OPEN-SOURCE SCRIPT
Long-Term Capitulation Oscillator (LTCO, Diodato 2019)
Description:
This script is a faithful implementation of the Long-Term Capitulation Oscillator (LTCO) from Chris Diodato's award-winning 2019 CMT paper, "Making The Most Of Panic". It is a strategic, market-wide breadth and volume oscillator designed to identify major, long-term market bottoms.
What It Is
The LTCO combines long-term moving averages (34, 55, 89, 144, and 233-day) of NYSE advancing/declining issues and up/down volume. It uses a unique "average of averages" method to create a responsive yet strategic long-term indicator. This script plots the raw, un-normalized value as described in the paper, which typically oscillates in the 700-1100 range.
How to Interpret
The LTCO is a strategic tool for identifying potentially significant market turning points.
Extremely Low Readings: Suggest that a long-term period of selling has reached a point of exhaustion, potentially marking a major bear market low or a generational buying opportunity. The paper backtested various thresholds, with values below 950, 925, and especially 875 showing historically strong forward returns over the next 6-24 months.
Overbought/Oversold Lines: The script includes customizable overbought/oversold lines to help you visually identify these critical zones.
Settings
Data Sources: Allows toggling the use of "Unchanged" issues/volume data for the calculation.
Thresholds: You can set the overbought and oversold levels to your preference, based on the paper's findings or your own research.
This script is a faithful implementation of the Long-Term Capitulation Oscillator (LTCO) from Chris Diodato's award-winning 2019 CMT paper, "Making The Most Of Panic". It is a strategic, market-wide breadth and volume oscillator designed to identify major, long-term market bottoms.
What It Is
The LTCO combines long-term moving averages (34, 55, 89, 144, and 233-day) of NYSE advancing/declining issues and up/down volume. It uses a unique "average of averages" method to create a responsive yet strategic long-term indicator. This script plots the raw, un-normalized value as described in the paper, which typically oscillates in the 700-1100 range.
How to Interpret
The LTCO is a strategic tool for identifying potentially significant market turning points.
Extremely Low Readings: Suggest that a long-term period of selling has reached a point of exhaustion, potentially marking a major bear market low or a generational buying opportunity. The paper backtested various thresholds, with values below 950, 925, and especially 875 showing historically strong forward returns over the next 6-24 months.
Overbought/Oversold Lines: The script includes customizable overbought/oversold lines to help you visually identify these critical zones.
Settings
Data Sources: Allows toggling the use of "Unchanged" issues/volume data for the calculation.
Thresholds: You can set the overbought and oversold levels to your preference, based on the paper's findings or your own research.
Script open-source
Dans l'esprit TradingView, le créateur de ce script l'a rendu open source afin que les traders puissent examiner et vérifier ses fonctionnalités. Bravo à l'auteur! Bien que vous puissiez l'utiliser gratuitement, n'oubliez pas que la republication du code est soumise à nos Règles.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.
Script open-source
Dans l'esprit TradingView, le créateur de ce script l'a rendu open source afin que les traders puissent examiner et vérifier ses fonctionnalités. Bravo à l'auteur! Bien que vous puissiez l'utiliser gratuitement, n'oubliez pas que la republication du code est soumise à nos Règles.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.