Beta , also known as the Beta coefficient, is a measure that compares the volatility of an individual underlying or portfolio to the volatility of the entire market, typically represented by a market index like the S&P 500 or an investible product such as the SPY ETF (SPDR S&P 500 ETF Trust). A Beta value provides insight into how an asset's returns are expected...
📊 Quantitative Risk Navigator - Your Financial Performance GPS Navigate the complexities of financial markets with confidence using the Quantitative Risk Navigator. This indicator provides you with a comprehensive dashboard to assess and understand the risk and performance of your chosen asset. 📈 Key Features: Alpha and Beta Analysis: Uncover the...
This script offers in-depth Z-Score analytics on price and volume for 200 symbols. Utilizing visualizations such as scatter plots, histograms, and heatmaps, it enables traders to uncover potential trade opportunities, discern market dynamics, pinpoint outliers, delve into the relationship between price and volume, and much more. A Z-Score is a statistical...
This indicator visualizes the cumulative percentage changes or returns of 30 symbols over a given period and offers a unique set of tools and data analytics for deeper insight into the performance of different assets. Multi Asset Performance indicator (also called “Spaghetti”) makes it easy to monitor the changes in Price, Open Interest, and On Balance Volume...
The Alpha Beta Gamma Indicator is a technical analysis tool that uses the lowest and highest prices over a specified period to calculate three values - alpha, beta, and gamma. Alpha represents the percentage change from the lowest price over the period, beta represents the percentage change from the highest price over the period, and gamma represents the position...
Capital Asset Pricing Model (CAPM) demonstrates how to calculate the Cost of Equity for an underlying asset using Pine Script. This script will only work on the monthly timeframe. While you can change the default inputs, you should study what CAPM is and how this works before doing so. This indicator pulls various types of data from SPY from various timeframes...
Market Beta/Beta Coefficient for CAPM is not so much an indicator as it is a value to be used in future indicators to forecast stock prices using the Capital Asset Pricing Model, CAPM. CAPM is used by the likes of value investors such as Warren Buffet and valuation/accounting/investment banking firms. More specifically, CAPM is typically used in Discounted...
VARS 2.0 (Volatility Adapted Relative Strength) Basically, my VARS 2.0 indicator uses a stock's alpha in comparison to the SPX to determine whether there is relative strength on an volatility adjusted basis. The idea for this indicator owes quite obviously to Matt Caruso . In this indicator I combine his Alpha Bars indicator with my interpretation...
BETA (β) value is a risk index, which is used to measure the price fluctuations of individual stocks or mutual funds relative to the entire stock market. The higher the β value, the greater the volatility of the stock phase on the performance evaluation benchmark, and vice versa. When β = 1, it means that the income and risks of the stock are consistent with the...
Beta is a measure of an asset's volatility relative to the market (the S&P500 is the most widely used index for this). A beta of 1 indicates that the asset moves exactly like the market, a beta < 1 indicates that the asset is less volatile than the market, and a beta > 1 means that the asset amplifies market movements. This tool is used to calculate easily the...
The indicator will show the Sectors which are leading or lagging NIFTY50 index based on Alpha & Beta values. Stock selection can be done based on the respective Sectors. Look for alpha & beta values. Prefer one with high beta. Greens are leaders & Blues are lagers. This don't completely indicates a trend, but it can give the overview of a major trend &...
This is a Index Screener which can short list the major Sectors contributing to NIFTY movement that day. This helps in sector based trading, in which we can trade in the stocks which falls under that particular sector. No need to roam around all the stocks in the whole watchlist. It is recommended to create sector wise watchlist of all sectors. It will be easier...
This is a Live Screener for my previous Alpha & Beta indicator, which filters stocks lively based on the given values. Use 5min timeframe for Live Intraday. The default stocks in the screener is selected based on high beta value from F&O listed stocks. It may include other stocks also. User can input stocks of your choice either through the menu or through the...
How to use Alpha(α)? If Alpha is positive the stock outperforms, if the value is negative means the stock underperforms. α < 0: The investment has earned too little for its risk (or, was too risky for the return) α = 0: The investment has earned a return adequate for the risk taken α > 0: The investment has a return in excess of the reward for the assumed risk ...
Beta Coefficient. Defaults: Benchmark = SPX Periods 60 (Monthly -> 5 Years)
Good morning traders! This time I want to share with you a little script that, thanks to the use of arrays, allows you to have interesting statistical and financial insights taken from the symbol on chart and compared to those of another symbol you desire (in this case the metrics taken from the perpetual future ETHUSDT are compared to those taken from the...
Beta value of a stock relative to benchmark index. Thanks to Ricardo Santos for the original script. This script is adapted from it. To understand beta, refer Investopedia link: www.investopedia.com A beta value of 1 means the stock is directly correlated to benchmark index - volatility would be same as overall market. Beta value less than 1 and greater than 0...
Fama-French 3 Factor Model Extension of the Capital Asset Pricing Model (CAPM) CAPM Ra = Rfr + where, Ra = Return of the Asset Rfr = Risk-Free Rate βa = Beta Coefficient of the Asset Rm - Rfr = Market Risk Premium Fama-French 3 Factor r = rf + β1*(rm - rf) + β2(smh) +β3(hml) r = Expected rate of return rf = Risk-free rate ß = Factor’s coefficient...