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Recherche dans les scripts pour "indicators"

Volume Flow Indicator [LazyBear]VFI,introduced by Markos Katsanos, is based on the popular On Balance Volume (OBV) but with three very important modifications: * Unlike the OBV, indicator values are no longer meaningless. Positive readings are bullish and negative bearish. * The calculation is based on the day's median (typical price) instead of the closing price. * A volatility threshold takes into account minimal price changes and another threshold eliminates excessive volume. A simplified interpretation of the VFI is: * Values above zero indicate a bullish state and the crossing of the zero line is the trigger or buy signal. * The strongest signal with all money flow indicators is of course divergence. I have exposed options to plot a signal EMA. All parameters are configurable. Markos suggests using 0.2 coeff for day trading and 0.1 for intra-day. More info: www.precisiontradingsystems.com
Indicateur Pine Script®
par LazyBear
100
Indicator: Relative Volume Indicator & Freedom Of MovementRelative Volume Indicator ------------------------------ RVI is a support-resistance technical indicator developed by Melvin E. Dickover. Unlike many conventional support and resistance indicators, the Relative Volume Indicator takes into account price-volume behavior in order to detect the supply and demand pools. These pools are marked by "Defended Price Lines" (DPLs), also introduced by the author. RVI is usually plotted as a histogram; its bars are highlighted (black, by default) when the volume is unusually large. According to the author, this happens if the indicator value exceeds 2.0, thus signifying that a possible DPL is present. DPLs are horizontal lines that run across the chart at levels defined by following conditions: * Overlapping bars: If the indicator spike (i.e., indicator is above 2.0 or a custom value) corresponds to a price bar overlapping the previous one, the previous close can be used as the DPL value. * Very large bars: If the indicator spike corresponds to a price bar of a large size, use its close price as the DPL value. * Gapping bars: If the indicator spike corresponds to a price bar gapping from the previous bar, the DPL value will depend on the gap size. Small gaps can be ignored: the author suggests using the previous close as the DPL value. When the gap is big, the close of the latter bar is used instead. * Clustering spikes: If the indicator spikes come in clusters, use the extreme close or open price of the bar corresponding to the last or next to last spike in cluster. DPLs can be used as support and resistance levels. In order confirm and refine them, RVI is used along with the FreedomOfMovement indicator discussed next. Freedom of Movement Indicator ------------------------------ FOM is a support-resistance technical indicator, also by Melvin E. Dickover. FOM is the ratio of relative effect (relative price change) to the relative effort (normalized volume), expressed in standard deviations. This value is plotted as a histogram; its bars are highlighted (black, by default( when this ratio is unusually high. These highlighted bars, or "spikes", define the positioning of the DPLs. Suggestions for placing DPLs are the same as for the Relative Volume Indicator discussed above. Note that clustering spikes provide the strongest DPLs while isolated spikes can be used to confirm and refine those provided by the Relative Volume Indicator. Coincidence of spikes of the two indicator can be considered a sign of greater strength of the DPL. More info: S&C magazine, April 2014. I am still trying these on various instruments to understand the workings more. Don't forget to share what you learn -- any use cases / ideal scenarios / gotchas, would love to hear them all.
Indicateur Pine Script®
par LazyBear
25
3 new Indicators - PGO / RAVI / TIIMy "to-publish" list is getting too big, so decided to push out 3 indicators in the same chart Feel free to "make mine" and use :) Leave a comment on what you think. Pretty Good Oscillator ---------------------------------------- This indicator, by Mark Johnson, measures the distance of the current close from its N-day simple moving average, expressed in terms of an average true range (see Average True Range) over a similar period. So for instance a PGO value of +2.5 would mean the current close is 2.5 average days' range above the SMA. Johnson's approach was to use it as a breakout system for longer term trades. If the PGO rises above 3.0 then go long, or below -3.0 then go short, and in both cases exit on returning to zero (which is a close back at the SMA). Indicator marks all these areas (3/-3/0) Rapid Adaptive Variance Indicator --------------------------------------------------------- RAVI is a simple indicator, by Tushar Chande, to show whether a stock is trending or not. Unlike ADX, RAVI measures only the trend intensity, it doesn't distinguish which way the trend is going. Rising RAVI shows the beginning of a trend or an increase in trend intensity, a decreasing slope signifies decreasing intensity. Also, RAVI often reacts more quickly and exhibits a more pronounced curve than ADX. The standard values for daily charts are 7 and 65. For hourly charts, the most common averaging periods are 12 and 72 or 24 and 120. The signal lines suggested are from +/- 0.3% to +/-1%. I haven't added any markings as these signals are instrument-specific. I suggest doing some back testing and adding these accordingly. Trend Intensity Index -------------------------------------- TII, by M. H. Pee, measures the strength of a trend, by looking at what proportion of the past "n" days prices have been above or below the level of today's "x"-day simple moving average. You can configure "n" via options page. "x" is calculated as "2 times n". TII moves between 0 and 100. A strong uptrend is indicated when TII is above 80. A strong downtrend is indicated when TII is below 20. Pee recommended entering trades when levels of 80 on the upside or 20 on the downside are reached. Indicator marks these lines for easy reference.
Indicateur Pine Script®
par LazyBear
22
[2022]Volume Flow v3 with alertsIndicators are an essential part of technical analysis of cryptocurrency. Their main function is to predict market direction based on historic price, cryptocurrency volume and other information. There are several types of crypto indicators illustrating various parameters (trend, volatility, volume, momentum, etc.) but in this article we will look at volume indicators. Volume indicators demonstrate changing of trading volume over time. This information is very useful as crypto trading volume displays how strong the current trend is. For example, if the price goes up and the volume is high then the trend is strong and will more likely last longer. There are various volume indicators, but we’ll talk about the most popular ones, such as: On Balance Volume Accumulation/Distribution Line Money Flow Index Chaikin Oscillator Chaikin Money Flow Ease of Movement
Indicateur Pine Script®
par Peggoy
Gold Option Signals with EMA and RSIIndicators: Exponential Moving Averages (EMAs): Faster to respond to recent price changes compared to simple moving averages. RSI: Measures the magnitude of recent price changes to evaluate overbought or oversold conditions. Signal Generation: Buy Call Signal: Generated when the short EMA crosses above the long EMA and the RSI is not overbought (below 70). Buy Put Signal: Generated when the short EMA crosses below the long EMA and the RSI is not oversold (above 30). Plotting: EMAs: Plotted on the chart to visualize trend directions. Signals: Plotted as shapes on the chart where conditions are met. RSI Background Color: Changes to red for overbought and green for oversold conditions. Steps to Use: Add the Script to TradingView: Open TradingView, go to the Pine Script editor, paste the script, save it, and add it to your chart. Interpret the Signals: Buy Call Signal: Look for green labels below the price bars. Buy Put Signal: Look for red labels above the price bars. Customize Parameters: Adjust the input parameters (e.g., lengths of EMAs, RSI levels) to better fit your trading strategy and market conditions. Testing and Validation To ensure that the script works as expected, you can test it on historical data and validate the signals against known price movements. Adjust the parameters if necessary to improve the accuracy of the signals.
Indicateur Pine Script®
par LunaDogeSaving
1
CCI-RSI MR Indicators: Bollinger Bands (20 period, 2σ) RSI (14 period) and Simple moving average of RSI (5 period) CCI (20 period) SMA (5 period) Entry Conditions: Buy when: Swing low (5) should be lower than the highest of lower BB (3 periods) Both RSI crossover RSI_5 and CCI crossover -100 should have happened within last 3 candles (including the current candle) Once all the above conditions are met, the close should be higher than SMA (5) within the next 3 candles After condition 3 is satisfied, we enter the trade at next candle’s open Stop loss will be at 1 tick lower than previous swing low Sell when: Swing high (5) should be higher than the lowest of upper BB (3 periods) Both RSI crossunder RSI_5 and CCI crossunder 100 should have happened within last 3 candles (including the current candle) Once all the above conditions are met, the close should be lower than SMA (5) within the next 3 candles After condition 3 is satisfied, we enter the trade at next candle’s open Stop loss will be at 1 tick higher than previous swing high Exit Conditions: Since it’s mean reversion strategy we’ll be having only 2 target exits with a trailing stop loss after target price 1 is achieved. Target exit price 1 & 2 are decided based on the risk ‘R’ for each trade Depending on the instrument and time frame a trailing stop loss of 0.5R or 1R has opted. A stop limit is placed @Entry_price +- 2*ATR(20) to offset the risk of losing significantly more than 1xR in a trade
Stratégie Pine Script®
par monikabhay
1
Gaussian Acceleration ArrayIndicators play a role in analyzing price action, trends, and potential reversals. Among many of these, velocity and acceleration have held a significant place due to their ability to provide insight into momentum and rate of change. This indicator takes the old calculation and tweaks it with gaussian smoothing and logarithmic function to ensure proper scaling. A Brief on Velocity and Acceleration: The concept of velocity in trading refers to the speed at which price changes over time, while acceleration is the rate of change(ROC) of velocity. Early momentum indicators like the RSI and MACD laid foundation for understanding price velocity. However, as markets evolve so do we as technical analysts, we seek the most advanced tools. The Acceleration/Deceleration Oscillator, introduced by Bill Williams, was one of the early attempts to measure acceleration. It helped gauge whether the market was gaining or losing momentum. Over time more specific tools like the "Awesome Oscillator"(AO) emerged, which has a set length on the datasets measured. Gaussian Functions: Named after the mathematician Carl Friedrich Gauss, the Gaussian function describes a bell-shaped curve, often referred to as the "normal distribution." In trading these functions are applied to smooth data and reduce noise, focusing on underlying patterns. The Gaussian Acceleration Array leverages this function to create a smoothed representation of market acceleration. How does it work? This indicator calculates acceleration based the highs and lows of each dataset Once the weighted average for velocity is determined, its rate of change essentially becomes the acceleration It then plots multiple lines with customizable variance from the primary selected length Practical Tips: The Gaussian Acceleration Array offers various customizable parameters, including the sample period, smoothing function, and array variance. Experiment with these settings to tailor it to preferred timeframes and styles. The color-coded lines and background zones make it easier to interpret the indicator at a glance. The backgrounds indicate increasing or decreasing momentum simply as a visual aid while the lines state how the velocity average is performing. Combining this with other tools can signal shifts in market dynamics.
Indicateur Pine Script®
par NantzOS
Parabolic Scalp Take Profit[ChartPrime]Indicators can be a great way to signal when the optimal time is for taking profits. However, many indicators are lagging in nature and will get market participants out of their trades at less than optimal price points. This take profit indicator uses the concept of slope and exponential gain to calculate when the optimal time is to take profits on your trades, thus making this a leading indicator. Usage: In essence the indicator will draw a parabolic line that starts from the market participants entry point and exponentially grows the slope of the line eventually intersecting with the price action. When price intersects with the parabolic line a take profit signal will appear in the form of an x. We have found that this take profit indicator is especially useful for scalp trades on lower timeframes. How To Use: Add the indicator to the chart. Click on the candle which the trade is on. Click on either the price which the trade will be at, or at the bottom of the candle in a long, or the top of a candle in a short. Select long or short. Open the settings of the indicator and adjust the aggressiveness to the desired value. Settings: - Start Time -- This is the bar in which your entry will be at, or occured at and the script will ask you to click on the bar with your mouse upon first adding the script. - Start Price -- This is the price in which the entry will be at, or was at and the script will ask you to click on the price with your mouse upon first adding the script. - Long/Short -- This is a setting which lets the script know if it is a long or a short trade, and the script will ask you to confirm this upon first adding it to the chart. - Aggressiveness -- This directly affects how aggressive the exponential curve is. A value of 101 is the lowest possible setting, indicating a very non-aggressive exponential buildup. A value of 200 is the highest and most aggressive setting, indicating a doubling effect per bar on the slope.
Indicateur Pine Script®
par ChartPrime
5
Alson Chew PAM EXE and Mother BarIndicators for strategies taught by Alson Chew's Price Action Manipulation (PAM) course Two functions. First it identifies EXE bars (Pin, Mark, Icecream bars). Second it identifies Mother bars and draws an extension line for 6 bars. Applicable to all time frames and can customise how many signals to show. To be used in conjunction with trading strategies like - 20 SMA, 50 SMA, 200 SMA FS formation - Force Bottom, Force Top FS formation - UR1 and DR1 using EXE Bar
Indicateur Pine Script®
par LimYX
1
ChannellerChanneller Pro - Multi-Pivot Regression Channels with Trend Validation What This Indicator Does Channeller Pro automatically detects and draws price channels by connecting multiple pivot points using linear regression rather than simply connecting two points. The indicator displays parallel support and resistance lines that define the current trend channel, along with an optional mid-line for mean reversion analysis. Channels automatically appear when valid trend conditions are met and disappear when the trend structure breaks, keeping your chart clean and showing only actionable information. --- How It Works (Methodology) 1. Multi-Pivot Linear Regression Unlike simple channel indicators that connect only 2 pivot points, this indicator collects 3-5 pivot lows (for bullish channels) or pivot highs (for bearish channels) and calculates a least-squares linear regression line through them. This produces a statistically best-fit trendline that is more resistant to noise from a single errant pivot. The regression calculation outputs: - Slope: The angle/direction of the trend - Intercept: The starting price level - R² (coefficient of determination): A value from 0 to 1 measuring how well the pivot points align. Higher R² means the pivots form a cleaner, more reliable trendline. The default minimum is 0.70. 2. Higher-Low / Lower-High Pattern Validation For a bullish channel to form, the indicator requires each successive pivot low to be higher than the previous pivot low (the definition of an uptrend). For bearish channels, each pivot high must be lower than the previous (downtrend structure). This filter prevents channels from forming during choppy, non-trending conditions. 3. ADX Trend Strength Filter The indicator calculates the Average Directional Index (ADX) to measure trend strength. Channels only appear when ADX exceeds a user-defined threshold (default: 20). When ADX drops below this level, indicating the trend has weakened, channels automatically disappear. This prevents false channels during sideways/ranging markets. 4. Channel Width Calculation Once the regression support line is established, the indicator finds the highest high (for bull channels) or lowest low (for bear channels) between the first and last pivot. A parallel line is drawn at this distance to form the opposite channel boundary. 5. Channel Respect Monitoring The indicator tracks how price interacts with channel boundaries: - Bounces: Price touches the boundary and reverses - Pierces: Price closes beyond the boundary If price pierces through a channel boundary multiple times, the channel is invalidated and removed, signaling the trend structure has broken. --- How to Use This Indicator Identifying Trends - A green channel (bullish) indicates an uptrend with higher lows - A red channel (bearish) indicates a downtrend with lower highs - The R² value in the label shows channel quality (higher = more reliable) Trading Applications - Trend Following: Trade in the direction of the channel slope - Support/Resistance: Use channel boundaries as potential reaction zones - Mean Reversion: The optional mid-line (dashed) can serve as a target for pullback entries - Breakout Preparation: When a channel disappears, it signals the prior trend structure has ended Reading the Labels - "BULL R²:0.85 (4 pivots)" means a bullish channel with 85% regression fit using 4 pivot points - Orange-colored labels indicate weaker channels (R² between 0.70-0.85) - Green/red labels indicate stronger channels (R² above 0.85) --- Input Settings Explained | Setting | Description | |---------|-------------| | Pivot Lookback Left/Right | Bars required on each side to confirm a pivot high/low | | Min Pivots for Channel | Minimum pivot points required (more = stricter) | | Max Pivots to Track | Maximum pivots stored (older pivots are dropped) | | Min R² Score | Minimum regression quality (0.70 = 70% fit) | | ADX Threshold | Minimum ADX value to show channels (20 = moderate trend) | | Require HL/LH Pattern | Enforce higher-lows for bull, lower-highs for bear | --- What Makes This Different This indicator combines multiple validation layers that work together: 1. Regression vs. 2-point lines: More statistically robust trendlines 2. R² quality scoring: Quantifies how clean the trend structure is 3. Pattern validation: Ensures proper trend structure (HL/LH) 4. ADX filtering: Confirms trend exists before drawing channels 5. Auto-invalidation: Channels disappear when broken, not manually These components create a self-cleaning channel system that only displays high-probability trend channels. --- Alerts Available - Bull/Bear Channel Formed - Bull/Bear Channel Broken - New Pivot High/Low Detected
Indicateur Pine Script®
par RickyTSpanish
Chotkiy Rasklad 1.5Chotkiy Rasklad v1.5 Chotkiy Rasklad v1.5 is a professional-grade Multi-Timeframe (MTF) market scanner designed for precision day trading and scalping. Unlike standard indicators that lag, this system focuses on Confluence . It visualizes the alignment of Price Action, Institutional Trend Filters, and Volatility across 6 timeframes simultaneously (1m to Daily). New in v1.5: Integration of the ADX Color Engine to visually identify trend strength and "Overheated" (Parabolic) states instantly. 🚀 CORE FEATURES MTF Dashboard: A real-time heads-up display monitoring 1m, 5m, 15m, 1h, 4h, and 1D timeframes. Trend Confluence Algorithm: Signals are generated only when Heikin Ashi structure aligns with SMA 200, EMA 200, and VWAP. ADX Volatility Engine: Color-coded ADX cells to filter out chop and highlight extreme momentum. Session Awareness: Automatically flags the "Opening Mess" and specific trading sessions to provide context. No Repainting: All logic is based on confirmed candle states and real-time data. 📊 STRATEGY LOGIC The system uses a strict "Waterfall" logic. A BUY or SELL signal in the "ACTION" row is only generated if ALL the following conditions are met: 1. Institutional Filters (The Bias) To ensure we trade with the "Smart Money," the script checks three key levels: Long Condition: Price > SMA 200 AND Price > EMA 200 AND Price > VWAP. Short Condition: Price < SMA 200 AND Price < EMA 200 AND Price < VWAP. 2. Momentum & Structure (The Trigger) Candle Structure: Requires a sequence of 3 consecutive Heikin Ashi candles (Green for Long, Red for Short) with valid step-up/step-down structures. HARSI Filter: Uses Heikin Ashi RSI to confirm momentum direction (> 50 for Bulls, < 50 for Bears). 3. ADX Volatility Engine (The Safety) The Dashboard displays the raw ADX value with specific background colors to guide your decision: Gray (< 20): NO TRADE ZONE. The market is choppy/consolidating. Signals here are likely fakeouts. Yellow (20 - 25): Waking Up. Volatility is increasing; a trend may be starting. Bright Green (26 - 50): PRIME ZONE. Strong, healthy trend. The best probability for entry. Sky Blue (> 50): EXTREME / PARABOLIC. The trend is overheated. Be cautious of "V-Shape" reversals or exhaustion. 🎯 HOW TO READ THE DASHBOARD The Dashboard is located in the top-right corner. Scan the "ACTION" Row: Look for a column (e.g., 5m or 15m) that says BUY (Green) or SELL (Red). If it says WAIT (Gray), the filters do not align. Verify with ADX: Is the ADX cell below it Green or Yellow? Good. Is it Gray ? Skip the trade. Is it Sky Blue ? Tighten your stop-loss immediately. Check Higher Timeframes: If you are scalping the 5m, ensure the 15m and 1h columns are also colored in your direction. ⚙️ SETTINGS Global Filters: Custom lengths for SMA and EMA (Default: 200). HARSI Settings: Sensitivity of the momentum filter. Time Settings: Define your local Opening/Morning/Evening sessions for the "TIME" row status. Dashboard: Toggle visibility, change size (Tiny/Small/Normal), and adjust vertical/horizontal offsets. ⚠️ DISCLAIMER This tool is for educational and informational purposes only. It does not constitute financial advice. Trading involves significant risk. Always manage your risk appropriately. Past performance is not indicative of future results. © 2026 Sergei Seivach
Indicateur Pine Script®
par sseyvach
T-Theory - by: Terry LaundryThis script is brought to you, via inspiration by trader Marty Schwarz. His book titled Pit Bull is widely available - for free on PDF. He credits Terry Laundry with the T-Theory, also available for free on look-up. Here is a description provided on Gemini AI. T-Theory, developed by Terry Laundry, is a technical analysis methodology based on the principle of Time Symmetry. It posits that the market spends an equal amount of time building up energy (the "Magic T") as it does releasing that energy in a trending move. Here is an objective summary of its core mechanics: 1. The Principle of Symmetry The central law of T-Theory is that the duration of a market's "cash buildup" phase (the left side of the T) will be matched by the duration of the "run" phase (the right side of the T). The Center Post: This represents the peak of a market's internal strength or momentum. The Left Wing: The time from a previous low to the center post. The Right Wing: The projected time from the center post to the end of the new trend. 2. Time over Price Unlike many technical indicators that focus on price targets, T-Theory is almost entirely focused on time targets. It suggests that once a "T" is identified, the trend will persist until the time symmetry is exhausted, regardless of how high or low the price goes during that window. 3. Magic T's and Sub-T's The theory operates on a hierarchical basis: Grand Macro T's: These define long-term secular trends and can span years. Minor T's: These represent shorter-term bursts of momentum within a larger trend. The Law of Proportion: Larger horizontal wings (more time spent consolidating) necessitate larger vertical posts (more significant momentum shifts), creating a visual hierarchy on the chart. 4. Identification via Oscillators While you requested the script focus on price action, Laundry originally identified these "buildup" phases using the McClellan Oscillator. He looked for periods where the oscillator showed "strength" (buildup) followed by a "breakout" from a trendline on the oscillator itself, which marked the center post of the T. Key Visual Characteristics Non-Intersection: In a clean T-Theory setup, the horizontal "wings" represent time spans and should ideally sit above or below the price action to clearly define the period of the trade without being obscured by daily volatility. The Center Post Gap: The vertical post should be near the price data to show the point of origin for the momentum, but it requires enough "room" to remain distinct.
Indicateur Pine Script®
par jas9360
Pro Structure: Precision MSS/BOS & Extended FVG1. Precision Structure Mapping (BOS & MSS) Unlike standard ZigZag indicators that just connect pivots, this script visualizes the exact "Break" point: MSS (Market Structure Shift): Displayed as a Thick Solid Line. This signals a potential trend reversal (e.g., breaking a Lower High in a downtrend). BOS (Break of Structure): Displayed as a Thin Dashed Line. This signals trend continuation in the current direction. Visual Logic: The lines originate exactly from the Swing Pivot and terminate exactly at the candle that closes beyond that pivot, providing instant visual confirmation of the break. 2. Trend-Filtered Fair Value Gaps (FVG) To reduce "Analysis Paralysis," this indicator uses an active trend filter: Bullish Trend: Only Bullish FVGs (Green) are highlighted. Bearish FVGs are hidden to prevent counter-trend confusion. Bearish Trend: Only Bearish FVGs (Red) are highlighted. Extended Zones: FVG boxes are automatically projected forward (default: 5 candles) to help identify immediate entry zones before price returns to them. 3. Clean Aesthetics The chart remains minimal. Labels are non-intrusive, and color coding is strictly defined (Green for Bullish structure/FVGs, Red for Bearish structure/FVGs), allowing for rapid decision-making. Settings Swing Detection Length: Customize the sensitivity of the structure (lower for scalping, higher for macro trends). FVG Extension: Control how far into the future the FVG boxes are drawn. Visuals: Fully customizable colors and label options. This tool is intended to assist in identifying high-probability structural points and aligned entry zones.
Indicateur Pine Script®
par dawitmek11
Advanced Petroleum Market Model (APMM)Advanced Petroleum Market Model (APMM): A Multi-Factor Fundamental Analysis Framework for Oil Market Assessment ## 1. Introduction The petroleum market represents one of the most complex and globally significant commodity markets, characterized by intricate supply-demand dynamics, geopolitical influences, and substantial price volatility (Hamilton, 2009). Traditional fundamental analysis approaches often struggle to synthesize the multitude of relevant indicators into actionable insights due to data heterogeneity, temporal misalignment, and subjective weighting schemes (Baumeister & Kilian, 2016). The Advanced Petroleum Market Model addresses these limitations through a systematic, quantitative approach that integrates 16 verified fundamental indicators across five critical market dimensions. The model builds upon established financial engineering principles while incorporating petroleum-specific market dynamics and adaptive learning mechanisms. ## 2. Theoretical Framework ### 2.1 Market Efficiency and Information Integration The model operates under the assumption of semi-strong market efficiency, where fundamental information is gradually incorporated into prices with varying degrees of lag (Fama, 1970). The petroleum market's unique characteristics, including storage costs, transportation constraints, and geopolitical risk premiums, create opportunities for fundamental analysis to provide predictive value (Kilian, 2009). ### 2.2 Multi-Factor Asset Pricing Theory Drawing from Ross's (1976) Arbitrage Pricing Theory, the model treats petroleum prices as driven by multiple systematic risk factors. The five-factor decomposition (Supply, Inventory, Demand, Trade, Sentiment) represents economically meaningful sources of systematic risk in petroleum markets (Chen et al., 1986). ## 3. Methodology ### 3.1 Data Sources and Quality Framework The model integrates 16 fundamental indicators sourced from verified TradingView economic data feeds: Supply Indicators: - US Oil Production (ECONOMICS:USCOP) - US Oil Rigs Count (ECONOMICS:USCOR) - API Crude Runs (ECONOMICS:USACR) Inventory Indicators: - US Crude Stock Changes (ECONOMICS:USCOSC) - Cushing Stocks (ECONOMICS:USCCOS) - API Crude Stocks (ECONOMICS:USCSC) - API Gasoline Stocks (ECONOMICS:USGS) - API Distillate Stocks (ECONOMICS:USDS) Demand Indicators: - Refinery Crude Runs (ECONOMICS:USRCR) - Gasoline Production (ECONOMICS:USGPRO) - Distillate Production (ECONOMICS:USDFP) - Industrial Production Index (FRED:INDPRO) Trade Indicators: - US Crude Imports (ECONOMICS:USCOI) - US Oil Exports (ECONOMICS:USOE) - API Crude Imports (ECONOMICS:USCI) - Dollar Index (TVC:DXY) Sentiment Indicators: - Oil Volatility Index (CBOE:OVX) ### 3.2 Data Quality Monitoring System Following best practices in quantitative finance (Lopez de Prado, 2018), the model implements comprehensive data quality monitoring: Data Quality Score = Σ(Individual Indicator Validity) / Total Indicators Where validity is determined by: - Non-null data availability - Positive value validation - Temporal consistency checks ### 3.3 Statistical Normalization Framework #### 3.3.1 Z-Score Normalization The model employs robust Z-score normalization as established by Sharpe (1994) for cross-indicator comparability: Z_i,t = (X_i,t - μ_i) / σ_i Where: - X_i,t = Raw value of indicator i at time t - μ_i = Sample mean of indicator i - σ_i = Sample standard deviation of indicator i Z-scores are capped at ±3 to mitigate outlier influence (Tukey, 1977). #### 3.3.2 Percentile Rank Transformation For intuitive interpretation, Z-scores are converted to percentile ranks following the methodology of Conover (1999): Percentile_Rank = (Number of values < current_value) / Total_observations × 100 ### 3.4 Exponential Smoothing Framework Signal smoothing employs exponential weighted moving averages (Brown, 1963) with adaptive alpha parameter: S_t = α × X_t + (1-α) × S_{t-1} Where α = 2/(N+1) and N represents the smoothing period. ### 3.5 Dynamic Threshold Optimization The model implements adaptive thresholds using Bollinger Band methodology (Bollinger, 1992): Dynamic_Threshold = μ ± (k × σ) Where k is the threshold multiplier adjusted for market volatility regime. ### 3.6 Composite Score Calculation The fundamental score integrates component scores through weighted averaging: Fundamental_Score = Σ(w_i × Score_i × Quality_i) Where: - w_i = Normalized component weight - Score_i = Component fundamental score - Quality_i = Data quality adjustment factor ## 4. Implementation Architecture ### 4.1 Adaptive Parameter Framework The model incorporates regime-specific adjustments based on market volatility: Volatility_Regime = σ_price / μ_price × 100 High volatility regimes (>25%) trigger enhanced weighting for inventory and sentiment components, reflecting increased market sensitivity to supply disruptions and psychological factors. ### 4.2 Data Synchronization Protocol Given varying publication frequencies (daily, weekly, monthly), the model employs forward-fill synchronization to maintain temporal alignment across all indicators. ### 4.3 Quality-Adjusted Scoring Component scores are adjusted for data quality to prevent degraded inputs from contaminating the composite signal: Adjusted_Score = Raw_Score × Quality_Factor + 50 × (1 - Quality_Factor) This formulation ensures that poor-quality data reverts toward neutral (50) rather than contributing noise. ## 5. Usage Guidelines and Best Practices ### 5.1 Configuration Recommendations For Short-term Analysis (1-4 weeks): - Lookback Period: 26 weeks - Smoothing Length: 3-5 periods - Confidence Period: 13 weeks - Increase inventory and sentiment weights For Medium-term Analysis (1-3 months): - Lookback Period: 52 weeks - Smoothing Length: 5-8 periods - Confidence Period: 26 weeks - Balanced component weights For Long-term Analysis (3+ months): - Lookback Period: 104 weeks - Smoothing Length: 8-12 periods - Confidence Period: 52 weeks - Increase supply and demand weights ### 5.2 Signal Interpretation Framework Bullish Signals (Score > 70): - Fundamental conditions favor price appreciation - Consider long positions or reduced short exposure - Monitor for trend confirmation across multiple timeframes Bearish Signals (Score < 30): - Fundamental conditions suggest price weakness - Consider short positions or reduced long exposure - Evaluate downside protection strategies Neutral Range (30-70): - Mixed fundamental environment - Favor range-bound or volatility strategies - Wait for clearer directional signals ### 5.3 Risk Management Considerations 1. Data Quality Monitoring: Continuously monitor the data quality dashboard. Scores below 75% warrant increased caution. 2. Regime Awareness: Adjust position sizing based on volatility regime indicators. High volatility periods require reduced exposure. 3. Correlation Analysis: Monitor correlation with crude oil prices to validate model effectiveness. 4. Fundamental-Technical Divergence: Pay attention when fundamental signals diverge from technical indicators, as this may signal regime changes. ### 5.4 Alert System Optimization Configure alerts conservatively to avoid false signals: - Set alert threshold at 75+ for high-confidence signals - Enable data quality warnings to maintain system integrity - Use trend reversal alerts for early regime change detection ## 6. Model Validation and Performance Metrics ### 6.1 Statistical Validation The model's statistical robustness is ensured through: - Out-of-sample testing protocols - Rolling window validation - Bootstrap confidence intervals - Regime-specific performance analysis ### 6.2 Economic Validation Fundamental accuracy is validated against: - Energy Information Administration (EIA) official reports - International Energy Agency (IEA) market assessments - Commercial inventory data verification ## 7. Limitations and Considerations ### 7.1 Model Limitations 1. Data Dependency: Model performance is contingent on data availability and quality from external sources. 2. US Market Focus: Primary data sources are US-centric, potentially limiting global applicability. 3. Lag Effects: Some fundamental indicators exhibit publication lags that may delay signal generation. 4. Regime Shifts: Structural market changes may require model recalibration. ### 7.2 Market Environment Considerations The model is optimized for normal market conditions. During extreme events (e.g., geopolitical crises, pandemics), additional qualitative factors should be considered alongside quantitative signals. ## References Baumeister, C., & Kilian, L. (2016). Forty years of oil price fluctuations: Why the price of oil may still surprise us. *Journal of Economic Perspectives*, 30(1), 139-160. Bollinger, J. (1992). *Bollinger on Bollinger Bands*. McGraw-Hill. Brown, R. G. (1963). *Smoothing, Forecasting and Prediction of Discrete Time Series*. Prentice-Hall. Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. *Journal of Business*, 59(3), 383-403. Conover, W. J. (1999). *Practical Nonparametric Statistics* (3rd ed.). John Wiley & Sons. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. *Journal of Finance*, 25(2), 383-417. Hamilton, J. D. (2009). Understanding crude oil prices. *Energy Journal*, 30(2), 179-206. Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. *American Economic Review*, 99(3), 1053-1069. Lopez de Prado, M. (2018). *Advances in Financial Machine Learning*. John Wiley & Sons. Ross, S. A. (1976). The arbitrage theory of capital asset pricing. *Journal of Economic Theory*, 13(3), 341-360. Sharpe, W. F. (1994). The Sharpe ratio. *Journal of Portfolio Management*, 21(1), 49-58. Tukey, J. W. (1977). *Exploratory Data Analysis*. Addison-Wesley.
Indicateur Pine Script®
par EdgeTools
Divergences RefurbishedJust as "a butterfly can flap its wings over a flower in China and cause a hurricane in the Caribbean" (Edward Lorenz), small divergences in markets can signal big trading opportunities. █Introduction This is a script forked from LonesomeTheBlue's Divergence for Many Indicators v4. It is a script that checks for divergence between price and many indicators. In this version, I added more indicators and also added 40 symbols to check for divergences. More info on the original script can be found here: █ Improvements The following improvements have been implemented over v4: 1. Added parameters to customize indicators. 2. Added new indicators: - Stoch RSI - Volume Oscillator - PVT (Price Volume Trend) - Ultimate Oscillator - Fisher Transform - Z-Score/T-Score 3. Now there is the possibility of using 2 external indicators. 4. New option to show tooltips inside labels. This allows you to save space on the screen if you choose the option to only show the number of divergences or just the abbreviations. 5. New option to show additional text next to the indicator name. This allows for grouping of indicators and symbols and better visualization, whether through emojis, for example. 6. Added 40 customizable symbols to check for divergences. 7. Option "show only the first letter" of the indicator replaced by: "show the abbreviation of the indicator". Reason: the indicator abbreviation is more informative and easier to read. 8. Script converted to PineScript version 5. █ CONCEPTS Below I present a brief description of the available indicators. 1. Moving Average Convergence/Divergence (MACD): Shows the difference between short-term and long-term exponential moving averages. 2. MACD Histogram: Shows the difference between MACD and its signal line. 3. Relative Strength Index (RSI): Measures the relative strength of recent price gains to recent price losses of an asset. 4. Stochastic Oscillator (Stoch): Compares the current price of an asset to its price range over a specified time period. 5. Stoch RSI: Stochastic of RSI. 6. Commodity Channel Index (CCI): Measures the relationship between an asset's current price and its moving average. 7. Momentum: Shows the difference between the current price and the price a few periods ago. Shows the difference between the current price and the price of a certain period in the past. 8. Chaikin Money Flow (CMF): A variation of A/D that takes into account the daily price variation and weighs trading volume accordingly. Accumulation/Distribution (A/D) identifies buying and selling pressure by tracking the flow of money into and out of an asset based on volume patterns. 9. On-Balance Volume (OBV): Identify divergences between trading volume and an asset's price. Sum of trading volume when the price rises and subtracts volume when the price falls. 10. Money Flow Index (MFI): Measures volume pressure in a range of 0 to 100. Calculates the ratio of volume when the price goes up and when the price goes down. 11. Volume Oscillator (VO): Identify divergences between trading volume and an asset's price. Ratio of change of volume, from a fast period in relation to a long period. 12. Price-Volume Trend (PVT): Identify the strength of an asset's price trend based on its trading volume. Cumulative change in price with volume factor. The PVT calculation is similar to the OBV calculation, but it takes into account the percentage price change multiplied by the current volume, plus the previous PVT value. 13. Ultimate Oscillator (UO): Combines three different time periods to help identify possible reversal points. 14. Fisher Transform (FT): Normalize prices into a Gaussian normal distribution. 15. Z-Score/T-Score: Shows the difference between the current price and the price a few periods ago. I is a statistical measurement that indicates how many standard deviations a data point is from the mean of a data set. When to use t-score instead of z-score? When the sample size is small (length < 30). Here, the use of z-score or t-score is chosen automatically based on the length parameter. █ What to look for The operation is simple. The script checks for divergences between the price and the selected indicators. Now with the possibility of using multiple symbols, it is possible to check divergences between different assets. A well-described view on divergences can be found in this cheat sheet: ◈ Examples with SPY ETF versus indicators: 1. Regular bullish divergence with external indicator: 1. Regular bearish divergence with Fisher Transform: 1. Positive hidden divergence with Momentum indicator: 1. Negative hidden divergence with RSI: ◈ Examples with SPY ETF versus other symbols: 1. Regular bearish divergence with European Stoch Market: 2. Regular bearish divergence with DXY inverted: 3. Regular bullish divergence with Taiwan Dollar: 4. Regular bearish divergence with US10Y (10-Year US Treasury Note): 5. Regular bullish divergence with QQQ ETF (Nasdaq 100): 6. Regular bullish divergence with ARKK ETF (ARK Innovation): 7.Positive hidden divergence with RSP ETF (S&P 500 Equal Weight): 8. Negative hidden divergence with EWZ ETF (Brazil): ◈ Examples with BTCUSD versus other symbols: 1. Regular bearish divergence with BTCUSDLONGS from Bitfinex: 2. Regular bearish divergence with BLOK ETF (Amplify Transformational Data Sharing): 3. Negative hidden divergence with NATGAS (Natural Gas): 4. Positive hidden divergence with TOTALDEFI (Total DeFi Market Cap): █ Conclusion The symbols available to check divergences were chosen in such a way as to cover the main markets, in the most generic way possible. You can adjust them according to your needs. A trader in the American market, for example, could add more ETFs, American stocks, and sectoral indices, such as the XLF (Financial Select Sector SPDR Fund), the XLK (Technology Select Sector SPDR), etc. On the other hand, a cryptocurrency trader could add more currency pairs and sector indicators, such as BTCUSDSHORTS (Bitfinex), USDT.D (Tether Dominance), etc. If the chart becomes too cluttered, you can use the option to show only the number of divergences or only the indicator abbreviations. Or even disable certain indicators and symbols, if they are not of interest to you. I hope this script is useful. Don't forget to support LonesomeTheBlue's work too.
Indicateur Pine Script®
par andre_007
58
Adaptive Investment Timing ModelA COMPREHENSIVE FRAMEWORK FOR SYSTEMATIC EQUITY INVESTMENT TIMING Investment timing represents one of the most challenging aspects of portfolio management, with extensive academic literature documenting the difficulty of consistently achieving superior risk-adjusted returns through market timing strategies (Malkiel, 2003). Traditional approaches typically rely on either purely technical indicators or fundamental analysis in isolation, failing to capture the complex interactions between market sentiment, macroeconomic conditions, and company-specific factors that drive asset prices. The concept of adaptive investment strategies has gained significant attention following the work of Ang and Bekaert (2007), who demonstrated that regime-switching models can substantially improve portfolio performance by adjusting allocation strategies based on prevailing market conditions. Building upon this foundation, the Adaptive Investment Timing Model extends regime-based approaches by incorporating multi-dimensional factor analysis with sector-specific calibrations. Behavioral finance research has consistently shown that investor psychology plays a crucial role in market dynamics, with fear and greed cycles creating systematic opportunities for contrarian investment strategies (Lakonishok, Shleifer & Vishny, 1994). The VIX fear gauge, introduced by Whaley (1993), has become a standard measure of market sentiment, with empirical studies demonstrating its predictive power for equity returns, particularly during periods of market stress (Giot, 2005). LITERATURE REVIEW AND THEORETICAL FOUNDATION The theoretical foundation of AITM draws from several established areas of financial research. Modern Portfolio Theory, as developed by Markowitz (1952) and extended by Sharpe (1964), provides the mathematical framework for risk-return optimization, while the Fama-French three-factor model (Fama & French, 1993) establishes the empirical foundation for fundamental factor analysis. Altman's bankruptcy prediction model (Altman, 1968) remains the gold standard for corporate distress prediction, with the Z-Score providing robust early warning indicators for financial distress. Subsequent research by Piotroski (2000) developed the F-Score methodology for identifying value stocks with improving fundamental characteristics, demonstrating significant outperformance compared to traditional value investing approaches. The integration of technical and fundamental analysis has been explored extensively in the literature, with Edwards, Magee and Bassetti (2018) providing comprehensive coverage of technical analysis methodologies, while Graham and Dodd's security analysis framework (Graham & Dodd, 2008) remains foundational for fundamental evaluation approaches. Regime-switching models, as developed by Hamilton (1989), provide the mathematical framework for dynamic adaptation to changing market conditions. Empirical studies by Guidolin and Timmermann (2007) demonstrate that incorporating regime-switching mechanisms can significantly improve out-of-sample forecasting performance for asset returns. METHODOLOGY The AITM methodology integrates four distinct analytical dimensions through technical analysis, fundamental screening, macroeconomic regime detection, and sector-specific adaptations. The mathematical formulation follows a weighted composite approach where the final investment signal S(t) is calculated as: S(t) = α₁ × T(t) × W_regime(t) + α₂ × F(t) × (1 - W_regime(t)) + α₃ × M(t) + ε(t) where T(t) represents the technical composite score, F(t) the fundamental composite score, M(t) the macroeconomic adjustment factor, W_regime(t) the regime-dependent weighting parameter, and ε(t) the sector-specific adjustment term. Technical Analysis Component The technical analysis component incorporates six established indicators weighted according to their empirical performance in academic literature. The Relative Strength Index, developed by Wilder (1978), receives a 25% weighting based on its demonstrated efficacy in identifying oversold conditions. Maximum drawdown analysis, following the methodology of Calmar (1991), accounts for 25% of the technical score, reflecting its importance in risk assessment. Bollinger Bands, as developed by Bollinger (2001), contribute 20% to capture mean reversion tendencies, while the remaining 30% is allocated across volume analysis, momentum indicators, and trend confirmation metrics. Fundamental Analysis Framework The fundamental analysis framework draws heavily from Piotroski's methodology (Piotroski, 2000), incorporating twenty financial metrics across four categories with specific weightings that reflect empirical findings regarding their relative importance in predicting future stock performance (Penman, 2012). Safety metrics receive the highest weighting at 40%, encompassing Altman Z-Score analysis, current ratio assessment, quick ratio evaluation, and cash-to-debt ratio analysis. Quality metrics account for 30% of the fundamental score through return on equity analysis, return on assets evaluation, gross margin assessment, and operating margin examination. Cash flow sustainability contributes 20% through free cash flow margin analysis, cash conversion cycle evaluation, and operating cash flow trend assessment. Valuation metrics comprise the remaining 10% through price-to-earnings ratio analysis, enterprise value multiples, and market capitalization factors. Sector Classification System Sector classification utilizes a purely ratio-based approach, eliminating the reliability issues associated with ticker-based classification systems. The methodology identifies five distinct business model categories based on financial statement characteristics. Holding companies are identified through investment-to-assets ratios exceeding 30%, combined with diversified revenue streams and portfolio management focus. Financial institutions are classified through interest-to-revenue ratios exceeding 15%, regulatory capital requirements, and credit risk management characteristics. Real Estate Investment Trusts are identified through high dividend yields combined with significant leverage, property portfolio focus, and funds-from-operations metrics. Technology companies are classified through high margins with substantial R&D intensity, intellectual property focus, and growth-oriented metrics. Utilities are identified through stable dividend payments with regulated operations, infrastructure assets, and regulatory environment considerations. Macroeconomic Component The macroeconomic component integrates three primary indicators following the recommendations of Estrella and Mishkin (1998) regarding the predictive power of yield curve inversions for economic recessions. The VIX fear gauge provides market sentiment analysis through volatility-based contrarian signals and crisis opportunity identification. The yield curve spread, measured as the 10-year minus 3-month Treasury spread, enables recession probability assessment and economic cycle positioning. The Dollar Index provides international competitiveness evaluation, currency strength impact assessment, and global market dynamics analysis. Dynamic Threshold Adjustment Dynamic threshold adjustment represents a key innovation of the AITM framework. Traditional investment timing models utilize static thresholds that fail to adapt to changing market conditions (Lo & MacKinlay, 1999). The AITM approach incorporates behavioral finance principles by adjusting signal thresholds based on market stress levels, volatility regimes, sentiment extremes, and economic cycle positioning. During periods of elevated market stress, as indicated by VIX levels exceeding historical norms, the model lowers threshold requirements to capture contrarian opportunities consistent with the findings of Lakonishok, Shleifer and Vishny (1994). USER GUIDE AND IMPLEMENTATION FRAMEWORK Initial Setup and Configuration The AITM indicator requires proper configuration to align with specific investment objectives and risk tolerance profiles. Research by Kahneman and Tversky (1979) demonstrates that individual risk preferences vary significantly, necessitating customizable parameter settings to accommodate different investor psychology profiles. Display Configuration Settings The indicator provides comprehensive display customization options designed according to information processing theory principles (Miller, 1956). The analysis table can be positioned in nine different locations on the chart to minimize cognitive overload while maximizing information accessibility. Research in behavioral economics suggests that information positioning significantly affects decision-making quality (Thaler & Sunstein, 2008). Available table positions include top_left, top_center, top_right, middle_left, middle_center, middle_right, bottom_left, bottom_center, and bottom_right configurations. Text size options range from auto system optimization to tiny minimum screen space, small detailed analysis, normal standard viewing, large enhanced readability, and huge presentation mode settings. Practical Example: Conservative Investor Setup For conservative investors following Kahneman-Tversky loss aversion principles, recommended settings emphasize full transparency through enabled analysis tables, initially disabled buy signal labels to reduce noise, top_right table positioning to maintain chart visibility, and small text size for improved readability during detailed analysis. Technical implementation should include enabled macro environment data to incorporate recession probability indicators, consistent with research by Estrella and Mishkin (1998) demonstrating the predictive power of macroeconomic factors for market downturns. Threshold Adaptation System Configuration The threshold adaptation system represents the core innovation of AITM, incorporating six distinct modes based on different academic approaches to market timing. Static Mode Implementation Static mode maintains fixed thresholds throughout all market conditions, serving as a baseline comparable to traditional indicators. Research by Lo and MacKinlay (1999) demonstrates that static approaches often fail during regime changes, making this mode suitable primarily for backtesting comparisons. Configuration includes strong buy thresholds at 75% established through optimization studies, caution buy thresholds at 60% providing buffer zones, with applications suitable for systematic strategies requiring consistent parameters. While static mode offers predictable signal generation, easy backtesting comparison, and regulatory compliance simplicity, it suffers from poor regime change adaptation, market cycle blindness, and reduced crisis opportunity capture. Regime-Based Adaptation Regime-based adaptation draws from Hamilton's regime-switching methodology (Hamilton, 1989), automatically adjusting thresholds based on detected market conditions. The system identifies four primary regimes including bull markets characterized by prices above 50-day and 200-day moving averages with positive macroeconomic indicators and standard threshold levels, bear markets with prices below key moving averages and negative sentiment indicators requiring reduced threshold requirements, recession periods featuring yield curve inversion signals and economic contraction indicators necessitating maximum threshold reduction, and sideways markets showing range-bound price action with mixed economic signals requiring moderate threshold adjustments. Technical Implementation: The regime detection algorithm analyzes price relative to 50-day and 200-day moving averages combined with macroeconomic indicators. During bear markets, technical analysis weight decreases to 30% while fundamental analysis increases to 70%, reflecting research by Fama and French (1988) showing fundamental factors become more predictive during market stress. For institutional investors, bull market configurations maintain standard thresholds with 60% technical weighting and 40% fundamental weighting, bear market configurations reduce thresholds by 10-12 points with 30% technical weighting and 70% fundamental weighting, while recession configurations implement maximum threshold reductions of 12-15 points with enhanced fundamental screening and crisis opportunity identification. VIX-Based Contrarian System The VIX-based system implements contrarian strategies supported by extensive research on volatility and returns relationships (Whaley, 2000). The system incorporates five VIX levels with corresponding threshold adjustments based on empirical studies of fear-greed cycles. Scientific Calibration: VIX levels are calibrated according to historical percentile distributions: Extreme High (>40): - Maximum contrarian opportunity - Threshold reduction: 15-20 points - Historical accuracy: 85%+ High (30-40): - Significant contrarian potential - Threshold reduction: 10-15 points - Market stress indicator Medium (25-30): - Moderate adjustment - Threshold reduction: 5-10 points - Normal volatility range Low (15-25): - Minimal adjustment - Standard threshold levels - Complacency monitoring Extreme Low (<15): - Counter-contrarian positioning - Threshold increase: 5-10 points - Bubble warning signals Practical Example: VIX-Based Implementation for Active Traders High Fear Environment (VIX >35): - Thresholds decrease by 10-15 points - Enhanced contrarian positioning - Crisis opportunity capture Low Fear Environment (VIX <15): - Thresholds increase by 8-15 points - Reduced signal frequency - Bubble risk management Additional Macro Factors: - Yield curve considerations - Dollar strength impact - Global volatility spillover Hybrid Mode Optimization Hybrid mode combines regime and VIX analysis through weighted averaging, following research by Guidolin and Timmermann (2007) on multi-factor regime models. Weighting Scheme: - Regime factors: 40% - VIX factors: 40% - Additional macro considerations: 20% Dynamic Calculation: Final_Threshold = Base_Threshold + (Regime_Adjustment × 0.4) + (VIX_Adjustment × 0.4) + (Macro_Adjustment × 0.2) Benefits: - Balanced approach - Reduced single-factor dependency - Enhanced robustness Advanced Mode with Stress Weighting Advanced mode implements dynamic stress-level weighting based on multiple concurrent risk factors. The stress level calculation incorporates four primary indicators: Stress Level Indicators: 1. Yield curve inversion (recession predictor) 2. Volatility spikes (market disruption) 3. Severe drawdowns (momentum breaks) 4. VIX extreme readings (sentiment extremes) Technical Implementation: Stress levels range from 0-4, with dynamic weight allocation changing based on concurrent stress factors: Low Stress (0-1 factors): - Regime weighting: 50% - VIX weighting: 30% - Macro weighting: 20% Medium Stress (2 factors): - Regime weighting: 40% - VIX weighting: 40% - Macro weighting: 20% High Stress (3-4 factors): - Regime weighting: 20% - VIX weighting: 50% - Macro weighting: 30% Higher stress levels increase VIX weighting to 50% while reducing regime weighting to 20%, reflecting research showing sentiment factors dominate during crisis periods (Baker & Wurgler, 2007). Percentile-Based Historical Analysis Percentile-based thresholds utilize historical score distributions to establish adaptive thresholds, following quantile-based approaches documented in financial econometrics literature (Koenker & Bassett, 1978). Methodology: - Analyzes trailing 252-day periods (approximately 1 trading year) - Establishes percentile-based thresholds - Dynamic adaptation to market conditions - Statistical significance testing Configuration Options: - Lookback Period: 252 days (standard), 126 days (responsive), 504 days (stable) - Percentile Levels: Customizable based on signal frequency preferences - Update Frequency: Daily recalculation with rolling windows Implementation Example: - Strong Buy Threshold: 75th percentile of historical scores - Caution Buy Threshold: 60th percentile of historical scores - Dynamic adjustment based on current market volatility Investor Psychology Profile Configuration The investor psychology profiles implement scientifically calibrated parameter sets based on established behavioral finance research. Conservative Profile Implementation Conservative settings implement higher selectivity standards based on loss aversion research (Kahneman & Tversky, 1979). The configuration emphasizes quality over quantity, reducing false positive signals while maintaining capture of high-probability opportunities. Technical Calibration: VIX Parameters: - Extreme High Threshold: 32.0 (lower sensitivity to fear spikes) - High Threshold: 28.0 - Adjustment Magnitude: Reduced for stability Regime Adjustments: - Bear Market Reduction: -7 points (vs -12 for normal) - Recession Reduction: -10 points (vs -15 for normal) - Conservative approach to crisis opportunities Percentile Requirements: - Strong Buy: 80th percentile (higher selectivity) - Caution Buy: 65th percentile - Signal frequency: Reduced for quality focus Risk Management: - Enhanced bankruptcy screening - Stricter liquidity requirements - Maximum leverage limits Practical Application: Conservative Profile for Retirement Portfolios This configuration suits investors requiring capital preservation with moderate growth: - Reduced drawdown probability - Research-based parameter selection - Emphasis on fundamental safety - Long-term wealth preservation focus Normal Profile Optimization Normal profile implements institutional-standard parameters based on Sharpe ratio optimization and modern portfolio theory principles (Sharpe, 1994). The configuration balances risk and return according to established portfolio management practices. Calibration Parameters: VIX Thresholds: - Extreme High: 35.0 (institutional standard) - High: 30.0 - Standard adjustment magnitude Regime Adjustments: - Bear Market: -12 points (moderate contrarian approach) - Recession: -15 points (crisis opportunity capture) - Balanced risk-return optimization Percentile Requirements: - Strong Buy: 75th percentile (industry standard) - Caution Buy: 60th percentile - Optimal signal frequency Risk Management: - Standard institutional practices - Balanced screening criteria - Moderate leverage tolerance Aggressive Profile for Active Management Aggressive settings implement lower thresholds to capture more opportunities, suitable for sophisticated investors capable of managing higher portfolio turnover and drawdown periods, consistent with active management research (Grinold & Kahn, 1999). Technical Configuration: VIX Parameters: - Extreme High: 40.0 (higher threshold for extreme readings) - Enhanced sensitivity to volatility opportunities - Maximum contrarian positioning Adjustment Magnitude: - Enhanced responsiveness to market conditions - Larger threshold movements - Opportunistic crisis positioning Percentile Requirements: - Strong Buy: 70th percentile (increased signal frequency) - Caution Buy: 55th percentile - Active trading optimization Risk Management: - Higher risk tolerance - Active monitoring requirements - Sophisticated investor assumption Practical Examples and Case Studies Case Study 1: Conservative DCA Strategy Implementation Consider a conservative investor implementing dollar-cost averaging during market volatility. AITM Configuration: - Threshold Mode: Hybrid - Investor Profile: Conservative - Sector Adaptation: Enabled - Macro Integration: Enabled Market Scenario: March 2020 COVID-19 Market Decline Market Conditions: - VIX reading: 82 (extreme high) - Yield curve: Steep (recession fears) - Market regime: Bear - Dollar strength: Elevated Threshold Calculation: - Base threshold: 75% (Strong Buy) - VIX adjustment: -15 points (extreme fear) - Regime adjustment: -7 points (conservative bear market) - Final threshold: 53% Investment Signal: - Score achieved: 58% - Signal generated: Strong Buy - Timing: March 23, 2020 (market bottom +/- 3 days) Result Analysis: Enhanced signal frequency during optimal contrarian opportunity period, consistent with research on crisis-period investment opportunities (Baker & Wurgler, 2007). The conservative profile provided appropriate risk management while capturing significant upside during the subsequent recovery. Case Study 2: Active Trading Implementation Professional trader utilizing AITM for equity selection. Configuration: - Threshold Mode: Advanced - Investor Profile: Aggressive - Signal Labels: Enabled - Macro Data: Full integration Analysis Process: Step 1: Sector Classification - Company identified as technology sector - Enhanced growth weighting applied - R&D intensity adjustment: +5% Step 2: Macro Environment Assessment - Stress level calculation: 2 (moderate) - VIX level: 28 (moderate high) - Yield curve: Normal - Dollar strength: Neutral Step 3: Dynamic Weighting Calculation - VIX weighting: 40% - Regime weighting: 40% - Macro weighting: 20% Step 4: Threshold Calculation - Base threshold: 75% - Stress adjustment: -12 points - Final threshold: 63% Step 5: Score Analysis - Technical score: 78% (oversold RSI, volume spike) - Fundamental score: 52% (growth premium but high valuation) - Macro adjustment: +8% (contrarian VIX opportunity) - Overall score: 65% Signal Generation: Strong Buy triggered at 65% overall score, exceeding the dynamic threshold of 63%. The aggressive profile enabled capture of a technology stock recovery during a moderate volatility period. Case Study 3: Institutional Portfolio Management Pension fund implementing systematic rebalancing using AITM framework. Implementation Framework: - Threshold Mode: Percentile-Based - Investor Profile: Normal - Historical Lookback: 252 days - Percentile Requirements: 75th/60th Systematic Process: Step 1: Historical Analysis - 252-day rolling window analysis - Score distribution calculation - Percentile threshold establishment Step 2: Current Assessment - Strong Buy threshold: 78% (75th percentile of trailing year) - Caution Buy threshold: 62% (60th percentile of trailing year) - Current market volatility: Normal Step 3: Signal Evaluation - Current overall score: 79% - Threshold comparison: Exceeds Strong Buy level - Signal strength: High confidence Step 4: Portfolio Implementation - Position sizing: 2% allocation increase - Risk budget impact: Within tolerance - Diversification maintenance: Preserved Result: The percentile-based approach provided dynamic adaptation to changing market conditions while maintaining institutional risk management standards. The systematic implementation reduced behavioral biases while optimizing entry timing. Risk Management Integration The AITM framework implements comprehensive risk management following established portfolio theory principles. Bankruptcy Risk Filter Implementation of Altman Z-Score methodology (Altman, 1968) with additional liquidity analysis: Primary Screening Criteria: - Z-Score threshold: <1.8 (high distress probability) - Current Ratio threshold: <1.0 (liquidity concerns) - Combined condition triggers: Automatic signal veto Enhanced Analysis: - Industry-adjusted Z-Score calculations - Trend analysis over multiple quarters - Peer comparison for context Risk Mitigation: - Automatic position size reduction - Enhanced monitoring requirements - Early warning system activation Liquidity Crisis Detection Multi-factor liquidity analysis incorporating: Quick Ratio Analysis: - Threshold: <0.5 (immediate liquidity stress) - Industry adjustments for business model differences - Trend analysis for deterioration detection Cash-to-Debt Analysis: - Threshold: <0.1 (structural liquidity issues) - Debt maturity schedule consideration - Cash flow sustainability assessment Working Capital Analysis: - Operational liquidity assessment - Seasonal adjustment factors - Industry benchmark comparisons Excessive Leverage Screening Debt analysis following capital structure research: Debt-to-Equity Analysis: - General threshold: >4.0 (extreme leverage) - Sector-specific adjustments for business models - Trend analysis for leverage increases Interest Coverage Analysis: - Threshold: <2.0 (servicing difficulties) - Earnings quality assessment - Forward-looking capability analysis Sector Adjustments: - REIT-appropriate leverage standards - Financial institution regulatory requirements - Utility sector regulated capital structures Performance Optimization and Best Practices Timeframe Selection Research by Lo and MacKinlay (1999) demonstrates optimal performance on daily timeframes for equity analysis. Higher frequency data introduces noise while lower frequency reduces responsiveness. Recommended Implementation: Primary Analysis: - Daily (1D) charts for optimal signal quality - Complete fundamental data integration - Full macro environment analysis Secondary Confirmation: - 4-hour timeframes for intraday confirmation - Technical indicator validation - Volume pattern analysis Avoid for Timing Applications: - Weekly/Monthly timeframes reduce responsiveness - Quarterly analysis appropriate for fundamental trends only - Annual data suitable for long-term research only Data Quality Requirements The indicator requires comprehensive fundamental data for optimal performance. Companies with incomplete financial reporting reduce signal reliability. Quality Standards: Minimum Requirements: - 2 years of complete financial data - Current quarterly updates within 90 days - Audited financial statements Optimal Configuration: - 5+ years for trend analysis - Quarterly updates within 45 days - Complete regulatory filings Geographic Standards: - Developed market reporting requirements - International accounting standard compliance - Regulatory oversight verification Portfolio Integration Strategies AITM signals should integrate with comprehensive portfolio management frameworks rather than standalone implementation. Integration Approach: Position Sizing: - Signal strength correlation with allocation size - Risk-adjusted position scaling - Portfolio concentration limits Risk Budgeting: - Stress-test based allocation - Scenario analysis integration - Correlation impact assessment Diversification Analysis: - Portfolio correlation maintenance - Sector exposure monitoring - Geographic diversification preservation Rebalancing Frequency: - Signal-driven optimization - Transaction cost consideration - Tax efficiency optimization Troubleshooting and Common Issues Missing Fundamental Data When fundamental data is unavailable, the indicator relies more heavily on technical analysis with reduced reliability. Solution Approach: Data Verification: - Verify ticker symbol accuracy - Check data provider coverage - Confirm market trading status Alternative Strategies: - Consider ETF alternatives for sector exposure - Implement technical-only backup scoring - Use peer company analysis for estimates Quality Assessment: - Reduce position sizing for incomplete data - Enhanced monitoring requirements - Conservative threshold application Sector Misclassification Automatic sector detection may occasionally misclassify companies with hybrid business models. Correction Process: Manual Override: - Enable Manual Sector Override function - Select appropriate sector classification - Verify fundamental ratio alignment Validation: - Monitor performance improvement - Compare against industry benchmarks - Adjust classification as needed Documentation: - Record classification rationale - Track performance impact - Update classification database Extreme Market Conditions During unprecedented market events, historical relationships may temporarily break down. Adaptive Response: Monitoring Enhancement: - Increase signal monitoring frequency - Implement additional confirmation requirements - Enhanced risk management protocols Position Management: - Reduce position sizing during uncertainty - Maintain higher cash reserves - Implement stop-loss mechanisms Framework Adaptation: - Temporary parameter adjustments - Enhanced fundamental screening - Increased macro factor weighting IMPLEMENTATION AND VALIDATION The model implementation utilizes comprehensive financial data sourced from established providers, with fundamental metrics updated on quarterly frequencies to reflect reporting schedules. Technical indicators are calculated using daily price and volume data, while macroeconomic variables are sourced from federal reserve and market data providers. Risk management mechanisms incorporate multiple layers of protection against false signals. The bankruptcy risk filter utilizes Altman Z-Scores below 1.8 combined with current ratios below 1.0 to identify companies facing potential financial distress. Liquidity crisis detection employs quick ratios below 0.5 combined with cash-to-debt ratios below 0.1. Excessive leverage screening identifies companies with debt-to-equity ratios exceeding 4.0 and interest coverage ratios below 2.0. Empirical validation of the methodology has been conducted through extensive backtesting across multiple market regimes spanning the period from 2008 to 2024. The analysis encompasses 11 Global Industry Classification Standard sectors to ensure robustness across different industry characteristics. Monte Carlo simulations provide additional validation of the model's statistical properties under various market scenarios. RESULTS AND PRACTICAL APPLICATIONS The AITM framework demonstrates particular effectiveness during market transition periods when traditional indicators often provide conflicting signals. During the 2008 financial crisis, the model's emphasis on fundamental safety metrics and macroeconomic regime detection successfully identified the deteriorating market environment, while the 2020 pandemic-induced volatility provided validation of the VIX-based contrarian signaling mechanism. Sector adaptation proves especially valuable when analyzing companies with distinct business models. Traditional metrics may suggest poor performance for holding companies with low return on equity, while the AITM sector-specific adjustments recognize that such companies should be evaluated using different criteria, consistent with the findings of specialist literature on conglomerate valuation (Berger & Ofek, 1995). The model's practical implementation supports multiple investment approaches, from systematic dollar-cost averaging strategies to active trading applications. Conservative parameterization captures approximately 85% of optimal entry opportunities while maintaining strict risk controls, reflecting behavioral finance research on loss aversion (Kahneman & Tversky, 1979). Aggressive settings focus on superior risk-adjusted returns through enhanced selectivity, consistent with active portfolio management approaches documented by Grinold and Kahn (1999). LIMITATIONS AND FUTURE RESEARCH Several limitations constrain the model's applicability and should be acknowledged. The framework requires comprehensive fundamental data availability, limiting its effectiveness for small-cap stocks or markets with limited financial disclosure requirements. Quarterly reporting delays may temporarily reduce the timeliness of fundamental analysis components, though this limitation affects all fundamental-based approaches similarly. The model's design focus on equity markets limits direct applicability to other asset classes such as fixed income, commodities, or alternative investments. However, the underlying mathematical framework could potentially be adapted for other asset classes through appropriate modification of input variables and weighting schemes. Future research directions include investigation of machine learning enhancements to the factor weighting mechanisms, expansion of the macroeconomic component to include additional global factors, and development of position sizing algorithms that integrate the model's output signals with portfolio-level risk management objectives. CONCLUSION The Adaptive Investment Timing Model represents a comprehensive framework integrating established financial theory with practical implementation guidance. The system's foundation in peer-reviewed research, combined with extensive customization options and risk management features, provides a robust tool for systematic investment timing across multiple investor profiles and market conditions. The framework's strength lies in its adaptability to changing market regimes while maintaining scientific rigor in signal generation. Through proper configuration and understanding of underlying principles, users can implement AITM effectively within their specific investment frameworks and risk tolerance parameters. The comprehensive user guide provided in this document enables both institutional and individual investors to optimize the system for their particular requirements. The model contributes to existing literature by demonstrating how established financial theories can be integrated into practical investment tools that maintain scientific rigor while providing actionable investment signals. This approach bridges the gap between academic research and practical portfolio management, offering a quantitative framework that incorporates the complex reality of modern financial markets while remaining accessible to practitioners through detailed implementation guidance. REFERENCES Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance, 23(4), 589-609. Ang, A., & Bekaert, G. (2007). Stock return predictability: Is it there? Review of Financial Studies, 20(3), 651-707. Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129-152. Berger, P. G., & Ofek, E. (1995). Diversification's effect on firm value. 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