive := 1 / (4 * dS * 0.01)
* (Executive(CallPutFlag, S + dS, X, T, r, b, v + 0.01, lambda)
- Executive(CallPutFlag, S + dS, X, T, r, b, v - 0.01, lambda)
- Executive(CallPutFlag, S - dS, X, T, r, b, v + 0.01, lambda)
+ Executive(CallPutFlag, S - dS, X, T, r, b, v - 0.01, lambda)) / 100
else if OutPutFlag == "v" //Vega
EExecutive := (Executive(CallPutFlag, S, X, T, r, b, v + 0.01, lambda)
- Executive(CallPutFlag, S, X, T, r, b, v - 0.01, lambda)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
EExecutive := (Executive(CallPutFlag, S, X, T, r, b, v + 0.01, lambda)
- 2 * Executive(CallPutFlag, S, X, T, r, b, v, lambda)
+ Executive(CallPutFlag, S, X, T, r, b, v - 0.01, lambda)) / math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" //VegaP
EExecutive := v / 0.1 * (Executive(CallPutFlag, S, X, T, r, b, v + 0.01, lambda)
- Executive(CallPutFlag, S, X, T, r, b, v - 0.01, lambda)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
EExecutive := (Executive(CallPutFlag, S, X, T, r, b, v + 0.01, lambda)
- 2 * Executive(CallPutFlag, S, X, T, r, b, v, lambda)
+ Executive(CallPutFlag, S, X, T, r, b, v - 0.01, lambda))
else if OutPutFlag == "t" //Theta
if T <= 1 / 365
EExecutive := Executive(CallPutFlag, S, X, 1E-05, r, b, v, lambda)
- Executive(CallPutFlag, S, X, T, r, b, v, lambda)
else
EExecutive := Executive(CallPutFlag, S, X, T - 1 / 365, r, b, v, lambda)
- Executive(CallPutFlag, S, X, T, r, b, v, lambda)
else if OutPutFlag == "r" //Rho
EExecutive := (Executive(CallPutFlag, S, X, T, r + 0.01, b + 0.01, v, lambda)
- Executive(CallPutFlag, S, X, T, r - 0.01, b - 0.01, v, lambda)) / 2
else if OutPutFlag == "fr" //Futures options rho
EExecutive := (Executive(CallPutFlag, S, X, T, r + 0.01, b, v, lambda)
- Executive(CallPutFlag, S, X, T, r - 0.01, b, v, lambda)) / 2
else if OutPutFlag == "f" //Rho2
EExecutive := (Executive(CallPutFlag, S, X, T, r, b - 0.01, v, lambda)
- Executive(CallPutFlag, S, X, T, r, b + 0.01, v, lambda)) / 2
else if OutPutFlag == "b" //Carry
EExecutive := (Executive(CallPutFlag, S, X, T, r, b + 0.01, v, lambda)
- Executive(CallPutFlag, S, X, T, r, b - 0.01, v, lambda)) / 2
else if OutPutFlag == "s" //Speed
EExecutive := 1 / math.pow(dS, 3)
* (Executive(CallPutFlag, S + 2 * dS, X, T, r, b, v, lambda)
- 3 * Executive(CallPutFlag, S + dS, X, T, r, b, v, lambda)
+ 3 * Executive(CallPutFlag, S, X, T, r, b, v, lambda)
- Executive(CallPutFlag, S - dS, X, T, r, b, v, lambda))
else if OutPutFlag == "dx" //StrikeDelta
EExecutive := (Executive(CallPutFlag, S, X + dS, T, r, b, v, lambda)
- Executive(CallPutFlag, S, X - dS, T, r, b, v, lambda)) / (2 * dS)
else if OutPutFlag == "dxdx" //Strike gamma
EExecutive := (Executive(CallPutFlag, S, X + dS, T, r, b, v, lambda)
- 2 * Executive(CallPutFlag, S, X, T, r, b, v, lambda)
+ Executive(CallPutFlag, S, X - dS, T, r, b, v, lambda)) / math.pow(dS, 2)
else if OutPutFlag == "j" //Sensitivity to jump
EExecutive := (Executive(CallPutFlag, S, X + dS, T, r, b, v, lambda + 0.01)
- Executive(CallPutFlag, S, X - dS, T, r, b, v, lambda - 0.01)) / (2)
EExecutive
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Asset Price Settings")
srcin = input.string("Close", "Asset Price", group= "Asset Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(100, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float r = input.float(10., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(5., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
float lambda = input.float(18., "% Jump Rate per Year", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Text Size", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
bsmprice = GBlackScholes(OpType, S, K, T, kouta, koutb, v)
amaproxprice = EExecutive("p", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
Delta = EExecutive("d", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
Elasticity = EExecutive("e", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
Gamma = EExecutive("g", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
DGammaDvol = EExecutive("gv", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
GammaP = EExecutive("gp", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
Vega = EExecutive("v", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
DvegaDvol = EExecutive("dvdv", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
VegaP = EExecutive("vp", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
Theta = EExecutive("t", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
Rho = EExecutive("r", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
RhoFuturesOption = EExecutive("fr", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
PhiRho2 = EExecutive("f", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
Carry = EExecutive("b", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
DDeltaDvol = EExecutive("dddv", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
Speed = EExecutive("s", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
StrikeDelta = EExecutive("dx", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
StrikeGamma = EExecutive("dxdx", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
JumpRateSense = EExecutive("j", OpType, S, K, T, kouta, koutb, v, lambda, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 21, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Executive Stock Options", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Jump Rate (annual): " + str.tostring(lambda * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Value: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 20, text = "Jump Rate Sensitivity 1%: " + str.tostring(JumpRateSense, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Outside Bar + PFR - x Cash Investing | https://www.tradingview.com/script/qUVS3vop/ | Phillipowisk | https://www.tradingview.com/u/Phillipowisk/ | 13 | study | 4 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Phillipowisk
//@version=4
study("x Cash", shorttitle="x Cash Investing", overlay=true)
candle_OutsideBar1 = high > high[1] and low < low[1] and close > open
candle_OutsideBar2 = high > high[1] and low < low[1] and close < open
outsidebar_compra = candle_OutsideBar1 ? color.rgb(63, 231, 231) : na
outsidebar_venda = candle_OutsideBar2 ? color.rgb(240, 62, 195) : na
// plots
barcolor(outsidebar_compra)
// plots
barcolor(outsidebar_venda)
// inputs
stoch_length = input(8, "Slow Stoch Length", type=input.integer, minval=2)
stock_smooth = input(3, "Slow Stoch Smooth", type=input.integer, minval=2)
stoch_use = input(false, "Use o filtro para PFR")
stoch_overbought = input(80, "Slow Stoch Overbought", minval=0, type=input.integer)
stoch_oversold = input(20, "Slow Stoch Oversold", minval=0, type=input.integer)
//calcs
stoch_value = sma(stoch(close, high, low, stoch_length), stock_smooth)
candle_bottom = close > close[1] and lowest(2) < lowest(2)[1] and (not stoch_use or stoch_value < stoch_oversold)
candle_top = close < close[1] and highest(2) > highest(2)[1] and (not stoch_use or stoch_value > stoch_overbought)
PFR = candle_bottom ? color.navy : candle_top ? color.yellow : na
// plots
barcolor(PFR)
|
Performance Table | https://www.tradingview.com/script/A6cTKjVR-Performance-Table/ | tv94067 | https://www.tradingview.com/u/tv94067/ | 48 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © tv94067
//@version=5
indicator('Performance Table', overlay=true)
TablePos = input.string(title='Tabel Position', defval='Bottom Center', options=['Top Right', 'Middle Right', 'Bottom Right',
'Top Center', 'Middle Center', 'Bottom Center', 'Top Left', 'Middle Left', 'Bottom Left'], inline='tabp', group = '')
tableColumnsInput = input.int(9, 'Columns', minval=1, maxval=9, step=1, inline='tabp', group = '')
_tablePos = TablePos == 'Top Right' ? position.top_right : TablePos == 'Middle Right' ? position.middle_right :
TablePos == 'Bottom Right' ? position.bottom_right : TablePos == 'Top Center' ? position.top_center :
TablePos == 'Middle Center'? position.middle_center : TablePos == 'Bottom Center'? position.bottom_center :
TablePos == 'Top Left' ? position.top_left : TablePos == 'Middle Left' ? position.middle_left : position.bottom_left
//tooltipText = 'Custom timeframes can be added via the chart's Timeframe dropdown. Until added, custom timeframes show up as 'Chart' instead.'
showTF1 = input.bool(true, '1-D', inline = 'TF1', group = '')
showTF2 = input.bool(true, '5-D', inline = 'TF1', group = '')
showTF3 = input.bool(true, '1-W', inline = 'TF1', group = '')
showTF4 = input.bool(true, '4-W', inline = 'TF1', group = '')
showTF5 = input.bool(true, '1-M', inline = 'TF2', group = '')
showTF6 = input.bool(true, '3-M', inline = 'TF2', group = '')
showTF7 = input.bool(true, '6-M', inline = 'TF2', group = '')
showTF8 = input.bool(true, '12-M', inline = 'TF2', group = '')
showTF9 = input.bool(true, '52-W', inline = 'TF2', group = '')
showTFArray = array.from(showTF1, showTF2, showTF3, showTF4, showTF5, showTF6, showTF7, showTF8, showTF9)
timeframeArray = array.from('1D', '5D', '1W', '4W', '1M', '3M', '6M', '12M', '52W')
var table perfTable = table.new(position = _tablePos, columns = tableColumnsInput, rows = array.size(timeframeArray),
bgcolor = na, frame_color = na , frame_width = 0, border_color = na, border_width = 1)
lightTransp = 90
avgTransp = 80
heavyTransp = 70
// === USER INPUTS ===
i_posColor = input(color.rgb(38, 166, 154), title='Positive Color', inline='col')
i_negColor = input(color.rgb(240, 83, 80), title='Negative Color', inline='col')
i_volColor = input(color.new(#999999, 0), title='Neutral Color', inline='col')
f_rateOfreturn(current_close, previous_close) =>
(current_close - previous_close) * 100 / math.abs(previous_close)
f_performance(_security, _timeframe, _barsBack) =>
request.security(_security, _timeframe, f_rateOfreturn(close, close[_barsBack]), gaps=barmerge.gaps_off, lookahead=barmerge.lookahead_on)
f_fillCell(_table, _column, _row, _value, _timeframe) =>
_c_color = _value >= 0 ? i_posColor : i_negColor
_transp = math.abs(_value) > 10 ? heavyTransp : math.abs(_value) > 5 ? avgTransp : lightTransp
_cellText = str.tostring(_value, '0.00') + '%\n' + _timeframe
table.cell(_table, _column, _row, _cellText, bgcolor=color.new(_c_color, _transp), text_color=_c_color, width=6)
performanceArray = array.from(f_performance(syminfo.tickerid, '1D', 1), f_performance(syminfo.tickerid, '1D', 5),
f_performance(syminfo.tickerid, '1W', 1), f_performance(syminfo.tickerid, '1W', 4),
f_performance(syminfo.tickerid, '1M', 1), f_performance(syminfo.tickerid, '1M', 3),
f_performance(syminfo.tickerid, '1M', 6), f_performance(syminfo.tickerid, '1M', 12),
f_performance(syminfo.tickerid, '1W', 52))
if barstate.islast
filled = 0
for i = 0 to array.size(showTFArray) - 1
if array.get(showTFArray, i)
f_fillCell(perfTable, filled % tableColumnsInput, filled / tableColumnsInput, array.get(performanceArray, i),
array.get(timeframeArray, i))
filled += 1
|
Forward Start Options [Loxx] | https://www.tradingview.com/script/H6Xp8bKa-Forward-Start-Options-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 11 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Forward Start Options [Loxx]",
shorttitle ="FSO [Loxx]",
overlay = true,
max_lines_count = 500)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/cbnd/1
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
//// Forward start options
ForwardStartOption(string CallPutFlag, float S, float Alpha, float t1, float T, float r, float b, float v)=>
float ForwardStartOption = S * math.exp((b - r) * t1) * GBlackScholes(CallPutFlag, 1, Alpha, T - t1, r, b, v)
ForwardStartOption
EForwardStartOption(string OutPutFlag, string CallPutFlag, float S, float Alpha, float t1, float T, float r, float b, float v, float dSin)=>
float dS = 0
if na(dSin)
dS := 0.01
float EForwardStartOption = 0
if OutPutFlag == "p" // Value
EForwardStartOption := ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v)
else if OutPutFlag == "d" //Delta
EForwardStartOption := (ForwardStartOption(CallPutFlag, S + dS, Alpha, t1, T, r, b, v)
- ForwardStartOption(CallPutFlag, S - dS, Alpha, t1, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "g" //Gamma
EForwardStartOption := (ForwardStartOption(CallPutFlag, S + dS, Alpha, t1, T, r, b, v)
- 2 * ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v)
+ ForwardStartOption(CallPutFlag, S - dS, Alpha, t1, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
EForwardStartOption := (ForwardStartOption(CallPutFlag, S + dS, Alpha, t1, T, r, b, v + 0.01)
- 2 * ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v + 0.01)
+ ForwardStartOption(CallPutFlag, S - dS, Alpha, t1, T, r, b, v + 0.01)
- ForwardStartOption(CallPutFlag, S + dS, Alpha, t1, T, r, b, v - 0.01)
+ 2 * ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v - 0.01)
- ForwardStartOption(CallPutFlag, S - dS, Alpha, t1, T, r, b, v - 0.01))
/ (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "dddv" //DDeltaDvol
EForwardStartOption := 1 / (4 * dS * 0.01)
* (ForwardStartOption(CallPutFlag, S + dS, Alpha, t1, T, r, b, v + 0.01)
- ForwardStartOption(CallPutFlag, S + dS, Alpha, t1, T, r, b, v - 0.01)
- ForwardStartOption(CallPutFlag, S - dS, Alpha, t1, T, r, b, v + 0.01)
+ ForwardStartOption(CallPutFlag, S - dS, Alpha, t1, T, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" //Vega
EForwardStartOption := (ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v + 0.01)
- ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "vp" //VegaP
EForwardStartOption := v / 0.1 * (ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v + 0.01)
- ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
EForwardStartOption := (ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v + 0.01)
- 2 * ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v)
+ ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v - 0.01))
else if OutPutFlag == "t" //Theta
if T <= 1 / 365
EForwardStartOption := ForwardStartOption(CallPutFlag, S, Alpha, t1, 1E-05, r, b, v)
- ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v)
else
EForwardStartOption := ForwardStartOption(CallPutFlag, S, Alpha, t1, T - 1 / 365, r, b, v)
- ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v)
else if OutPutFlag == "r" //Rho
EForwardStartOption := (ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r + 0.01, b + 0.01, v)
- ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag == "fr" //Futures Rho
EForwardStartOption := (ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r + 0.01, b, v)
- ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r - 0.01, b, v)) / 2
else if OutPutFlag == "f" //Rho2
EForwardStartOption := (ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b - 0.01, v)
- ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b + 0.01, v)) / 2
else if OutPutFlag == "b" //Carry
EForwardStartOption := (ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b + 0.01, v)
- ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b - 0.01, v)) / 2
else if OutPutFlag == "s" //Speed
EForwardStartOption := 1 / math.pow(dS, 3)
* (ForwardStartOption(CallPutFlag, S + 2 * dS, Alpha, t1, T, r, b, v)
- 3 * ForwardStartOption(CallPutFlag, S + dS, Alpha, t1, T, r, b, v)
+ 3 * ForwardStartOption(CallPutFlag, S, Alpha, t1, T, r, b, v)
- ForwardStartOption(CallPutFlag, S - dS, Alpha, t1, T, r, b, v))
EForwardStartOption
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Asset Price Settings")
srcin = input.string("Close", "Asset Price", group= "Asset Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float a = input.float(100., "% Alpha", group = "Basic Settings") / 100
float r = input.float(13., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(2., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(23., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int startthruMonth = input.int(12, title = "Forward Start Month", minval = 1, maxval = 12, group = "Forward Start Date/Time")
int startthruDay = input.int(31, title = "Forward Start Day", minval = 1, maxval = 31, group = "Forward Start Date/Time")
int startthruYear = input.int(2022, title = "Forward Start Year", minval = 1970, group = "Forward Start Date/Time")
int startmins = input.int(0, title = "Forward Start Minute", minval = 0, maxval = 60, group = "Forward Start Date/Time")
int starthours = input.int(9, title = "Forward Start Hour", minval = 0, maxval = 24, group = "Forward Start Date/Time")
int startsecs = input.int(0, title = "Forward Start Second", minval = 0, maxval = 60, group = "Forward Start Date/Time")
int expirythruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int expirythruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int expirythruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int expirymins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int expiryhours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int expirysecs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
startstart = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
startfinish = timestamp(startthruYear, startthruMonth, startthruDay, starthours, startmins, startsecs)
starttemp = (startfinish - startstart)
float T1 = (startfinish - startstart) / spyr / 1000
// precision calculation miliseconds in time intreval from time equals now
expirystart = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
expiryfinish = timestamp(expirythruYear, expirythruMonth, expirythruDay, expiryhours, expirymins, expirysecs)
expirytemp = (expiryfinish - expirystart)
float T = (expiryfinish - expirystart) / spyr / 1000
string txtsize = input.string("Auto", title = "Text Size", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
bsmprice = EForwardStartOption("p", OpType, S, a, T1, T, kouta, koutb, v, na)
amaproxprice = EForwardStartOption("p", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
Delta = EForwardStartOption("d", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
Elasticity = Delta * S / bsmprice
DDeltaDvol = EForwardStartOption("dddv", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
Gamma = EForwardStartOption("g", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
DGammaDvol = EForwardStartOption("gv", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
Vega = EForwardStartOption("v", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
VegaP = EForwardStartOption("vp", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
DvegaDvol = EForwardStartOption("dvdv", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
Theta = EForwardStartOption("t", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
Rho = EForwardStartOption("r", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
RhoFuturesOption = EForwardStartOption("fr", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
PhiRho2 = EForwardStartOption("f", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
Carry = EForwardStartOption("b", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
Speed = EForwardStartOption("s", OpType, S, a, T1, T, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 17, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Forward Start Options", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "% Alpha: " + str.tostring(a * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Forward Start Date/Time: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", startfinish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Expiry Date/Time: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", expiryfinish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Value: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Moving Grid Trader - With Alerts | https://www.tradingview.com/script/n3SwWgno-Moving-Grid-Trader-With-Alerts/ | starlord_xrp | https://www.tradingview.com/u/starlord_xrp/ | 262 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © activedutyjosh
//@version=5
indicator("Moving Grid Trader - Alerts", "Moving Grid Trader - Alerts", overlay=true)
//direction check
x=color.orange
plotwidth= input(2), title="Width of EMA signel lines"
len = input(21, title="short Term EMA - Default 21")
src = input(close, title="Source")
offset = input(0, title="Offset")
out = ta.ema(src, len)
if(out[1] > out[5]) //check to see if the trend is up
x:=color.green
else
x:=color.red
//plot(out, color=x, linewidth=plotwidth, title="Long MA", offset=offset)
y=color.orange
len2 = input(100, title="long Term EMA - Default 100")
out2 = ta.ema(src, len2)
if(out2[1] > out2[5]) //check to see if the trend is up
y:=color.green
else
y:=color.red
//plot(out2, color=y, linewidth=plotwidth, title="Long MA", offset=offse
//macd portion
fast_length = input(title="Fast Length", defval=12)
slow_length = input(title="Slow Length", defval=26)
src2 = input(title="Source", defval=close)
signal_length = input.int(title="Signal Smoothing", minval = 1, maxval = 50, defval = 9)
sma_source = input.string(title="Oscillator MA Type", defval="EMA", options=["SMA", "EMA"])
sma_signal = input.string(title="Signal Line MA Type", defval="EMA", options=["SMA", "EMA"])
// Plot colors
col_macd = input(#2962FF, "MACD Line ", group="Color Settings", inline="MACD")
col_signal = input(#FF6D00, "Signal Line ", group="Color Settings", inline="Signal")
col_grow_above = input(#12FF05, "Above Grow", group="Histogram", inline="Above")
col_fall_above = input(#E30909, "Fall", group="Histogram", inline="Above")
col_grow_below = input(#12FF05, "Below Grow", group="Histogram", inline="Below")
col_fall_below = input(#E30909, "Fall", group="Histogram", inline="Below")
// Calculating
fast_ma = sma_source == "SMA" ? ta.sma(src2, fast_length) : ta.ema(src2, fast_length)
slow_ma = sma_source == "SMA" ? ta.sma(src2, slow_length) : ta.ema(src2, slow_length)
macd = fast_ma - slow_ma
MACDsignal = sma_signal == "SMA" ? ta.sma(macd, signal_length) : ta.ema(macd, signal_length)
hist = macd - MACDsignal
//hline(0, "Zero Line", color=color.new(#787B86, 50))
//plot(hist, title="Histogram", style=plot.style_columns, color=(hist>=0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : (hist[1] < hist ? col_grow_below : col_fall_below)))
//generate variable with the color of the histogram
colorCheck=(hist>=0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : (hist[1] < hist ? col_grow_below : col_fall_below))
var openorder = false
var buyposition=1000.23
minline = buyposition+(buyposition*0.00005) //0.5 cent for each 100 dollars invested
line1 = buyposition+(buyposition*0.0001) //1 cent for each 100 dollars invested
line2 = buyposition+(buyposition*0.0003) // 3 cent
line3 = buyposition+(buyposition*0.0005) // 5 cent
line4 = buyposition+(buyposition*0.0007) // 7 cent
line5 = buyposition+(buyposition*0.0009) // 9 cent
line6 = buyposition+(buyposition*0.0011) // 11 cent
line7 = buyposition+(buyposition*0.0013) // 13
line8 = buyposition+(buyposition*0.0015) //15
line9 = buyposition+(buyposition*0.0017)
line10 = buyposition+(buyposition*0.0019)
line11 = buyposition+(buyposition*0.0021) //21
line12 = buyposition+(buyposition*0.0023)
line13 = buyposition+(buyposition*0.0025)
line14 = buyposition+(buyposition*0.0027)
line15 = buyposition+(buyposition*0.0029)
line16 = buyposition+(buyposition*0.0031)
line17 = buyposition+(buyposition*0.0033)
line18 = buyposition+(buyposition*0.0035)
line19 = buyposition+(buyposition*0.0037)
line20 = buyposition+(buyposition*0.0039)
line21 = buyposition+(buyposition*0.0041)
line22 = buyposition+(buyposition*0.0043)
line23 = buyposition+(buyposition*0.0045)
line24 = buyposition+(buyposition*0.0047)
line25 = buyposition+(buyposition*0.0049)
line26 = buyposition+(buyposition*0.0051)
line27 = buyposition+(buyposition*0.0053)
line28 = buyposition+(buyposition*0.0055) //55
line29 = buyposition+(buyposition*0.0057)
line30 = buyposition+(buyposition*0.0059)
line31 = buyposition+(buyposition*0.0061)
line32 = buyposition+(buyposition*0.0063)
line33 = buyposition+(buyposition*0.0065)
line34 = buyposition+(buyposition*0.0067)
line35 = buyposition+(buyposition*0.0069)
line36 = buyposition+(buyposition*0.0071)
line37 = buyposition+(buyposition*0.0071)
line38 = buyposition+(buyposition*0.0073)
line39 = buyposition+(buyposition*0.0075)
line40 = buyposition+(buyposition*0.0077)
line41 = buyposition+(buyposition*0.0079)
line42 = buyposition+(buyposition*0.0081)
line43 = buyposition+(buyposition*0.0083)
line44 = buyposition+(buyposition*0.0085)
line45 = buyposition+(buyposition*0.0087)
line46 = buyposition+(buyposition*0.0089)
line47 = buyposition+(buyposition*0.0091)
line48 = buyposition+(buyposition*0.0093)
line49 = buyposition+(buyposition*0.0095)
line50 = buyposition+(buyposition*0.0097) // 97 cents
line01 = buyposition+(buyposition*0.01) // 1 dollar
stoploss = (buyposition-(buyposition*0.02)) //2 percent stop loss
sell1 = (ta.crossunder (low, line1))
sell2 = (ta.crossunder(low, line2))
sell3 = (ta.crossunder(low, line3))
sell4 = (ta.crossunder(low, line4))
sell5 = (ta.crossunder(low, line5))
sell6 = (ta.crossunder(low, line6))
sell7 = (ta.crossunder(low, line7))
sell8 = (ta.crossunder(low, line8))
sell9 = (ta.crossunder(low, line9))
sell10 = (ta.crossunder(low, line10))
sell11 = (ta.crossunder(low, line11))
sell12 = (ta.crossunder(low, line12))
sell13 = (ta.crossunder(low, line13))
sell14 = (ta.crossunder(low, line14))
sell15 = (ta.crossunder(low, line15))
sell16 = (ta.crossunder(low, line16))
sell17 = (ta.crossunder(low, line17))
sell18 = (ta.crossunder(low, line18))
sell19 = (ta.crossunder(low, line19))
sell20 = (ta.crossunder(low, line20))
sell21 = (ta.crossunder(low, line21))
sell22 = (ta.crossunder(low, line22))
sell23 = (ta.crossunder(low, line23))
sell24 = (ta.crossunder(low, line24))
sell25 = (ta.crossunder(low, line25))
sell26 = (ta.crossunder(low, line26))
sell27 = (ta.crossunder(low, line27))
sell28 = (ta.crossunder(low, line28))
sell29 = (ta.crossunder(low, line29))
sell30 = (ta.crossunder(low, line30))
sell31 = (ta.crossunder(low, line31))
sell32 = (ta.crossunder(low, line32))
sell33 = (ta.crossunder(low, line33))
sell34 = (ta.crossunder(low, line34))
sell35 = (ta.crossunder(low, line35))
sell36 = (ta.crossunder(low, line36))
sell37 = (ta.crossunder(low, line37))
sell38 = (ta.crossunder(low, line38))
sell39 = (ta.crossunder(low, line39))
sell40 = (ta.crossunder(low, line40))
sell41 = (ta.crossunder(low, line41))
sell42 = (ta.crossunder(low, line42))
sell43 = (ta.crossunder(low, line43))
sell44 = (ta.crossunder(low, line44))
sell45 = (ta.crossunder(low, line45))
sell46 = (ta.crossunder(low, line46))
sell47 = (ta.crossunder(low, line47))
sell48 = (ta.crossunder(low, line48))
sell49 = (ta.crossunder(low, line49))
sell50 = (ta.crossunder(low, line50))
sell01 = (ta.crossunder (low, line01))
sellminline = (ta.crossunder(low, minline))
sellstoploss = (ta.crossunder(low, stoploss))
//move grid up if the price keeps climbing
if (close > line50)
buyposition := low-(low*0.00007)
//buy and sell conditions
buy=(close>open and openorder==false and (colorCheck==col_grow_below or colorCheck==col_grow_above))
sell = ((sellminline or sell01 or sell1 or sell2 or sell3 or sell4 or sell5 or sell6 or sell7 or sell8 or sell9 or sell10 or sell11 or sell12 or sell13 or sell14 or sell15 or sell16 or sell17 or sell18 or sell19 or sell20 or sell21 or sell22 or sell23 or sell24 or sell25 or sell26 or sell27 or sell28 or sell29 or sell30 or sell31 or sell32 or sell33 or sell34 or sell35 or sell36 or sell37 or sell37 or sell39 or sell40 or sell41 or sell42 or sell43 or sell44 or sell45 or sell46 or sell47 or sell48 or sell49 or sell50) and close<open and openorder)
soldstop=(sellstoploss and openorder==true)
eject= (low < stoploss and openorder==true)
sellalert = (sell or soldstop or eject)
//set buy persistant values
if (buy)
openorder := true
buyposition := high
//close order if sell alert detected
if (sellalert)
openorder := false
//Alert conditions
alertcondition(buy, title='Buy Signal', message='{ "message_type": "bot", "bot_id": 9614178, "email_token": "73f54f38-a92b-4a8d-bce8-2e16cf28922b", "delay_seconds": 0}')
alertcondition(sellalert, title='Sell Signal', message='{ "action": "close_at_market_price", "message_type": "bot", "bot_id": 9614178, "email_token": "73f54f38-a92b-4a8d-bce8-2e16cf28922b", "delay_seconds": 0 }')
//Plotting
plot(minline, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line1, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line2, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line3, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line4, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line5, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line6, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line7, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line8, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line9, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line10, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line10, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line12, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line13, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line14, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line15, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line16, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line17, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line18, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line19, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line20, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line21, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line22, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line23, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line24, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line25, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line26, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line27, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line28, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line29, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line30, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line31, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line32, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line33, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line34, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line35, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line36, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line37, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line38, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line39, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line40, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line41, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line42, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line43, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line44, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line44, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line45, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line46, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line47, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line48, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line49, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
//plot(line50, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
plot(stoploss, color=color.red, linewidth=plotwidth, title="Stoploss", offset=offset)
plot(line01, color=color.green, linewidth=plotwidth, title="Long MA", offset=offset)
plotshape(buy, style=shape.labelup, title="BUY", location=location.belowbar, color=color.white, text="BUY", size=size.auto)
plotshape(sell, style=shape.labeldown, location=location.abovebar, color=color.green, text="MONEY", size=size.auto)
plotshape(soldstop, style=shape.labelup, location = location.belowbar, color=color.red, text="Stopploss", size=size.auto) |
Moneyness Options [Loxx] | https://www.tradingview.com/script/9DHV0M0k-Moneyness-Options-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 6 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Moneyness Options [Loxx]",
shorttitle ="MO [Loxx]",
overlay = true,
max_lines_count = 500)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/cnd/1
import loxx/cbnd/1
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
MoneynessOption(float Moneyness, float T, float r, float v)=>
float d1 = (-math.log(Moneyness) + v * v / 2 * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
float MoneynessOption = math.exp(-r * T) * (cnd.CND1(d1) - Moneyness * cnd.CND1(d2))
MoneynessOption
EMoneynessOption(string OutPutFlag, float S, float T, float r, float v, float dSin)=>
float dS = 0
if na(dSin)
dS := 0.01
float EMoneynessOption = 0
if OutPutFlag == "p" // Value
EMoneynessOption := MoneynessOption(S, T, r, v)
else if OutPutFlag == "d" //Delta
EMoneynessOption := (MoneynessOption(S + dS, T, r, v)
- MoneynessOption(S - dS, T, r, v)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
EMoneynessOption := (MoneynessOption(S + dS, T, r, v)
- MoneynessOption(S - dS, T, r, v)) / (2 * dS) * S / MoneynessOption(S, T, r, v)
else if OutPutFlag == "g" //Gamma
EMoneynessOption := (MoneynessOption(S + dS, T, r, v)
- 2 * MoneynessOption(S, T, r, v) + MoneynessOption(S - dS, T, r, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
EMoneynessOption := (MoneynessOption(S + dS, T, r, v + 0.01)
- 2 * MoneynessOption(S, T, r, v + 0.01)
+ MoneynessOption(S - dS, T, r, v + 0.01)
- MoneynessOption(S + dS, T, r, v - 0.01)
+ 2 * MoneynessOption(S, T, r, v - 0.01)
- MoneynessOption(S - dS, T, r, v - 0.01)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
EMoneynessOption := S / 100 * (MoneynessOption(S + dS, T, r, v)
- 2 * MoneynessOption(S, T, r, v)
+ MoneynessOption(S - dS, T, r, v)) / math.pow(dS, 2)
else if OutPutFlag == "tg" //time Gamma
EMoneynessOption := (MoneynessOption(S, T + 1 / 365, r, v)
- 2 * MoneynessOption(S, T, r, v)
+ MoneynessOption(S, T - 1 / 365, r, v)) / math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
EMoneynessOption := 1 / (4 * dS * 0.01)
* (MoneynessOption(S + dS, T, r, v + 0.01)
- MoneynessOption(S + dS, T, r, v - 0.01)
- MoneynessOption(S - dS, T, r, v + 0.01)
+ MoneynessOption(S - dS, T, r, v - 0.01)) / 100
else if OutPutFlag == "v" //Vega
EMoneynessOption := (MoneynessOption(S, T, r, v + 0.01)
- MoneynessOption(S, T, r, v - 0.01)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
EMoneynessOption := (MoneynessOption(S, T, r, v + 0.01)
- 2 * MoneynessOption(S, T, r, v)
+ MoneynessOption(S, T, r, v - 0.01)) / math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" //VegaP
EMoneynessOption := v / 0.1
* (MoneynessOption(S, T, r, v + 0.01)
- MoneynessOption(S, T, r, v - 0.01)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
EMoneynessOption := (MoneynessOption(S, T, r, v + 0.01)
- 2 * MoneynessOption(S, T, r, v) + MoneynessOption(S, T, r, v - 0.01))
else if OutPutFlag == "t" //Theta
if T <= 1 / 365
EMoneynessOption := MoneynessOption(S, 1E-05, r, v)
- MoneynessOption(S, T, r, v)
else
EMoneynessOption := MoneynessOption(S, T - 1 / 365, r, v)
- MoneynessOption(S, T, r, v)
else if OutPutFlag == "r" //Rho
EMoneynessOption := (MoneynessOption(S, T, r + 0.01, v)
- MoneynessOption(S, T, r - 0.01, v)) / (2)
else if OutPutFlag == "fr" //Futures options rho
EMoneynessOption := (MoneynessOption(S, T, r + 0.01, v)
- MoneynessOption(S, T, r - 0.01, v)) / (2)
else if OutPutFlag == "s" //Speed
EMoneynessOption := 1 / math.pow(dS, 3)
* (MoneynessOption(S + 2 * dS, T, r, v)
- 3 * MoneynessOption(S + dS, T, r, v)
+ 3 * MoneynessOption(S, T, r, v)
- MoneynessOption(S - dS, T, r, v))
EMoneynessOption
float S = input.float(120, "% Moneyness", group = "Rates Settings") / 100
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float r = input.float(8., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(30., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Text Size", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
price = EMoneynessOption("p", S, T, kouta, v, na)
Delta = EMoneynessOption("d", S, T, kouta, v, na) * sideout
Elasticity = EMoneynessOption("e", S, T, kouta, v, na) * sideout
Gamma = EMoneynessOption("g", S, T, kouta, v, na) * sideout
DGammaDvol = EMoneynessOption("gv", S, T, kouta, v, na) * sideout
GammaP = EMoneynessOption("gp", S, T, kouta, v, na) * sideout
Vega = EMoneynessOption("v", S, T, kouta, v, na) * sideout
DvegaDvol = EMoneynessOption("dvdv", S, T, kouta, v, na) * sideout
VegaP = EMoneynessOption("vp", S, T, kouta, v, na) * sideout
Theta = EMoneynessOption("t", S, T, kouta, v, na) * sideout
Rho = EMoneynessOption("r", S, T, kouta, v, na) * sideout
RhoFuturesOption = EMoneynessOption("fr", S, T, kouta, v, na) * sideout
DDeltaDvol = EMoneynessOption("dddv", S, T, kouta, v, na) * sideout
Speed = EMoneynessOption("s", S, T, kouta, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 16, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Moneyness Options", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "% Moneyness: " + str.tostring(S * 100, "##.##") + "%" , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Value: " + str.tostring(price, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Balanced Price Range (BPR) | https://www.tradingview.com/script/856oabwc-Balanced-Price-Range-BPR/ | tradeforopp | https://www.tradingview.com/u/tradeforopp/ | 2,610 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © tradeforopp
//@version=5
indicator("Balanced Price Range - BPR [TFO]", "BPR [TFO]", overlay = true, max_bars_back = 500, max_boxes_count = 500)
bpr_threshold = input.float(0, step = 0.25, title = "BPR Threshold", tooltip = "Valid BPR's must have a range greater than this number")
bars_since = input(10, "Bars to Look Back for BPR", tooltip = "Only look for BPR's when a sequence of bearish and bullish FVG's are within this many bars of each other")
only_clean_bpr = input(false, "Only Clean BPR", tooltip = "Only show BPR's when price does not interfere with the range prior to its completion")
delete_old_bpr = input(false, "Delete Old BPR", tooltip = "Delete all BPR's that have been invalidated or overwritten. Only show current/active BPR's")
bearish_bpr_color = input.color(color.new(color.red, 70))
bullish_bpr_color = input.color(color.new(color.green, 70))
float box_high = na
float box_low = na
int box_left = 0
int box_right = 0
var box box_bearish = na
var box box_bullish = na
new_fvg_bearish = low[2] - high > 0
new_fvg_bullish = low - high[2] > 0
valid_high = high[1] > high[2] and high[1] > high[0]
valid_low = low[1] < low[2] and low[1] < low[0]
midline = (high - low) / 2 + low
valid_hammer = open > midline and close > midline
valid_shooter = open < midline and close < midline
// Bullish BPR
bull_num_since = ta.barssince(new_fvg_bearish)
bull_bpr_cond_1 = new_fvg_bullish and bull_num_since <= bars_since
bull_bpr_cond_2 = bull_bpr_cond_1 ? high[bull_num_since] + low[bull_num_since + 2] + high[2] + low > math.max(low[bull_num_since + 2], low) - math.min(high[bull_num_since], high[2]) : na
bull_combined_low = bull_bpr_cond_2 ? math.max(high[bull_num_since], high[2]) : na
bull_combined_high = bull_bpr_cond_2 ? math.min(low[bull_num_since + 2], low) : na
bull_bpr_cond_3 = true
if only_clean_bpr
for h = 2 to (bull_num_since)
if high[h] > bull_combined_low
bull_bpr_cond_3 := false
bull_result = bull_bpr_cond_1 and bull_bpr_cond_2 and bull_bpr_cond_3 and (bull_combined_high - bull_combined_low >= bpr_threshold)
if bull_result[1]
if delete_old_bpr and not na(box_bullish)
box.delete(box_bullish)
box_bullish := box.new(bar_index - bull_num_since - 1, bull_combined_high[1], bar_index + 1, bull_combined_low[1], border_color = bullish_bpr_color, border_width = 1, bgcolor = bullish_bpr_color)
alertcondition(bull_result[1], "Bullish Alert", "New Bullish BPR")
if not na(box_bullish) and low > box.get_bottom(box_bullish)
box.set_right(box_bullish, bar_index + 1)
else if not na(box_bullish) and low < box.get_bottom(box_bullish)
if delete_old_bpr
box.delete(box_bullish)
else
box_bullish := na
// Bearish BPR
bear_num_since = ta.barssince(new_fvg_bullish)
bear_bpr_cond_1 = new_fvg_bearish and bear_num_since <= bars_since
bear_bpr_cond_2 = bear_bpr_cond_1 ? high[bear_num_since] + low[bear_num_since + 2] + high[2] + low > math.max(low[bear_num_since + 2], low) - math.min(high[bear_num_since], high[2]) : na
bear_combined_low = bear_bpr_cond_2 ? math.max(high[bear_num_since + 2], high) : na
bear_combined_high = bear_bpr_cond_2 ? math.min(low[bear_num_since], low[2]) : na
bear_bpr_cond_3 = true
if only_clean_bpr
for h = 2 to (bear_num_since)
if low[h] < bear_combined_high
bear_bpr_cond_3 := false
bear_result = bear_bpr_cond_1 and bear_bpr_cond_2 and bear_bpr_cond_3 and (bear_combined_high - bear_combined_low >= bpr_threshold)
if bear_result[1]
if delete_old_bpr and not na(box_bearish)
box.delete(box_bearish)
box_bearish := box.new(bar_index - bear_num_since - 1, bear_combined_high[1], bar_index + 1, bear_combined_low[1], border_color = bearish_bpr_color, border_width = 1, bgcolor = bearish_bpr_color)
alertcondition(bear_result[1], "Bearish Alert", "New Bearish BPR")
if not na(box_bearish) and high < box.get_top(box_bearish)
box.set_right(box_bearish, bar_index + 1)
else if not na(box_bearish) and high > box.get_top(box_bearish)
if delete_old_bpr
box.delete(box_bearish)
else
box_bearish := na |
American Approximation: Barone-Adesi and Whaley [Loxx] | https://www.tradingview.com/script/2NDydZJQ-American-Approximation-Barone-Adesi-and-Whaley-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 17 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("American Approximation: Barone-Adesi and Whaley [Loxx]",
shorttitle ="AABAW [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/cbnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float gBlackScholes = 0
float d1 = (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
// Newton Raphson algorithm to solve for the critical commodity price for a Put
Kp(float X, float T, float r, float b, float v)=>
// Calculation of seed value, Si
float N = 2 * b / math.pow(v, 2)
float m = 2 * r / math.pow(v, 2)
float q1u = (-(N - 1) - math.sqrt(math.pow(N - 1, 2) + 4 * m)) / 2
float su = X / (1 - 1 / q1u)
float h1 = (b * T - 2 * v * math.sqrt(T)) * X / (X - su)
float Si = su + (X - su) * math.exp(h1)
float k = 2 * r / (math.pow(v, 2) * (1 - math.exp(-r * T)))
float d1 = (math.log(Si / X) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
float Q1 = (-(N - 1) - math.sqrt(math.pow(N - 1, 2) + 4 * k)) / 2
float LHS = X - Si
float RHS = GBlackScholes(putString, Si, X, T, r, b, v) - (1 - math.exp((b - r) * T) * cnd.CND1(-d1)) * Si / Q1
float bi = -math.exp((b - r) * T) * cnd.CND1(-d1) * (1 - 1 / Q1) - (1 + math.exp((b - r) * T) * ND(-d1) / (v * math.sqrt(T))) / Q1
float E = 1E-06
float Kp = 0
// Newton Raphson algorithm for finding critical price Si
while math.abs(LHS - RHS) / X > E
Si := (X - RHS + bi * Si) / (1 + bi)
d1 := (math.log(Si / X) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
LHS := X - Si
RHS := GBlackScholes(putString, Si, X, T, r, b, v) - (1 - math.exp((b - r) * T) * cnd.CND1(-d1)) * Si / Q1
bi := -math.exp((b - r) * T) * cnd.CND1(-d1) * (1 - 1 / Q1) - (1 + math.exp((b - r) * T) * cnd.CND1(-d1) / (v * math.sqrt(T))) / Q1
Kp := Si
Kp
// Newton Raphson algorithm to solve for the critical commodity price for a Call
Kc(float X, float T, float r, float b, float v)=>
// Calculation of seed value, Si
float N = 2 * b / math.pow(v, 2)
float m = 2 * r / math.pow(v, 2)
float q2u = (-(N - 1) + math.sqrt(math.pow(N - 1, 2) + 4 * m)) / 2
float su = X / (1 - 1 / q2u)
float h2 = -(b * T + 2 * v * math.sqrt(T)) * X / (su - X)
float Si = X + (su - X) * (1 - math.exp(h2))
float k = 2 * r / (math.pow(v, 2) * (1 - math.exp(-r * T)))
float d1 = (math.log(Si / X) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
float Q2 = (-(N - 1) + math.sqrt(math.pow(N - 1, 2) + 4 * k)) / 2
float LHS = Si - X
float RHS = GBlackScholes(callString, Si, X, T, r, b, v) + (1 - math.exp((b - r) * T) * cnd.CND1(d1)) * Si / Q2
float bi = math.exp((b - r) * T) * cnd.CND1(d1) * (1 - 1 / Q2) + (1 - math.exp((b - r) * T) * cnd.CND1(d1) / (v * math.sqrt(T))) / Q2
float E = 1E-06
float Kc = 0
// Newton Raphson algorithm for finding critical price Si
while math.abs(LHS - RHS) / X > E
Si := (X + RHS - bi * Si) / (1 - bi)
d1 := (math.log(Si / X) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
LHS := Si - X
RHS := GBlackScholes(callString, Si, X, T, r, b, v) + (1 - math.exp((b - r) * T) * cnd.CND1(d1)) * Si / Q2
bi := math.exp((b - r) * T) * cnd.CND1(d1) * (1 - 1 / Q2) + (1 - math.exp((b - r) * T) * ND(d1) / (v * math.sqrt(T))) / Q2
Kc := Si
Kc
// American call
BAWAmericanCallApprox(float S, float X, float T, float r, float b, float v)=>
float Sk = 0
float BAWAmericanCallApprox = 0
if b >= r
BAWAmericanCallApprox := GBlackScholes(callString, S, X, T, r, b, v)
else
Sk := Kc(X, T, r, b, v)
float N = 2 * b / math.pow(v, 2)
float k = 2 * r / (math.pow(v, 2) * (1 - math.exp(-r * T)))
float d1 = (math.log(Sk / X) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
float Q2 = (-(N - 1) + math.sqrt(math.pow(N - 1, 2) + 4 * k)) / 2
float a2 = (Sk / Q2) * (1 - math.exp((b - r) * T) * cnd.CND1(d1))
if S < Sk
BAWAmericanCallApprox := GBlackScholes(callString, S, X, T, r, b, v) + a2 * math.pow(S / Sk, Q2)
else
BAWAmericanCallApprox := S - X
BAWAmericanCallApprox
// American put
BAWAmericanPutApprox(float S, float X, float T, float r, float b, float v)=>
float Sk = Kp(X, T, r, b, v)
float N = 2 * b / math.pow(v, 2)
float k = 2 * r / (math.pow(v, 2) * (1 - math.exp(-r * T)))
float d1 = (math.log(Sk / X) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
float Q1 = (-(N - 1) - math.sqrt(math.pow(N - 1, 2) + 4 * k)) / 2
float a1 = -(Sk / Q1) * (1 - math.exp((b - r) * T) * cnd.CND1(-d1))
float BAWAmericanPutApprox = 0
if S > Sk
BAWAmericanPutApprox := GBlackScholes(putString, S, X, T, r, b, v) + a1 * math.pow(S / Sk, Q1)
else
BAWAmericanPutApprox := X - S
BAWAmericanPutApprox
// The Barone-Adesi and Whaley (1987) American approximation
BAWAmericanApprox(string CallPutFlag, float S, float X, float T, float r, float b, float v)=>
float BAWAmericanApprox = 0
if CallPutFlag == callString
BAWAmericanApprox := BAWAmericanCallApprox(S, X, T, r, b, v)
else
BAWAmericanApprox := BAWAmericanPutApprox(S, X, T, r, b, v)
BAWAmericanApprox
EBAWAmericanApprox(string OutPutFlag, string CallPutFlag, float S, float X, float T, float r, float b, float v, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float EBAWAmericanApprox = 0
if OutPutFlag =="p" // ' Value
EBAWAmericanApprox := BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
else if OutPutFlag == "d" // 'Delta
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v)
- BAWAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v)) / (2 * dS)
else if OutPutFlag =="e" // 'Elasticity
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v)
- BAWAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v))
/ (2 * dS) * S / BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
else if OutPutFlag =="g" // 'Gamma
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v)
- 2 * BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BAWAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag =="gv" // 'DGammaDVol
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v + 0.01)
- 2 * BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v + 0.01)
+ BAWAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v + 0.01)
- BAWAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v - 0.01)
+ 2 * BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v - 0.01)
- BAWAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v - 0.01))
/ (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag =="gp" // 'GammaP
EBAWAmericanApprox := S / 100 * (BAWAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v)
- 2 * BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BAWAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag =="tg" // 'time Gamma
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S, X, T + 1 / 365, r, b, v)
- 2 * BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BAWAmericanApprox(CallPutFlag, S, X, T - 1 / 365, r, b, v)) / math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" // 'DDeltaDvol
EBAWAmericanApprox := 1 / (4 * dS * 0.01)
* (BAWAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v + 0.01)
- BAWAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v - 0.01)
- BAWAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v + 0.01)
+ BAWAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" // 'Vega
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v + 0.01)
- BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "vv" // 'DvegaDvol/vomma
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v + 0.01)
- 2 * BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v - 0.01)) / math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" // 'VegaP
EBAWAmericanApprox := v / 0.1 * (BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v + 0.01)
- BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" // 'DvegaDvol
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v + 0.01)
- 2 * BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v - 0.01))
else if OutPutFlag == "t" // 'Theta
if T <= (1 / 365)
EBAWAmericanApprox := BAWAmericanApprox(CallPutFlag, S, X, 1E-05, r, b, v)
- BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
else
EBAWAmericanApprox := BAWAmericanApprox(CallPutFlag, S, X, T - 1 / 365, r, b, v)
- BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
else if OutPutFlag =="r" // 'Rho
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S, X, T, r + 0.01, b + 0.01, v)
- BAWAmericanApprox(CallPutFlag, S, X, T, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag =="fr" // 'Futures options rho
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S, X, T, r + 0.01, b, v)
- BAWAmericanApprox(CallPutFlag, S, X, T, r - 0.01, b, v)) / 2
else if OutPutFlag =="f" // 'Rho2
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S, X, T, r, b - 0.01, v)
- BAWAmericanApprox(CallPutFlag, S, X, T, r, b + 0.01, v)) / 2
else if OutPutFlag =="b" // 'Carry
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S, X, T, r, b + 0.01, v)
- BAWAmericanApprox(CallPutFlag, S, X, T, r, b - 0.01, v)) / 2
else if OutPutFlag =="s" // 'Speed
EBAWAmericanApprox := 1 / math.pow(dS, 3) * (BAWAmericanApprox(CallPutFlag, S + 2 * dS, X, T, r, b, v)
- 3 * BAWAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v)
+ 3 * BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
- BAWAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v))
else if OutPutFlag =="dx" // 'Strike Delta
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S, X + dS, T, r, b, v)
- BAWAmericanApprox(CallPutFlag, S, X - dS, T, r, b, v)) / (2 * dS)
else if OutPutFlag =="dxdx" // 'Strike Gamma
EBAWAmericanApprox := (BAWAmericanApprox(CallPutFlag, S, X + dS, T, r, b, v)
- 2 * BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BAWAmericanApprox(CallPutFlag, S, X - dS, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag =="di" // 'Difference in value between BS Approx and Black-Scholes Merton value
EBAWAmericanApprox := BAWAmericanApprox(CallPutFlag, S, X, T, r, b, v)
- GBlackScholes(CallPutFlag, S, X, T, r, b, v)
EBAWAmericanApprox
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float r = input.float(6., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(6., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
bsmprice = GBlackScholes(OpType, S, K, T, kouta, koutb, v)
amaproxprice = EBAWAmericanApprox("p", OpType, S, K, T, kouta, koutb, v, na) * sideout
Delta = EBAWAmericanApprox("d", OpType, S, K, T, kouta, koutb, v, na) * sideout
Elasticity = EBAWAmericanApprox("e", OpType, S, K, T, kouta, koutb, v, na) * sideout
Gamma = EBAWAmericanApprox("g", OpType, S, K, T, kouta, koutb, v, na) * sideout
DGammaDvol = EBAWAmericanApprox("gv", OpType, S, K, T, kouta, koutb, v, na) * sideout
GammaP = EBAWAmericanApprox("gp", OpType, S, K, T, kouta, koutb, v, na) * sideout
Vega = EBAWAmericanApprox("v", OpType, S, K, T, kouta, koutb, v, na) * sideout
DvegaDvol = EBAWAmericanApprox("dvdv", OpType, S, K, T, kouta, koutb, v, na) * sideout
VegaP = EBAWAmericanApprox("vp", OpType, S, K, T, kouta, koutb, v, na) * sideout
Theta = EBAWAmericanApprox("t", OpType, S, K, T, kouta, koutb, v, na) * sideout
Rho = EBAWAmericanApprox("r", OpType, S, K, T, kouta, koutb, v, na) * sideout
RhoFuturesOption = EBAWAmericanApprox("fr", OpType, S, K, T, kouta, koutb, v, na) * sideout
PhiRho2 = EBAWAmericanApprox("f", OpType, S, K, T, kouta, koutb, v, na) * sideout
Carry = EBAWAmericanApprox("b", OpType, S, K, T, kouta, koutb, v, na) * sideout
DDeltaDvol = EBAWAmericanApprox("dddv", OpType, S, K, T, kouta, koutb, v, na) * sideout
Speed = EBAWAmericanApprox("s", OpType, S, K, T, kouta, koutb, v, na) * sideout
StrikeDelta = EBAWAmericanApprox("dx", OpType, S, K, T, kouta, koutb, v, na) * sideout
StrikeGamma = EBAWAmericanApprox("dxdx", OpType, S, K, T, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 21, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "American Approximation: Barone-Adesi and Whaley", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "American Approximation Price: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Black-Scholes-Merton Value: " + str.tostring(bsmprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 20, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
[FriZz]Watermark | https://www.tradingview.com/script/K83leyVY-FriZz-Watermark/ | FFriZz | https://www.tradingview.com/u/FFriZz/ | 147 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © FFriZz
//@version=5
indicator('[FFriZz]Watermark', '', true)
string ypos = input.string('top', 'Position', inline='pos', options=['top', 'middle', 'bottom'])
int UTC = input.int(-5,'UTC',minval=-18,maxval = 18,group = 'Time Adjust')
string xpos = input.string('right', '', inline='pos', options=['left', 'right', 'center'])
string tok = input.session('1900-0400','Tokyo',group='Sessions',inline='')
string lon = input.session('0200-1100','London',group='Sessions',inline='')
string ny = input.session('0800-1700','New York',group='Sessions',inline='')
string sesclosed = input.session('1600-1900','Sessions Closed',group='Sessions',inline='')
string tva1 = input.string(text.align_center,'Textbox #1',group = 'Text align/Size',inline = 'tb1',options = [text.align_top, text.align_center, text.align_bottom])
string tha1 = input.string(text.align_center,'',group = 'Text align/Size',inline = 'tb1',options = [text.align_left, text.align_center, text.align_right])
string tva12 = input.string(text.align_center,'Textbox #2',group = 'Text align/Size',inline = 'tb2',options = [text.align_top, text.align_center, text.align_bottom])
string tha12 = input.string(text.align_center,'',group = 'Text align/Size',inline = 'tb2',options = [text.align_left, text.align_center, text.align_right])
string textsize1 = input.string('normal', '',inline = 'tb1',group = 'Text align/Size', options=['tiny', 'small', 'normal', 'large', 'huge', 'auto'])
string textsize2 = input.string('normal', '',inline = 'tb2',group = 'Text align/Size', options=['tiny', 'small', 'normal', 'large', 'huge', 'auto'])
color color = input(color.new(#000000, transp=0),'TextBox 1',group = 'Text Colors')
color color2 = input(color.new(#000000, transp=0),'TextBox 2',group = 'Text Colors')
//[
string ticker2 = input.symbol('BTCUSDTPERP','Ticker2',group = 'Extra Ticker')
string t2 = array.get(str.split(ticker2,':'),1)
string exampleBox = input.text_area('EXAMPLES USE BOXES BELOW\nBy: [FrizLabz] | Options▼▼▼ Can use TextBox 1 or 2 all boxes can have different color text\nUse the words at the bottom of this box Case matched and Spelled correctly it will only replace the word so you can use whatever else youd like as long the word is correct\nSpecial Chars. @ Bottom\n\nOptions\n----------------\nTF\nTicker\nTicker2\nVolume\nOpen\nClose\nHigh\nLow\nDay\nDate\nTime\nSession\nSessionTime','EXAMPLES/INTRUCTIONS',group = '')
string textbox1 = input.text_area('@FFriZz | FrizLabz','TextBox 1',group = '')
string textbox2 = input.text_area('Date\nTicker | TF\nSession | Time','TextBox 2',group = '')
string texttt = input.text_area(
'𝓪𝓫𝓬𝓭𝓮𝓯𝓰𝓱𝓲𝓳𝓴𝓵𝓶𝓷𝓸𝓹𝓺𝓻𝓼𝓽𝓾𝓿𝔀𝔁𝔂𝔃'+
'ａｂｃｄｅｆｇｈｉｊｋｌｍｎｏｐｑｒｓｔｕｖｗｘｙｚ'+
'🇦🇧🇨🇩🇪🇫🇬🇭🇮🇯🇰🇱🇲🇳🇴🇵🇶🇷🇸🇹🇺🇻🇼🇽🇾🇿'+
'🅐🅑🅒🅓🅔🅕🅖🅗🅘🅙🅚🅛🅜🅝🅞🅟🅠🅡🅢🅣🅤🅥🅦🅧🅨🅩'+
'ⒶⒷⒸⒹⒺⒻⒼⒽⒾⒿⓀⓁⓂⓃⓄⓅⓆⓇⓈⓉⓊⓋⓌⓍⓎⓏ'+
'𝒜ℬ𝒞𝒟ℰℱ𝒢ℋℐ𝒥𝒦ℒℳ𝒩𝒪𝒫𝒬ℛ𝒮𝒯𝒰𝒱𝒲𝒳𝒴𝒵'+
'𝓐𝓑𝓒𝓓𝓔𝓕𝓖𝓗𝓘𝓙𝓚𝓛𝓜𝓝𝓞𝓟𝓠𝓡𝓢𝓣𝓤𝓥𝓦𝓧𝓨𝓩'+
'𝓪𝓫𝓬𝓭𝓮𝓯𝓰𝓱𝓲𝓳𝓴𝓵𝓶𝓷𝓸𝓹𝓺𝓻𝓽𝓾𝓿𝔀𝔁𝔂𝔃'+
'𝐚𝐛𝐜𝐝𝐞𝐟𝐠𝐡𝐢𝐣𝐤𝐥𝐦𝐧𝐨𝐩𝐪𝐫𝐬𝐭𝐮𝐯𝐰𝐱𝐲𝐳'+
'𝕒𝕓𝕔𝕕𝕖𝕗𝕘𝕙𝕚𝕛𝕜𝕝𝕞𝕟𝕠𝕡𝕢𝕣𝕤𝕥𝕦𝕧𝕨𝕩𝕪𝕫'+
'ᴀʙᴄᴅᴇғɢʜɪᴊᴋʟᴍɴᴏᴘǫʀsᴛᴜᴠᴡxʏᴢ'+
'𝕬𝕭𝕮𝕯𝕰𝕱𝕲𝕳𝕴𝕵𝕶𝕷𝕸𝕹𝕺𝕻𝕼𝕽𝕾𝕿𝖀𝖁𝖂𝖃𝖄𝖅'+
'↦↧↨↩↪↫↬↭↮↯↰↱↲↳↴↶↷↸↹↺↻⟳↼↽↾↿⇀⇁⇂⇃⇄⇅⇆⇇㊊㊋㊌㊍㊎㊏㊐㊑㊒㊓㊔㊕㊖㊗㊘㊙㊚㊛㊜㊝㊞㊟㊠㊡㊢㊣㊤㊥㊦㊧㊨㊩㊪㊫㊬㊭㊮㊯㊰☠⚰☤☥☦☧☨☩☪☫☬☮☭☯☸☽☾✙✚✛✜✝▒▓░'+
'▁▂▄▅▆▇██▇▆▅▄▂▁'+
'•·∙⊙⊚⊛◉○◌◍◎●◘◦。☉⦾⦿⁃⁌⁍◆◇◈★☆■□☐☑☒✓✔❖'+
'ϟ☽☾ϟ☽☾〔〕︽︾〖〗〘〙〚〛《》♔♕♖♗♘♙♚♛♜♝♞♟♤♠♧♣♡♥♢♦↕↖↗↘↙↚↛↜↝↞↟↠↡↢↣↤↥↦↧↨↩↪↫↬↭↮↯↰↱↲↳↴↶↷↸↹↺↻↼↽↾↿⇀⇁⇂⇃⇄⇅⇆⇇⇈⇉⇊⇋⇌⇍⇎⇏⇕⇖⇗⇘⇙⇚⇛⇜⇝⇞⇟⇠⇡⇢⇣⇤⇥⇦⇧⇨⇩⇪⌅⌆⌤⏎▶☇☈☊☋☌☍➔➘➙➚➛➜➝➞➟➠➡➢➣➤➥➦'+
'➧➨➩➪➫➬➭➮➯➱➲➳➴➵➶➷➸➹➺➻➼➽➾⤴⤵↵↓↔←→↑⌦⌫⌧⇰⇫⇬⇭⇳⇮⇯⇱⇲⇴⇵⇷⇸⇹⇺⇑⇓⇽⇾⇿⬳⟿⤉⤈⇻⇼⬴⤀⬵⤁⬹⤔⬺⤕⬶⤅⬻⤖⬷⤐⬼⤗⬽⤘⤝⤞⤟⤠⤡⤢⤣⤤⤥⤦⤪⤨⤧⤩⤭⤮⤯⤰⤱⤲⤫⤬⬐⬎⬑⬏⤶⤷⥂⥃⥄⭀⥱⥶⥸⭂⭈⭊⥵⭁⭇⭉⥲⭋⭌⥳⥴⥆⥅⥹⥻⬰⥈⬾⥇⬲⟴⥷⭃⥺⭄⥉⥰⬿⤳⥊⥋⥌⥍⥎⥏⥐⥑⥒⥓⥔⥕⥖⥗⥘⥙⥚⥛⥜⥝⥞⥟⥠⥡⥢⥤⥣'+
'⥥⥦⥨⥧⥩⥮⥯⥪⥬⥫⥭⤌⤍⤎⤏⬸⤑⬱⟸⟹⟺⤂⤃⤄⤆⤇⤊⤋⭅⭆⟰⟱⇐⇒⇔⇶⟵⟶⟷⬄⬀⬁⬂⬃⬅⬆⬇⬈⬉⬊⬋⬌⬍⟻⟼⤒⤓⤙⤚⤛⤜⥼⥽⥾⥿⤼⤽⤾⤿⤸⤺⤹⤻⥀⥁⟲⟳☮☸♈♉☪♊♋♌♍♎♏♐♑♒♓☤☥☧☨☩☫☬☭☯☽☾✙✚✛✜✝✞✟†⊹‡♁♆❖♅✠✡✢〷☠☢☣☦π∞Σ√∛∜∫∬∭∮∯∰∱∲∳∀∁∂∃∄∅∆∇∈∉∊∋∌∍∎∏∐∑−∓∔∕∖∗∘∙∝∟∠∡∢∣∤∥∦∧∨∩∪∴∵∶∷∸∹∺∻∼∽∾∿≀≁≂≃≄≅≆≇≈≉≊≋≌≍≎≏≐≑≒≓'+
'≔≕≖≗≘≙≚≛≜≝≞≟≠≡≢≣≤≥≦≧≨≩≪≫≬≭≮≯≰≱≲≳≴≵≶≷≸≹≺≻≼≽≾≿⊀⊁⊂⊃⊄⊅⊆⊇⊈⊉⊊⊋⊌⊍⊎⊏⊐⊑⊒⊓⊔⊕⊖⊗⊘⊙⊚⊛⊜⊝⊞⊟⊠⊡⊢⊣⊤⊥⊦⊧⊨⊩⊪⊫⊬⊭⊮⊯⊰⊱⊲⊳⊴⊵⊶⊷⊸⊹⊺⊻⊼⊽⊾⊿⋀⋁⋂⋃⋄⋅⋆⋇⋈⋉⋊⋋⋌⋍⋎⋏⋐⋑⋒⋓⋔⋕⋖⋗⋘⋙⋚⋛⋜⋝⋞⋟⋠⋡⋢⋣⋤⋥⋦⋧⋨⋩⋪⋫⋬⋭⋮⋯⋰⋱⁺⁻⁼⁽⁾ⁿ₊₋₌₍₎✖﹢﹣＋－／＝÷±×ⅠⅡⅢⅣⅤⅥⅦⅧⅨⅩⅪⅫⅬⅭⅮⅯⅰⅱⅲⅳⅴⅵⅶⅷⅸⅹⅺⅻⅼⅽⅾⅿↀↁↂ➀➁➂➃➄➅➆➇➈➉➊➋➌➍➎➏➐➑➒➓⓵⓶⓷⓸⓹⓺⓻⓼⓽⓾⓿❶❷❸❹❺❻❼❽❾❿⁰¹²³⁴⁵⁶⁷⁸⁹₀'+
'₁₂₃₄₅₆₇₈₉⓪①②③④⑤⑥⑦⑧⑨⑩⑪⑫⑬⑭⑮⑯⑰⑱⑲⑳⑴⑵⑶⑷⑸⑹⑺⑻⑼⑽⑾⑿⒀⒁⒂⒃⒄⒅⒆⒇⒈⒉⒊⒋⒌⒍⒎⒏⒐⒑⒒⒓⒔⒕⒖⒗⒘⒙⒚⒛㈠㈡㈢㈣㈤㈥㈦㈧㈨㈩㊀㊁㊂㊃㊄㊅㊆㊇㊈㊉０１２３４'+
'５６７８９ⁱₐₑₒₓₔ❏❐❑❒▀▁▂▃▄▅▆▇▉▊▋█▌▐▍▎▏▕░▒▓▔▬▢▣▤▥▦▧▨▩▪▫▭▮▯☰☲☱☴☵☶☳☷▰▱◧◨◩◪◫∎■□⊞⊟⊠⊡❘❙❚〓◊◈◇◆⎔⎚☖☗◄▲▼►◀◣◥◤◢▶◂'+
'▴▾▸◁△▽▷∆∇⊳⊲⊴⊵◅▻▵▿◃▹◭◮⫷⫸⋖⋗⋪⋫⋬⋭⊿◬≜⑅│┃╽'+
'╿╏║╎┇︱┊︳┋┆╵〡〢╹╻╷〣☰☱☲☳☴☵☶☷≡✕═━─╍┅┉┄┈╌╴╶╸╺╼╾﹉﹍﹊﹎︲⑆'+
'⑇⑈⑉⑊⑄⑀︴﹏﹌﹋╳╲╱︶︵〵〴〳〆`ᐟ‐⁃⎯〄﹄﹃﹂﹁┕┓└┐┖┒┗┑┍┙┏┛┎┚┌┘「」『』˩˥├┝┞┟┠┡┢┣┤┥┦'+
'┧┨┩┪┫┬┭┮┯┰┱┲┳┴┵┶┷┸┹┺┻┼┽┾┿╀╁╂╃╄╅╆╇╈╉╊╋╒╕╓╖╔╗╘╛╙╜╚╝╞╡╟╢╠╣╥╨╧╤╦╩╪╫╬〒⊢⊣⊤⊥╭╮╯╰⊦⊧⊨⊩⊪⊫⊬⊭⊮⊯⊺〦〧〨˦˧˨⑁⑂⑃∟◉○◌◍◎●◐◑◒◓◔◕◖◗❂☢⊗⊙◘◙◚◛◜◝◞◟◠◡◯〇〶⚫⬤◦∅∘⊕⊖⊘⊚⊛⊜⊝❍⦿😂😄😃😀😊😉😍😘😚'+
'😗😙😜😝😛😳😁😔😌😒😞😣😢😭😪😥😰😅😓😩😫😨😱😠😡😤😖😆😋😷😎😴😵😲😟😦😧😈👿😮😬😐😕😯😶😇☺️😏😑🙃🙄☹️🤐🤑🤒🤓🤔🤕🙁🙂🤗🤣🤠🤥🤤🤢🤧🤡🤖🖤💛💙💜💚🧡❤️️💔💗💓💕💖💞💘💝❣️💌💋😺😸😻😽😼🙀😿😹😾🙈🙉🙊💀👽👹👺🤩🤨🥺️🤯🤪🤬🤮🤫🤭🧐🥰️🥵️🥶️🥴️♾️♀️♂️⚧️⚕️➰➿💲💱©️®️™️〰️🔠🔡🔤ℹ️🆗🆕🆙🆒🆓🆖📶🎦🚻🚹🚺🚼🚾🚮🅿️♿️Ⓜ️🛂🛄🛅🛃🆑🆘🆚🚫🚭🔞📵🚯🚱🚳🚷🚸⛔️⚠️🛑🚧✳️❇️❎✅✴️💟📳📴🅰️🅱️🆎🅾️💠♻️🏧🚰💹〽️❌⭕️❗️❓❕❔🕛🕧🕐🕜🕑🕝🕒🕞🕓🕟🕔🕠🕕🕖🕗🕘🕙🕚🕡🕢🕣🕤🕥🕦🔟🔢#️⃣🔣⏭⏮⏯*️⃣⏸⏹⏺⏏️☢️☣️➕➖✖️➗♥️♦️♣️♠️💮💯💫💥💢💦💤💨✔️☑️🔘🔗🔱🔲🔳⬜️⬛️◼️◻️◾️◽️▪️▫️🔺⚫️⚪️🔴🔵🔻🔶🔷🔸🔹⁉️‼️🔰🆔*️⃣🛗☮️🛐🕎✝'+
'️✡️☦️☪️☯️☸️⚛️♈️♉️♊️♋️♌️♍️♎️♏️♐️♑️♒️♓️⛎🔯🈁🈯️🈳🈵🈴🈲🉐🈹🈺🈶🈚️🈷️🈸🈂️🉑㊙️㊗️☕️🍵🍶🍺🍻🍸🍹🍷🍴🍕🍔🍟🍗🍖🍝🍛🍤🍱🍣🍥🍙🍘🍚🍜🍲🍢🍡🍳🍞🍩🍮🍦🍨🍧🎂🍰🍪🍫🍬🍭🍯🍎🍏🍊🍋🍒🍇🍉🍓🍑🍈🍌🍐🍍🍠🍆🍅🌽🌶🌭🌮🌯🍾🍿🥝🥑🥔🥕🥒🥜🥐🥖🥞🥓🥙🥚🥘🥗🥛🥥🥦🥨🥩🥪🥣🥫🥟🥠🥡🥧🥤🥢🥭️🥬️🥯️🧂️🥮️🦞️🧁️👍👎👌👊✊✌️👋✋👐👆👇👉👈🙌🙏💪🖖🖐☝️👏✍️🤘🖕🤞🤙🤛🤜🤚🤝🤟🤲🏴🏴🏴🇺🇳🚩🏳🏴🏳️🌈🏴☠️️🎲🎯'+
'🏈🏀️⚽️⚾️🎾🎱🏉🎳️⛳️🏁🏇🏆⛷⛸🏏🏐🏑🏒🏓🏸🏹🏂🏍🏎🤺🥅🥇🥈🥉🥊🥋🤼🤼♂️🎣🥌🐶🐺🐱🐭🐹🐰🐸🐯🐨🐻🐷🐽🐮🐗🐵🐒🐴🐑🐘🐼🐧🐦🐤🐥🐣🐔🐍🐢🐛🐝🐜🐿🐞🐌🐙🐚🐠🐟🐬🐳🐋🐄🐏🐀🐃🐅🐇🐉🐎🐐🐓🐕🐖🐁🐂🐲🐡🐊🐫🐪🐆🐈🐩🐾🦀🦁🦂🕷🦃🦄🦐🦑🦋🦍🦊🦌🦏🦇🦅🦆🦉🦎🦈🦓🦒🦔🦕🦖🦝️🦙️🦛️🦘️🦡️🦢️🦚️🦜️🦟️🐻❄️🦭🐃🪱🦬🪳🦣🦤🐈⬛'
,'Special Chars.',group='')//]
string fDay = input.string('E', 'Formatting | Day:',inline = 'f',group = 'Formatting',tooltip = 'You can google Java Date Formatting for Examples\n 12h clock use hh \n24h clock use HH')
string fDate = input.string('MM/dd/yy', 'Date:',inline = 'f',group = 'Formatting')
string fTime = input.string('hh:mm:ssa', 'Time:',inline = 'f',group = 'Formatting')
////////////////////////////////////////////////////////////////////////////////
timeSes(ses,int = 1) =>
str = ''
if int == 1
str := str.substring(ses,0,4)
if int == 2
str := str.substring(ses,4,9)
str
Time(Unix, format) => str.format("{0,time," + format + "}", int(Unix))
string tfm = ''
tfs = timeframe.in_seconds()
if tfs < 60
tfm := str.tostring(tfs) + 's'
if tfs >= 60
tfm := timeframe.period + 'm'
if timeframe.isminutes
if tfs >= (60 * 60)
tfm := str.tostring(str.tonumber(timeframe.period) / 60) + 'h'
if timeframe.isdwm
tfm := timeframe.period
////////////////////////////////////////////////////////////////////////////////
string utcStr = ''
if UTC > 0
utcStr := 'UTC+' + str.tostring(UTC)
if UTC <= 0
utcStr := 'UTC' + str.tostring(UTC)
int Tok = time('', tok,utcStr)
int Lon = time('', lon,utcStr)
int Ny = time('', ny,utcStr)
int Sesclosed = time('', sesclosed,utcStr)
var Session = ''
var session = ''
var sessionTime = ''
if Tok
Session := 'Tokyo | ' + tok
session := 'Tokyo'
sessionTime := tok
if Lon
Session := 'London | ' + lon
session := 'London'
sessionTime := lon
if Ny
Session := 'New York | ' + ny
session := 'New York'
sessionTime := ny
if Tok and Lon
Session := 'Tokyo/London OverLap | ' + timeSes(tok) + timeSes(lon,2)
session := 'Tokyo/London'
sessionTime := timeSes(lon) + timeSes(tok,2)
if Lon and Ny
Session := 'London/New York OverLap | ' + timeSes(lon) + timeSes(ny,2)
session := 'London/New York'
sessionTime := timeSes(ny) + timeSes(lon,2)
if Sesclosed
Session := 'SessionsClosed | ' + sesclosed
session := 'Closed'
sessionTime := sesclosed
////////////////////////////////////////////////////////////////////////////////
close2 = request.security(ticker2,'',close)
UTC := UTC * 3600000
strReplace(textbox) =>
str = textbox
str := str.replace_all(str,'Volume',str.tostring(volume))
str := str.replace_all(str,'Open',str.tostring(open))
str := str.replace_all(str,'Close',str.tostring(close))
str := str.replace_all(str,'High',str.tostring(high))
str := str.replace_all(str,'Low',str.tostring(low))
str := str.replace_all(str,'Ticker2',t2 + ': ' +str.tostring(close2))
str := str.replace_all(str,'Ticker',syminfo.ticker)
str := str.replace_all(str,'TF',str.tostring(tfm))
str := str.replace_all(str,'Day',Time(timenow + UTC,fDay))
str := str.replace_all(str,'Date',Time(timenow + UTC,fDate))
str := str.replace_all(str,'Time',Time(timenow + UTC,fTime))
str := str.replace_all(str,'Session',session)
str := str.replace_all(str,'SessionTime',sessionTime)
str
////////////////////////////////////////////////////////////////////////////////
tn = Time(timenow + UTC,'HH:mm:ssa') + '\nCurrent Session: ' + Session
var table Table = table.new(ypos + '_' + xpos, 2, 1)
if barstate.islast
table.cell(Table, 0, 0,strReplace(textbox1), 0, 0, color, text_size = textsize1 ,text_valign = tva1,text_halign = tha1)
table.cell(Table, 1, 0,strReplace(textbox2), 0, 0,text_color = color2,text_halign = tha12,text_valign = tva12,text_size = textsize2,
tooltip = '------------------- Sessions🕧 -----------------\n' +
'-- Tokyo: '+ tok +
'\n-- Tokyo/London overlap: '+ timeSes(lon) + timeSes(tok,2) +
'\n-- London: '+ lon +
'\n-- NY/London overlap: '+ timeSes(ny) + timeSes(lon,2) +
'\n-- New York: '+ ny +
'\n-- Sessions Closed: '+ sesclosed +
'\n------------------------------------\nTime: ' +
tn + '\n------------------------------------')
|
Perpetual American Options [Loxx] | https://www.tradingview.com/script/cW7TWLlK-Perpetual-American-Options-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 17 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Perpetual American Options [Loxx]",
shorttitle ="PMO [Loxx]",
overlay = true,
max_lines_count = 500)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/cbnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
PerpetualOption(string CallPutFlag, float S, float X, float r, float b, float v)=>
float PerpetualOption = 0
float y1 = 1 / 2 - b / math.pow(v, 2) + math.sqrt(math.pow((b / math.pow(v, 2) - 1 / 2), 2) + 2 * r / math.pow(v, 2))
float y2 = 1 / 2 - b / math.pow(v, 2) - math.sqrt(math.pow((b / math.pow(v, 2) - 1 / 2), 2) + 2 * r / math.pow(v, 2))
if CallPutFlag == callString
PerpetualOption := X / (y1 - 1) * math.pow((y1 - 1) / y1 * S / X, y1)
else
PerpetualOption := X / (1 - y2) * math.pow((y2 - 1) / y2 * S / X, y2)
PerpetualOption
EPerpetualOption(string OutPutFlag, string CallPutFlag, float S, float X, float r, float b, float v, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float EPerpetualOption = 0
if OutPutFlag == "p" // Value
EPerpetualOption := PerpetualOption(CallPutFlag, S, X, r, b, v)
else if OutPutFlag == "d" // 'Delta
EPerpetualOption := (PerpetualOption(CallPutFlag, S + dS, X, r, b, v)
- PerpetualOption(CallPutFlag, S - dS, X, r, b, v)) / (2 * dS)
else if OutPutFlag == "e" // 'Elasticity
EPerpetualOption := (PerpetualOption(CallPutFlag, S + dS, X, r, b, v)
- PerpetualOption(CallPutFlag, S - dS, X, r, b, v))
/ (2 * dS) * S / PerpetualOption(CallPutFlag, S, X, r, b, v)
else if OutPutFlag =="g" // 'Gamma
EPerpetualOption := (PerpetualOption(CallPutFlag, S + dS, X, r, b, v)
- 2 * PerpetualOption(CallPutFlag, S, X, r, b, v)
+ PerpetualOption(CallPutFlag, S - dS, X, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag =="gv" // 'DGammaDVol
EPerpetualOption := (PerpetualOption(CallPutFlag, S + dS, X, r, b, v + 0.01)
- 2 * PerpetualOption(CallPutFlag, S, X, r, b, v + 0.01) + PerpetualOption(CallPutFlag, S - dS, X, r, b, v + 0.01)
- PerpetualOption(CallPutFlag, S + dS, X, r, b, v - 0.01) + 2 * PerpetualOption(CallPutFlag, S, X, r, b, v - 0.01)
- PerpetualOption(CallPutFlag, S - dS, X, r, b, v - 0.01)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag =="gp" // 'GammaP
EPerpetualOption := S / 100 * (PerpetualOption(CallPutFlag, S + dS, X, r, b, v)
- 2 * PerpetualOption(CallPutFlag, S, X, r, b, v)
+ PerpetualOption(CallPutFlag, S - dS, X, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag =="dddv" // 'DDeltaDvol
EPerpetualOption := 1 / (4 * dS * 0.01)
* (PerpetualOption(CallPutFlag, S + dS, X, r, b, v + 0.01)
- PerpetualOption(CallPutFlag, S + dS, X, r, b, v - 0.01)
- PerpetualOption(CallPutFlag, S - dS, X, r, b, v + 0.01)
+ PerpetualOption(CallPutFlag, S - dS, X, r, b, v - 0.01)) / 100
else if OutPutFlag =="v" // 'Vega
EPerpetualOption := (PerpetualOption(CallPutFlag, S, X, r, b, v + 0.01)
- PerpetualOption(CallPutFlag, S, X, r, b, v - 0.01)) / 2
else if OutPutFlag =="vv" // 'DvegaDvol/vomma
EPerpetualOption := (PerpetualOption(CallPutFlag, S, X, r, b, v + 0.01)
- 2 * PerpetualOption(CallPutFlag, S, X, r, b, v)
+ PerpetualOption(CallPutFlag, S, X, r, b, v - 0.01)) / math.pow(0.01, 2) / 10000
else if OutPutFlag =="vp" // 'VegaP
EPerpetualOption := v / 0.1 * (PerpetualOption(CallPutFlag, S, X, r, b, v + 0.01)
- PerpetualOption(CallPutFlag, S, X, r, b, v - 0.01)) / 2
else if OutPutFlag =="dvdv" // 'DvegaDvol
EPerpetualOption := (PerpetualOption(CallPutFlag, S, X, r, b, v + 0.01)
- 2 * PerpetualOption(CallPutFlag, S, X, r, b, v)
+ PerpetualOption(CallPutFlag, S, X, r, b, v - 0.01))
else if OutPutFlag =="r" // 'Rho
EPerpetualOption := (PerpetualOption(CallPutFlag, S, X, r + 0.01, b + 0.01, v)
- PerpetualOption(CallPutFlag, S, X, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag =="fr" // 'Futures options rho
EPerpetualOption := (PerpetualOption(CallPutFlag, S, X, r + 0.01, b, v)
- PerpetualOption(CallPutFlag, S, X, r - 0.01, b, v)) / 2
else if OutPutFlag =="f" // 'Rho2
EPerpetualOption := (PerpetualOption(CallPutFlag, S, X, r, b - 0.01, v)
- PerpetualOption(CallPutFlag, S, X, r, b + 0.01, v)) / 2
else if OutPutFlag =="b" // 'Carry
EPerpetualOption := (PerpetualOption(CallPutFlag, S, X, r, b + 0.01, v)
- PerpetualOption(CallPutFlag, S, X, r, b - 0.01, v)) / 2
else if OutPutFlag =="s" // 'Speed
EPerpetualOption := 1 / math.pow(dS, 3) * (PerpetualOption(CallPutFlag, S + 2 * dS, X, r, b, v)
- 3 * PerpetualOption(CallPutFlag, S + dS, X, r, b, v)
+ 3 * PerpetualOption(CallPutFlag, S, X, r, b, v) - PerpetualOption(CallPutFlag, S - dS, X, r, b, v))
else if OutPutFlag =="dx" // 'Strike Delta
EPerpetualOption := (PerpetualOption(CallPutFlag, S, X + dS, r, b, v)
- PerpetualOption(CallPutFlag, S, X - dS, r, b, v)) / (2 * dS)
else if OutPutFlag =="dxdx" // 'Strike Gamma
EPerpetualOption := (PerpetualOption(CallPutFlag, S, X + dS, r, b, v)
- 2 * PerpetualOption(CallPutFlag, S, X, r, b, v)
+ PerpetualOption(CallPutFlag, S, X - dS, r, b, v)) / math.pow(dS, 2)
EPerpetualOption
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float r = input.float(6., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(6., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
amaproxprice = EPerpetualOption("p", OpType, S, K, kouta, koutb, v, na) * sideout
Delta = EPerpetualOption("d", OpType, S, K, kouta, koutb, v, na) * sideout
Elasticity = EPerpetualOption("e", OpType, S, K, kouta, koutb, v, na) * sideout
Gamma = EPerpetualOption("g", OpType, S, K, kouta, koutb, v, na) * sideout
DGammaDvol = EPerpetualOption("gv", OpType, S, K, kouta, koutb, v, na) * sideout
GammaP = EPerpetualOption("gp", OpType, S, K, kouta, koutb, v, na) * sideout
Vega = EPerpetualOption("v", OpType, S, K, kouta, koutb, v, na) * sideout
DvegaDvol = EPerpetualOption("dvdv", OpType, S, K, kouta, koutb, v, na) * sideout
VegaP = EPerpetualOption("vp", OpType, S, K, kouta, koutb, v, na) * sideout
Rho = EPerpetualOption("r", OpType, S, K, kouta, koutb, v, na) * sideout
RhoFuturesOption = EPerpetualOption("fr", OpType, S, K, kouta, koutb, v, na) * sideout
PhiRho2 = EPerpetualOption("f", OpType, S, K, kouta, koutb, v, na) * sideout
Carry = EPerpetualOption("b", OpType, S, K, kouta, koutb, v, na) * sideout
DDeltaDvol = EPerpetualOption("dddv", OpType, S, K, kouta, koutb, v, na) * sideout
Speed = EPerpetualOption("s", OpType, S, K, kouta, koutb, v, na) * sideout
StrikeDelta = EPerpetualOption("dx", OpType, S, K, kouta, koutb, v, na) * sideout
StrikeGamma = EPerpetualOption("dxdx", OpType, S, K, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 21, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Perpetual American Options", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Perpetual American Price: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
American Approximation Bjerksund & Stensland 1993 [Loxx] | https://www.tradingview.com/script/EGAr7TMG-American-Approximation-Bjerksund-Stensland-1993-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 9 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("American Approximation Bjerksund & Stensland 1993 [Loxx]",
shorttitle ="AABS1993 [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/cbnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
phi(float S, float T, float gamma, float h, float i, float r, float b, float v)=>
float lambda = (-r + gamma * b + 0.5 * gamma * (gamma - 1) * math.pow(v, 2)) * T
float d = -(math.log(S / h) + (b + (gamma - 0.5) * math.pow(v, 2)) * T) / (v * math.sqrt(T))
float kappa = 2 * b / math.pow(v, 2) + 2 * gamma - 1
float phi = math.exp(lambda) * math.pow(S, gamma) * (cnd.CND1(d) - math.pow(i / S, kappa) * cnd.CND1(d - 2 * math.log(i / S) / (v * math.sqrt(T))))
phi
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float gBlackScholes = 0
float d1 = (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
BSAmericanCallApprox(float S, float X, float T, float r, float b, float v)=>
float BInfinity = 0
float B0 = 0
float ht = 0,
float i = 0
float Alpha = 0
float Beta = 0
float BSAmericanCallApprox = 0
if b >= r
// Never optimal to exersice before maturity
BSAmericanCallApprox := GBlackScholes(callString, S, X, T, r, b, v)
else
Beta := (1 / 2 - b / math.pow(v, 2))
+ math.sqrt(math.pow(b / math.pow(v, 2) - 1 / 2, 2) + 2 * r / math.pow(v, 2))
BInfinity := Beta / (Beta - 1) * X
B0 := math.max(X, r / (r - b) * X)
ht := -(b * T + 2 * v * math.sqrt(T)) * B0 / (BInfinity - B0)
i := B0 + (BInfinity - B0) * (1 - math.exp(ht))
Alpha := (i - X) * math.pow(i, (-Beta))
if S >= i
BSAmericanCallApprox := S - X
else
BSAmericanCallApprox := Alpha * math.pow(S, Beta)
- Alpha * phi(S, T, Beta, i, i, r, b, v)
+ phi(S, T, 1, i, i, r, b, v)
- phi(S, T, 1, X, i, r, b, v)
- X * phi(S, T, 0, i, i, r, b, v)
+ X * phi(S, T, 0, X, i, r, b, v)
BSAmericanCallApprox
// The Bjerksund and Stensland (1993) American approximation
BSAmericanApprox(string CallPutFlag, float S, float X, float T, float r, float b, float v)=>
float BSAmericanApprox = 0
if CallPutFlag == callString
BSAmericanApprox := BSAmericanCallApprox(S, X, T, r, b, v)
else
// Use the Bjerksund and Stensland put-call transformation
BSAmericanApprox := BSAmericanCallApprox(X, S, T, r - b, -b, v)
BSAmericanApprox
ImpliedVolGBlackScholes(string CallPutFlag, float S, float X, float T, float r, float b, float cm)=>
float vLow = 0.005
float vHigh = 4
float epsilon = 1E-08
float cLow = GBlackScholes(CallPutFlag, S, X, T, r, b, vLow)
float cHigh = GBlackScholes(CallPutFlag, S, X, T, r, b, vHigh)
int N = 0
float vi = vLow + (cm - cLow) * (vHigh - vLow) / (cHigh - cLow)
float ImpliedVolGBlackScholes = 0
while math.abs(cm - GBlackScholes(CallPutFlag, S, X, T, r, b, vi)) > epsilon
N := N + 1
if N > 20
break
if GBlackScholes(CallPutFlag, S, X, T, r, b, vi) < cm
vLow := vi
else
vHigh := vi
cLow := GBlackScholes(CallPutFlag, S, X, T, r, b, vLow)
cHigh := GBlackScholes(CallPutFlag, S, X, T, r, b, vHigh)
vi := vLow + (cm - cLow) * (vHigh - vLow) / (cHigh - cLow)
ImpliedVolGBlackScholes := vi
ImpliedVolGBlackScholes
EBSAmericanApprox(string OutPutFlag, string CallPutFlag, float S, float X, float T, float r, float b, float v, float dSin)=>
float dS = dSin
if na(dS)
dS := 0.01
float EBSAmericanApprox = 0
if OutPutFlag == "p" // ' Value
EBSAmericanApprox := BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
else if OutPutFlag == "d" // 'Delta
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v) - BSAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "e" // 'Elasticity
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v) - BSAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v)) / (2 * dS) * S / BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
else if OutPutFlag == "g" // 'Gamma
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v) - 2 * BSAmericanApprox(CallPutFlag, S, X, T, r, b, v) + BSAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" // 'DGammaDVol
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v + 0.01)
- 2 * BSAmericanApprox(CallPutFlag, S, X, T, r, b, v + 0.01)
+ BSAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v + 0.01)
- BSAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v - 0.01)
+ 2 * BSAmericanApprox(CallPutFlag, S, X, T, r, b, v - 0.01)
- BSAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v - 0.01))
/ (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" // 'GammaP
EBSAmericanApprox := S / 100 * (BSAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v)
- 2 * BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "tg" // 'time Gamma
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S, X, T + 1 / 365, r, b, v)
- 2 * BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox(CallPutFlag, S, X, T - 1 / 365, r, b, v)) / math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" // 'DDeltaDvol
EBSAmericanApprox := 1 / (4 * dS * 0.01)
* (BSAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v + 0.01)
- BSAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v - 0.01)
- BSAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v + 0.01)
+ BSAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" // 'Vega
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S, X, T, r, b, v + 0.01)
- BSAmericanApprox(CallPutFlag, S, X, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "vv" // 'DvegaDvol/vomma
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S, X, T, r, b, v + 0.01)
- 2 * BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox(CallPutFlag, S, X, T, r, b, v - 0.01)) / math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" // 'VegaP
EBSAmericanApprox := v / 0.1 * (BSAmericanApprox(CallPutFlag, S, X, T, r, b, v + 0.01)
- BSAmericanApprox(CallPutFlag, S, X, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" // 'DvegaDvol
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S, X, T, r, b, v + 0.01)
- 2 * BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox(CallPutFlag, S, X, T, r, b, v - 0.01))
else if OutPutFlag == "t" // 'Theta
if T <= 1 / 365
EBSAmericanApprox := BSAmericanApprox(CallPutFlag, S, X, 1E-05, r, b, v)
- BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
else
EBSAmericanApprox := BSAmericanApprox(CallPutFlag, S, X, T - 1 / 365, r, b, v)
- BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
else if OutPutFlag == "r" // 'Rho
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S, X, T, r + 0.01, b + 0.01, v)
- BSAmericanApprox(CallPutFlag, S, X, T, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag == "fr" // 'Futures options rho
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S, X, T, r + 0.01, b, v)
- BSAmericanApprox(CallPutFlag, S, X, T, r - 0.01, b, v)) / 2
else if OutPutFlag == "f" // 'Rho2
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S, X, T, r, b - 0.01, v)
- BSAmericanApprox(CallPutFlag, S, X, T, r, b + 0.01, v)) / 2
else if OutPutFlag == "b" // 'Carry
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S, X, T, r, b + 0.01, v)
- BSAmericanApprox(CallPutFlag, S, X, T, r, b - 0.01, v)) / 2
else if OutPutFlag == "s" // 'Speed
EBSAmericanApprox := 1 / math.pow(dS, 3) * (BSAmericanApprox(CallPutFlag, S + 2 * dS, X, T, r, b, v)
- 3 * BSAmericanApprox(CallPutFlag, S + dS, X, T, r, b, v)
+ 3 * BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
- BSAmericanApprox(CallPutFlag, S - dS, X, T, r, b, v))
else if OutPutFlag == "dx" // 'Strike Delta
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S, X + dS, T, r, b, v)
- BSAmericanApprox(CallPutFlag, S, X - dS, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "dxdx" // 'Strike Gamma
EBSAmericanApprox := (BSAmericanApprox(CallPutFlag, S, X + dS, T, r, b, v)
- 2 * BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox(CallPutFlag, S, X - dS, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "di" // 'Difference in value between BS Approx and Black-Scholes Merton value
EBSAmericanApprox := BSAmericanApprox(CallPutFlag, S, X, T, r, b, v)
- GBlackScholes(CallPutFlag, S, X, T, r, b, v)
else if OutPutFlag == "BSIVol" // 'Equivalent Black-Scholes-Merton implied volatility
string CallPutFlagff = putString
if S >= S * math.exp(b * T)
CallPutFlagff := callString
EBSAmericanApprox := ImpliedVolGBlackScholes(CallPutFlagff, S, X, T, r, b, BSAmericanApprox(CallPutFlagff, S, X, T, r, b, v))
EBSAmericanApprox
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float r = input.float(6., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(6., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
bsmprice = GBlackScholes(OpType, S, K, T, kouta, koutb, v)
amaproxprice = EBSAmericanApprox("p", OpType, S, K, T, kouta, koutb, v, na) * sideout
Delta = EBSAmericanApprox("d", OpType, S, K, T, kouta, koutb, v, na) * sideout
Elasticity = EBSAmericanApprox("e", OpType, S, K, T, kouta, koutb, v, na) * sideout
Gamma = EBSAmericanApprox("g", OpType, S, K, T, kouta, koutb, v, na) * sideout
DGammaDvol = EBSAmericanApprox("gv", OpType, S, K, T, kouta, koutb, v, na) * sideout
GammaP = EBSAmericanApprox("gp", OpType, S, K, T, kouta, koutb, v, na) * sideout
Vega = EBSAmericanApprox("v", OpType, S, K, T, kouta, koutb, v, na) * sideout
DvegaDvol = EBSAmericanApprox("dvdv", OpType, S, K, T, kouta, koutb, v, na) * sideout
VegaP = EBSAmericanApprox("vp", OpType, S, K, T, kouta, koutb, v, na) * sideout
Theta = EBSAmericanApprox("t", OpType, S, K, T, kouta, koutb, v, na) * sideout
Rho = EBSAmericanApprox("r", OpType, S, K, T, kouta, koutb, v, na) * sideout
RhoFuturesOption = EBSAmericanApprox("fr", OpType, S, K, T, kouta, koutb, v, na) * sideout
PhiRho2 = EBSAmericanApprox("f", OpType, S, K, T, kouta, koutb, v, na) * sideout
Carry = EBSAmericanApprox("b", OpType, S, K, T, kouta, koutb, v, na) * sideout
DDeltaDvol = EBSAmericanApprox("dddv", OpType, S, K, T, kouta, koutb, v, na) * sideout
Speed = EBSAmericanApprox("s", OpType, S, K, T, kouta, koutb, v, na) * sideout
StrikeDelta = EBSAmericanApprox("dx", OpType, S, K, T, kouta, koutb, v, na) * sideout
StrikeGamma = EBSAmericanApprox("dxdx", OpType, S, K, T, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 21, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "American Approximation Bjerksund & Stensland 1993", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "American Approximation Price: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Black-Scholes-Merton Value: " + str.tostring(bsmprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 20, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
big shadow | https://www.tradingview.com/script/V3Nu7kWe-big-shadow/ | farzam00248 | https://www.tradingview.com/u/farzam00248/ | 3 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © farzam00248
//@version=5
indicator("big shadow", overlay = true)
highshadow_length = input(15)
lowhshadow_length = input(15)
big_shadow = false
high_percentage = ((high - math.max(open,close))/math.max(open,close))*100
low_percentage = ((math.min(open,close) - low)/low)*100
if high_percentage > highshadow_length or low_percentage > lowhshadow_length
big_shadow := true
alertcondition(big_shadow, title='big_shadow', message='big_shadow')
barcolor(big_shadow ? color.white : na)
//plot(close) |
American Approximation Bjerksund & Stensland 2002 [Loxx] | https://www.tradingview.com/script/rpVhNN5g-American-Approximation-Bjerksund-Stensland-2002-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 13 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("American Approximation Bjerksund & Stensland 2002 [Loxx]",
shorttitle ="AABS2002 [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
import loxx/cbnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
// via Espen Gaarder Haug; The Complete Guide to Option Pricing Formulas
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
ND(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float gBlackScholes = 0
float d1 = (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
phi(float S, float T, float gamma, float h, float i, float r, float b, float v)=>
float lambda = (-r + gamma * b + 0.5 * gamma * (gamma - 1) * math.pow(v, 2)) * T
float d = -(math.log(S / h) + (b + (gamma - 0.5) * math.pow(v, 2)) * T) / (v * math.sqrt(T))
float kappa = 2 * b / math.pow(v, 2) + 2 * gamma - 1
float phi = math.exp(lambda) * math.pow(S, gamma) * (cnd.CND1(d) - math.pow(i / S, kappa) * cnd.CND1(d - 2 * math.log(i / S) / (v * math.sqrt(T))))
phi
ksi(float S, float T2, float gamma, float h, float I2, float I1, float t1, float r, float b, float v)=>
float e1 = (math.log(S / I1) + (b + (gamma - 0.5) * v * v) * t1) / (v * math.sqrt(t1))
float e2 = (math.log(math.pow(I2, 2) / (S * I1)) + (b + (gamma - 0.5) * math.pow(v, 2)) * t1) / (v * math.sqrt(t1))
float e3 = (math.log(S / I1) - (b + (gamma - 0.5) * math.pow(v, 2)) * t1) / (v * math.sqrt(t1))
float e4 = (math.log(math.pow(I2, 2) / (S * I1)) - (b + (gamma - 0.5) * math.pow(v, 2)) * t1) / (v * math.sqrt(t1))
float f1 = (math.log(S / h) + (b + (gamma - 0.5) * math.pow(v, 2)) * T2) / (v * math.sqrt(T2))
float f2 = (math.log(math.pow(I2, 2) / (S * h)) + (b + (gamma - 0.5) * math.pow(v, 2)) * T2) / (v * math.sqrt(T2))
float f3 = (math.log(math.pow(I1, 2) / (S * h)) + (b + (gamma - 0.5) * math.pow(v, 2)) * T2) / (v * math.sqrt(T2))
float f4 = (math.log(S * math.pow(I1, 2) / (h * math.pow(I2, 2))) + (b + (gamma - 0.5) * math.pow(v, 2)) * T2) / (v * math.sqrt(T2))
float rho = math.sqrt(t1 / T2)
float lambda = -r + gamma * b + 0.5 * gamma * (gamma - 1) * math.pow(v, 2)
float kappa = 2 * b / (math.pow(v, 2)) + (2 * gamma - 1)
float ksi = math.exp(lambda * T2) * math.pow(S, gamma)
* (cbnd.CBND3(-e1, -f1, rho) - math.pow(I2 / S, kappa)
* cbnd.CBND3(-e2, -f2, rho) - math.pow(I1 / S, kappa)
* cbnd.CBND3(-e3, -f3, -rho) + math.pow(I1 / I2, kappa)
* cbnd.CBND3(-e4, -f4, -rho))
ksi
BSAmericanCallApprox2002(float S, float X, float T, float r, float b, float v)=>
float BInfinity = 0
float B0 = 0
float ht1 = 0
float ht2 = 0
float I1 = 0
float I2 = 0
float alfa1 = 0
float alfa2 = 0
float Beta = 0
float t1 = 0
float BSAmericanCallApprox2002 = 0
t1 := 1 / 2 * (math.sqrt(5) - 1) * T
if b >= r
// Never optimal to exersice before maturity
BSAmericanCallApprox2002 := GBlackScholes(callString, S, X, T, r, b, v)
else
Beta := (1 / 2 - b / math.pow(v, 2)) + math.sqrt(math.pow(b / math.pow(v, 2) - 1 / 2, 2) + 2 * r / math.pow(v, 2))
BInfinity := Beta / (Beta - 1) * X
B0 := math.max(X, r / (r - b) * X)
ht1 := -(b * t1 + 2 * v * math.sqrt(t1)) * math.pow(X, 2) / ((BInfinity - B0) * B0)
ht2 := -(b * T + 2 * v * math.sqrt(T)) * math.pow(X, 2) / ((BInfinity - B0) * B0)
I1 := B0 + (BInfinity - B0) * (1 - math.exp(ht1))
I2 := B0 + (BInfinity - B0) * (1 - math.exp(ht2))
alfa1 := (I1 - X) * math.pow(I1, (-Beta))
alfa2 := (I2 - X) * math.pow(I2, (-Beta))
if S >= I2
BSAmericanCallApprox2002 := S - X
else
BSAmericanCallApprox2002 := alfa2 * math.pow(S, Beta) - alfa2 * phi(S, t1, Beta, I2, I2, r, b, v)
+ phi(S, t1, 1, I2, I2, r, b, v) - phi(S, t1, 1, I1, I2, r, b, v)
- X * phi(S, t1, 0, I2, I2, r, b, v) + X * phi(S, t1, 0, I1, I2, r, b, v)
+ alfa1 * phi(S, t1, Beta, I1, I2, r, b, v) - alfa1 * ksi(S, T, Beta, I1, I2, I1, t1, r, b, v)
+ ksi(S, T, 1, I1, I2, I1, t1, r, b, v) - ksi(S, T, 1, X, I2, I1, t1, r, b, v)
- X * ksi(S, T, 0, I1, I2, I1, t1, r, b, v) + X * ksi(S, T, 0, X, I2, I1, t1, r, b, v)
BSAmericanCallApprox2002
// The Bjerksund and Stensland (2002) American approximation
BSAmericanApprox2002(string CallPutFlag, float S, float X, float T, float r, float b, float v)=>
float BSAmericanApprox2002 = 0
if CallPutFlag == callString
BSAmericanApprox2002 := BSAmericanCallApprox2002(S, X, T, r, b, v)
else
// Use the Bjerksund and Stensland put-call transformation
BSAmericanApprox2002 := BSAmericanCallApprox2002(X, S, T, r - b, -b, v)
BSAmericanApprox2002
EBSAmericanApprox2002(string OutPutFlag, string CallPutFlag, float S, float X, float T, float r, float b, float v, float dSin)=>
float dS = 0
if na(dSin)
dS := 0.01
float EBSAmericanApprox2002 = 0
if OutPutFlag == "p" //Value
EBSAmericanApprox2002 := BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
else if OutPutFlag == "d" //Delta
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S + dS, X, T, r, b, v)
- BSAmericanApprox2002(CallPutFlag, S - dS, X, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "e" //Elasticity
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S + dS, X, T, r, b, v)
- BSAmericanApprox2002(CallPutFlag, S - dS, X, T, r, b, v))
/ (2 * dS) * S / BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
else if OutPutFlag == "g" //Gamma
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S + dS, X, T, r, b, v)
- 2 * BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox2002(CallPutFlag, S - dS, X, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" //DGammaDVol
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S + dS, X, T, r, b, v + 0.01)
- 2 * BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v + 0.01)
+ BSAmericanApprox2002(CallPutFlag, S - dS, X, T, r, b, v + 0.01)
- BSAmericanApprox2002(CallPutFlag, S + dS, X, T, r, b, v - 0.01)
+ 2 * BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v - 0.01)
- BSAmericanApprox2002(CallPutFlag, S - dS, X, T, r, b, v - 0.01)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" //GammaP
EBSAmericanApprox2002 := S / 100 * (BSAmericanApprox2002(CallPutFlag, S + dS, X, T, r, b, v)
- 2 * BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox2002(CallPutFlag, S - dS, X, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "tg" //time Gamma
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S, X, T + 1 / 365, r, b, v)
- 2 * BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox2002(CallPutFlag, S, X, T - 1 / 365, r, b, v)) / math.pow(1 / 365, 2)
else if OutPutFlag == "dddv" //DDeltaDvol
EBSAmericanApprox2002 := 1 / (4 * dS * 0.01)
* (BSAmericanApprox2002(CallPutFlag, S + dS, X, T, r, b, v + 0.01)
- BSAmericanApprox2002(CallPutFlag, S + dS, X, T, r, b, v - 0.01)
- BSAmericanApprox2002(CallPutFlag, S - dS, X, T, r, b, v + 0.01)
+ BSAmericanApprox2002(CallPutFlag, S - dS, X, T, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" //Vega
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v + 0.01)
- BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "vv" //DvegaDvol/vomma
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v + 0.01)
- 2 * BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v - 0.01)) / math.pow(0.01, 2) / 10000
else if OutPutFlag == "vp" //VegaP
EBSAmericanApprox2002 := v / 0.1 * (BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v + 0.01)
- BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" //DvegaDvol
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v + 0.01)
- 2 * BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v - 0.01))
else if OutPutFlag == "t" //Theta
if T <= (1 / 365)
EBSAmericanApprox2002 := BSAmericanApprox2002(CallPutFlag, S, X, 1E-05, r, b, v)
- BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
else
EBSAmericanApprox2002 := BSAmericanApprox2002(CallPutFlag, S, X, T - 1 / 365, r, b, v)
- BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
else if OutPutFlag == "r" //Rho
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S, X, T, r + 0.01, b + 0.01, v)
- BSAmericanApprox2002(CallPutFlag, S, X, T, r - 0.01, b - 0.01, v)) / (2)
else if OutPutFlag == "fr" //Futures options rho
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S, X, T, r + 0.01, b, v)
- BSAmericanApprox2002(CallPutFlag, S, X, T, r - 0.01, b, v)) / (2)
else if OutPutFlag == "f" //Rho2
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S, X, T, r, b - 0.01, v)
- BSAmericanApprox2002(CallPutFlag, S, X, T, r, b + 0.01, v)) / (2)
else if OutPutFlag == "b" //Carry
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S, X, T, r, b + 0.01, v)
- BSAmericanApprox2002(CallPutFlag, S, X, T, r, b - 0.01, v)) / (2)
else if OutPutFlag == "s" //Speed
EBSAmericanApprox2002 := 1 / math.pow(dS, 3) * (BSAmericanApprox2002(CallPutFlag, S + 2 * dS, X, T, r, b, v)
- 3 * BSAmericanApprox2002(CallPutFlag, S + dS, X, T, r, b, v)
+ 3 * BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
- BSAmericanApprox2002(CallPutFlag, S - dS, X, T, r, b, v))
else if OutPutFlag == "dx" //Strike Delta
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S, X + dS, T, r, b, v)
- BSAmericanApprox2002(CallPutFlag, S, X - dS, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "dxdx" //Strike Gamma
EBSAmericanApprox2002 := (BSAmericanApprox2002(CallPutFlag, S, X + dS, T, r, b, v)
- 2 * BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
+ BSAmericanApprox2002(CallPutFlag, S, X - dS, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "di" //Difference in value between BS Approx and Black-Scholes Merton value
EBSAmericanApprox2002 := BSAmericanApprox2002(CallPutFlag, S, X, T, r, b, v)
- GBlackScholes(CallPutFlag, S, X, T, r, b, v)
EBSAmericanApprox2002
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float r = input.float(6., "% Risk-free Rate", group = "Rates Settings") / 100
string rcmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float b = input.float(6., "% Cost of Carry", group = "Rates Settings") / 100
string bcmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rcmpval = switch rcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float bcmpval = switch bcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float S = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(S / nz(S[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(S / nz(S[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(r, rcmpval)
koutb = convertingToCCRate(b, bcmpval)
bsmprice = GBlackScholes(OpType, S, K, T, kouta, koutb, v)
amaproxprice = EBSAmericanApprox2002("p", OpType, S, K, T, kouta, koutb, v, na) * sideout
Delta = EBSAmericanApprox2002("d", OpType, S, K, T, kouta, koutb, v, na) * sideout
Elasticity = EBSAmericanApprox2002("e", OpType, S, K, T, kouta, koutb, v, na) * sideout
Gamma = EBSAmericanApprox2002("g", OpType, S, K, T, kouta, koutb, v, na) * sideout
DGammaDvol = EBSAmericanApprox2002("gv", OpType, S, K, T, kouta, koutb, v, na) * sideout
GammaP = EBSAmericanApprox2002("gp", OpType, S, K, T, kouta, koutb, v, na) * sideout
Vega = EBSAmericanApprox2002("v", OpType, S, K, T, kouta, koutb, v, na) * sideout
DvegaDvol = EBSAmericanApprox2002("dvdv", OpType, S, K, T, kouta, koutb, v, na) * sideout
VegaP = EBSAmericanApprox2002("vp", OpType, S, K, T, kouta, koutb, v, na) * sideout
Theta = EBSAmericanApprox2002("t", OpType, S, K, T, kouta, koutb, v, na) * sideout
Rho = EBSAmericanApprox2002("r", OpType, S, K, T, kouta, koutb, v, na) * sideout
RhoFuturesOption = EBSAmericanApprox2002("fr", OpType, S, K, T, kouta, koutb, v, na) * sideout
PhiRho2 = EBSAmericanApprox2002("f", OpType, S, K, T, kouta, koutb, v, na) * sideout
Carry = EBSAmericanApprox2002("b", OpType, S, K, T, kouta, koutb, v, na) * sideout
DDeltaDvol = EBSAmericanApprox2002("dddv", OpType, S, K, T, kouta, koutb, v, na) * sideout
Speed = EBSAmericanApprox2002("s", OpType, S, K, T, kouta, koutb, v, na) * sideout
StrikeDelta = EBSAmericanApprox2002("dx", OpType, S, K, T, kouta, koutb, v, na) * sideout
StrikeGamma = EBSAmericanApprox2002("dxdx", OpType, S, K, T, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 21, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "American Approximation Bjerksund & Stensland 2002", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(S, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(r * 100, "##.##") + "%\n" + "Compounding Type: " + rcmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Cost of Carry: " + str.tostring(b * 100, "##.##") + "%\n" + "Compounding Type: " + bcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "American Approximation Price: " + str.tostring(amaproxprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Black-Scholes-Merton Value: " + str.tostring(bsmprice, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "DGammaDvol: " + str.tostring(DGammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFuturesOption, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Phi/Rho2: " + str.tostring(PhiRho2, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "Carry: " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Strike Delta: " + str.tostring(StrikeDelta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 20, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
big shadow | https://www.tradingview.com/script/cDBX4NCD-big-shadow/ | farzam00248 | https://www.tradingview.com/u/farzam00248/ | 9 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © farzam00248
//@version=5
indicator("big shadow", overlay = true)
highshadow_length = input(15)
lowhshadow_length = input(15)
big_shadow = false
high_percentage = ((high - math.max(open,close))/math.max(open,close))*100
low_percentage = ((math.min(open,close) - low)/low)*100
if high_percentage > highshadow_length or low_percentage > lowhshadow_length
big_shadow := true
alertcondition(big_shadow, title='big_shadow', message='big_shadow')
barcolor(big_shadow ? color.white : na)
//plot(close) |
SPX Fair Value Bands | https://www.tradingview.com/script/Q3uMZHHU-SPX-Fair-Value-Bands/ | dharmatech | https://www.tradingview.com/u/dharmatech/ | 722 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © dharmatech
//@version=5
indicator("SPX Fair Value Bands", overlay = true)
line_a = request.security("(WALCL - WTREGEN - RRPONTSYD)/1000/1000/1000/1.1 - 1625 + 350", "D", close)
plot(series=line_a, title = 'Upper Band', color = color.orange)
line_b = request.security("(WALCL - WTREGEN - RRPONTSYD)/1000/1000/1000/1.1 - 1625 - 150", "D", close)
plot(series=line_b, title = 'Lower Band', color=color.aqua)
fv = request.security("(WALCL - WTREGEN - RRPONTSYD)/1000/1000/1000/1.1 - 1625", "D", close)
plot(series=fv, title = 'Fair Value', color=color.purple) |
MTF MA Ribbon and Bands + BB, Gaussian F. and R. VWAP with StDev | https://www.tradingview.com/script/I6v2DNQ9-MTF-MA-Ribbon-and-Bands-BB-Gaussian-F-and-R-VWAP-with-StDev/ | Yatagarasu_ | https://www.tradingview.com/u/Yatagarasu_/ | 162 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
//@version=5
indicator("MA • Yata",
overlay = true)
// ------------------------------
groupMA = "Moving Average Ribbon"
// ------------------------------
ma(source, length, type) =>
switch type
"SMA" => ta.sma(source, length)
"EMA" => ta.ema(source, length)
"SMMA (RMA)" => ta.rma(source, length)
"WMA" => ta.wma(source, length)
"VWMA" => ta.vwma(source, length)
"LSMA" => ta.linreg(source, length, offset=0)
"HMA" => ta.hma(source, length)
"ALMA" => ta.alma(source, length, 0.85, 6.0)
// ------------------------------
trend_flip = input.int (2, minval=0 , title="Flip Trend Periods" , inline="MA01", group=groupMA)
src = input (close , title="Source" , inline="MA01", group=groupMA)
ribbon_colorup = input.color (color.new(#00FEEF, 95) , title="Ribbon Colors: Bullish", inline="MA02", group=groupMA)
ribbon_colordn = input.color (color.new(#E21B22, 95) , title="Bearish" , inline="MA02", group=groupMA)
only_fill = input.bool (false , title="Hide MA Lines" , inline="MA02", group=groupMA)
price = plot(close, title="Price", color=color.silver, display=display.none)
// ------------------------------
visible1 = input.bool(true , title="MA 1:" , inline="MA1" , group=groupMA)
visiblefill1 = input.bool(false, title="Show MA Fill", inline="MA1A" , group=groupMA)
visible2 = input.bool(true , title="MA 2:" , inline="MA2" , group=groupMA)
visiblefill2 = input.bool(false, title="Show MA Fill", inline="MA2A" , group=groupMA)
visible3 = input.bool(true , title="MA 3:" , inline="MA3" , group=groupMA)
visiblefill3 = input.bool(false, title="Show MA Fill", inline="MA3A" , group=groupMA)
visible4 = input.bool(true , title="MA 4:" , inline="MA4" , group=groupMA)
visiblefill4 = input.bool(false, title="Show MA Fill", inline="MA4A" , group=groupMA)
visible5 = input.bool(true , title="MA 5:" , inline="MA5" , group=groupMA)
visiblefill5 = input.bool(false, title="Show MA Fill", inline="MA5A" , group=groupMA)
visible6 = input.bool(true , title="MA 6:" , inline="MA6" , group=groupMA)
visiblefill6 = input.bool(false, title="Show MA Fill", inline="MA6A" , group=groupMA)
visible7 = input.bool(false, title="MA 7:" , inline="MA7" , group=groupMA)
visiblefill7 = input.bool(false, title="Show MA Fill", inline="MA7A" , group=groupMA)
visible8 = input.bool(false, title="MA 8:" , inline="MA8" , group=groupMA)
visiblefill8 = input.bool(false, title="Show MA Fill", inline="MA8A" , group=groupMA)
visible9 = input.bool(false, title="MA 9:" , inline="MA9" , group=groupMA)
visiblefill9 = input.bool(false, title="Show MA Fill", inline="MA9A" , group=groupMA)
//visible10 = input.bool(false, title="MA A:" , inline="MA10" , group=groupMA)
//visiblefill10 = input.bool(false, title="Show MA Fill", inline="MA10A", group=groupMA)
//visible11 = input.bool(false, title="MA B:" , inline="MA11" , group=groupMA)
//visiblefill11 = input.bool(false, title="Show MA Fill", inline="MA11A", group=groupMA)
//visible12 = input.bool(false, title="MA C:" , inline="MA12" , group=groupMA)
//visiblefill12 = input.bool(false, title="Show MA Fill", inline="MA12A", group=groupMA)
//visible13 = input.bool(false, title="MA D:" , inline="MA13" , group=groupMA)
//visiblefill13 = input.bool(false, title="Show MA Fill", inline="MA13A", group=groupMA)
//visible14 = input.bool(false, title="MA E:" , inline="MA14" , group=groupMA)
//visiblefill14 = input.bool(false, title="Show MA Fill", inline="MA14A", group=groupMA)
//visible15 = input.bool(false, title="MA F:" , inline="MA15" , group=groupMA)
//visiblefill15 = input.bool(false, title="Show MA Fill", inline="MA15A", group=groupMA)
// ------------------------------
len1 = input.int(9 , minval=1, title="", inline="MA1", group=groupMA)
len2 = input.int(21 , minval=1, title="", inline="MA2", group=groupMA)
len3 = input.int(34 , minval=1, title="", inline="MA3", group=groupMA)
len4 = input.int(55 , minval=1, title="", inline="MA4", group=groupMA)
len5 = input.int(100 , minval=1, title="", inline="MA5", group=groupMA)
len6 = input.int(200 , minval=1, title="", inline="MA6", group=groupMA)
len7 = input.int(400 , minval=1, title="", inline="MA7", group=groupMA)
len8 = input.int(800 , minval=1, title="", inline="MA8", group=groupMA)
len9 = input.int(1600 , minval=1, title="", inline="MA9", group=groupMA)
//len10 = input.int(9 , minval=1, title="", inline="MA10", group=groupMA)
//len11 = input.int(21 , minval=1, title="", inline="MA11", group=groupMA)
//len12 = input.int(34 , minval=1, title="", inline="MA12", group=groupMA)
//len13 = input.int(55 , minval=1, title="", inline="MA13", group=groupMA)
//len14 = input.int(100 , minval=1, title="", inline="MA14", group=groupMA)
//len15 = input.int(200 , minval=1, title="", inline="MA15", group=groupMA)
// ------------------------------
maType1 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA1", group=groupMA)
maType2 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA2", group=groupMA)
maType3 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA3", group=groupMA)
maType4 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA4", group=groupMA)
maType5 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA5", group=groupMA)
maType6 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA6", group=groupMA)
maType7 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA7", group=groupMA)
maType8 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA8", group=groupMA)
maType9 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA9", group=groupMA)
//maType10 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA10", group=groupMA)
//maType11 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA11", group=groupMA)
//maType12 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA12", group=groupMA)
//maType13 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA13", group=groupMA)
//maType14 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA14", group=groupMA)
//maType15 = input.string("EMA", title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MA15", group=groupMA)
// ------------------------------
line_width1 = input.int(1, minval=0, title="| Line Width", inline="MA1A", group=groupMA)
line_width2 = input.int(1, minval=0, title="| Line Width", inline="MA2A", group=groupMA)
line_width3 = input.int(1, minval=0, title="| Line Width", inline="MA3A", group=groupMA)
line_width4 = input.int(1, minval=0, title="| Line Width", inline="MA4A", group=groupMA)
line_width5 = input.int(1, minval=0, title="| Line Width", inline="MA5A", group=groupMA)
line_width6 = input.int(1, minval=0, title="| Line Width", inline="MA6A", group=groupMA)
line_width7 = input.int(1, minval=0, title="| Line Width", inline="MA7A", group=groupMA)
line_width8 = input.int(1, minval=0, title="| Line Width", inline="MA8A", group=groupMA)
line_width9 = input.int(1, minval=0, title="| Line Width", inline="MA9A", group=groupMA)
//line_width10 = input.int(1, minval=0, title="| Line Width", inline="MA10A", group=groupMA)
//line_width11 = input.int(1, minval=0, title="| Line Width", inline="MA11A", group=groupMA)
//line_width12 = input.int(1, minval=0, title="| Line Width", inline="MA12A", group=groupMA)
//line_width13 = input.int(1, minval=0, title="| Line Width", inline="MA13A", group=groupMA)
//line_width14 = input.int(1, minval=0, title="| Line Width", inline="MA14A", group=groupMA)
//line_width15 = input.int(1, minval=0, title="| Line Width", inline="MA15A", group=groupMA)
// ------------------------------
up_color1 = input.color(color.new(#E12D7B, 25), title="", inline="MA1A", group=groupMA)
up_color2 = input.color(color.new(#F67B52, 25), title="", inline="MA2A", group=groupMA)
up_color3 = input.color(color.new(#EDCD3B, 25), title="", inline="MA3A", group=groupMA)
up_color4 = input.color(color.new(#3BBC54, 25), title="", inline="MA4A", group=groupMA)
up_color5 = input.color(color.new(#2665BD, 25), title="", inline="MA5A", group=groupMA)
up_color6 = input.color(color.new(#481899, 25), title="", inline="MA6A", group=groupMA)
up_color7 = input.color(color.new(#B2B5BE, 50), title="", inline="MA7A", group=groupMA)
up_color8 = input.color(color.new(#B2B5BE, 50), title="", inline="MA8A", group=groupMA)
up_color9 = input.color(color.new(#B2B5BE, 50), title="", inline="MA9A", group=groupMA)
//up_color10 = input.color(color.new(#B2B5BE, 50), title="", inline="MA10A", group=groupMA)
//up_color11 = input.color(color.new(#B2B5BE, 50), title="", inline="MA11A", group=groupMA)
//up_color12 = input.color(color.new(#B2B5BE, 50), title="", inline="MA12A", group=groupMA)
//up_color13 = input.color(color.new(#B2B5BE, 50), title="", inline="MA13A", group=groupMA)
//up_color14 = input.color(color.new(#B2B5BE, 50), title="", inline="MA14A", group=groupMA)
//up_color15 = input.color(color.new(#B2B5BE, 50), title="", inline="MA15A", group=groupMA)
down_color1 = input.color(color.new(#F19A9C, 50), title="", inline="MA1A", group=groupMA)
down_color2 = input.color(color.new(#FFC29F, 50), title="", inline="MA2A", group=groupMA)
down_color3 = input.color(color.new(#FFFAAE, 50), title="", inline="MA3A", group=groupMA)
down_color4 = input.color(color.new(#CDECAD, 50), title="", inline="MA4A", group=groupMA)
down_color5 = input.color(color.new(#A0CDED, 50), title="", inline="MA5A", group=groupMA)
down_color6 = input.color(color.new(#AF8FC1, 50), title="", inline="MA6A", group=groupMA)
down_color7 = input.color(color.new(#B2B5BE, 75), title="", inline="MA7A", group=groupMA)
down_color8 = input.color(color.new(#B2B5BE, 75), title="", inline="MA8A", group=groupMA)
down_color9 = input.color(color.new(#B2B5BE, 75), title="", inline="MA9A", group=groupMA)
//down_color10 = input.color(color.new(#B2B5BE, 75), title="", inline="MA10A", group=groupMA)
//down_color11 = input.color(color.new(#B2B5BE, 75), title="", inline="MA11A", group=groupMA)
//down_color12 = input.color(color.new(#B2B5BE, 75), title="", inline="MA12A", group=groupMA)
//down_color13 = input.color(color.new(#B2B5BE, 75), title="", inline="MA13A", group=groupMA)
//down_color14 = input.color(color.new(#B2B5BE, 75), title="", inline="MA14A", group=groupMA)
//down_color15 = input.color(color.new(#B2B5BE, 75), title="", inline="MA15A", group=groupMA)
// ------------------------------
ma1 = ma(src, len1, maType1)
ma2 = ma(src, len2, maType2)
ma3 = ma(src, len3, maType3)
ma4 = ma(src, len4, maType4)
ma5 = ma(src, len5, maType5)
ma6 = ma(src, len6, maType6)
ma7 = ma(src, len7, maType7)
ma8 = ma(src, len8, maType8)
ma9 = ma(src, len9, maType9)
//ma10 = ma(src, len10, maType10)
//ma11 = ma(src, len11, maType11)
//ma12 = ma(src, len12, maType12)
//ma13 = ma(src, len13, maType13)
//ma14 = ma(src, len14, maType14)
//ma15 = ma(src, len15, maType15)
// ------------------------------
res1 = input.timeframe("", title="", inline="MA1", group=groupMA)
res2 = input.timeframe("", title="", inline="MA2", group=groupMA)
res3 = input.timeframe("", title="", inline="MA3", group=groupMA)
res4 = input.timeframe("", title="", inline="MA4", group=groupMA)
res5 = input.timeframe("", title="", inline="MA5", group=groupMA)
res6 = input.timeframe("", title="", inline="MA6", group=groupMA)
res7 = input.timeframe("", title="", inline="MA7", group=groupMA)
res8 = input.timeframe("", title="", inline="MA8", group=groupMA)
res9 = input.timeframe("", title="", inline="MA9", group=groupMA)
//res10 = input.timeframe("", title="", inline="MA10", group=groupMA)
//res11 = input.timeframe("", title="", inline="MA11", group=groupMA)
//res12 = input.timeframe("", title="", inline="MA12", group=groupMA)
//res13 = input.timeframe("", title="", inline="MA13", group=groupMA)
//res14 = input.timeframe("", title="", inline="MA14", group=groupMA)
//res15 = input.timeframe("", title="", inline="MA15", group=groupMA)
maT1 = request.security(syminfo.tickerid, res1, ma1, gaps=barmerge.gaps_off)
maT2 = request.security(syminfo.tickerid, res2, ma2, gaps=barmerge.gaps_off)
maT3 = request.security(syminfo.tickerid, res3, ma3, gaps=barmerge.gaps_off)
maT4 = request.security(syminfo.tickerid, res4, ma4, gaps=barmerge.gaps_off)
maT5 = request.security(syminfo.tickerid, res5, ma5, gaps=barmerge.gaps_off)
maT6 = request.security(syminfo.tickerid, res6, ma6, gaps=barmerge.gaps_off)
maT7 = request.security(syminfo.tickerid, res7, ma7, gaps=barmerge.gaps_off)
maT8 = request.security(syminfo.tickerid, res8, ma8, gaps=barmerge.gaps_off)
maT9 = request.security(syminfo.tickerid, res9, ma9, gaps=barmerge.gaps_off)
//maT10 = request.security(syminfo.tickerid, res10, ma10, gaps=barmerge.gaps_off)
//maT11 = request.security(syminfo.tickerid, res11, ma11, gaps=barmerge.gaps_off)
//maT12 = request.security(syminfo.tickerid, res12, ma12, gaps=barmerge.gaps_off)
//maT13 = request.security(syminfo.tickerid, res13, ma13, gaps=barmerge.gaps_off)
//maT14 = request.security(syminfo.tickerid, res14, ma14, gaps=barmerge.gaps_off)
//maT15 = request.security(syminfo.tickerid, res15, ma15, gaps=barmerge.gaps_off)
// ------------------------------
plot_color1 = visible1 ? maT1 >= maT1[trend_flip] ? up_color1 : down_color1 : na
plot_color2 = visible2 ? maT2 >= maT2[trend_flip] ? up_color2 : down_color2 : na
plot_color3 = visible3 ? maT3 >= maT3[trend_flip] ? up_color3 : down_color3 : na
plot_color4 = visible4 ? maT4 >= maT4[trend_flip] ? up_color4 : down_color4 : na
plot_color5 = visible5 ? maT5 >= maT5[trend_flip] ? up_color5 : down_color5 : na
plot_color6 = visible6 ? maT6 >= maT6[trend_flip] ? up_color6 : down_color6 : na
plot_color7 = visible7 ? maT7 >= maT7[trend_flip] ? up_color7 : down_color7 : na
plot_color8 = visible8 ? maT8 >= maT8[trend_flip] ? up_color8 : down_color8 : na
plot_color9 = visible9 ? maT9 >= maT9[trend_flip] ? up_color9 : down_color9 : na
//plot_color10 = visible10 ? maT10 >= maT10[trend_flip] ? up_color10 : down_color10 : na
//plot_color11 = visible11 ? maT11 >= maT11[trend_flip] ? up_color11 : down_color11 : na
//plot_color12 = visible12 ? maT12 >= maT12[trend_flip] ? up_color12 : down_color12 : na
//plot_color13 = visible13 ? maT13 >= maT13[trend_flip] ? up_color13 : down_color13 : na
//plot_color14 = visible14 ? maT14 >= maT14[trend_flip] ? up_color14 : down_color14 : na
//plot_color15 = visible15 ? maT15 >= maT15[trend_flip] ? up_color15 : down_color15 : na
map1 = plot(maT1, title="MA 1", style=plot.style_line, color= only_fill ? na : plot_color1, linewidth=line_width1)
map2 = plot(maT2, title="MA 2", style=plot.style_line, color= only_fill ? na : plot_color2, linewidth=line_width2)
map3 = plot(maT3, title="MA 3", style=plot.style_line, color= only_fill ? na : plot_color3, linewidth=line_width3)
map4 = plot(maT4, title="MA 4", style=plot.style_line, color= only_fill ? na : plot_color4, linewidth=line_width4)
map5 = plot(maT5, title="MA 5", style=plot.style_line, color= only_fill ? na : plot_color5, linewidth=line_width5)
map6 = plot(maT6, title="MA 6", style=plot.style_line, color= only_fill ? na : plot_color6, linewidth=line_width6)
map7 = plot(maT7, title="MA 7", style=plot.style_line, color= only_fill ? na : plot_color7, linewidth=line_width7)
map8 = plot(maT8, title="MA 8", style=plot.style_line, color= only_fill ? na : plot_color8, linewidth=line_width8)
map9 = plot(maT9, title="MA 9", style=plot.style_line, color= only_fill ? na : plot_color9, linewidth=line_width9)
//map10 = plot(maT10, title="MA 10", style=plot.style_line, color= only_fill ? na : plot_color10, linewidth=line_width9)
//map11 = plot(maT11, title="MA 11", style=plot.style_line, color= only_fill ? na : plot_color11, linewidth=line_width9)
//map12 = plot(maT12, title="MA 12", style=plot.style_line, color= only_fill ? na : plot_color12, linewidth=line_width9)
//map13 = plot(maT13, title="MA 13", style=plot.style_line, color= only_fill ? na : plot_color13, linewidth=line_width9)
//map14 = plot(maT14, title="MA 14", style=plot.style_line, color= only_fill ? na : plot_color14, linewidth=line_width9)
//map15 = plot(maT15, title="MA 15", style=plot.style_line, color= only_fill ? na : plot_color15, linewidth=line_width9)
// ------------------------------
ma1color = (close > maT1 ? ribbon_colorup : ribbon_colordn)
ma2color = (close > maT2 ? ribbon_colorup : ribbon_colordn)
ma3color = (close > maT3 ? ribbon_colorup : ribbon_colordn)
ma4color = (close > maT4 ? ribbon_colorup : ribbon_colordn)
ma5color = (close > maT5 ? ribbon_colorup : ribbon_colordn)
ma6color = (close > maT6 ? ribbon_colorup : ribbon_colordn)
ma7color = (close > maT7 ? ribbon_colorup : ribbon_colordn)
ma8color = (close > maT8 ? ribbon_colorup : ribbon_colordn)
ma9color = (close > maT9 ? ribbon_colorup : ribbon_colordn)
//ma10color = (close > maT10 ? ribbon_colorup : ribbon_colordn)
//ma11color = (close > maT11 ? ribbon_colorup : ribbon_colordn)
//ma12color = (close > maT12 ? ribbon_colorup : ribbon_colordn)
//ma13color = (close > maT13 ? ribbon_colorup : ribbon_colordn)
//ma14color = (close > maT14 ? ribbon_colorup : ribbon_colordn)
//ma15color = (close > maT15 ? ribbon_colorup : ribbon_colordn)
fill(price, map1, visible1 and visiblefill1 ? ma1color : na, title="MA Fill 1")
fill(price, map2, visible2 and visiblefill2 ? ma2color : na, title="MA Fill 2")
fill(price, map3, visible3 and visiblefill3 ? ma3color : na, title="MA Fill 3")
fill(price, map4, visible4 and visiblefill4 ? ma4color : na, title="MA Fill 4")
fill(price, map5, visible5 and visiblefill5 ? ma5color : na, title="MA Fill 5")
fill(price, map6, visible6 and visiblefill6 ? ma6color : na, title="MA Fill 6")
fill(price, map7, visible7 and visiblefill7 ? ma7color : na, title="MA Fill 7")
fill(price, map8, visible8 and visiblefill8 ? ma8color : na, title="MA Fill 8")
fill(price, map9, visible9 and visiblefill9 ? ma9color : na, title="MA Fill 9")
//fill(price, map10, visible10 and visiblefill10 ? ma9color : na, title="MA Fill 10")
//fill(price, map11, visible11 and visiblefill11 ? ma9color : na, title="MA Fill 11")
//fill(price, map12, visible12 and visiblefill12 ? ma9color : na, title="MA Fill 12")
//fill(price, map13, visible13 and visiblefill13 ? ma9color : na, title="MA Fill 13")
//fill(price, map14, visible14 and visiblefill14 ? ma9color : na, title="MA Fill 14")
//fill(price, map15, visible15 and visiblefill15 ? ma9color : na, title="MA Fill 15")
// ----------------------------
groupB = "Moving Average Bands"
// ----------------------------
showMAb = input.bool (false , title="MA b:", inline="MAB1", group=groupB)
lengthMAb = input.int (34, minval=1 , title="", inline="MAB1", group=groupB)
maTypeMAb = input.string ("EMA" , title="", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA", "LSMA", "HMA", "ALMA"], inline="MAB1", group=groupB)
resMAb = input.timeframe ("" , title="", inline="MAB1", group=groupB)
h_MA = ma(high, lengthMAb, maTypeMAb)
l_MA = ma(low, lengthMAb, maTypeMAb)
MA_b = ma(close, lengthMAb, maTypeMAb)
h_MAmtf = request.security(syminfo.tickerid, resMAb, h_MA)
l_MAmtf = request.security(syminfo.tickerid, resMAb, l_MA)
MA_bmtf = request.security(syminfo.tickerid, resMAb, MA_b)
b_High = ((h_MAmtf - MA_bmtf) * math.phi) * math.pi + MA_bmtf
b_Low = (-(MA_bmtf - l_MAmtf) * math.phi) * math.pi + MA_bmtf
b_High_S = ta.wma(b_High, 8)
b_Low_S = ta.wma(b_Low, 8)
phi_High = ((h_MAmtf - MA_bmtf) * math.phi) * (math.phi + 4) + MA_bmtf
phi_Low = (-(MA_bmtf - l_MAmtf) * math.phi) * (math.phi + 4) + MA_bmtf
phi_High_S = ta.wma(phi_High, 8)
phi_Low_S = ta.wma(phi_Low, 8)
hi_color = input.color(color.new(color.red, 95) , title="Fill Colors: Upper", inline="MAB2", group=groupB)
mi_color = input.color(color.new(color.silver, 95) , title="Middle" , inline="MAB2", group=groupB)
lo_color = input.color(color.new(color.blue, 95) , title="Lower" , inline="MAB2", group=groupB)
highP1 = plot(showMAb ? h_MAmtf : na , color=color.new(color.silver, 95), title = "Bands - Middle Top" , display=display.none)
lowP1 = plot(showMAb ? l_MAmtf : na , color=color.new(color.silver, 95), title = "Bands - Middle Bottom", display=display.none)
highP3 = plot(showMAb ? b_High_S : na , color=color.new(color.silver, 95), title = "Bands - Upper Bottom" , display=display.none)
lowP3 = plot(showMAb ? b_Low_S : na , color=color.new(color.silver, 95), title = "Bands - Lower Top" , display=display.none)
phiPlotHigh = plot(showMAb ? phi_High_S : na , color=color.new(color.silver, 95), title = "Bands - Upper Top" , display=display.none)
phiPlotLow = plot(showMAb ? phi_Low_S : na , color=color.new(color.silver, 95), title = "Bands - Lower Bottom" , display=display.none)
fill(phiPlotHigh, highP3, hi_color, title = "Bands - Sell Zone")
fill(lowP3, phiPlotLow , lo_color, title = "Bands - Buy Zone")
fill(highP1, lowP1 , mi_color, title = "Bands - Median Zone")
// ------------------------
groupBB = "Bollinger Bands"
// ------------------------
visibleBB = input.bool (false , title="B.B.:" , inline="BB1", group=groupBB)
lengthBB = input.int (20, minval=1 , title="" , inline="BB1", group=groupBB)
srcBB = input (close , title="" , inline="BB1", group=groupBB)
resBB = input.timeframe ("" , title="" , inline="BB1", group=groupBB)
mult = input.float (2.0 , title="StDev" , inline="BB2", group=groupBB)
basis = ta.sma(srcBB, lengthBB)
dev = mult * ta.stdev(srcBB, lengthBB)
offset = input.int(0, minval=-500, maxval=500, title="Offset", inline="BB2", group=groupBB)
BB_color = input.color(color.new(color.silver, 97), title="Fill Color", inline="BB2", group=groupBB)
upper = basis + dev
lower = basis - dev
MTFbasis = request.security(syminfo.tickerid, resBB, basis)
MTFupper = request.security(syminfo.tickerid, resBB, upper)
MTFlower = request.security(syminfo.tickerid, resBB, lower)
plot(visibleBB ? MTFbasis : na , color=color.new(color.silver, 95), offset=offset, display=display.none, title="BB - Basis")
p1 = plot(visibleBB ? MTFupper : na , color=color.new(color.silver, 95), offset=offset, display=display.none, title="BB - Upper")
p2 = plot(visibleBB ? MTFlower : na , color=color.new(color.silver, 95), offset=offset, display=display.none, title="BB - Lower")
fill(p1, p2, color=BB_color, title="BB - Background")
// ------------------------
groupGF = "Gaussian Filter"
// ------------------------
fact(int n)=>
float a = 1
for i = 1 to n
a *= i
a
_alpha(int period, int poles)=>
w = 2.0 * math.pi / period
float b = (1.0 - math.cos(w)) / (math.pow(1.414, 2.0 / poles) - 1.0)
float a = - b + math.sqrt(b * b + 2.0 * b)
a
_npolegf(float src, int period, int order)=>
coeffs = matrix.new<float>(order + 1, 3, 0.)
float a = _alpha(period, order)
for r = 0 to order
out = nz(fact(order) / (fact(order - r) * fact(r)), 1)
matrix.set(coeffs, r, 0, out)
matrix.set(coeffs, r, 1, math.pow(a, r))
matrix.set(coeffs, r, 2, math.pow(1.0 - a, r))
float filt = src * matrix.get(coeffs, order, 1)
int sign = 1
for r = 1 to order
filt += sign * matrix.get(coeffs, r, 0) * matrix.get(coeffs, r, 2) * nz(filt[r])
sign *= -1
filt
// ------------------------
showGF = input (false , title="G.F.:" , inline="GF1", group=groupGF)
periodGF = input.int (144 , title="" , inline="GF1", group=groupGF)
orderGF = input.int (4, minval = 1 , title="Poles" , inline="GF2", group=groupGF)
srcGF = input (close , title="" , inline="GF1", group=groupGF)
LwidthGF = input.int (2, minval=0 , title="Line Width", inline="GF2", group=groupGF)
colorGF1 = input.color(color.new(#00FEEF, 25), title="" , inline="GF2", group=groupGF)
colorGF2 = input.color(color.new(#E21B22, 25), title="" , inline="GF2", group=groupGF)
out = _npolegf(srcGF, periodGF, orderGF)
resGF = input.timeframe("", title="", inline="GF1", group=groupGF)
mtfGF = request.security(syminfo.tickerid, resGF, out, gaps=barmerge.gaps_off)
colorGF = mtfGF > mtfGF[1] ? colorGF1 : mtfGF < mtfGF[1] ? colorGF2 : color.silver
plot(showGF ? mtfGF : na, color=colorGF, linewidth=LwidthGF, title="Gaussian Filter")
// -------------------------------------
groupRV = "Rolling VWAP & StDev Bands"
// -------------------------------------
show_rVWAP = input(false, title="VWAP:" , inline="RV1", group=groupRV)
showSTDEV = input(false, title="StDev Bands |", inline="RV2", group=groupRV)
rolling_period = input(200, title="", inline="RV1", group=groupRV)
src_rVWAP = input(hlc3, title="", inline="RV1", group=groupRV)
fillSTDEV = input(true , title="Fill |", inline="RV2", group=groupRV)
showrL = input(false , title="Lines:", inline="RV2", group=groupRV)
Lwidth_rVWAP = input.int(1, minval=0 , title="Width" , inline="RV2", group=groupRV)
showrLC = showrL ? display.all : display.none
stDevMultiplier_1 = input.float(0.618 , step=0.1, title="StDev 0.5", inline="StDev1", group=groupRV)
stDevMultiplier_2 = input.float(1.0 , step=0.1, title="StDev 1.0", inline="StDev1", group=groupRV)
stDevMultiplier_3 = input.float(1.618 , step=0.1, title="StDev 1.5", inline="StDev2", group=groupRV)
stDevMultiplier_4 = input.float(2.0 , step=0.1, title="StDev 2.0", inline="StDev2", group=groupRV)
stDevMultiplier_5 = input.float(2.618 , step=0.1, title="StDev 2.5", inline="StDev3", group=groupRV)
//stDevMultiplier_6 = input.float(3.0 , step=0.1, title="StDev 3.0", inline="StDev6", group=groupRV)
rVWAP_color = input.color(color.new(color.silver, 50) , title="Colors: VWAP" , inline="RV3", group=groupRV)
up_color = input.color(color.red , title="Upper" , inline="RV3", group=groupRV)
lw_color = input.color(color.blue , title="Lower" , inline="RV3", group=groupRV)
Vstyle = input(false, title="Circles Line", inline="RV3", group=groupRV)
VstyleC = Vstyle ? plot.style_circles : plot.style_line
// -------------------------------------
rVWAP(length) =>
float p = na
float vol = na
float sn = na
p_ = src_rVWAP * volume
p := nz(p[1]) + p_ - nz(p_[length])
vol := nz(vol[1]) + volume - nz(volume[length])
v = p / vol
sn_ = volume * (src_rVWAP - nz(v[1])) * (src_rVWAP - v)
sn := nz(sn[1]) + sn_ - nz(sn_[length])
std = math.sqrt(sn / vol)
[v, std]
[vwap_r, std_r] = rVWAP(rolling_period)
// -------------------------------------
resrVWAP = input.timeframe("", title="", inline="RV1", group=groupRV)
mtfrVWAP = request.security(syminfo.tickerid, resrVWAP, vwap_r, gaps=barmerge.gaps_off)
mtfSTD = request.security(syminfo.tickerid, resrVWAP, std_r, gaps=barmerge.gaps_off)
plot(show_rVWAP ? mtfrVWAP : na, title = "VWAP - Rolling", color=rVWAP_color, linewidth=Lwidth_rVWAP, style=VstyleC)
// -------------------------------------
fb_transp = input.float(100, minval=0, maxval=100, title="Transparency", inline="RV4", group=groupRV)
fb_step = input.float(5, minval=0, maxval=100, title="Step", inline="RV4", group=groupRV)
//fill_col_up5 = color.new(up_color, fb_transp - fb_step * 5)
fill_col_up4 = color.new(up_color, fb_transp - fb_step * 4)
fill_col_up3 = color.new(up_color, fb_transp - fb_step * 3)
fill_col_up2 = color.new(up_color, fb_transp - fb_step * 2)
fill_col_up = color.new(up_color, fb_transp - fb_step * 1)
//fill_col_mid = color.new(color.silver, fb_transp)
fill_col_down = color.new(lw_color, fb_transp - fb_step * 1)
fill_col_down2 = color.new(lw_color, fb_transp - fb_step * 2)
fill_col_down3 = color.new(lw_color, fb_transp - fb_step * 3)
fill_col_down4 = color.new(lw_color, fb_transp - fb_step * 4)
//fill_col_down5 = color.new(lw_color, fb_transp - fb_step * 5)
// -------------------------------------
rV_stdevU1 = plot(showSTDEV ? mtfrVWAP + stDevMultiplier_1 * mtfSTD : na, title="rVWAP - STDEV +1", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
rV_stdevU2 = plot(showSTDEV ? mtfrVWAP + stDevMultiplier_2 * mtfSTD : na, title="rVWAP - STDEV +2", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
rV_stdevU3 = plot(showSTDEV ? mtfrVWAP + stDevMultiplier_3 * mtfSTD : na, title="rVWAP - STDEV +3", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
rV_stdevU4 = plot(showSTDEV ? mtfrVWAP + stDevMultiplier_4 * mtfSTD : na, title="rVWAP - STDEV +4", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
rV_stdevU5 = plot(showSTDEV ? mtfrVWAP + stDevMultiplier_5 * mtfSTD : na, title="rVWAP - STDEV +5", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
//rV_stdevU6 = plot(showSTDEV ? mtfrVWAP + stDevMultiplier_6 * mtfSTD : na, title="rVWAP - STDEV +6", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
rV_stdevD1 = plot(showSTDEV ? mtfrVWAP - stDevMultiplier_1 * mtfSTD : na, title="rVWAP - STDEV -1", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
rV_stdevD2 = plot(showSTDEV ? mtfrVWAP - stDevMultiplier_2 * mtfSTD : na, title="rVWAP - STDEV -2", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
rV_stdevD3 = plot(showSTDEV ? mtfrVWAP - stDevMultiplier_3 * mtfSTD : na, title="rVWAP - STDEV -3", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
rV_stdevD4 = plot(showSTDEV ? mtfrVWAP - stDevMultiplier_4 * mtfSTD : na, title="rVWAP - STDEV -4", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
rV_stdevD5 = plot(showSTDEV ? mtfrVWAP - stDevMultiplier_5 * mtfSTD : na, title="rVWAP - STDEV -5", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
//rV_stdevD6 = plot(showSTDEV ? mtfrVWAP - stDevMultiplier_6 * mtfSTD : na, title="rVWAP - STDEV -6", color=color.new(color.silver, 75), style=plot.style_line, linewidth=Lwidth_rVWAP, display=showrLC)
// -------------------------------------
fill(rV_stdevU1, rV_stdevD1, title="rVWAP - STDEV +-1", color=color.new(color.silver, 95), display=display.none)
fill(rV_stdevU2, rV_stdevU1, title="rVWAP - STDEV +2", color= fillSTDEV ? fill_col_up : na)
fill(rV_stdevU3, rV_stdevU2, title="rVWAP - STDEV +3", color= fillSTDEV ? fill_col_up2 : na)
fill(rV_stdevU4, rV_stdevU3, title="rVWAP - STDEV +4", color= fillSTDEV ? fill_col_up3 : na)
fill(rV_stdevU5, rV_stdevU4, title="rVWAP - STDEV +5", color= fillSTDEV ? fill_col_up4 : na)
//fill(rV_stdevU6, rV_stdevU5, title="rVWAP - STDEV +6", color= fillSTDEV ? fill_col_up5 : na)
fill(rV_stdevD2, rV_stdevD1, title="rVWAP - STDEV -2", color= fillSTDEV ? fill_col_down : na)
fill(rV_stdevD3, rV_stdevD2, title="rVWAP - STDEV -3", color= fillSTDEV ? fill_col_down2 : na)
fill(rV_stdevD4, rV_stdevD3, title="rVWAP - STDEV -4", color= fillSTDEV ? fill_col_down3 : na)
fill(rV_stdevD5, rV_stdevD4, title="rVWAP - STDEV -5", color= fillSTDEV ? fill_col_down4 : na)
//fill(rV_stdevD6, rV_stdevD5, title="rVWAP - STDEV -6", color= fillSTDEV ? fill_col_down5 : na) |
Distance from Avg + avgs | https://www.tradingview.com/script/JaO79ADU-Distance-from-Avg-avgs/ | ta96ninja | https://www.tradingview.com/u/ta96ninja/ | 9 | study | 4 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © ta96ninja
//@version=4
study("Distance from Avg + avgs", overlay=false)
len = input(200)
smaC = sma(close,len)
smaH = sma(high,len)
smaL = sma(low,len)
smaO = sma(open,len)
o = (((open/smaC)-1)*100)
h = (((high/smaC)-1)*100)
l = (((low/smaC)-1)*100)
c = (((close/smaC)-1)*100)
plotbar(o,h,l,c)
plot(c)
plot(c)
len1 = input(200)
smalen1 = sma((((close/smaC)-1)*100),len1)
plot(smalen1, color=color.red)
len2 = input(50)
smalen2 = sma((((close/smaC)-1)*100),len2)
plot(smalen2, color=color.aqua)
len3 = input(8)
emalen3 = sma((((close/smaC)-1)*100),len3)
plot(emalen3, color=color.black)
band1 = hline(0,title = "zero line", color=color.black)
|
Tri-MayerMultiple by USCG_Vet | https://www.tradingview.com/script/kLdWowDo-Tri-MayerMultiple-by-USCG-Vet/ | USCG_Vet | https://www.tradingview.com/u/USCG_Vet/ | 49 | study | 4 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Written by USCG_Vet; All credit to Trace Mayer. Notice, this indicator is for educational purposes only and is not financial advice.
//@version=4
study(title="Tri-MayerMultiple by USCG_Vet", overlay=false)
HiOrLow = input(title="high vs low vs avg", type=input.string, defval = "high")
n1 = high
if HiOrLow == "high"
n1 = high
else if HiOrLow == "low"
n1 = low
else
n1 = high + low / 2
smavema = input(title="SMA vs EMA", type=input.integer, defval=1, minval=1, maxval=2, step=1)
d1 = input(title="Long MA", type=input.integer, defval=150, minval=1, maxval=99999, step=1)
ma200d = 0.0
ma21d = 0.0
ma75d = 0.0
if smavema == 2
ma200d := ema(close, d1)
else
ma200d := sma(close, d1)
d2 = input(title="Short MA", type=input.integer, defval=5, minval=1, maxval=99999, step=1)
if smavema == 2
ma21d := ema(close, d2)
else
ma21d := sma(close, d2)
d3 = input(title="Med MA", type=input.integer, defval=75, minval=1, maxval=99999, step=1)
if smavema == 2
ma75d := ema(close, d3)
else
ma75d := sma(close, d3)
MyerMultiple = n1 / ma200d // Risk is between 0 and n
MyerMultipleb = n1 / ma75d // Risk is between 0 and n
MyerMultiple2 = n1 / ma21d // Risk is between 0 and n
topCol = color.orange
plot(MyerMultiple, color=topCol, linewidth=1)
bottCol = color.yellow
plot(MyerMultipleb, color=bottCol, linewidth=1)
plot(MyerMultiple2, color=color.red, linewidth=1)
|
Crypto-DX Crypto Directional Index [chhslai] | https://www.tradingview.com/script/zteGOrCd-Crypto-DX-Crypto-Directional-Index-chhslai/ | chhslai | https://www.tradingview.com/u/chhslai/ | 31 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © chhslai
// Latest update: 3, Oct, 2022 - GMT+8 23:xx
//@version=5
indicator(title="Crypto-DX Crypto Directional Index [chhslai]", shorttitle="Crypto-DX @chhslai")
// --------------
// INPUT SETTINGS
// --------------
plotAverage = input.bool(true, title="Plot crypto index")
plotEach = input.bool(false, title="Plot 5 custom crypto")
plotAll = input.bool(false, title="Plot top 30 crypto")
rocLength = 21 //input(21, title="ROC length")
smoothingLength = 13 //input(13, title="EMA length")
labelArrow = input.string("⬅")
invisible = color.new(color.black, 100)
ticker1 = input.symbol("BINANCE:BTCUSDT", inline="1")
color1 = input.color(color.blue,title="", inline="1")
ticker2 = input.symbol("BINANCE:ETHUSDT", inline="2")
color2 = input.color(color.red, title="", inline="2")
ticker3 = input.symbol("BINANCE:BNBUSDT", inline="3")
color3 = input.color(color.yellow, title="", inline="3")
ticker4 = input.symbol("BINANCE:XRPUSDT", inline="4")
color4 = input.color(color.green, title="", inline="4")
ticker5 = input.symbol("BINANCE:ADAUSDT", inline="5")
color5 = input.color(color.teal, title="", inline="5")
// --------------
// MAIN FUNCTIONS
// --------------
calc_sroc(_ticker) =>
src = close
ema = ta.ema(src, smoothingLength)
sroc = 100 * (ema - ema[rocLength])/ema[rocLength]
[sroc]
plotEachlabel(_text, _loc, _color)=>
var label la = na
var counter = 0
counter := counter + 1
label.delete(la)
la := plotEach ? label.new(
x=timenow, y=_loc,
text=" " + labelArrow + " " + _text, xloc=xloc.bar_time, yloc=yloc.price, color=invisible,
style=label.style_none, textcolor=_color, size=size.small, textalign=text.align_left) : na
plotAlllabel(_text, _loc, _color)=>
var label la = na
var counter = 0
counter := counter + 1
label.delete(la)
la := plotAll ? label.new(
x=timenow, y=_loc,
text=" " + labelArrow + " " + _text, xloc=xloc.bar_time, yloc=yloc.price, color=invisible,
style=label.style_none, textcolor=_color, size=size.small, textalign=text.align_left) : na
plotAveragelabel(_text, _loc, _color)=>
var label la = na
var counter = 0
counter := counter + 1
label.delete(la)
la := plotAverage ? label.new(
x=timenow, y=_loc,
text=" " + labelArrow + " " + _text, xloc=xloc.bar_time, yloc=yloc.price, color=invisible,
style=label.style_none, textcolor=_color, size=size.small, textalign=text.align_left) : na
// -----------
// PLOT TOP 30
// -----------
// Crypto Index is consist of TOP 30 cryptocurrencies Market Cap (2022.08.04)
// BTC, ETH, BNB, XRP, ADA, SOL, DOT, DOGE, MATIC, AVAX
// UNI, SHIB, TRX, ETC, LTC, FTT, CRO, LINK, NEAR
// ATOM, XMR, XLM, BCH, ALGO, APE, VET, FIL, ICP, FLOW, MANA
[BTC] = request.security("BINANCE:BTCUSDT", "", calc_sroc("BINANCE:BTCUSDT"))
[ETH] = request.security("BINANCE:ETHUSDT", "", calc_sroc("BINANCE:ETHUSDT"))
[BNB] = request.security("BINANCE:BNBUSDT", "", calc_sroc("BINANCE:BNBUSDT"))
[XRP] = request.security("BINANCE:XRPUSDT", "", calc_sroc("BINANCE:XRPUSDT"))
[ADA] = request.security("BINANCE:ADAUSDT", "", calc_sroc("BINANCE:ADAUSDT"))
[SOL] = request.security("BINANCE:SOLUSDT", "", calc_sroc("BINANCE:SOLUSDT"))
[DOT] = request.security("BINANCE:DOTUSDT", "", calc_sroc("BINANCE:DOTUSDT"))
[DOGE] = request.security("BINANCE:DOGEUSDT", "", calc_sroc("BINANCE:DOGEUSDT"))
[MATIC] = request.security("BINANCE:MATICUSDT", "", calc_sroc("BINANCE:MATICUSDT"))
[AVAX] = request.security("BINANCE:AVAXUSDT", "", calc_sroc("BINANCE:AVAXUSDT"))
[UNI] = request.security("BINANCE:UNIUSDT", "", calc_sroc("BINANCE:UNIUSDT"))
[SHIB] = request.security("BINANCE:SHIBUSDT", "", calc_sroc("BINANCE:SHIBUSDT"))
[TRX] = request.security("BINANCE:TRXUSDT", "", calc_sroc("BINANCE:TRXUSDT"))
[ETC] = request.security("BINANCE:ETCUSDT", "", calc_sroc("BINANCE:ETCUSDT"))
[LTC] = request.security("BINANCE:LTCUSDT", "", calc_sroc("BINANCE:LTCUSDT"))
[FTT] = request.security("BINANCE:FTTUSDT", "", calc_sroc("BINANCE:FTTUSDT"))
[CRO] = request.security("BYBIT:CROUSDT", "", calc_sroc("BYBIT:CROUSDT"))
[LINK] = request.security("BINANCE:LINKUSDT", "", calc_sroc("BINANCE:LINKUSDT"))
[NEAR] = request.security("BINANCE:NEARUSDT", "", calc_sroc("BINANCE:NEARUSDT"))
[ATOM] = request.security("BINANCE:ATOMUSDT", "", calc_sroc("BINANCE:ATOMUSDT"))
[XMR] = request.security("BINANCE:XMRUSDT", "", calc_sroc("BINANCE:XMRUSDT"))
[XLM] = request.security("BINANCE:XLMUSDT", "", calc_sroc("BINANCE:XLMUSDT"))
[BCH] = request.security("BINANCE:BCHUSDT", "", calc_sroc("BINANCE:BCHUSDT"))
[ALGO] = request.security("BINANCE:ALGOUSDT", "", calc_sroc("BINANCE:ALGOUSDT"))
[APE] = request.security("BINANCE:APEUSDT", "", calc_sroc("BINANCE:APEUSDT"))
[VET] = request.security("BINANCE:VETUSDT", "", calc_sroc("BINANCE:VETUSDT"))
[FIL] = request.security("BINANCE:FILUSDT", "", calc_sroc("BINANCE:FILUSDT"))
[ICP] = request.security("BINANCE:ICPUSDT", "", calc_sroc("BINANCE:ICPUSDT"))
[FLOW] = request.security("BINANCE:FLOWUSDT", "", calc_sroc("BINANCE:FLOWUSDT"))
[MANA] = request.security("BINANCE:MANAUSDT", "", calc_sroc("BINANCE:MANAUSDT"))
plot(plotAll ? BTC : na, title="BTC", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? ETH : na, title="ETH", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? BNB : na, title="BNB", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? XRP : na, title="XRP", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? ADA : na, title="ADA", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? SOL : na, title="SOL", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? DOT : na, title="DOT", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? DOGE : na, title="DOGE", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? MATIC : na, title="MATIC", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? AVAX : na, title="AVAX", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? UNI : na, title="UNI", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? SHIB : na, title="SHIB", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? TRX : na, title="TRX", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? ETC : na, title="ETC", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? LTC : na, title="LTC", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? FTT : na, title="FTT", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? CRO : na, title="CRO", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? LINK : na, title="LINK", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? NEAR : na, title="NEAR", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? ATOM : na, title="ATOM", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? XMR : na, title="XMR", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? XLM : na, title="XLM", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? BCH : na, title="BCH", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? ALGO : na, title="ALGO", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? APE : na, title="APE", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? VET : na, title="VET", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? FIL : na, title="FIL", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? ICP : na, title="ICP", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? FLOW : na, title="FLOW", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plot(plotAll ? MANA : na, title="MANA", linewidth=1, color=color.new(color.white, 65), display=display.pane)
plotAlllabel("BTC", BTC, color.new(color.white, 65))
plotAlllabel("ETH", ETH, color.new(color.white, 65))
plotAlllabel("BNB", BNB, color.new(color.white, 65))
plotAlllabel("XRP", XRP, color.new(color.white, 65))
plotAlllabel("ADA", ADA, color.new(color.white, 65))
plotAlllabel("SOL", SOL, color.new(color.white, 65))
plotAlllabel("DOT", DOT, color.new(color.white, 65))
plotAlllabel("DOGE", DOGE, color.new(color.white, 65))
plotAlllabel("MATIC", MATIC, color.new(color.white, 65))
plotAlllabel("AVAX", AVAX, color.new(color.white, 65))
plotAlllabel("UNI", UNI, color.new(color.white, 65))
plotAlllabel("SHIB", SHIB, color.new(color.white, 65))
plotAlllabel("TRX", TRX, color.new(color.white, 65))
plotAlllabel("ETC", ETC, color.new(color.white, 65))
plotAlllabel("LTC", LTC, color.new(color.white, 65))
plotAlllabel("FTT", FTT, color.new(color.white, 65))
plotAlllabel("CRO", CRO, color.new(color.white, 65))
plotAlllabel("LINK", LINK, color.new(color.white, 65))
plotAlllabel("NEAR", NEAR, color.new(color.white, 65))
plotAlllabel("ATOM", ATOM, color.new(color.white, 65))
plotAlllabel("XMR", XMR, color.new(color.white, 65))
plotAlllabel("XLM", XLM, color.new(color.white, 65))
plotAlllabel("BCH", BCH, color.new(color.white, 65))
plotAlllabel("ALGO", ALGO, color.new(color.white, 65))
plotAlllabel("APE", APE, color.new(color.white, 65))
plotAlllabel("VET", VET, color.new(color.white, 65))
plotAlllabel("FIL", FIL, color.new(color.white, 65))
plotAlllabel("ICP", ICP, color.new(color.white, 65))
plotAlllabel("FLOW", FLOW, color.new(color.white, 65))
plotAlllabel("MANA", MANA, color.new(color.white, 65))
// -----------
// PLOT INDEX
// -----------
asroc = math.avg(BTC, ETH, BNB, XRP, ADA, SOL, DOT, DOGE, MATIC, AVAX,
UNI, SHIB, TRX, ETC, LTC, FTT, CRO, LINK, NEAR,
ATOM, XMR, XLM, BCH, ALGO, APE, VET, FIL, ICP, FLOW, MANA)
plot(plotAverage ? asroc : na, title="Crypto Index Line", linewidth=3, color=color.white, display=display.pane)
plotAveragelabel("Crypto Index", asroc, color.white)
hline(0, title="Zero Level", linestyle=hline.style_dotted, color=#989898)
// -------------
// PLOT 5 CUSTOM
// -------------
[sroc1] = request.security(ticker1, "", calc_sroc(ticker1))
plot(plotEach ? sroc1 : na, title="ticker1", linewidth=1, color=color1, display=display.pane)
plotEachlabel(str.tostring(ticker1), sroc1, color1)
[sroc2] = request.security(ticker2, "", calc_sroc(ticker2))
plot(plotEach ? sroc2 : na, title="ticker2", linewidth=1, color=color2, display=display.pane)
plotEachlabel(str.tostring(ticker2), sroc2, color2)
[sroc3] = request.security(ticker3, "", calc_sroc(ticker3))
plot(plotEach ? sroc3 : na, title="ticker3", linewidth=1, color=color3, display=display.pane)
plotEachlabel(str.tostring(ticker3), sroc3, color3)
[sroc4] = request.security(ticker4, "", calc_sroc(ticker4))
plot(plotEach ? sroc4 : na, title="ticker4", linewidth=1, color=color4, display=display.pane)
plotEachlabel(str.tostring(ticker4), sroc4, color4)
[sroc5] = request.security(ticker5, "", calc_sroc(ticker5))
plot(plotEach ? sroc5 : na, title="ticker5", linewidth=1, color=color5, display=display.pane)
plotEachlabel(str.tostring(ticker5), sroc5, color5)
|
BSM OPM 1973 w/ Continuous Dividend Yield [Loxx] | https://www.tradingview.com/script/ecJOXGMw-BSM-OPM-1973-w-Continuous-Dividend-Yield-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 5 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("BSM OPM 1973 w/ Continuous Dividend Yield [Loxx]",
shorttitle ="BSMOPM1973CDY [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
nd(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
// DDeltaDvol also known as vanna
GDdeltaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GDdeltaDvol = 0
d1 := (math.log(S / x) + (b + v * v / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDdeltaDvol := -math.exp((b - r) * T) * d2 / v * nd(d1)
GDdeltaDvol
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
// Gamma for the generalized Black and Scholes formula
GGamma(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GGamma = math.exp((b - r) * T) * nd(d1) / (S * v * math.sqrt(T))
GGamma
// GammaP for the generalized Black and Scholes formula
GGammaP(float S, float x, float T, float r, float b, float v)=>
GGammaP = S * GGamma(S, x, T, r, b, v) / 100
GGammaP
// Delta for the generalized Black and Scholes formula
GDelta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GDelta = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GDelta := math.exp((b - r) * T) * cnd.CND1(d1)
else
GDelta := -math.exp((b - r) * T) * cnd.CND1(-d1)
GDelta
// StrikeDelta for the generalized Black and Scholes formula
GStrikeDelta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d2 = 0
float GStrikeDelta = 0
d2 := (math.log(S / x) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GStrikeDelta := -math.exp(-r * T) * cnd.CND1(d2)
else
GStrikeDelta := math.exp(-r * T) * cnd.CND1(-d2)
GStrikeDelta
// Elasticity for the generalized Black and Scholes formula
GElasticity(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
GElasticity = GDelta(CallPutFlag, S, x, T, r, b, v) * S / GBlackScholes(CallPutFlag, S, x, T, r, b, v)
GElasticity
// Risk Neutral Denisty for the generalized Black and Scholes formula
GRiskNeutralDensity(float S, float x, float T, float r, float b, float v)=>
float d2 = 0
d2 := (math.log(S / x) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GRiskNeutralDensity = math.exp(-r * T) * nd(d2) / (x * v * math.sqrt(T))
GRiskNeutralDensity
// Theta for the generalized Black and Scholes formula
GTheta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GTheta = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
GTheta := -S * math.exp((b - r) * T) * nd(d1) * v / (2 * math.sqrt(T)) - (b - r) * S * math.exp((b - r) * T) * cnd.CND1(d1) - r * x * math.exp(-r * T) * cnd.CND1(d2)
else
GTheta := -S * math.exp((b - r) * T) * nd(d1) * v / (2 * math.sqrt(T)) + (b - r) * S * math.exp((b - r) * T) * cnd.CND1(-d1) + r * x * math.exp(-r * T) * cnd.CND1(-d2)
GTheta
// Vega for the generalized Black and Scholes formula
GVega(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GVega = S * math.exp((b - r) * T) * nd(d1) * math.sqrt(T)
GVega
// VegaP for the generalized Black and Scholes formula
GVegaP(float S, float x, float T, float r, float b, float v)=>
GVegaP = v / 10 * GVega(S, x, T, r, b, v)
GVegaP
// DvegaDvol/Vomma for the generalized Black and Scholes formula
GDvegaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDvegaDvol = GVega(S, x, T, r, b, v) * d1 * d2 / v
GDvegaDvol
// Rho for the generalized Black and Scholes formula for all options except futures
GRho(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = (math.log(S / x) + (b + v *v / 2) * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
float GRho = 0
if CallPutFlag == callString
GRho := T * x * math.exp(-r * T) * cnd.CND1(d2)
else
GRho := -T * x * math.exp(-r * T) * cnd.CND1(-d2)
GRho
// Rho for the generalized Black and Scholes formula for Futures option
GRhoFO(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
GRhoFO = -T * GBlackScholes(CallPutFlag, S, x, T, r, 0, v)
GRhoFO
// Rho2/Phi for the generalized Black and Scholes formula
GPhi(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GPhi = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GPhi := -T * S * math.exp((b - r) * T) * cnd.CND1(d1)
else
GPhi := T * S * math.exp((b - r) * T) * cnd.CND1(-d1)
GPhi
// Carry rf sensitivity for the generalized Black and Scholes formula
GCarry(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GCarry = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GCarry := T * S * math.exp((b - r) * T) * cnd.CND1(d1)
else
GCarry := -T * S * math.exp((b - r) * T) * cnd.CND1(-d1)
GCarry
// DgammaDspot/Speed for the generalized Black and Scholes formula
GDgammaDspot(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GDgammaDspot = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GDgammaDspot := -GGamma(S, x, T, r, b, v) * (1 + d1 / (v * math.sqrt(T))) / S
GDgammaDspot
// DgammaDvol/Zomma for the generalized Black and Scholes formula
GDgammaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GDgammaDvol = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDgammaDvol := GGamma(S, x, T, r, b, v) * ((d1 * d2 - 1) / v)
GDgammaDvol
CGBlackScholes(string OutPutFlag, string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float output = 0
float CGBlackScholes = 0
if OutPutFlag == "p" // Value
CGBlackScholes := GBlackScholes(CallPutFlag, S, x, T, r, b, v)
//DELTA GREEKS
else if OutPutFlag == "d" // Delta
CGBlackScholes := GDelta(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "dddv" // DDeltaDvol
CGBlackScholes := GDdeltaDvol(S, x, T, r, b, v) / 100
else if OutPutFlag == "e" // Elasticity
CGBlackScholes := GElasticity(CallPutFlag, S, x, T, r, b, v)
//GAMMA GREEKS
else if OutPutFlag == "g" // Gamma
CGBlackScholes := GGamma(S, x, T, r, b, v)
else if OutPutFlag == "gp" // GammaP
CGBlackScholes := GGammaP(S, x, T, r, b, v)
else if OutPutFlag == "s" // 'DgammaDspot/speed
CGBlackScholes := GDgammaDspot(S, x, T, r, b, v)
else if OutPutFlag == "gv" // 'DgammaDvol/Zomma
CGBlackScholes := GDgammaDvol(S, x, T, r, b, v) / 100
//VEGA GREEKS
else if OutPutFlag == "v" // Vega
CGBlackScholes := GVega(S, x, T, r, b, v) / 100
else if OutPutFlag == "dvdv" // DvegaDvol/Vomma
CGBlackScholes := GDvegaDvol(S, x, T, r, b, v) / 10000
else if OutPutFlag == "vp" // VegaP
CGBlackScholes := GVegaP(S, x, T, r, b, v)
//THETA GREEKS
else if OutPutFlag == "t" // Theta
CGBlackScholes := GTheta(CallPutFlag, S, x, T, r, b, v) / 365
//RATE/CARRY GREEKS
else if OutPutFlag == "r" // Rho
CGBlackScholes := GRho(CallPutFlag, S, x, T, r, b, v) / 100
else if OutPutFlag == "f" // Phi/Rho2
CGBlackScholes := GPhi(CallPutFlag, S, x, T, r, b, v) / 100
//'PROB GREEKS
else if OutPutFlag == "dx" // 'StrikeDelta
CGBlackScholes := GStrikeDelta(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "dxdx" // 'Risk Neutral Density
CGBlackScholes := GRiskNeutralDensity(S, x, T, r, b, v)
CGBlackScholes
gBlackScholesImpVolBisection(string CallPutFlag, float S, float x, float T, float r, float b, float cm)=>
float vLow = 0
float vHigh= 0
float vi = 0
float cLow = 0
float cHigh = 0
float epsilon = 0
int counter = 0
float gBlackScholesImpVolBisection = 0
vLow := 0.005
vHigh := 4
epsilon := 1E-08
cLow := GBlackScholes(CallPutFlag, S, x, T, r, b, vLow)
cHigh := GBlackScholes(CallPutFlag, S, x, T, r, b, vHigh)
vi := vLow + (cm - cLow) * (vHigh - vLow) / (cHigh - cLow)
while math.abs(cm - GBlackScholes(CallPutFlag, S, x, T, r, b, vi)) > epsilon
counter += 1
if counter == 100
gBlackScholesImpVolBisection := 0
break
if GBlackScholes(CallPutFlag, S, x, T, r, b, vi) < cm
vLow := vi
else
vHigh := vi
cLow := GBlackScholes(CallPutFlag, S, x, T, r, b, vLow)
cHigh := GBlackScholes(CallPutFlag, S, x, T, r, b, vHigh)
vi := vLow + (cm - cLow) * (vHigh - vLow) / (cHigh - cLow)
gBlackScholesImpVolBisection := vi
gBlackScholesImpVolBisection
gVega(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GVega = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GVega := S * math.exp((b - r) * T) * nd(d1) * math.sqrt(T)
GVega
gImpliedVolatilityNR(string CallPutFlag, float S, float x, float T, float r, float b, float cm, float epsilon)=>
float vi = 0
float ci = 0
float vegai = 0
float minDiff = 0
float GImpliedVolatilityNR = 0
vi := math.sqrt(math.abs(math.log(S / x) + r * T) * 2 / T)
ci := GBlackScholes(CallPutFlag, S, x, T, r, b, vi)
vegai := gVega(S, x, T, r, b, vi)
minDiff := math.abs(cm - ci)
while math.abs(cm - ci) >= epsilon and math.abs(cm - ci) <= minDiff
vi := vi - (ci - cm) / vegai
ci := GBlackScholes(CallPutFlag, S, x, T, r, b, vi)
vegai := gVega(S, x, T, r, b, vi)
minDiff := math.abs(cm - ci)
if math.abs(cm - ci) < epsilon
GImpliedVolatilityNR := vi
else
GImpliedVolatilityNR := 0
GImpliedVolatilityNR
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float rf = input.float(6., "% Risk-free Rate", group = "Rates Settings") / 100
string rhocmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float div = input.float(2., "% Dividend Yiled", group = "Rates Settings") / 100
string divcmp = input.string(Continuous, "% Dividend Yield Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rhocmpvalue = switch rhocmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float divcmpvalue = switch divcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float spot = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(spot / nz(spot[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(spot / nz(spot[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(rf, rhocmpvalue)
koutb = kouta - convertingToCCRate(div, divcmpvalue)
divmorph = convertingToCCRate(div, divcmpvalue)
price = CGBlackScholes("p", OpType, spot, K, T, kouta, koutb, v)
Delta = CGBlackScholes("d", OpType, spot, K, T, kouta, koutb, v) * sideout
Elasticity = CGBlackScholes("e", OpType, spot, K, T, kouta, koutb, v) * sideout
Gamma = CGBlackScholes("g", OpType, spot, K, T, kouta, koutb, v) * sideout
DgammaDvol = CGBlackScholes("gv", OpType, spot, K, T, kouta, koutb, v) * sideout
GammaP = CGBlackScholes("gp", OpType, spot, K, T, kouta, koutb, v) * sideout
Vega = CGBlackScholes("v", OpType, spot, K, T, kouta, koutb, v) * sideout
DvegaDvol = CGBlackScholes("dvdv", OpType, spot, K, T, kouta, koutb, v) * sideout
VegaP = CGBlackScholes("vp", OpType, spot, K, T, kouta, koutb, v) * sideout
Theta = CGBlackScholes("t", OpType, spot, K, T, kouta, koutb, v) * sideout
Rho = CGBlackScholes("r", OpType, spot, K, T, kouta, koutb, v) * sideout
PhiRho = CGBlackScholes("f", OpType, spot, K, T, kouta, koutb, v) * sideout
DDeltaDvol = CGBlackScholes("dddv", OpType, spot, K, T, kouta, koutb, v) * sideout
Speed = CGBlackScholes("s", OpType, spot, K, T, kouta, koutb, v) * sideout
DeltaX = CGBlackScholes("dx", OpType, spot, K, T, kouta, koutb, v) * sideout
RiskNeutralDensity = CGBlackScholes("dxdx", OpType, spot, K, T, kouta, koutb, v) * sideout
impvolbi = gBlackScholesImpVolBisection(OpType, spot, K, T, kouta, koutb, price)
impvolnewt = gImpliedVolatilityNR(OpType, spot, K, T, kouta, koutb, price, 0.00001)
var testTable = table.new(position = position.middle_right, columns = 1, rows = 37, bgcolor = color.yellow, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Generalized Black-Scholes-Merton Option Pricing Model", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(spot, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(rf * 100, "##.##") + "%\n" + "Compounding Type: " + rhocmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Dividend Yield: " + str.tostring(div * 100, "##.##") + "%\n" + "Compounding Type: " + divcmp + "\nCC Dividend: " + str.tostring(divmorph * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Cost of Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 15, text = OpType + " Option Price", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 16, text = "Forward Price: " + str.tostring(spot * math.exp(koutb * T), format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 17, text = "Price: " + str.tostring(price, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 18, text = "Analytical Greeks", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 19, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 20, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 21, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 22, text = "DGammaDvol: " + str.tostring(DgammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 23, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 24, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 25, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 26, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 27, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 28, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 29, text = "Phi/Rho2: " + str.tostring(PhiRho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 30, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 31, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 32, text = "Strike Delta: " + str.tostring(DeltaX, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 33, text = "Risk Neutral Density: " + str.tostring(RiskNeutralDensity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 34, text = "Implied Volatility Calculation", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 35, text = "Implied Volatility Bisection: " + str.tostring(impvolbi * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 36, text = "Implied Volatility Newton Raphson: " + str.tostring(impvolnewt * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Highlight candles by time by Vincent | https://www.tradingview.com/script/vntRQSmy-Highlight-candles-by-time-by-Vincent/ | vincentmusset2011 | https://www.tradingview.com/u/vincentmusset2011/ | 44 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © u_20bf
//@version=5
indicator('Highlight candles by time', overlay=true)
// Inputs
// TODO: Provide better options
display_timeframes = input.string(title='What timeframes to display ?', defval='M5', options=['M5', 'M15', 'M30','H1' ,'H4'])
// Times need to be the exchange timezone right now (eg +2 from GMT for FXCM)
display_period_one = input.bool(true, 'Display period one?')
period_one_session = input.session('1600-1900', 'Period one times')
display_period_two = input.bool(false, 'Display period two?')
period_two_session = input.session('0800-0900', 'Period two times')
display_period_three = input.bool(false, 'Display period three?')
period_three_session = input.session('1200-1300', 'Period three times')
// TODO: Colour per session
candle_colour = color.yellow
// Checks
display_on_current_timeframe = display_timeframes == 'M5'
is_in_session = (display_period_one and time(timeframe.period, period_one_session)) or (display_period_two and time(timeframe.period, period_two_session)) or (display_period_three and time(timeframe.period, period_three_session))
can_colour_candle = display_on_current_timeframe and is_in_session
// Colouring
barcolor(color=can_colour_candle ? candle_colour : na) |
True Range Score | https://www.tradingview.com/script/575aRSfR-True-Range-Score/ | peacefulLizard50262 | https://www.tradingview.com/u/peacefulLizard50262/ | 22 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © peacefulLizard50262
//11 wpnr
//@version=5
indicator("True Range Score", "TRS", overlay = false)
length = input.int(20, minval=1)
smo = input.bool(false, "Smoothing", inline = "smooth")
sml = input.int(3, "", 2, inline = "smooth")
col_grow_below = input.color(#FFCDD2, "Low Color", inline = "low")
col_fall_below = input.color(#FF5252, "", inline = "low")
col_fall_above = input.color(#B2DFDB, "High Color", inline = "high")
col_grow_above = input.color(#26A69A, "", inline = "high")
src = close
tr = ta.rma(high - low, length)
dev = (src - ta.sma(src, length))/tr
hist = smo ? ta.sma(dev, sml) : dev
hist_col = hist >= 0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : (hist[1] < hist ? col_grow_below : col_fall_below)
plot(hist, "Standard Deviation", hist_col, style = plot.style_columns)
plot(hist, "True Range Score", hist_col, style = plot.style_columns)
|
Garman and Kohlhagen (1983) for Currency Options [Loxx] | https://www.tradingview.com/script/43KUMLqw-Garman-and-Kohlhagen-1983-for-Currency-Options-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 8 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Garman and Kohlhagen (1983) for Currency Options [Loxx]",
shorttitle ="GK1983CO [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
nd(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
// DDeltaDvol also known as vanna
GDdeltaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GDdeltaDvol = 0
d1 := (math.log(S / x) + (b + v * v / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDdeltaDvol := -math.exp((b - r) * T) * d2 / v * nd(d1)
GDdeltaDvol
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
// Gamma for the generalized Black and Scholes formula
GGamma(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GGamma = math.exp((b - r) * T) * nd(d1) / (S * v * math.sqrt(T))
GGamma
// GammaP for the generalized Black and Scholes formula
GGammaP(float S, float x, float T, float r, float b, float v)=>
GGammaP = S * GGamma(S, x, T, r, b, v) / 100
GGammaP
// Delta for the generalized Black and Scholes formula
GDelta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GDelta = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GDelta := math.exp((b - r) * T) * cnd.CND1(d1)
else
GDelta := -math.exp((b - r) * T) * cnd.CND1(-d1)
GDelta
// StrikeDelta for the generalized Black and Scholes formula
GStrikeDelta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d2 = 0
float GStrikeDelta = 0
d2 := (math.log(S / x) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GStrikeDelta := -math.exp(-r * T) * cnd.CND1(d2)
else
GStrikeDelta := math.exp(-r * T) * cnd.CND1(-d2)
GStrikeDelta
// Elasticity for the generalized Black and Scholes formula
GElasticity(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
GElasticity = GDelta(CallPutFlag, S, x, T, r, b, v) * S / GBlackScholes(CallPutFlag, S, x, T, r, b, v)
GElasticity
// Risk Neutral Denisty for the generalized Black and Scholes formula
GRiskNeutralDensity(float S, float x, float T, float r, float b, float v)=>
float d2 = 0
d2 := (math.log(S / x) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GRiskNeutralDensity = math.exp(-r * T) * nd(d2) / (x * v * math.sqrt(T))
GRiskNeutralDensity
// Theta for the generalized Black and Scholes formula
GTheta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GTheta = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
GTheta := -S * math.exp((b - r) * T) * nd(d1) * v / (2 * math.sqrt(T)) - (b - r) * S * math.exp((b - r) * T) * cnd.CND1(d1) - r * x * math.exp(-r * T) * cnd.CND1(d2)
else
GTheta := -S * math.exp((b - r) * T) * nd(d1) * v / (2 * math.sqrt(T)) + (b - r) * S * math.exp((b - r) * T) * cnd.CND1(-d1) + r * x * math.exp(-r * T) * cnd.CND1(-d2)
GTheta
// Vega for the generalized Black and Scholes formula
GVega(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GVega = S * math.exp((b - r) * T) * nd(d1) * math.sqrt(T)
GVega
// VegaP for the generalized Black and Scholes formula
GVegaP(float S, float x, float T, float r, float b, float v)=>
GVegaP = v / 10 * GVega(S, x, T, r, b, v)
GVegaP
// DvegaDvol/Vomma for the generalized Black and Scholes formula
GDvegaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDvegaDvol = GVega(S, x, T, r, b, v) * d1 * d2 / v
GDvegaDvol
// Rho for the generalized Black and Scholes formula for all options except futures
GRho(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = (math.log(S / x) + (b + v *v / 2) * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
float GRho = 0
if CallPutFlag == callString
GRho := T * x * math.exp(-r * T) * cnd.CND1(d2)
else
GRho := -T * x * math.exp(-r * T) * cnd.CND1(-d2)
GRho
// Rho for the generalized Black and Scholes formula for Futures option
GRhoFO(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
GRhoFO = -T * GBlackScholes(CallPutFlag, S, x, T, r, 0, v)
GRhoFO
// Rho2/Phi for the generalized Black and Scholes formula
GPhi(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GPhi = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GPhi := -T * S * math.exp((b - r) * T) * cnd.CND1(d1)
else
GPhi := T * S * math.exp((b - r) * T) * cnd.CND1(-d1)
GPhi
// Carry rf sensitivity for the generalized Black and Scholes formula
GCarry(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GCarry = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GCarry := T * S * math.exp((b - r) * T) * cnd.CND1(d1)
else
GCarry := -T * S * math.exp((b - r) * T) * cnd.CND1(-d1)
GCarry
// DgammaDspot/Speed for the generalized Black and Scholes formula
GDgammaDspot(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GDgammaDspot = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GDgammaDspot := -GGamma(S, x, T, r, b, v) * (1 + d1 / (v * math.sqrt(T))) / S
GDgammaDspot
// DgammaDvol/Zomma for the generalized Black and Scholes formula
GDgammaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GDgammaDvol = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDgammaDvol := GGamma(S, x, T, r, b, v) * ((d1 * d2 - 1) / v)
GDgammaDvol
CGBlackScholes(string OutPutFlag, string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float output = 0
float CGBlackScholes = 0
if OutPutFlag == "p" // Value
CGBlackScholes := GBlackScholes(CallPutFlag, S, x, T, r, b, v)
//DELTA GREEKS
else if OutPutFlag == "d" // Delta
CGBlackScholes := GDelta(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "dddv" // DDeltaDvol
CGBlackScholes := GDdeltaDvol(S, x, T, r, b, v) / 100
else if OutPutFlag == "e" // Elasticity
CGBlackScholes := GElasticity(CallPutFlag, S, x, T, r, b, v)
//GAMMA GREEKS
else if OutPutFlag == "g" // Gamma
CGBlackScholes := GGamma(S, x, T, r, b, v)
else if OutPutFlag == "gp" // GammaP
CGBlackScholes := GGammaP(S, x, T, r, b, v)
else if OutPutFlag == "s" // 'DgammaDspot/speed
CGBlackScholes := GDgammaDspot(S, x, T, r, b, v)
else if OutPutFlag == "gv" // 'DgammaDvol/Zomma
CGBlackScholes := GDgammaDvol(S, x, T, r, b, v) / 100
//VEGA GREEKS
else if OutPutFlag == "v" // Vega
CGBlackScholes := GVega(S, x, T, r, b, v) / 100
else if OutPutFlag == "dvdv" // DvegaDvol/Vomma
CGBlackScholes := GDvegaDvol(S, x, T, r, b, v) / 10000
else if OutPutFlag == "vp" // VegaP
CGBlackScholes := GVegaP(S, x, T, r, b, v)
//THETA GREEKS
else if OutPutFlag == "t" // Theta
CGBlackScholes := GTheta(CallPutFlag, S, x, T, r, b, v) / 365
//RATE/CARRY GREEKS
else if OutPutFlag == "r" // Rho
CGBlackScholes := GRho(CallPutFlag, S, x, T, r, b, v) / 100
else if OutPutFlag == "f" // Phi/Rho2
CGBlackScholes := GPhi(CallPutFlag, S, x, T, r, b, v) / 100
//'PROB GREEKS
else if OutPutFlag == "dx" // 'StrikeDelta
CGBlackScholes := GStrikeDelta(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "dxdx" // 'Risk Neutral Density
CGBlackScholes := GRiskNeutralDensity(S, x, T, r, b, v)
CGBlackScholes
gBlackScholesImpVolBisection(string CallPutFlag, float S, float x, float T, float r, float b, float cm)=>
float vLow = 0
float vHigh= 0
float vi = 0
float cLow = 0
float cHigh = 0
float epsilon = 0
int counter = 0
float gBlackScholesImpVolBisection = 0
vLow := 0.005
vHigh := 4
epsilon := 1E-08
cLow := GBlackScholes(CallPutFlag, S, x, T, r, b, vLow)
cHigh := GBlackScholes(CallPutFlag, S, x, T, r, b, vHigh)
vi := vLow + (cm - cLow) * (vHigh - vLow) / (cHigh - cLow)
while math.abs(cm - GBlackScholes(CallPutFlag, S, x, T, r, b, vi)) > epsilon
counter += 1
if counter == 100
gBlackScholesImpVolBisection := 0
break
if GBlackScholes(CallPutFlag, S, x, T, r, b, vi) < cm
vLow := vi
else
vHigh := vi
cLow := GBlackScholes(CallPutFlag, S, x, T, r, b, vLow)
cHigh := GBlackScholes(CallPutFlag, S, x, T, r, b, vHigh)
vi := vLow + (cm - cLow) * (vHigh - vLow) / (cHigh - cLow)
gBlackScholesImpVolBisection := vi
gBlackScholesImpVolBisection
gVega(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GVega = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GVega := S * math.exp((b - r) * T) * nd(d1) * math.sqrt(T)
GVega
gImpliedVolatilityNR(string CallPutFlag, float S, float x, float T, float r, float b, float cm, float epsilon)=>
float vi = 0
float ci = 0
float vegai = 0
float minDiff = 0
float GImpliedVolatilityNR = 0
vi := math.sqrt(math.abs(math.log(S / x) + r * T) * 2 / T)
ci := GBlackScholes(CallPutFlag, S, x, T, r, b, vi)
vegai := gVega(S, x, T, r, b, vi)
minDiff := math.abs(cm - ci)
while math.abs(cm - ci) >= epsilon and math.abs(cm - ci) <= minDiff
vi := vi - (ci - cm) / vegai
ci := GBlackScholes(CallPutFlag, S, x, T, r, b, vi)
vegai := gVega(S, x, T, r, b, vi)
minDiff := math.abs(cm - ci)
if math.abs(cm - ci) < epsilon
GImpliedVolatilityNR := vi
else
GImpliedVolatilityNR := 0
GImpliedVolatilityNR
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float rf = input.float(6., "% Risk-free Rate", group = "Rates Settings") / 100
string rhocmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float frrate = input.float(2., "% Foregin Risk-free Rate", group = "Rates Settings") / 100
string frratecmp = input.string(Annual, "% Foregin Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rhocmpvalue = switch rhocmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float frratecmpvalue = switch frratecmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float spot = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(spot / nz(spot[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(spot / nz(spot[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(rf, rhocmpvalue)
koutb = kouta - convertingToCCRate(frrate, frratecmpvalue)
frratemorph = convertingToCCRate(frrate, frratecmpvalue)
price = CGBlackScholes("p", OpType, spot, K, T, kouta, koutb, v)
Delta = CGBlackScholes("d", OpType, spot, K, T, kouta, koutb, v) * sideout
Elasticity = CGBlackScholes("e", OpType, spot, K, T, kouta, koutb, v) * sideout
Gamma = CGBlackScholes("g", OpType, spot, K, T, kouta, koutb, v) * sideout
DgammaDvol = CGBlackScholes("gv", OpType, spot, K, T, kouta, koutb, v) * sideout
GammaP = CGBlackScholes("gp", OpType, spot, K, T, kouta, koutb, v) * sideout
Vega = CGBlackScholes("v", OpType, spot, K, T, kouta, koutb, v) * sideout
DvegaDvol = CGBlackScholes("dvdv", OpType, spot, K, T, kouta, koutb, v) * sideout
VegaP = CGBlackScholes("vp", OpType, spot, K, T, kouta, koutb, v) * sideout
Theta = CGBlackScholes("t", OpType, spot, K, T, kouta, koutb, v) * sideout
Rho = CGBlackScholes("r", OpType, spot, K, T, kouta, koutb, v) * sideout
PhiRho = CGBlackScholes("f", OpType, spot, K, T, kouta, koutb, v) * sideout
DDeltaDvol = CGBlackScholes("dddv", OpType, spot, K, T, kouta, koutb, v) * sideout
Speed = CGBlackScholes("s", OpType, spot, K, T, kouta, koutb, v) * sideout
DeltaX = CGBlackScholes("dx", OpType, spot, K, T, kouta, koutb, v) * sideout
RiskNeutralDensity = CGBlackScholes("dxdx", OpType, spot, K, T, kouta, koutb, v) * sideout
impvolbi = gBlackScholesImpVolBisection(OpType, spot, K, T, kouta, koutb, price)
impvolnewt = gImpliedVolatilityNR(OpType, spot, K, T, kouta, koutb, price, 0.00001)
var testTable = table.new(position = position.middle_right, columns = 2, rows = 24, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Garman and Kohlhagen (1983) for Currency Options", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(spot, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(rf * 100, "##.##") + "%\n" + "Compounding Type: " + rhocmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Foregin Risk-free: " + str.tostring(frrate * 100, "##.##") + "%\n" + "Compounding Type: " + frratecmp + "\nCC FRRate: " + str.tostring(frratemorph * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Cost of Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 15, text = "Implied Volatility Calculation", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 16, text = "Implied Volatility Bisection: " + str.tostring(impvolbi * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 17, text = "Implied Volatility Newton Raphson: " + str.tostring(impvolnewt * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Forward Price: " + str.tostring(spot * math.exp(koutb * T), format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Price: " + str.tostring(price, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Value %Spot: " + str.tostring(price/spot * 100, format.mintick) + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Analytical Greeks", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "DGammaDvol: " + str.tostring(DgammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Phi/Rho2: " + str.tostring(PhiRho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Delta: " + str.tostring(DeltaX, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Risk Neutral Density: " + str.tostring(RiskNeutralDensity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
BB Signal v2.1 [ABA Invest] | https://www.tradingview.com/script/MUsQbltj/ | abainvest | https://www.tradingview.com/u/abainvest/ | 88 | study | 5 | CC-BY-NC-SA-4.0 | // This work is licensed under a Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) https://creativecommons.org/licenses/by-nc-sa/4.0/
// © abainvest
//@version=5
indicator(shorttitle="BB Signal v2.1 [ABA Invest]", title="BB Signal v2.1 [ABA Invest]", overlay=true)
length = input.int(20, minval=1)
source = close
multiplier = input.float(2, minval=0.001, maxval=50, title="StdDev")
basis = ta.sma(source, length)
bb_deviation = multiplier * ta.stdev(source, length)
upper_band = basis + bb_deviation
lower_band = basis - bb_deviation
offset = 0
p1 = plot(upper_band, "Upper", color=color.navy, offset = offset)
p2 = plot(lower_band, "Lower", color=color.navy, offset = offset)
fill(p1, p2, title = "Background", color=color.rgb(33, 150, 243, 95))
ma1 = ta.sma(close, 1)
ma20 = ta.sma(close, 20)
ema50 = ta.ema(close, 50)
ema200 = ta.ema(close, 200)
plot(ma20, "Mid BB", color=color.navy)
plot(ema50, "Ema 50", color=color.red, display=display.none)
plot(ema200, "Ema 200", color=color.white, display=display.none)
upTrend = ma20 > ema50 and ema50 > ema200 and close > ema200 and close[1] > ema200[1]
downTrend = ma20 < ema50 and ema50 < ema200 and close < ema200 and close[1] < ema200[1]
downCross = ma1 > ema200 and ma1[1] <= ema200[1]
upCross = ma1 < ema200 and ma1[1] >= ema200[1]
buySignal = upTrend and close >= upper_band and close[1] >= upper_band[1] and close >= open and close[1] >= open[1]
sellSignal = downTrend and close <= lower_band and close[1] <= lower_band[1] and close <= open and close[1] <= open[1]
var labelsArr = array.new_label(0)
var labelsString = array.new_string(0)
if (high >= ma20 and downTrend) or downCross
array.push(labelsString, "UP")
if low <= ma20 and upTrend or upCross
array.push(labelsString, "DOWN")
if buySignal
if array.size(labelsString) > 0
prevLabel = array.get(labelsString, math.max(0, array.size(labelsString) -1))
if prevLabel == "DOWN" or prevLabel == "RESET_SELL"
array.push(labelsString, "UP")
array.push(labelsArr, label.new(x = bar_index, y = math.max(high, high[1]), text = "BUY",color = color.green, textcolor = color.white,style = label.style_label_up, size=size.tiny, yloc = yloc.belowbar ))
if array.size(labelsString) <= 0
array.push(labelsString, "UP")
array.push(labelsArr, label.new(x = bar_index, y = math.max(high, high[1]), text = "BUY",color = color.green, textcolor = color.white,style = label.style_label_up, size=size.tiny, yloc = yloc.belowbar ))
if sellSignal
if array.size(labelsString) > 0
prevLabel = array.get(labelsString, math.max(0, array.size(labelsString) -1))
if prevLabel == "UP" or prevLabel == "RESET_BUY"
array.push(labelsString, "DOWN")
array.push(labelsArr, label.new(x = bar_index, y = math.min(low, low[1]), text = "SELL",color = color.red,textcolor = color.white,style = label.style_label_down, size=size.tiny, yloc = yloc.abovebar ))
if array.size(labelsString) <= 0
array.push(labelsString, "DOWN")
array.push(labelsArr, label.new(x = bar_index, y = math.min(low, low[1]), text = "SELL",color = color.red, textcolor = color.white,style = label.style_label_down, size=size.tiny, yloc = yloc.abovebar ))
|
Asay (1982) Margined Futures Option Pricing Model [Loxx] | https://www.tradingview.com/script/W362GSmU-Asay-1982-Margined-Futures-Option-Pricing-Model-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 9 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Asay (1982) Margined Futures Option Pricing Model [Loxx]",
shorttitle ="A1982MFOPM [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
nd(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
// DDeltaDvol also known as vanna
GDdeltaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GDdeltaDvol = 0
d1 := (math.log(S / x) + (b + v * v / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDdeltaDvol := -math.exp((b - r) * T) * d2 / v * nd(d1)
GDdeltaDvol
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
// Gamma for the generalized Black and Scholes formula
GGamma(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GGamma = math.exp((b - r) * T) * nd(d1) / (S * v * math.sqrt(T))
GGamma
// GammaP for the generalized Black and Scholes formula
GGammaP(float S, float x, float T, float r, float b, float v)=>
GGammaP = S * GGamma(S, x, T, r, b, v) / 100
GGammaP
// Delta for the generalized Black and Scholes formula
GDelta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GDelta = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GDelta := math.exp((b - r) * T) * cnd.CND1(d1)
else
GDelta := -math.exp((b - r) * T) * cnd.CND1(-d1)
GDelta
// StrikeDelta for the generalized Black and Scholes formula
GStrikeDelta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d2 = 0
float GStrikeDelta = 0
d2 := (math.log(S / x) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GStrikeDelta := -math.exp(-r * T) * cnd.CND1(d2)
else
GStrikeDelta := math.exp(-r * T) * cnd.CND1(-d2)
GStrikeDelta
// Elasticity for the generalized Black and Scholes formula
GElasticity(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
GElasticity = GDelta(CallPutFlag, S, x, T, r, b, v) * S / GBlackScholes(CallPutFlag, S, x, T, r, b, v)
GElasticity
// Risk Neutral Denisty for the generalized Black and Scholes formula
GRiskNeutralDensity(float S, float x, float T, float r, float b, float v)=>
float d2 = 0
d2 := (math.log(S / x) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GRiskNeutralDensity = math.exp(-r * T) * nd(d2) / (x * v * math.sqrt(T))
GRiskNeutralDensity
// Theta for the generalized Black and Scholes formula
GTheta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GTheta = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
GTheta := -S * math.exp((b - r) * T) * nd(d1) * v / (2 * math.sqrt(T)) - (b - r) * S * math.exp((b - r) * T) * cnd.CND1(d1) - r * x * math.exp(-r * T) * cnd.CND1(d2)
else
GTheta := -S * math.exp((b - r) * T) * nd(d1) * v / (2 * math.sqrt(T)) + (b - r) * S * math.exp((b - r) * T) * cnd.CND1(-d1) + r * x * math.exp(-r * T) * cnd.CND1(-d2)
GTheta
// Vega for the generalized Black and Scholes formula
GVega(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GVega = S * math.exp((b - r) * T) * nd(d1) * math.sqrt(T)
GVega
// VegaP for the generalized Black and Scholes formula
GVegaP(float S, float x, float T, float r, float b, float v)=>
GVegaP = v / 10 * GVega(S, x, T, r, b, v)
GVegaP
// DvegaDvol/Vomma for the generalized Black and Scholes formula
GDvegaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDvegaDvol = GVega(S, x, T, r, b, v) * d1 * d2 / v
GDvegaDvol
// Rho for the generalized Black and Scholes formula for all options except futures
GRho(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = (math.log(S / x) + (b + v *v / 2) * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
float GRho = 0
if CallPutFlag == callString
GRho := T * x * math.exp(-r * T) * cnd.CND1(d2)
else
GRho := -T * x * math.exp(-r * T) * cnd.CND1(-d2)
GRho
// Rho for the generalized Black and Scholes formula for Futures option
GRhoFO(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
GRhoFO = -T * GBlackScholes(CallPutFlag, S, x, T, r, 0, v)
GRhoFO
// Rho2/Phi for the generalized Black and Scholes formula
GPhi(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GPhi = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GPhi := -T * S * math.exp((b - r) * T) * cnd.CND1(d1)
else
GPhi := T * S * math.exp((b - r) * T) * cnd.CND1(-d1)
GPhi
// Carry rf sensitivity for the generalized Black and Scholes formula
GCarry(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GCarry = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GCarry := T * S * math.exp((b - r) * T) * cnd.CND1(d1)
else
GCarry := -T * S * math.exp((b - r) * T) * cnd.CND1(-d1)
GCarry
// DgammaDspot/Speed for the generalized Black and Scholes formula
GDgammaDspot(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GDgammaDspot = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GDgammaDspot := -GGamma(S, x, T, r, b, v) * (1 + d1 / (v * math.sqrt(T))) / S
GDgammaDspot
// DgammaDvol/Zomma for the generalized Black and Scholes formula
GDgammaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GDgammaDvol = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDgammaDvol := GGamma(S, x, T, r, b, v) * ((d1 * d2 - 1) / v)
GDgammaDvol
CGBlackScholes(string OutPutFlag, string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float output = 0
float CGBlackScholes = 0
if OutPutFlag == "p" // Value
CGBlackScholes := GBlackScholes(CallPutFlag, S, x, T, r, b, v)
//DELTA GREEKS
else if OutPutFlag == "d" // Delta
CGBlackScholes := GDelta(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "dddv" // DDeltaDvol
CGBlackScholes := GDdeltaDvol(S, x, T, r, b, v) / 100
else if OutPutFlag == "e" // Elasticity
CGBlackScholes := GElasticity(CallPutFlag, S, x, T, r, b, v)
//GAMMA GREEKS
else if OutPutFlag == "g" // Gamma
CGBlackScholes := GGamma(S, x, T, r, b, v)
else if OutPutFlag == "gp" // GammaP
CGBlackScholes := GGammaP(S, x, T, r, b, v)
else if OutPutFlag == "s" // 'DgammaDspot/speed
CGBlackScholes := GDgammaDspot(S, x, T, r, b, v)
else if OutPutFlag == "gv" // 'DgammaDvol/Zomma
CGBlackScholes := GDgammaDvol(S, x, T, r, b, v) / 100
//VEGA GREEKS
else if OutPutFlag == "v" // Vega
CGBlackScholes := GVega(S, x, T, r, b, v) / 100
else if OutPutFlag == "dvdv" // DvegaDvol/Vomma
CGBlackScholes := GDvegaDvol(S, x, T, r, b, v) / 10000
else if OutPutFlag == "vp" // VegaP
CGBlackScholes := GVegaP(S, x, T, r, b, v)
//THETA GREEKS
else if OutPutFlag == "t" // Theta
CGBlackScholes := GTheta(CallPutFlag, S, x, T, r, b, v) / 365
//RATE/CARRY GREEKS
else if OutPutFlag == "r" // Rho
CGBlackScholes := GRho(CallPutFlag, S, x, T, r, b, v) / 100
else if OutPutFlag == "f" // Phi/Rho2
CGBlackScholes := GPhi(CallPutFlag, S, x, T, r, b, v) / 100
else if OutPutFlag == "fr" // Rho futures option
CGBlackScholes := GRhoFO(CallPutFlag, S, x, T, r, b, v) / 100
//'PROB GREEKS
else if OutPutFlag == "dx" // 'StrikeDelta
CGBlackScholes := GStrikeDelta(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "dxdx" // 'Risk Neutral Density
CGBlackScholes := GRiskNeutralDensity(S, x, T, r, b, v)
CGBlackScholes
gBlackScholesImpVolBisection(string CallPutFlag, float S, float x, float T, float r, float b, float cm)=>
float vLow = 0
float vHigh= 0
float vi = 0
float cLow = 0
float cHigh = 0
float epsilon = 0
int counter = 0
float gBlackScholesImpVolBisection = 0
vLow := 0.005
vHigh := 4
epsilon := 1E-08
cLow := GBlackScholes(CallPutFlag, S, x, T, r, b, vLow)
cHigh := GBlackScholes(CallPutFlag, S, x, T, r, b, vHigh)
vi := vLow + (cm - cLow) * (vHigh - vLow) / (cHigh - cLow)
while math.abs(cm - GBlackScholes(CallPutFlag, S, x, T, r, b, vi)) > epsilon
counter += 1
if counter == 100
gBlackScholesImpVolBisection := 0
break
if GBlackScholes(CallPutFlag, S, x, T, r, b, vi) < cm
vLow := vi
else
vHigh := vi
cLow := GBlackScholes(CallPutFlag, S, x, T, r, b, vLow)
cHigh := GBlackScholes(CallPutFlag, S, x, T, r, b, vHigh)
vi := vLow + (cm - cLow) * (vHigh - vLow) / (cHigh - cLow)
gBlackScholesImpVolBisection := vi
gBlackScholesImpVolBisection
gVega(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GVega = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GVega := S * math.exp((b - r) * T) * nd(d1) * math.sqrt(T)
GVega
gImpliedVolatilityNR(string CallPutFlag, float S, float x, float T, float r, float b, float cm, float epsilon)=>
float vi = 0
float ci = 0
float vegai = 0
float minDiff = 0
float GImpliedVolatilityNR = 0
vi := math.sqrt(math.abs(math.log(S / x) + r * T) * 2 / T)
ci := GBlackScholes(CallPutFlag, S, x, T, r, b, vi)
vegai := gVega(S, x, T, r, b, vi)
minDiff := math.abs(cm - ci)
while math.abs(cm - ci) >= epsilon and math.abs(cm - ci) <= minDiff
vi := vi - (ci - cm) / vegai
ci := GBlackScholes(CallPutFlag, S, x, T, r, b, vi)
vegai := gVega(S, x, T, r, b, vi)
minDiff := math.abs(cm - ci)
if math.abs(cm - ci) < epsilon
GImpliedVolatilityNR := vi
else
GImpliedVolatilityNR := 0
GImpliedVolatilityNR
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float spot = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(spot / nz(spot[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(spot / nz(spot[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
price = CGBlackScholes("p", OpType, spot, K, T, 0, 0, v)
Delta = CGBlackScholes("d", OpType, spot, K, T, 0, 0, v) * sideout
Elasticity = CGBlackScholes("e", OpType, spot, K, T, 0, 0, v) * sideout
Gamma = CGBlackScholes("g", OpType, spot, K, T, 0, 0, v) * sideout
DgammaDvol = CGBlackScholes("gv", OpType, spot, K, T, 0, 0, v) * sideout
GammaP = CGBlackScholes("gp", OpType, spot, K, T, 0, 0, v) * sideout
Vega = CGBlackScholes("v", OpType, spot, K, T, 0, 0, v) * sideout
DvegaDvol = CGBlackScholes("dvdv", OpType, spot, K, T, 0, 0, v) * sideout
VegaP = CGBlackScholes("vp", OpType, spot, K, T, 0, 0, v) * sideout
Theta = CGBlackScholes("t", OpType, spot, K, T, 0, 0, v) * sideout
DDeltaDvol = CGBlackScholes("dddv", OpType, spot, K, T, 0, 0, v) * sideout
Speed = CGBlackScholes("s", OpType, spot, K, T, 0, 0, v) * sideout
DeltaX = CGBlackScholes("dx", OpType, spot, K, T, 0, 0, v) * sideout
RiskNeutralDensity = CGBlackScholes("dxdx", OpType, spot, K, T, 0, 0, v) * sideout
impvolbi = gBlackScholesImpVolBisection(OpType, spot, K, T, 0, 0, price)
impvolnewt = gImpliedVolatilityNR(OpType, spot, K, T, 0, 0, price, 0.00001)
var testTable = table.new(position = position.middle_right, columns = 2, rows = 16, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Asay (1982) Margined Futures Option Pricing Model", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(spot, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Implied Volatility Calculation", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Implied Volatility Bisection: " + str.tostring(impvolbi * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Implied Volatility Newton Raphson: " + str.tostring(impvolnewt * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Price: " + str.tostring(price, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Analytical Greeks", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DgammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Strike Delta: " + str.tostring(DeltaX, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Risk Neutral Density: " + str.tostring(RiskNeutralDensity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Generalized Black-Scholes-Merton on Variance Form [Loxx] | https://www.tradingview.com/script/SHgHh05Y-Generalized-Black-Scholes-Merton-on-Variance-Form-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 10 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Generalized Black-Scholes-Merton on Variance Form [Loxx]",
shorttitle ="GBSMVF [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
nd(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
//The generalized Black and Scholes formula on variance form
GBlackScholesVariance(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GBlackScholesVariance = 0
d1 := (math.log(S / x) + (b + v / 2) * T) / math.sqrt(v * T)
d2 := d1 - math.sqrt(v * T)
if CallPutFlag == callString
GBlackScholesVariance := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
GBlackScholesVariance := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
GBlackScholesVariance
GBlackScholesVarianceNGreeks(string OutPutFlag, string CallPutFlag, float S, float x, float T, float r, float b, float v, float dSin)=>
float dS = 0
dS := 0.01
float GBlackScholesVarianceNGreeks = 0
if OutPutFlag == "p"
GBlackScholesVarianceNGreeks := GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "d" // Delta
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S + dS, x, T, r, b, v)
- GBlackScholesVariance(CallPutFlag, S - dS, x, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "e" // Elasticity
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S + dS, x, T, r, b, v)
- GBlackScholesVariance(CallPutFlag, S - dS, x, T, r, b, v)) / (2 * dS) * S
/ GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "g" // Gamma
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S + dS, x, T, r, b, v)
- 2 * GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v)
+ GBlackScholesVariance(CallPutFlag, S - dS, x, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "gv" // DGammaDvariance
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S + dS, x, T, r, b, v + 0.01)
- 2 * GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v + 0.01)
+ GBlackScholesVariance(CallPutFlag, S - dS, x, T, r, b, v + 0.01)
- GBlackScholesVariance(CallPutFlag, S + dS, x, T, r, b, v - 0.01)
+ 2 * GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v - 0.01)
- GBlackScholesVariance(CallPutFlag, S - dS, x, T, r, b, v - 0.01)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if OutPutFlag == "gp" // GammaP
GBlackScholesVarianceNGreeks := S / 100 * (GBlackScholesVariance(CallPutFlag, S + dS, x, T, r, b, v)
- 2 * GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v)
+ GBlackScholesVariance(CallPutFlag, S - dS, x, T, r, b, v)) / math.pow(dS, 2)
else if OutPutFlag == "dddv" // DDeltaDvariance
GBlackScholesVarianceNGreeks := 1 / (4 * dS * 0.01) * (GBlackScholesVariance(CallPutFlag, S + dS, x, T, r, b, v + 0.01)
- GBlackScholesVariance(CallPutFlag, S + dS, x, T, r, b, v - 0.01)
- GBlackScholesVariance(CallPutFlag, S - dS, x, T, r, b, v + 0.01)
+ GBlackScholesVariance(CallPutFlag, S - dS, x, T, r, b, v - 0.01)) / 100
else if OutPutFlag == "v" // Variance Vega
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v + 0.01)
- GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "vp" // Variance VegaP
GBlackScholesVarianceNGreeks := v / 0.1 * (GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v + 0.01)
- GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v - 0.01)) / 2
else if OutPutFlag == "dvdv" // Variance Dvegavariance
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v + 0.01)
- 2 * GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v)
+ GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v - 0.01))
else if OutPutFlag == "t" // Theta
if T <= (1 / 365)
GBlackScholesVarianceNGreeks := GBlackScholesVariance(CallPutFlag, S, x, 1E-05, r, b, v)
- GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v)
else
GBlackScholesVarianceNGreeks := GBlackScholesVariance(CallPutFlag, S, x, T - 1 / 365, r, b, v)
- GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "r" // Rho
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S, x, T, r + 0.01, b + 0.01, v)
- GBlackScholesVariance(CallPutFlag, S, x, T, r - 0.01, b - 0.01, v)) / 2
else if OutPutFlag == "fr" // Futures options rho
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S, x, T, r + 0.01, 0, v)
- GBlackScholesVariance(CallPutFlag, S, x, T, r - 0.01, 0, v)) / 2
else if OutPutFlag == "f" // Rho2
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S, x, T, r, b - 0.01, v)
- GBlackScholesVariance(CallPutFlag, S, x, T, r, b + 0.01, v)) / 2
else if OutPutFlag == "b" // Carry
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S, x, T, r, b + 0.01, v)
- GBlackScholesVariance(CallPutFlag, S, x, T, r, b - 0.01, v)) / 2
else if OutPutFlag == "s" // Speed
GBlackScholesVarianceNGreeks := 1 / math.pow(dS, 3) * (GBlackScholesVariance(CallPutFlag, S + 2 * dS, x, T, r, b, v)
- 3 * GBlackScholesVariance(CallPutFlag, S + dS, x, T, r, b, v)
+ 3 * GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v)
- GBlackScholesVariance(CallPutFlag, S - dS, x, T, r, b, v))
else if OutPutFlag == "dx" // Strike Delta
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S, x + dS, T, r, b, v)
- GBlackScholesVariance(CallPutFlag, S, x - dS, T, r, b, v)) / (2 * dS)
else if OutPutFlag == "dxdx" // Gamma
GBlackScholesVarianceNGreeks := (GBlackScholesVariance(CallPutFlag, S, x + dS, T, r, b, v)
- 2 * GBlackScholesVariance(CallPutFlag, S, x, T, r, b, v)
+ GBlackScholesVariance(CallPutFlag, S, x - dS, T, r, b, v)) / math.pow(dS, 2)
GBlackScholesVarianceNGreeks
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(100, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float rf = input.float(10., "% Risk-free Rate", group = "Rates Settings") / 100
string rhocmp = input.string(Continuous, "% Risk-free Rate Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float cc = input.float(5., "% Cost of Carry", group = "Rates Settings") / 100
string cccmp = input.string(Continuous, "% Cost of Carry Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(4., "% Variance", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float rhocmpvalue = switch rhocmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float cccmpvalue = switch cccmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float spot = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(spot / nz(spot[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(spot / nz(spot[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(rf, rhocmpvalue)
koutb = convertingToCCRate(cc, cccmpvalue)
price = GBlackScholesVarianceNGreeks("p", OpType, spot, K, T, kouta, koutb, v, na)
Delta = GBlackScholesVarianceNGreeks("d", OpType, spot, K, T, kouta, koutb, v, na) * sideout
Elasticity = GBlackScholesVarianceNGreeks("e", OpType, spot, K, T, kouta, koutb, v, na) * sideout
Gamma = GBlackScholesVarianceNGreeks("g", OpType, spot, K, T, kouta, koutb, v, na) * sideout
DgammaDvol = GBlackScholesVarianceNGreeks("gv", OpType, spot, K, T, kouta, koutb, v, na) * sideout
GammaP = GBlackScholesVarianceNGreeks("gp", OpType, spot, K, T, kouta, koutb, v, na) * sideout
Vega = GBlackScholesVarianceNGreeks("v", OpType, spot, K, T, kouta, koutb, v, na) * sideout
DvegaDvol = GBlackScholesVarianceNGreeks("dvdv", OpType, spot, K, T, kouta, koutb, v, na) * sideout
VegaP = GBlackScholesVarianceNGreeks("vp", OpType, spot, K, T, kouta, koutb, v, na) * sideout
Theta = GBlackScholesVarianceNGreeks("t", OpType, spot, K, T, kouta, koutb, v, na) * sideout
Rho = GBlackScholesVarianceNGreeks("r", OpType, spot, K, T, kouta, koutb, v, na) * sideout
RhoFutures = GBlackScholesVarianceNGreeks("fr", OpType, spot, K, T, kouta, koutb, v, na) * sideout
PhiRho = GBlackScholesVarianceNGreeks("f", OpType, spot, K, T, kouta, koutb, v, na) * sideout
Carry = GBlackScholesVarianceNGreeks("b", OpType, spot, K, T, kouta, koutb, v, na) * sideout
DDeltaDvol = GBlackScholesVarianceNGreeks("dddv", OpType, spot, K, T, kouta, koutb, v, na) * sideout
Speed = GBlackScholesVarianceNGreeks("s", OpType, spot, K, T, kouta, koutb, v, na) * sideout
DeltaX = GBlackScholesVarianceNGreeks("dx", OpType, spot, K, T, kouta, koutb, v, na) * sideout
RiskNeutralDensity = GBlackScholesVarianceNGreeks("dxdx", OpType, spot, K, T, kouta, koutb, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 20, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Generalized Black-Scholes-Merton on Variance form", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(spot, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Risk-free Rate: " + str.tostring(rf * 100, "##.##") + "%\n" + "Compounding Type: " + rhocmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Cost of Carry: " + str.tostring(cc * 100, "##.##") + "%\n" + "Compounding Type: " + cccmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Variance (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Price: " + str.tostring(price, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Numerical Greeks", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvariance: " + str.tostring(DgammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Variance Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "Var-Vomma: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "Variance VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Futures 0ption ρ: " + str.tostring(RhoFutures, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "Phi/Rho : " + str.tostring(PhiRho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Carry : " + str.tostring(Carry, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "DDeltaDvariance: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 18, text = "Strike Delta: " + str.tostring(DeltaX, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 19, text = "Risk Neutral Density: " + str.tostring(RiskNeutralDensity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Samuelson 1965 Option Pricing Formula [Loxx] | https://www.tradingview.com/script/QHFCDFzu-Samuelson-1965-Option-Pricing-Formula-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 10 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Samuelson 1965 Option Pricing Formula [Loxx]",
shorttitle ="S1965OPF [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
nd(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
// DDeltaDvol also known as vanna
GDdeltaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GDdeltaDvol = 0
d1 := (math.log(S / x) + (b + v * v / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDdeltaDvol := -math.exp((b - r) * T) * d2 / v * nd(d1)
GDdeltaDvol
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
// Gamma for the generalized Black and Scholes formula
GGamma(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GGamma = math.exp((b - r) * T) * nd(d1) / (S * v * math.sqrt(T))
GGamma
// GammaP for the generalized Black and Scholes formula
GGammaP(float S, float x, float T, float r, float b, float v)=>
GGammaP = S * GGamma(S, x, T, r, b, v) / 100
GGammaP
// Delta for the generalized Black and Scholes formula
GDelta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GDelta = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GDelta := math.exp((b - r) * T) * cnd.CND1(d1)
else
GDelta := -math.exp((b - r) * T) * cnd.CND1(-d1)
GDelta
// StrikeDelta for the generalized Black and Scholes formula
GStrikeDelta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d2 = 0
float GStrikeDelta = 0
d2 := (math.log(S / x) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GStrikeDelta := -math.exp(-r * T) * cnd.CND1(d2)
else
GStrikeDelta := math.exp(-r * T) * cnd.CND1(-d2)
GStrikeDelta
// Elasticity for the generalized Black and Scholes formula
GElasticity(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
GElasticity = GDelta(CallPutFlag, S, x, T, r, b, v) * S / GBlackScholes(CallPutFlag, S, x, T, r, b, v)
GElasticity
// Risk Neutral Denisty for the generalized Black and Scholes formula
GRiskNeutralDensity(float S, float x, float T, float r, float b, float v)=>
float d2 = 0
d2 := (math.log(S / x) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GRiskNeutralDensity = math.exp(-r * T) * nd(d2) / (x * v * math.sqrt(T))
GRiskNeutralDensity
// Theta for the generalized Black and Scholes formula
GTheta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GTheta = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
GTheta := -S * math.exp((b - r) * T) * nd(d1) * v / (2 * math.sqrt(T)) - (b - r) * S * math.exp((b - r) * T) * cnd.CND1(d1) - r * x * math.exp(-r * T) * cnd.CND1(d2)
else
GTheta := -S * math.exp((b - r) * T) * nd(d1) * v / (2 * math.sqrt(T)) + (b - r) * S * math.exp((b - r) * T) * cnd.CND1(-d1) + r * x * math.exp(-r * T) * cnd.CND1(-d2)
GTheta
// Vega for the generalized Black and Scholes formula
GVega(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GVega = S * math.exp((b - r) * T) * nd(d1) * math.sqrt(T)
GVega
// VegaP for the generalized Black and Scholes formula
GVegaP(float S, float x, float T, float r, float b, float v)=>
GVegaP = v / 10 * GVega(S, x, T, r, b, v)
GVegaP
// DvegaDvol/Vomma for the generalized Black and Scholes formula
GDvegaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDvegaDvol = GVega(S, x, T, r, b, v) * d1 * d2 / v
GDvegaDvol
// Rho for the generalized Black and Scholes formula for all options except futures
GRho(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = (math.log(S / x) + (b + v *v / 2) * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
float GRho = 0
if CallPutFlag == callString
GRho := T * x * math.exp(-r * T) * cnd.CND1(d2)
else
GRho := -T * x * math.exp(-r * T) * cnd.CND1(-d2)
GRho
// Rho for the generalized Black and Scholes formula for Futures option
GRhoFO(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
GRhoFO = -T * GBlackScholes(CallPutFlag, S, x, T, r, 0, v)
GRhoFO
// Rho2/Phi for the generalized Black and Scholes formula
GPhi(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GPhi = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GPhi := -T * S * math.exp((b - r) * T) * cnd.CND1(d1)
else
GPhi := T * S * math.exp((b - r) * T) * cnd.CND1(-d1)
GPhi
// Carry rf sensitivity for the generalized Black and Scholes formula
GCarry(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GCarry = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GCarry := T * S * math.exp((b - r) * T) * cnd.CND1(d1)
else
GCarry := -T * S * math.exp((b - r) * T) * cnd.CND1(-d1)
GCarry
// DgammaDspot/Speed for the generalized Black and Scholes formula
GDgammaDspot(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GDgammaDspot = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GDgammaDspot := -GGamma(S, x, T, r, b, v) * (1 + d1 / (v * math.sqrt(T))) / S
GDgammaDspot
// DgammaDvol/Zomma for the generalized Black and Scholes formula
GDgammaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GDgammaDvol = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDgammaDvol := GGamma(S, x, T, r, b, v) * ((d1 * d2 - 1) / v)
GDgammaDvol
CGBlackScholes(string OutPutFlag, string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float output = 0
float CGBlackScholes = 0
if OutPutFlag == "p" // Value
CGBlackScholes := GBlackScholes(CallPutFlag, S, x, T, r, b, v)
//DELTA GREEKS
else if OutPutFlag == "d" // Delta
CGBlackScholes := GDelta(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "dddv" // DDeltaDvol
CGBlackScholes := GDdeltaDvol(S, x, T, r, b, v) / 100
else if OutPutFlag == "e" // Elasticity
CGBlackScholes := GElasticity(CallPutFlag, S, x, T, r, b, v)
//GAMMA GREEKS
else if OutPutFlag == "g" // Gamma
CGBlackScholes := GGamma(S, x, T, r, b, v)
else if OutPutFlag == "gp" // GammaP
CGBlackScholes := GGammaP(S, x, T, r, b, v)
else if OutPutFlag == "s" // 'DgammaDspot/speed
CGBlackScholes := GDgammaDspot(S, x, T, r, b, v)
else if OutPutFlag == "gv" // 'DgammaDvol/Zomma
CGBlackScholes := GDgammaDvol(S, x, T, r, b, v) / 100
//VEGA GREEKS
else if OutPutFlag == "v" // Vega
CGBlackScholes := GVega(S, x, T, r, b, v) / 100
else if OutPutFlag == "dvdv" // DvegaDvol/Vomma
CGBlackScholes := GDvegaDvol(S, x, T, r, b, v) / 10000
else if OutPutFlag == "vp" // VegaP
CGBlackScholes := GVegaP(S, x, T, r, b, v)
//THETA GREEKS
else if OutPutFlag == "t" // Theta
CGBlackScholes := GTheta(CallPutFlag, S, x, T, r, b, v) / 365
//RATE/CARRY GREEKS
else if OutPutFlag == "r" // Rho
CGBlackScholes := GRho(CallPutFlag, S, x, T, r, b, v) / 100
else if OutPutFlag == "f" // Phi/Rho2
CGBlackScholes := GPhi(CallPutFlag, S, x, T, r, b, v) / 100
else if OutPutFlag == "fr" // Rho futures option
CGBlackScholes := GRhoFO(CallPutFlag, S, x, T, r, b, v) / 100
else if OutPutFlag == "b" // Carry Rho
CGBlackScholes := GCarry(CallPutFlag, S, x, T, r, b, v) / 100
//'PROB GREEKS
else if OutPutFlag == "dx" // 'StrikeDelta
CGBlackScholes := GStrikeDelta(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "dxdx" // 'Risk Neutral Density
CGBlackScholes := GRiskNeutralDensity(S, x, T, r, b, v)
CGBlackScholes
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float rf = input.float(6., "% Average Growth Rate Option", group = "Rates Settings") / 100
string rhocmp = input.string(Continuous, "% Average Growth Rate Option Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float grw = input.float(6., "% Average Growth Rate Share", group = "Rates Settings") / 100
string grwcmp = input.string(Continuous, "% Average Growth Rate Share Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float spot = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(spot / nz(spot[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(spot / nz(spot[1])), histvolper)
float rhocmpvalue = switch rhocmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
float grwcmpvalue = switch grwcmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(rf, rhocmpvalue)
koutb = convertingToCCRate(grw, grwcmpvalue)
price = CGBlackScholes("p", OpType, spot, K, T, kouta, koutb, v)
Delta = CGBlackScholes("d", OpType, spot, K, T, kouta, koutb, v) * sideout
Elasticity = CGBlackScholes("e", OpType, spot, K, T, kouta, koutb, v) * sideout
Gamma = CGBlackScholes("g", OpType, spot, K, T, kouta, koutb, v) * sideout
DgammaDvol = CGBlackScholes("gv", OpType, spot, K, T, kouta, koutb, v) * sideout
GammaP = CGBlackScholes("gp", OpType, spot, K, T, kouta, koutb, v) * sideout
Vega = CGBlackScholes("v", OpType, spot, K, T, kouta, koutb, v) * sideout
DvegaDvol = CGBlackScholes("dvdv", OpType, spot, K, T, kouta, koutb, v) * sideout
VegaP = CGBlackScholes("vp", OpType, spot, K, T, kouta, koutb, v) * sideout
Theta = CGBlackScholes("t", OpType, spot, K, T, kouta, koutb, v) * sideout
RhoExpRoR = CGBlackScholes("r", OpType, spot, K, T, kouta, koutb, v) * sideout
Shgrs = CGBlackScholes("b", OpType, spot, K, T, kouta, koutb, v) * sideout
DDeltaDvol = CGBlackScholes("dddv", OpType, spot, K, T, kouta, koutb, v) * sideout
Speed = CGBlackScholes("s", OpType, spot, K, T, kouta, koutb, v) * sideout
DeltaX = CGBlackScholes("dx", OpType, spot, K, T, kouta, koutb, v) * sideout
StrikeGamma = CGBlackScholes("dxdx", OpType, spot, K, T, kouta, koutb, v) * sideout
var testTable = table.new(position = position.middle_right, columns = 2, rows = 18, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Samuelson 1965 Option Pricing Formula", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(spot, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Average Growth Rate Option: " + str.tostring(rf * 100, "##.##") + "%\n" + "Compounding Type: " + rhocmp + "\nCC Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Average Growth Rate Share: " + str.tostring(grw * 100, "##.##") + "%\n" + "Compounding Type: " + grwcmp + "\nCC Carry: " + str.tostring(koutb * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Price: " + str.tostring(price, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Analytical Greeks", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "DGammaDvol: " + str.tostring(DgammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Option Growth Rate Sensitivity: " + str.tostring(RhoExpRoR, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Share Growth Rate Sensitivity: " + str.tostring(Shgrs, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "Strike Delta: " + str.tostring(DeltaX, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
True Average Period Traded Range | https://www.tradingview.com/script/joBfkIWY-True-Average-Period-Traded-Range/ | priceprophet | https://www.tradingview.com/u/priceprophet/ | 31 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © priceprophet
//@version=5
indicator("True Average Period Traded Range",shorttitle="Orion:TAPTR",precision=4)
masterTrend = 21
APTRvalue = timeframe.period == "12M" ? 10 :
timeframe.period == "M" ? 12 :
timeframe.period == "W" ? 12 :
timeframe.period == "D" ? 21 :
timeframe.period == "240" ? 9 :
timeframe.period == "60" ? 33 :
timeframe.period == "45" ? 9 :
timeframe.period == "30" ? 14 :
timeframe.period == "15" ? 28 :
timeframe.period == "10" ? 42 :
timeframe.period == "5" ? 84 :
timeframe.period == "1" ? 420 : 21
// Bar Type
bt = 0
h0 = math.round(high[0],2)
h1 = math.round(high[1],2)
l0 = math.round(low[0],2)
l1 = math.round(low[1],2)
bt := h0 > h1 and l0 > l1 ? 1 : // HHHL - Bull
h0 < h1 and l0 < l1 ? 2 : // LHLL - Bear
h0 > h1 and l0 < l1 ? 3 : // HHLL - Engulfing
h0 < h1 and l0 > l1 ? 4 : // LHHL - Adjustment
h0 == h1 and l0 > l1 ? 5 : // EHHL
h0 == h1 and l0 < l1 ? 6 : // EHLL
h0 > h1 and l0 == l1 ? 7 : // HHEL
h0 < h1 and l0 == l1 ? 8 : bt // LHEL
currentRange = high - low
currentPercent = (currentRange/close[0])
true_APTR = ta.sma(currentRange, APTRvalue)
consolidation_APTR = true_APTR * .618
percentOfPrice = (true_APTR/close)
consolidation_percentOfPrice = percentOfPrice * .618
meanPercentOfPrice = (percentOfPrice + consolidation_percentOfPrice) / 2
APTRMean = math.avg(true_APTR,consolidation_APTR)
masterTrendMA = ta.sma(close,math.round(masterTrend))
masterTrend_TrendDelta = math.abs((close - masterTrendMA))/true_APTR
D1 = bt == 1 ? h0 - h1 : 0
D2 = bt == 2 ? l1 - l0 : 0
D3 = bt == 3 ? (h0 - h1) + (l1 - l0) : 0
D4 = bt == 4 ? (h1 - h0) + (l0 - l1) : 0
D = D1 + D2 + D3 + D4 // open space - not overlapping
AvgD = ta.sma(D,APTRvalue) // average open space
DPoP = (AvgD/close)
column_color = masterTrend_TrendDelta > 4.236 ? color.red :
masterTrend_TrendDelta > 2.618 ? color.orange :
masterTrend_TrendDelta > 1.618 ? color.yellow :
masterTrend_TrendDelta > .618 ? color.green: color.blue
plot(currentRange,style=plot.style_columns,color=column_color,title='Current Range')
plot(currentPercent,color=column_color,title='Current Range Percent of Price')
plot(true_APTR,color=color.white,title='APTR')
plot(percentOfPrice,color=color.white,title='APTR Percent of Price')
plot(consolidation_APTR,color=color.orange,title='Consolidation APTR')
plot(consolidation_percentOfPrice,color=color.orange,title='Consolidation Percent of Price')
plot(APTRMean,color=color.blue,title='APTR Mean')
plot(meanPercentOfPrice,color=color.blue,title='Mean Percent of Price')
plot(AvgD,color=color.green,title="Free ATR")
plot(DPoP,color=color.green,title="Free ATR Percent of Price")
|
Boness 1964 Option Pricing Formula [Loxx] | https://www.tradingview.com/script/RjLacOHv-Boness-1964-Option-Pricing-Formula-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 10 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Boness 1964 Option Pricing Formula [Loxx]",
shorttitle ="B1964OPF [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
import loxx/cnd/1
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string Continuous = "Continuous"
string PeriodRate = "Period Rate"
string Annual = "Annual"
string SemiAnnual = "Semi-Annual"
string Quaterly = "Quaterly"
string Monthly = "Monthly"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
nd(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
convertingToCCRate(float r, float Compoundings)=>
float ConvertingToCCRate = 0
if Compoundings == 0
ConvertingToCCRate := r
else
ConvertingToCCRate := Compoundings * math.log(1 + r / Compoundings)
ConvertingToCCRate
// DDeltaDvol also known as vanna
GDdeltaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GDdeltaDvol = 0
d1 := (math.log(S / x) + (b + v * v / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDdeltaDvol := -math.exp((b - r) * T) * d2 / v * nd(d1)
GDdeltaDvol
GBlackScholes(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float gBlackScholes = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
gBlackScholes := S * math.exp((b - r) * T) * cnd.CND1(d1) - x * math.exp(-r * T) * cnd.CND1(d2)
else
gBlackScholes := x * math.exp(-r * T) * cnd.CND1(-d2) - S * math.exp((b - r) * T) * cnd.CND1(-d1)
gBlackScholes
// Gamma for the generalized Black and Scholes formula
GGamma(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GGamma = math.exp((b - r) * T) * nd(d1) / (S * v * math.sqrt(T))
GGamma
// GammaP for the generalized Black and Scholes formula
GGammaP(float S, float x, float T, float r, float b, float v)=>
GGammaP = S * GGamma(S, x, T, r, b, v) / 100
GGammaP
// Delta for the generalized Black and Scholes formula
GDelta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GDelta = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GDelta := math.exp((b - r) * T) * cnd.CND1(d1)
else
GDelta := -math.exp((b - r) * T) * cnd.CND1(-d1)
GDelta
// StrikeDelta for the generalized Black and Scholes formula
GStrikeDelta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d2 = 0
float GStrikeDelta = 0
d2 := (math.log(S / x) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GStrikeDelta := -math.exp(-r * T) * cnd.CND1(d2)
else
GStrikeDelta := math.exp(-r * T) * cnd.CND1(-d2)
GStrikeDelta
// Elasticity for the generalized Black and Scholes formula
GElasticity(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
GElasticity = GDelta(CallPutFlag, S, x, T, r, b, v) * S / GBlackScholes(CallPutFlag, S, x, T, r, b, v)
GElasticity
// Risk Neutral Denisty for the generalized Black and Scholes formula
GRiskNeutralDensity(float S, float x, float T, float r, float b, float v)=>
float d2 = 0
d2 := (math.log(S / x) + (b - math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GRiskNeutralDensity = math.exp(-r * T) * nd(d2) / (x * v * math.sqrt(T))
GRiskNeutralDensity
// Theta for the generalized Black and Scholes formula
GTheta(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GTheta = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
if CallPutFlag == callString
GTheta := -S * math.exp((b - r) * T) * nd(d1) * v / (2 * math.sqrt(T)) - (b - r) * S * math.exp((b - r) * T) * cnd.CND1(d1) - r * x * math.exp(-r * T) * cnd.CND1(d2)
else
GTheta := -S * math.exp((b - r) * T) * nd(d1) * v / (2 * math.sqrt(T)) + (b - r) * S * math.exp((b - r) * T) * cnd.CND1(-d1) + r * x * math.exp(-r * T) * cnd.CND1(-d2)
GTheta
// Vega for the generalized Black and Scholes formula
GVega(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GVega = S * math.exp((b - r) * T) * nd(d1) * math.sqrt(T)
GVega
// VegaP for the generalized Black and Scholes formula
GVegaP(float S, float x, float T, float r, float b, float v)=>
GVegaP = v / 10 * GVega(S, x, T, r, b, v)
GVegaP
// DvegaDvol/Vomma for the generalized Black and Scholes formula
GDvegaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDvegaDvol = GVega(S, x, T, r, b, v) * d1 * d2 / v
GDvegaDvol
// Rho for the generalized Black and Scholes formula for all options except futures
GRho(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = (math.log(S / x) + (b + v *v / 2) * T) / (v * math.sqrt(T))
float d2 = d1 - v * math.sqrt(T)
float GRho = 0
if CallPutFlag == callString
GRho := T * x * math.exp(-r * T) * cnd.CND1(d2)
else
GRho := -T * x * math.exp(-r * T) * cnd.CND1(-d2)
GRho
// Rho for the generalized Black and Scholes formula for Futures option
GRhoFO(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
GRhoFO = -T * GBlackScholes(CallPutFlag, S, x, T, r, 0, v)
GRhoFO
// Rho2/Phi for the generalized Black and Scholes formula
GPhi(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GPhi = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GPhi := -T * S * math.exp((b - r) * T) * cnd.CND1(d1)
else
GPhi := T * S * math.exp((b - r) * T) * cnd.CND1(-d1)
GPhi
// Carry rf sensitivity for the generalized Black and Scholes formula
GCarry(string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GCarry = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
if CallPutFlag == callString
GCarry := T * S * math.exp((b - r) * T) * cnd.CND1(d1)
else
GCarry := -T * S * math.exp((b - r) * T) * cnd.CND1(-d1)
GCarry
// DgammaDspot/Speed for the generalized Black and Scholes formula
GDgammaDspot(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GDgammaDspot = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GDgammaDspot := -GGamma(S, x, T, r, b, v) * (1 + d1 / (v * math.sqrt(T))) / S
GDgammaDspot
// DgammaDvol/Zomma for the generalized Black and Scholes formula
GDgammaDvol(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float d2 = 0
float GDgammaDvol = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
d2 := d1 - v * math.sqrt(T)
GDgammaDvol := GGamma(S, x, T, r, b, v) * ((d1 * d2 - 1) / v)
GDgammaDvol
CGBlackScholes(string OutPutFlag, string CallPutFlag, float S, float x, float T, float r, float b, float v)=>
float output = 0
float CGBlackScholes = 0
if OutPutFlag == "p" // Value
CGBlackScholes := GBlackScholes(CallPutFlag, S, x, T, r, b, v)
//DELTA GREEKS
else if OutPutFlag == "d" // Delta
CGBlackScholes := GDelta(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "dddv" // DDeltaDvol
CGBlackScholes := GDdeltaDvol(S, x, T, r, b, v) / 100
else if OutPutFlag == "e" // Elasticity
CGBlackScholes := GElasticity(CallPutFlag, S, x, T, r, b, v)
//GAMMA GREEKS
else if OutPutFlag == "g" // Gamma
CGBlackScholes := GGamma(S, x, T, r, b, v)
else if OutPutFlag == "gp" // GammaP
CGBlackScholes := GGammaP(S, x, T, r, b, v)
else if OutPutFlag == "s" // 'DgammaDspot/speed
CGBlackScholes := GDgammaDspot(S, x, T, r, b, v)
else if OutPutFlag == "gv" // 'DgammaDvol/Zomma
CGBlackScholes := GDgammaDvol(S, x, T, r, b, v) / 100
//VEGA GREEKS
else if OutPutFlag == "v" // Vega
CGBlackScholes := GVega(S, x, T, r, b, v) / 100
else if OutPutFlag == "dvdv" // DvegaDvol/Vomma
CGBlackScholes := GDvegaDvol(S, x, T, r, b, v) / 10000
else if OutPutFlag == "vp" // VegaP
CGBlackScholes := GVegaP(S, x, T, r, b, v)
//THETA GREEKS
else if OutPutFlag == "t" // Theta
CGBlackScholes := GTheta(CallPutFlag, S, x, T, r, b, v) / 365
//RATE/CARRY GREEKS
else if OutPutFlag == "r" // Rho
CGBlackScholes := GRho(CallPutFlag, S, x, T, r, b, v) / 100
else if OutPutFlag == "f" // Phi/Rho2
CGBlackScholes := GPhi(CallPutFlag, S, x, T, r, b, v) / 100
else if OutPutFlag == "fr" // Rho futures option
CGBlackScholes := GRhoFO(CallPutFlag, S, x, T, r, b, v) / 100
//'PROB GREEKS
else if OutPutFlag == "dx" // 'StrikeDelta
CGBlackScholes := GStrikeDelta(CallPutFlag, S, x, T, r, b, v)
else if OutPutFlag == "dxdx" // 'Risk Neutral Density
CGBlackScholes := GRiskNeutralDensity(S, x, T, r, b, v)
CGBlackScholes
gBlackScholesImpVolBisection(string CallPutFlag, float S, float x, float T, float r, float b, float cm)=>
float vLow = 0
float vHigh= 0
float vi = 0
float cLow = 0
float cHigh = 0
float epsilon = 0
int counter = 0
float gBlackScholesImpVolBisection = 0
vLow := 0.005
vHigh := 4
epsilon := 1E-08
cLow := GBlackScholes(CallPutFlag, S, x, T, r, b, vLow)
cHigh := GBlackScholes(CallPutFlag, S, x, T, r, b, vHigh)
vi := vLow + (cm - cLow) * (vHigh - vLow) / (cHigh - cLow)
while math.abs(cm - GBlackScholes(CallPutFlag, S, x, T, r, b, vi)) > epsilon
counter += 1
if counter == 100
gBlackScholesImpVolBisection := 0
break
if GBlackScholes(CallPutFlag, S, x, T, r, b, vi) < cm
vLow := vi
else
vHigh := vi
cLow := GBlackScholes(CallPutFlag, S, x, T, r, b, vLow)
cHigh := GBlackScholes(CallPutFlag, S, x, T, r, b, vHigh)
vi := vLow + (cm - cLow) * (vHigh - vLow) / (cHigh - cLow)
gBlackScholesImpVolBisection := vi
gBlackScholesImpVolBisection
gVega(float S, float x, float T, float r, float b, float v)=>
float d1 = 0
float GVega = 0
d1 := (math.log(S / x) + (b + math.pow(v, 2) / 2) * T) / (v * math.sqrt(T))
GVega := S * math.exp((b - r) * T) * nd(d1) * math.sqrt(T)
GVega
gImpliedVolatilityNR(string CallPutFlag, float S, float x, float T, float r, float b, float cm, float epsilon)=>
float vi = 0
float ci = 0
float vegai = 0
float minDiff = 0
float GImpliedVolatilityNR = 0
vi := math.sqrt(math.abs(math.log(S / x) + r * T) * 2 / T)
ci := GBlackScholes(CallPutFlag, S, x, T, r, b, vi)
vegai := gVega(S, x, T, r, b, vi)
minDiff := math.abs(cm - ci)
while math.abs(cm - ci) >= epsilon and math.abs(cm - ci) <= minDiff
vi := vi - (ci - cm) / vegai
ci := GBlackScholes(CallPutFlag, S, x, T, r, b, vi)
vegai := gVega(S, x, T, r, b, vi)
minDiff := math.abs(cm - ci)
if math.abs(cm - ci) < epsilon
GImpliedVolatilityNR := vi
else
GImpliedVolatilityNR := 0
GImpliedVolatilityNR
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float rf = input.float(6., "% Expected Rate of Return Share", group = "Rates Settings") / 100
string rhocmp = input.string(Continuous, "% Expected Rate of Return Share Compounding Type", options = [Continuous, PeriodRate, Annual, SemiAnnual, Quaterly, Monthly], group = "Rates Settings")
float v = input.float(40., "% Volatility", group = "Rates Settings") / 100
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
string txtsize = input.string("Auto", title = "Expiry Second", options = ["Small", "Normal", "Tiny", "Auto", "Large"], group = "UI Options")
string outsize = switch txtsize
"Small"=> size.small
"Normal"=> size.normal
"Tiny"=> size.tiny
"Auto"=> size.auto
"Large"=> size.large
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float spot = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(spot / nz(spot[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(spot / nz(spot[1])), histvolper)
float rhocmpvalue = switch rhocmp
Continuous=> 0
PeriodRate=> math.max(1 / T, 1)
Annual=> 1
SemiAnnual=> 2
Quaterly=> 4
Monthly=> 12
=> 0
if barstate.islast
sideout = side == "Long" ? 1 : -1
kouta = convertingToCCRate(rf, rhocmpvalue)
price = CGBlackScholes("p", OpType, spot, K, T, kouta, kouta, v)
Delta = CGBlackScholes("d", OpType, spot, K, T, kouta, kouta, v) * sideout
Elasticity = CGBlackScholes("e", OpType, spot, K, T, kouta, kouta, v) * sideout
Gamma = CGBlackScholes("g", OpType, spot, K, T, kouta, kouta, v) * sideout
DgammaDvol = CGBlackScholes("gv", OpType, spot, K, T, kouta, kouta, v) * sideout
GammaP = CGBlackScholes("gp", OpType, spot, K, T, kouta, kouta, v) * sideout
Vega = CGBlackScholes("v", OpType, spot, K, T, kouta, kouta, v) * sideout
DvegaDvol = CGBlackScholes("dvdv", OpType, spot, K, T, kouta, kouta, v) * sideout
VegaP = CGBlackScholes("vp", OpType, spot, K, T, kouta, kouta, v) * sideout
Theta = CGBlackScholes("t", OpType, spot, K, T, kouta, kouta, v) * sideout
RhoExpRoR = CGBlackScholes("r", OpType, spot, K, T, kouta, kouta, v) * sideout
DDeltaDvol = CGBlackScholes("dddv", OpType, spot, K, T, kouta, kouta, v) * sideout
Speed = CGBlackScholes("s", OpType, spot, K, T, kouta, kouta, v) * sideout
DeltaX = CGBlackScholes("dx", OpType, spot, K, T, kouta, kouta, v) * sideout
StrikeGamma = CGBlackScholes("dxdx", OpType, spot, K, T, kouta, kouta, v) * sideout
impvolbi = gBlackScholesImpVolBisection(OpType, spot, K, T, 0, 0, price)
impvolnewt = gImpliedVolatilityNR(OpType, spot, K, T, 0, 0, price, 0.00001)
var testTable = table.new(position = position.middle_right, columns = 2, rows = 18, bgcolor = color.gray, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Boness 1964 Option Pricing Formula", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(spot, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "% Expected Rate of Return Share: " + str.tostring(rf * 100, "##.##") + "%\n" + "Compounding Type: " + rhocmp + "\nCC Growth Rate: " + str.tostring(kouta * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "% Volatility (annual): " + str.tostring(v * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Calculated Values", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Daily Volatility: " + str.tostring(hvolout * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * 100, "##.##") + "%", bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 0, text = "Option Ouputs", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 1, text = "Forward Price: " + str.tostring(spot * math.exp(kouta * T), format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 2, text = "Price: " + str.tostring(price, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 3, text = "Analytical Greeks", bgcolor=color.yellow, text_color = color.black, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 4, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 5, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 6, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 7, text = "DGammaDvol: " + str.tostring(DgammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 8, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 9, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 10, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 11, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 12, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 13, text = "Rho Expected Rate of Return: " + str.tostring(RhoExpRoR, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 14, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 15, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 16, text = "Strike Delta: " + str.tostring(DeltaX, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
table.cell(table_id = testTable, column = 1, row = 17, text = "Strike Gamma: " + str.tostring(StrikeGamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = outsize, text_halign = text.align_left)
|
Trapoints | https://www.tradingview.com/script/pm8ZkyKX-Trapoints/ | Sateriok | https://www.tradingview.com/u/Sateriok/ | 57 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © sateriok
//@version=5
indicator("Trapoints", shorttitle = "TP", overlay = true)
//Inputs
show_c = input(true, title = "Display", group = "Traparilla")
i_c_tf = input.timeframe("D", title = "Resolution", options=["D", "W", "M"],
tooltip = "Look at using the weekly resolution if you are on the hourly timeframe or higher.",
group = "Traparilla")
show_f = input(true, title = "Display", group = "Trapanacci")
i_f_tf = input.timeframe("", title = "Resolution", group = "Trapanacci")
//Price Data
//Traparilla
[_close, _low, _high, _open] = request.security(syminfo.tickerid, i_c_tf, [close[1], low[1], high[1], open[1]],
lookahead = barmerge.lookahead_on)
//Trapanacci
[f_close, f_low, f_high, f_open] = request.security(syminfo.tickerid, i_f_tf, [close[1], low[1], high[1], open[1]],
lookahead = barmerge.lookahead_on)
//Colors
c5 = _open != _open[1] ? na : color.red
c4 = _open != _open[1] ? na : color.orange
c3 = _open != _open[1] ? na : color.green
c2 = _open != _open[1] ? na : color.yellow
c1 = _open != _open[1] ? na : color.silver
c0 = _open != _open[1] ? na : color.white
//Floor Pivots
floor_pivot = (_high + _low + _close) / 3
floor_l1 = (floor_pivot * 2) - _high
floor_l2 = floor_pivot - (_high - _low)
floor_l3 = _low - 2 * (_high - floor_pivot)
floor_h1 = (floor_pivot * 2) - _low
floor_h2 = floor_pivot + (_high - _low)
floor_h3 = _high + 2 * (floor_pivot - _low)
//Traparilla Pivots
r = _high - _low
center = (_close)
h1 = _close + r * (1.1 / 12)
h2 = _close + r * (1.1 / 6)
h3 = _close + r * (1.1 / 4)
h4 = _close + r * (1.1 / 2)
h5 = (_high / _low) * _close
l1 = _close - r * (1.1 / 12)
l2 = _close - r * (1.1 / 6)
l3 = _close - r * (1.1 / 4)
l4 = _close - r * (1.1 / 2)
l5 = _close - (h5 - _close)
//Trapanacci Pivots
fib_h5 = floor_pivot + ((_high - _low) * 1.000)
fib_h4 = floor_pivot + ((_high - _low) * 0.786)
fib_h3 = floor_pivot + ((_high - _low) * 0.618)
fib_h2 = floor_pivot + ((_high - _low) * 0.500)
fib_h1 = floor_pivot + ((_high - _low) * 0.382)
fib_l1 = floor_pivot - ((_high - _low) * 0.382)
fib_l2 = floor_pivot - ((_high - _low) * 0.500)
fib_l3 = floor_pivot - ((_high - _low) * 0.618)
fib_l4 = floor_pivot - ((_high - _low) * 0.786)
fib_l5 = floor_pivot - ((_high - _low) * 1.000)
//Traparilla Plots
plot(show_c ? math.round_to_mintick(h5) : na, title = "Traparilla H5", style = plot.style_line, linewidth = 1, color = c5)
plot(show_c ? math.round_to_mintick(h4) : na, title = "Traparilla H4", style = plot.style_line, linewidth = 1, color = c4)
plot(show_c ? math.round_to_mintick(h3) : na, title = "Traparilla H3", style = plot.style_line, linewidth = 2, color = c2)
plot(show_c ? math.round_to_mintick(h2) : na, title = "Traparilla H2", style = plot.style_line, linewidth = 1, color = c3)
plot(show_c ? math.round_to_mintick(h1) : na, title = "Traparilla H1", style = plot.style_line, linewidth = 1, color = c3)
plot(show_c ? math.round_to_mintick(center) : na, title = "Traparilla Central", style = plot.style_line, linewidth = 1, color = c1)
plot(show_c ? math.round_to_mintick(l1) : na, title = "Traparilla L1", style = plot.style_line, linewidth = 1, color = c3)
plot(show_c ? math.round_to_mintick(l2) : na, title = "Traparilla L2", style = plot.style_line, linewidth = 1, color = c3)
plot(show_c ? math.round_to_mintick(l3) : na, title = "Traparilla L3", style = plot.style_line, linewidth = 2, color = c2)
plot(show_c ? math.round_to_mintick(l4) : na, title = "Traparilla L4", style = plot.style_line, linewidth = 1, color = c4)
plot(show_c ? math.round_to_mintick(l5) : na, title = "Traparilla L5", style = plot.style_line, linewidth = 1, color = c5)
//Trapanacci Plots
plot(show_f ? fib_h5 : na, title = "Trapanacci H5", linewidth = 1, style = plot.style_line, color = c3)
plot(show_f ? fib_h4 : na, title = "Trapanacci H4", linewidth = 1, style = plot.style_line, color = c3)
plot(show_f ? fib_h3 : na, title = "Trapanacci H3", linewidth = 1, style = plot.style_line, color = c3)
plot(show_f ? fib_h2 : na, title = "Trapanacci H2", linewidth = 1, style = plot.style_line, color = c3)
plot(show_f ? fib_h1 : na, title = "Trapanacci H1", linewidth = 1, style = plot.style_line, color = c3)
plot(show_f ? floor_pivot : na, title = "Trapanacci Pivot", linewidth = 1, style = plot.style_line, color = c0)
plot(show_f ? fib_l1 : na, title = "Trapanacci L1", linewidth = 1, style = plot.style_line, color = c5)
plot(show_f ? fib_l2 : na, title = "Trapanacci L2", linewidth = 1, style = plot.style_line, color = c5)
plot(show_f ? fib_l3 : na, title = "Trapanacci L3", linewidth = 1, style = plot.style_line, color = c5)
plot(show_f ? fib_l4 : na, title = "Trapanacci L4", linewidth = 1, style = plot.style_line, color = c5)
plot(show_f ? fib_l5 : na, title = "Trapanacci L5", linewidth = 1, style = plot.style_line, color = c5) |
Orion:Supertrend Hybrid | https://www.tradingview.com/script/6rwdyfZ0-Orion-Supertrend-Hybrid/ | priceprophet | https://www.tradingview.com/u/priceprophet/ | 68 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © priceprophet
//@version=5
indicator("Orion:Supertrend Hybrid", overlay=true, timeframe="", timeframe_gaps=true)
len = input.int(title="Length", defval = 12)
atrPeriod = input(10, "ATR Length")
factor = input.float(3.0, "Factor", step = 0.01)
HH = ta.highest(high,len)
LL = ta.lowest(low,len)
[supertrend, direction] = ta.supertrend(factor, atrPeriod)
mean = direction < 0 ? supertrend + (HH - supertrend)/2 : supertrend - (supertrend - LL)/2
bodyMiddle = plot(mean,color=color.yellow) //, display=display.none
upTrend = plot(direction < 0 ? supertrend : na, "Up Trend", color = color.green, style=plot.style_linebr)
downTrend = plot(direction < 0? na : supertrend, "Down Trend", color = color.red, style=plot.style_linebr)
fill(bodyMiddle, upTrend, color.new(color.green, 90), fillgaps=false)
fill(bodyMiddle, downTrend, color.new(color.red, 90), fillgaps=false)
|
Modified Bachelier Option Pricing Model w/ Num. Greeks [Loxx] | https://www.tradingview.com/script/KTT2ddmK-Modified-Bachelier-Option-Pricing-Model-w-Num-Greeks-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 12 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Modified Bachelier Option Pricing Model w/ Num. Greeks [Loxx]",
shorttitle ="MBOPMNG [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
nd(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
// Boole's Rule
Boole(float StartPoint, float EndPoint, int n)=>
float[] X = array.new<float>(n + 1 , 0)
float[] Y = array.new<float>(n + 1 , 0)
float delta_x = (EndPoint - StartPoint) / n
for i = 0 to n
array.set(X, i, StartPoint + i * delta_x)
array.set(Y, i, nd(array.get(X, i)))
float sum = 0
for t = 0 to (n - 1) / 4
int ind = 4 * t
sum += (1 / 45.0) *
(14 * array.get(Y, ind)
+ 64 * array.get(Y, ind + 1)
+ 24 * array.get(Y, ind + 2)
+ 64 * array.get(Y, ind + 3)
+ 14 * array.get(Y, ind + 4))
* delta_x
sum
// N(0,1) cdf by Boole's Rule
cnd(float x)=>
float out = Boole(-10.0, x, 240)
out
// adaptation from Espen Gaarder Haug
// Bachelier original 1900 formula
bachelierModified(string callputflg, float S, float x, float T, float r, float v)=>
float d1 = 0
float d2 = 0
float bachelierModified = 0
d1 := (S - x) / (v * math.sqrt(T))
if callputflg == callString
bachelierModified := S * cnd(d1) - x * math.exp(-r * T) * cnd(d1) + v * math.sqrt(T) * nd(d1)
else
bachelierModified := x * math.exp(-r * T) * cnd(-d1) - S * cnd(-d1) + v * math.sqrt(T) * nd(d1)
bachelierModified
eBachelierModified(string outputflg, string callputflg, float S, float x, float T, float r, float v, float dSin)=>
float dS = 0
if na(dSin)
dS := 0.01
float eBachelierModified = 0
if outputflg == "p" // price
eBachelierModified := bachelierModified(callputflg, S, x, T, r, v)
else if outputflg == "d" // delta
eBachelierModified := (bachelierModified(callputflg, S + dS, x, T, r, v)
- bachelierModified(callputflg, S - dS, x, T, r, v)) / (2 * dS)
else if outputflg == "e" // elasticity
eBachelierModified := (bachelierModified(callputflg, S + dS, x, T, r, v)
- bachelierModified(callputflg, S - dS, x, T, r, v))
/ (2 * dS) * S / bachelierModified(callputflg, S, x, T, r, v)
else if outputflg == "g" // gamma
eBachelierModified := (bachelierModified(callputflg, S + dS, x, T, r, v)
- 2 * bachelierModified(callputflg, S, x, T, r, v)
+ bachelierModified(callputflg, S - dS, x, T, r, v)) / math.pow(dS, 2)
else if outputflg == "gv" //DGammaDVol
eBachelierModified := (bachelierModified(callputflg, S + dS, x, T, r, v + 0.01)
- 2 * bachelierModified(callputflg, S, x, T, r, v + 0.01)
+ bachelierModified(callputflg, S - dS, x, T, r, v + 0.01)
- bachelierModified(callputflg, S + dS, x, T, r, v - 0.01)
+ 2 * bachelierModified(callputflg, S, x, T, r, v - 0.01)
- bachelierModified(callputflg, S - dS, x, T, r, v - 0.01)) / (2 * 0.01 * math.pow(dS, 2)) / 100
else if outputflg == "gp" // GammaP
eBachelierModified := S / 100 * (bachelierModified(callputflg, S + dS, x, T, r, v)
- 2 * bachelierModified(callputflg, S, x, T, r, v)
+ bachelierModified(callputflg, S - dS, x, T, r, v)) / math.pow(dS, 2)
else if outputflg == "tg" // time Gamma
eBachelierModified := (bachelierModified(callputflg, S, x, T + 1 / 365, r, v)
- 2 * bachelierModified(callputflg, S, x, T, r, v)
+ bachelierModified(callputflg, S, x, T - 1 / 365, r, v)) / math.pow(1 / 365, 2)
else if outputflg == "dddv" // DDeltaDvol
eBachelierModified := 1 / (4 * dS * 0.01) * (bachelierModified(callputflg, S + dS, x, T, r, v + 0.01)
- bachelierModified(callputflg, S + dS, x, T, r, v - 0.01)
- bachelierModified(callputflg, S - dS, x, T, r, v + 0.01)
+ bachelierModified(callputflg, S - dS, x, T, r, v - 0.01)) / 100
else if outputflg == "v" // vega
eBachelierModified := (bachelierModified(callputflg, S, x, T, r, v + 0.01)
- bachelierModified(callputflg, S, x, T, r, v - 0.01)) / 2
else if outputflg == "vv" // DvegaDvol/vomma
eBachelierModified := (bachelierModified(callputflg, S, x, T, r, v + 0.01)
- 2 * bachelierModified(callputflg, S, x, T, r, v)
+ bachelierModified(callputflg, S, x, T, r, v - 0.01)) / math.pow(0.01, 2) / 10000
else if outputflg == "vp" // vegap
eBachelierModified := v / 0.1 * (bachelierModified(callputflg, S, x, T, r, v + 0.01)
- bachelierModified(callputflg, S, x, T, r, v - 0.01)) / 2
else if outputflg == "dvdv" // DvegaDvol
eBachelierModified := (bachelierModified(callputflg, S, x, T, r, v + 0.01)
- 2 * bachelierModified(callputflg, S, x, T, r, v)
+ bachelierModified(callputflg, S, x, T, r, v - 0.01))
else if outputflg == "t" // Theta
if T <= (1 / 365)
eBachelierModified := bachelierModified(callputflg, S, x, 1E-05, r, v)
- bachelierModified(callputflg, S, x, T, r, v)
else
eBachelierModified := bachelierModified(callputflg, S, x, T - 1 / 365, r, v)
- bachelierModified(callputflg, S, x, T, r, v)
else if outputflg == "r" // rho
eBachelierModified := (bachelierModified(callputflg, S, x, T, r + 0.01, v)
- bachelierModified(callputflg, S, x, T, r - 0.01, v)) / 2
else if outputflg == "s" // speed
eBachelierModified := 1 / math.pow(dS, 3) * (bachelierModified(callputflg, S + 2 * dS, x, T, r, v)
- 3 * bachelierModified(callputflg, S + dS, x, T, r, v)
+ 3 * bachelierModified(callputflg, S, x, T, r, v)
- bachelierModified(callputflg, S - dS, x, T, r, v))
else if outputflg == "dx" // Strike Delta
eBachelierModified := (bachelierModified(callputflg, S, x + dS, T, r, v)
- bachelierModified(callputflg, S, x - dS, T, r, v)) / (2 * dS)
else if outputflg == "dxdx" // strike gamma
eBachelierModified := (bachelierModified(callputflg, S, x + dS, T, r, v)
- 2 * bachelierModified(callputflg, S, x, T, r, v)
+ bachelierModified(callputflg, S, x - dS, T, r, v)) / math.pow(dS, 2)
eBachelierModified
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float v = input.float(25.6, "Volatility", group = "Volatility Settings", tooltip = "This is volatlity in dollars or whatever currency you choose. This is not a % volatility")
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string rfrtype = input.string("USD", "Option Base Currency", options = ['USD', 'GBP', 'JPY', 'CAD', 'CNH', 'SGD', 'INR', 'AUD', 'SEK', 'NOK', 'DKK'], group = "Risk-free Rate Settings", tooltip = "Automatically pulls 10-year bond yield from corresponding currency")
float rfrman = input.float(3.97, "% Manual Risk-free Rate", group = "Risk-free Rate Settings") / 100
bool usdrsrman = input.bool(false, "Use manual input for Risk-free Rate?", group = "Risk-free Rate Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
string byield = switch rfrtype
"USD"=> 'US10Y'
"GBP"=> 'GB10Y'
"JPY"=> 'US10Y'
"CAD"=> 'CA10Y'
"CNH"=> 'CN10Y'
"SGD"=> 'SG10Y'
"INR"=> 'IN10Y'
"AUD"=> 'AU10Y'
"USEKSD"=> 'SE10Y'
"NOK"=> 'NO10Y'
"DKK"=> 'DK10Y'
=> 'US10Y'
float spot = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(spot / nz(spot[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(spot / nz(spot[1])), histvolper)
float r = usdrsrman ? rfrman : request.security(byield, timeframe.period, close) / 100
if barstate.islast
sideout = side == "Long" ? 1 : -1
price = eBachelierModified("p", OpType, spot, K, T, r, v, na)
Delta = eBachelierModified("d", OpType, spot, K, T, r, v, na) * sideout
Elasticity = eBachelierModified("e", OpType, spot, K, T, r, v, na) * sideout
Gamma = eBachelierModified("g", OpType, spot, K, T, r, v, na) * sideout
DgammaDvol = eBachelierModified("gv", OpType, spot, K, T, r, v, na) * sideout
GammaP = eBachelierModified("gp", OpType, spot, K, T, r, v, na) * sideout
Vega = eBachelierModified("v", OpType, spot, K, T, r, v, na) * sideout
DvegaDvol = eBachelierModified("dvdv", OpType, spot, K, T, r, v, na) * sideout
VegaP = eBachelierModified("vp", OpType, spot, K, T, r, v, na) * sideout
Theta = eBachelierModified("t", OpType, spot, K, T, r, v, na) * sideout
DDeltaDvol = eBachelierModified("dddv", OpType, spot, K, T, r, v, na) * sideout
Rho = eBachelierModified("r", OpType, spot, K, T, r, v, na) * sideout
Speed = eBachelierModified("s", OpType, spot, K, T, r, v, na) * sideout
DeltaX = eBachelierModified("dx", OpType, spot, K, T, r, v, na) * sideout
GammaX = eBachelierModified("dxdx", OpType, spot, K, T, r, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 1, rows = 31, bgcolor = color.yellow, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Modified Bachelier Option Pricing Model", bgcolor=color.yellow, text_color = color.black, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(spot, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "Volatility in currency (annual): " + str.tostring(v, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "Risk-free Rate Type: " + rfrtype , bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Risk-free Rate: " + str.tostring(r * 100, "##.##") + "% ", bgcolor=darkGreenColor, text_color = color.white, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Calculated Values (in currency)", bgcolor=color.yellow, text_color = color.black, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Hist. Daily Volatility: " + str.tostring(hvolout * spot, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * spot, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Price", bgcolor=color.yellow, text_color = color.black, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 15, text = "Price: " + str.tostring(price, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 16, text = "Numerical Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 17, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 18, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 19, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 20, text = "DGammaDvol: " + str.tostring(DgammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 21, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 22, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 23, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 24, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 25, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 26, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 27, text = "Rho ρ: " + str.tostring(Rho, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 28, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 29, text = "Strike Delta: " + str.tostring(DeltaX, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 30, text = "Strike Gamma: " + str.tostring(GammaX, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left) |
Bachelier 1900 Option Pricing Model w/ Numerical Greeks [Loxx] | https://www.tradingview.com/script/NIVdMK6Y-Bachelier-1900-Option-Pricing-Model-w-Numerical-Greeks-Loxx/ | loxx | https://www.tradingview.com/u/loxx/ | 15 | study | 5 | MPL-2.0 | // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx
//@version=5
indicator("Bachelier 1900 Option Pricing Model w/ Numerical Greeks [Loxx]",
shorttitle ="B1900OPMNG [Loxx]",
overlay = true,
max_lines_count = 500, precision = 4)
if not timeframe.isdaily
runtime.error("Error: Invald timeframe. Indicator only works on daily timeframe.")
import loxx/loxxexpandedsourcetypes/4
color darkGreenColor = #1B7E02
string callString = "Call"
string putString = "Put"
string rogersatch = "Roger-Satchell"
string parkinson = "Parkinson"
string c2c = "Close-to-Close"
string gkvol = "Garman-Klass"
string gkzhvol = "Garman-Klass-Yang-Zhang"
string ewmavolstr = "Exponential Weighted Moving Average"
string timtoolbar= "Time Now = Current time in UNIX format. It is the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970."
string timtoolnow = "Time Bar = The time function returns the UNIX time of the current bar for the specified timeframe and session or NaN if the time point is out of session."
string timetooltrade = "Trading Day = The beginning time of the trading day the current bar belongs to, in UNIX format (the number of milliseconds that have elapsed since 00:00:00 UTC, 1 January 1970)."
ewmavol(float src, int per) =>
float lambda = (per - 1) / (per + 1)
float temp = na
temp := lambda * nz(temp[1], math.pow(src, 2)) + (1.0 - lambda) * math.pow(src, 2)
out = math.sqrt(temp)
out
rogerssatchel(int per) =>
float sum = math.sum(math.log(high/ close) * math.log(high / open)
+ math.log(low / close) * math.log(low / open), per) / per
float out = math.sqrt(sum)
out
closetoclose(float src, int per) =>
float avg = ta.sma(src, per)
array<float> sarr = array.new<float>(per, 0)
for i = 0 to per - 1
array.set(sarr, i, math.pow(nz(src[i]) - avg, 2))
float out = math.sqrt(array.sum(sarr) / (per - 1))
out
parkinsonvol(int per)=>
float volConst = 1.0 / (4.0 * per * math.log(2))
float sum = volConst * math.sum(math.pow(math.log(high / low), 2), per)
float out = math.sqrt(sum)
out
garmanKlass(int per)=>
float hllog = math.log(high / low)
float oplog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(hllog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(oplog, 2), per)
float sum = parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
gkyzvol(int per)=>
float gzkylog = math.log(open / nz(close[1]))
float pklog = math.log(high / low)
float gklog = math.log(close / open)
float garmult = (2 * math.log(2) - 1)
float gkyzsum = 1 / per * math.sum(math.pow(gzkylog, 2), per)
float parkinsonsum = 1 / (2 * per) * math.sum(math.pow(pklog, 2), per)
float garmansum = garmult / per * math.sum(math.pow(gklog, 2), per)
float sum = gkyzsum + parkinsonsum - garmansum
float devpercent = math.sqrt(sum)
devpercent
nd(float x)=>
float out = math.exp(-x * x * 0.5) / math.sqrt(2 * math.pi)
out
// Boole's Rule
Boole(float StartPoint, float EndPoint, int n)=>
float[] X = array.new<float>(n + 1 , 0)
float[] Y = array.new<float>(n + 1 , 0)
float delta_x = (EndPoint - StartPoint) / n
for i = 0 to n
array.set(X, i, StartPoint + i * delta_x)
array.set(Y, i, nd(array.get(X, i)))
float sum = 0
for t = 0 to (n - 1) / 4
int ind = 4 * t
sum += (1 / 45.0) *
(14 * array.get(Y, ind)
+ 64 * array.get(Y, ind + 1)
+ 24 * array.get(Y, ind + 2)
+ 64 * array.get(Y, ind + 3)
+ 14 * array.get(Y, ind + 4))
* delta_x
sum
// N(0,1) cdf by Boole's Rule
cnd(float x)=>
float out = Boole(-10.0, x, 240)
out
// adaptation from Espen Gaarder Haug
// Bachelier original 1900 formula
bachelier(string callputflg, float S, float x, float T, float v)=>
float d1 = 0
float d2 = 0
d1 := (S - x) / (v * math.sqrt(T))
float bachelier = 0
if callputflg == callString
bachelier := (S - x) * cnd(d1) + v * math.sqrt(T) * nd(d1)
else
bachelier := (x - S) * cnd(-d1) + v * math.sqrt(T) * nd(d1)
bachelier
eBachelier(string outputflg, string callputflg, float S, float x, float T, float v, float dSin)=>
float eBachelier = 0
float dS = 0
if na(dSin)
dS := 0.01
if outputflg == "p" // price
eBachelier := bachelier(callputflg, S, x, T, v)
else if outputflg == "d" // delta
eBachelier := (bachelier(callputflg, S + dS, x, T, v) - bachelier(callputflg, S - dS, x, T, v)) / (2 * dS)
else if outputflg == "e" // elasticity
eBachelier := (bachelier(callputflg, S + dS, x, T, v)
- bachelier(callputflg, S - dS, x, T, v))
/ (2 * dS) * S / bachelier(callputflg, S, x, T, v)
else if outputflg == "g" // gamma
eBachelier := (bachelier(callputflg, S + dS, x, T, v) - 2 * bachelier(callputflg, S, x, T, v) + bachelier(callputflg, S - dS, x, T, v)) / math.pow(dS, 2)
else if outputflg == "gv" // DGammaDVol
eBachelier := (bachelier(callputflg, S + dS, x, T, v + 0.01)
- 2 * bachelier(callputflg, S, x, T, v + 0.01)
+ bachelier(callputflg, S - dS, x, T, v + 0.01)
- bachelier(callputflg, S + dS, x, T, v - 0.01)
+ 2 * bachelier(callputflg, S, x, T, v - 0.01)
- bachelier(callputflg, S - dS, x, T, v - 0.01)) / (2 * 0.01 * dS * dS) / 100
else if outputflg == "gp" // GammaP
eBachelier := S / 100 * (bachelier(callputflg, S + dS, x, T, v)
- 2 * bachelier(callputflg, S, x, T, v)
+ bachelier(callputflg, S - dS, x, T, v)) / math.pow(dS ,2)
else if outputflg == "tg" // time Gamma
eBachelier := (bachelier(callputflg, S, x, T + 1 / 365, v)
- 2 * bachelier(callputflg, S, x, T, v)
+ bachelier(callputflg, S, x, T - 1 / 365, v)) / math.pow((1 / 365), 2)
else if outputflg == "dddv" // DvegaDvol
eBachelier := 1 / (4 * dS * 0.01) * (bachelier(callputflg, S + dS, x, T, v + 0.01)
- bachelier(callputflg, S + dS, x, T, v - 0.01)
- bachelier(callputflg, S - dS, x, T, v + 0.01)
+ bachelier(callputflg, S - dS, x, T, v - 0.01)) / 100
else if outputflg == "v" // vega
eBachelier := (bachelier(callputflg, S, x, T, v + 0.01)
- bachelier(callputflg, S, x, T, v - 0.01)) / 2
else if outputflg == "vv" // DvegaDvol/vomma
eBachelier := (bachelier(callputflg, S, x, T, v + 0.01)
- 2 * bachelier(callputflg, S, x, T, v)
+ bachelier(callputflg, S, x, T, v - 0.01)) / math.pow(0.01, 2) / 10000
else if outputflg == "vp" // VegaP
eBachelier := v / 0.1 * (bachelier(callputflg, S, x, T, v + 0.01)
- bachelier(callputflg, S, x, T, v - 0.01)) / 2
else if outputflg == "dvdv" // DvegaDvol
eBachelier := (bachelier(callputflg, S, x, T, v + 0.01)
- 2 * bachelier(callputflg, S, x, T, v)
+ bachelier(callputflg, S, x, T, v - 0.01))
else if outputflg == "t" // Theta
if T <= (1 / 365)
eBachelier := bachelier(callputflg, S, x, 1E-05, v)
- bachelier(callputflg, S, x, T, v)
else
eBachelier := bachelier(callputflg, S, x, T - 1 / 365, v)
- bachelier(callputflg, S, x, T, v)
else if outputflg == "s" // speed
eBachelier := 1 / math.pow(dS, 3) * (bachelier(callputflg, S + 2 * dS, x, T, v)
- 3 * bachelier(callputflg, S + dS, x, T, v)
+ 3 * bachelier(callputflg, S, x, T, v)
- bachelier(callputflg, S - dS, x, T, v))
else if outputflg == "dx" // strike delta
eBachelier := (bachelier(callputflg, S, x + dS, T, v)
- bachelier(callputflg, S, x - dS, T, v)) / (2 * dS)
else if outputflg == "dxdx" // strike gamma
eBachelier := (bachelier(callputflg, S, x + dS, T, v)
- 2 * bachelier(callputflg, S, x, T, v)
+ bachelier(callputflg, S, x - dS, T, v)) / math.pow(dS, 2)
eBachelier
smthtype = input.string("Kaufman", "Heikin-Ashi Better Caculation Type", options = ["AMA", "T3", "Kaufman"], group = "Spot Price Settings")
srcin = input.string("Close", "Spot Price", group= "Spot Price Settings",
options =
["Close", "Open", "High", "Low", "Median", "Typical", "Weighted", "Average", "Average Median Body", "Trend Biased", "Trend Biased (Extreme)",
"HA Close", "HA Open", "HA High", "HA Low", "HA Median", "HA Typical", "HA Weighted", "HA Average", "HA Average Median Body", "HA Trend Biased", "HA Trend Biased (Extreme)",
"HAB Close", "HAB Open", "HAB High", "HAB Low", "HAB Median", "HAB Typical", "HAB Weighted", "HAB Average", "HAB Average Median Body", "HAB Trend Biased", "HAB Trend Biased (Extreme)"])
float K = input.float(275, "Strike Price", group = "Basic Settings")
string OpType = input.string(callString, "Option type", options = [callString, putString], group = "Basic Settings")
string side = input.string("Long", "Side", options = ["Long", "Short"], group = "Basic Settings")
float v = input.float(25.6, "Volatility", group = "Volatility Settings", tooltip = "This is volatlity in dollars or whatever currency you choose. This is not a % volatility")
int histvolper = input.int(22, "Historical Volatility Period", group = "Historical Volatility Settings", tooltip = "Not used in calculation. This is here for comparison to implied volatility")
string hvoltype = input.string(c2c, "Historical Volatility Type", options = [c2c, gkvol, gkzhvol, rogersatch, ewmavolstr, parkinson], group = "Historical Volatility Settings")
string timein = input.string("Time Now", title = "Time Now Type", options = ["Time Now", "Time Bar", "Trading Day"], group = "Time Intrevals", tooltip = timtoolnow + "; " + timtoolbar + "; " + timetooltrade)
int daysinyear = input.int(252, title = "Days in Year", minval = 1, maxval = 365, group = "Time Intrevals", tooltip = "Typically 252 or 365")
float hoursinday = input.float(24, title = "Hours Per Day", minval = 1, maxval = 24, group = "Time Intrevals", tooltip = "Typically 6.5, 8, or 24")
int thruMonth = input.int(3, title = "Expiry Month", minval = 1, maxval = 12, group = "Expiry Date/Time")
int thruDay = input.int(31, title = "Expiry Day", minval = 1, maxval = 31, group = "Expiry Date/Time")
int thruYear = input.int(2023, title = "Expiry Year", minval = 1970, group = "Expiry Date/Time")
int mins = input.int(0, title = "Expiry Minute", minval = 0, maxval = 60, group = "Expiry Date/Time")
int hours = input.int(9, title = "Expiry Hour", minval = 0, maxval = 24, group = "Expiry Date/Time")
int secs = input.int(0, title = "Expiry Second", minval = 0, maxval = 60, group = "Expiry Date/Time")
// seconds per year given inputs above
int spyr = math.round(daysinyear * hoursinday * 60 * 60)
// precision calculation miliseconds in time intreval from time equals now
start = timein == "Time Now" ? timenow : timein == "Time Bar" ? time : time_tradingday
finish = timestamp(thruYear, thruMonth, thruDay, hours, mins, secs)
temp = (finish - start)
float T = (finish - start) / spyr / 1000
kfl=input.float(0.666, title="* Kaufman's Adaptive MA (KAMA) Only - Fast End", group = "Moving Average Inputs")
ksl=input.float(0.0645, title="* Kaufman's Adaptive MA (KAMA) Only - Slow End", group = "Moving Average Inputs")
amafl = input.int(2, title="* Adaptive Moving Average (AMA) Only - Fast", group = "Moving Average Inputs")
amasl = input.int(30, title="* Adaptive Moving Average (AMA) Only - Slow", group = "Moving Average Inputs")
haclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)
haopen = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open)
hahigh = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, high)
halow = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, low)
hamedian = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hl2)
hatypical = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlc3)
haweighted = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, hlcc4)
haaverage = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, ohlc4)
float spot = switch srcin
"Close" => loxxexpandedsourcetypes.rclose()
"Open" => loxxexpandedsourcetypes.ropen()
"High" => loxxexpandedsourcetypes.rhigh()
"Low" => loxxexpandedsourcetypes.rlow()
"Median" => loxxexpandedsourcetypes.rmedian()
"Typical" => loxxexpandedsourcetypes.rtypical()
"Weighted" => loxxexpandedsourcetypes.rweighted()
"Average" => loxxexpandedsourcetypes.raverage()
"Average Median Body" => loxxexpandedsourcetypes.ravemedbody()
"Trend Biased" => loxxexpandedsourcetypes.rtrendb()
"Trend Biased (Extreme)" => loxxexpandedsourcetypes.rtrendbext()
"HA Close" => loxxexpandedsourcetypes.haclose(haclose)
"HA Open" => loxxexpandedsourcetypes.haopen(haopen)
"HA High" => loxxexpandedsourcetypes.hahigh(hahigh)
"HA Low" => loxxexpandedsourcetypes.halow(halow)
"HA Median" => loxxexpandedsourcetypes.hamedian(hamedian)
"HA Typical" => loxxexpandedsourcetypes.hatypical(hatypical)
"HA Weighted" => loxxexpandedsourcetypes.haweighted(haweighted)
"HA Average" => loxxexpandedsourcetypes.haaverage(haaverage)
"HA Average Median Body" => loxxexpandedsourcetypes.haavemedbody(haclose, haopen)
"HA Trend Biased" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HA Trend Biased (Extreme)" => loxxexpandedsourcetypes.hatrendb(haclose, haopen, hahigh, halow)
"HAB Close" => loxxexpandedsourcetypes.habclose(smthtype, amafl, amasl, kfl, ksl)
"HAB Open" => loxxexpandedsourcetypes.habopen(smthtype, amafl, amasl, kfl, ksl)
"HAB High" => loxxexpandedsourcetypes.habhigh(smthtype, amafl, amasl, kfl, ksl)
"HAB Low" => loxxexpandedsourcetypes.hablow(smthtype, amafl, amasl, kfl, ksl)
"HAB Median" => loxxexpandedsourcetypes.habmedian(smthtype, amafl, amasl, kfl, ksl)
"HAB Typical" => loxxexpandedsourcetypes.habtypical(smthtype, amafl, amasl, kfl, ksl)
"HAB Weighted" => loxxexpandedsourcetypes.habweighted(smthtype, amafl, amasl, kfl, ksl)
"HAB Average" => loxxexpandedsourcetypes.habaverage(smthtype, amafl, amasl, kfl, ksl)
"HAB Average Median Body" => loxxexpandedsourcetypes.habavemedbody(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased" => loxxexpandedsourcetypes.habtrendb(smthtype, amafl, amasl, kfl, ksl)
"HAB Trend Biased (Extreme)" => loxxexpandedsourcetypes.habtrendbext(smthtype, amafl, amasl, kfl, ksl)
=> haclose
float hvolout = switch hvoltype
parkinson => parkinsonvol(histvolper)
rogersatch => rogerssatchel(histvolper)
c2c => closetoclose(math.log(spot / nz(spot[1])), histvolper)
gkvol => garmanKlass(histvolper)
gkzhvol => gkyzvol(histvolper)
ewmavolstr => ewmavol(math.log(spot / nz(spot[1])), histvolper)
if barstate.islast
sideout = side == "Long" ? 1 : -1
price = eBachelier("p", OpType, spot, K, T, v, na)
Delta = eBachelier("d", OpType, spot, K, T, v, na) * sideout
Elasticity = eBachelier("e", OpType, spot, K, T, v, na) * sideout
Gamma = eBachelier("g", OpType, spot, K, T, v, na) * sideout
DgammaDvol = eBachelier("gv", OpType, spot, K, T, v, na) * sideout
GammaP = eBachelier("gp", OpType, spot, K, T, v, na) * sideout
Vega = eBachelier("v", OpType, spot, K, T, v, na) * sideout
DvegaDvol = eBachelier("dvdv", OpType, spot, K, T, v, na) * sideout
VegaP = eBachelier("vp", OpType, spot, K, T, v, na) * sideout
Theta = eBachelier("t", OpType, spot, K, T, v, na) * sideout
DDeltaDvol = eBachelier("dddv", OpType, spot, K, T, v, na) * sideout
Speed = eBachelier("s", OpType, spot, K, T, v, na) * sideout
DeltaX = eBachelier("dx", OpType, spot, K, T, v, na) * sideout
GammaX = eBachelier("dxdx", OpType, spot, K, T, v, na) * sideout
var testTable = table.new(position = position.middle_right, columns = 1, rows = 28, bgcolor = color.yellow, border_width = 1)
table.cell(table_id = testTable, column = 0, row = 0, text = "Bachelier 1900 Option Pricing Model", bgcolor=color.yellow, text_color = color.black, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 1, text = "Option Type: " + OpType, bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 2, text = "Side: " + side , bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 3, text = "Spot Price: " + str.tostring(spot, format.mintick) , bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 4, text = "Strike Price: " + str.tostring(K, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 5, text = "Volatility in currency (annual): " + str.tostring(v, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 6, text = "Time Now: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", timenow), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 7, text = "Expiry Date: " + str.format("{0,date,MMMM dd, yyyy - HH:mm:ss}", finish), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 8, text = "Calculated Values (in currency)", bgcolor=color.yellow, text_color = color.black, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 9, text = "Hist. Volatility Type: " + hvoltype, bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 10, text = "Hist. Daily Volatility: " + str.tostring(hvolout * spot, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 11, text = "Hist. Annualized Volatility: " + str.tostring(hvolout * math.sqrt(daysinyear) * spot, "##.##"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 12, text = "Price", bgcolor=color.yellow, text_color = color.black, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 13, text = "Price: " + str.tostring(price, format.mintick), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 14, text = "Numerical Option Sensitivities", bgcolor=color.yellow, text_color = color.black, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 15, text = "Delta Δ: " + str.tostring(Delta, "##.#####"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 16, text = "Elasticity Λ: " + str.tostring(Elasticity, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 17, text = "Gamma Γ: " + str.tostring(Gamma, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 18, text = "DGammaDvol: " + str.tostring(DgammaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 19, text = "GammaP Γ: " + str.tostring(GammaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 20, text = "Vega: " + str.tostring(Vega, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 21, text = "DVegaDvol: " + str.tostring(DvegaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 22, text = "VegaP: " + str.tostring(VegaP, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 23, text = "Theta Θ (1 day): " + str.tostring(Theta, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 24, text = "DDeltaDvol: " + str.tostring(DDeltaDvol, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 25, text = "Speed: " + str.tostring(Speed, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 26, text = "Strike Delta: " + str.tostring(DeltaX, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left)
table.cell(table_id = testTable, column = 0, row = 27, text = "Strike Gamma: " + str.tostring(GammaX, "##.########"), bgcolor=darkGreenColor, text_color = color.white, text_size = size.normal, text_halign = text.align_left) |
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