OPEN-SOURCE SCRIPT
Markowitz Frontier Compass [JOAT]
Markowitz Frontier Compass [JOAT]
Introduction
Markowitz Frontier Compass compares the chart symbol against a peer basket using inverse-volatility weights, correlation drag, diversification benefit, factor scores, and active risk budget.
This open-source indicator is designed as a context tool, not a standalone trading system. It focuses on explaining the current market state with restrained visuals and confirmed-bar logic where signals are used.
Core Concepts
1. Inverse-Volatility Basket
Each peer receives an inverse-volatility weight to form a portfolio-context benchmark.
2. Correlation Drag
Average pairwise correlation reduces diversification value when assets move together.
3. Factor Composite
Quality, momentum, low-volatility, and carry-style behavior are combined.
4. Risk Budget
Institutional grade, entropy, concentration, and factor state become active or defensive budget context.
Pine Script®
Features
Input Parameters
How to Use This Script
Use MFC as cross-asset context. Risk-on or factor-prime states suggest constructive basket behavior; defense states warn of stress.
Limitations
Originality Statement
MFC is original in combining portfolio theory, factor scoring, entropy, and risk-budget logic in one open-source study.
Disclaimer
This indicator is provided for educational and informational purposes only. It is not financial advice, investment advice, or a recommendation to buy or sell any financial instrument. All calculations are derived from historical market data and may produce inaccurate readings in some market conditions. No indicator can predict future market behavior. Use proper risk management and independent judgment.
-Made with passion by jackofalltrades
Introduction
Markowitz Frontier Compass compares the chart symbol against a peer basket using inverse-volatility weights, correlation drag, diversification benefit, factor scores, and active risk budget.
This open-source indicator is designed as a context tool, not a standalone trading system. It focuses on explaining the current market state with restrained visuals and confirmed-bar logic where signals are used.
Core Concepts
1. Inverse-Volatility Basket
Each peer receives an inverse-volatility weight to form a portfolio-context benchmark.
2. Correlation Drag
Average pairwise correlation reduces diversification value when assets move together.
3. Factor Composite
Quality, momentum, low-volatility, and carry-style behavior are combined.
4. Risk Budget
Institutional grade, entropy, concentration, and factor state become active or defensive budget context.
frontierScore = efficiency + diversification - correlationDrag - concentration
Features
- Peer basket context
- Inverse-volatility weighting
- Correlation drag and diversification benefit
- Factor composite and allocation entropy
- Risk-on, defense, and factor-prime states
Input Parameters
- Peer symbols
- Return window and smoothing
- Risk-free annual percent
- Correlation stress and concentration gates
- Display toggles and HUD position
How to Use This Script
Use MFC as cross-asset context. Risk-on or factor-prime states suggest constructive basket behavior; defense states warn of stress.
Limitations
- The script uses historical OHLCV data and cannot know future prices.
- Signals and states can be late during fast reversals because confirmed-bar logic is used to reduce repainting.
- Model outputs should be interpreted with market context, risk controls, and independent analysis.
- No visual state should be treated as a certain trade outcome.
Originality Statement
MFC is original in combining portfolio theory, factor scoring, entropy, and risk-budget logic in one open-source study.
Disclaimer
This indicator is provided for educational and informational purposes only. It is not financial advice, investment advice, or a recommendation to buy or sell any financial instrument. All calculations are derived from historical market data and may produce inaccurate readings in some market conditions. No indicator can predict future market behavior. Use proper risk management and independent judgment.
-Made with passion by jackofalltrades
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
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免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
The AI Trading Ecosystem, Built to win trades 📈
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。