OPEN-SOURCE SCRIPT
Gatev Relative Value Arbiter [JOAT]
Gatev Relative Value Arbiter [JOAT]
Introduction
Gatev Relative Value Arbiter studies relative value between the chart symbol and a selected peer using beta spread, z-score, stationarity, Kalman residuals, and OU speed.
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. Rolling Beta Spread
The chart log price is modeled against the peer log price with rolling beta and alpha.
2. Spread Z-Score
Residual spread is normalized to identify cheap and rich dislocations.
3. Kalman Residual
A recursive residual estimate adapts to changing pair behavior.
4. Stationarity and OU Speed
Correlation, beta drift, skew, kurtosis, and OU-style speed grade pair quality.
Pine Script®
Features
Input Parameters
How to Use This Script
Choose a logically related peer. Cheap and rich states are most meaningful when pair validity and stationarity remain acceptable.
Limitations
Originality Statement
GRA is original in combining rolling beta arbitrage logic, Kalman residuals, OU speed, and stationarity grading.
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
Gatev Relative Value Arbiter studies relative value between the chart symbol and a selected peer using beta spread, z-score, stationarity, Kalman residuals, and OU speed.
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. Rolling Beta Spread
The chart log price is modeled against the peer log price with rolling beta and alpha.
2. Spread Z-Score
Residual spread is normalized to identify cheap and rich dislocations.
3. Kalman Residual
A recursive residual estimate adapts to changing pair behavior.
4. Stationarity and OU Speed
Correlation, beta drift, skew, kurtosis, and OU-style speed grade pair quality.
Features
- Peer relative-value model
- Rolling beta and spread z-score
- Kalman residual z-score
- Stationarity and cointegration energy proxies
- Cheap, rich, prime, broken, and fair-value states
Input Parameters
- Peer symbol
- Rolling beta and z-score lengths
- Entry and exit z thresholds
- Minimum correlation
- Cooldown and display toggles
How to Use This Script
Choose a logically related peer. Cheap and rich states are most meaningful when pair validity and stationarity remain acceptable.
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
GRA is original in combining rolling beta arbitrage logic, Kalman residuals, OU speed, and stationarity grading.
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。