OPEN-SOURCE SCRIPT

Institutional Multi-Model Alpha

Overview
The Institutional Multi-Model Alpha is a quantitative "voting" system that aggregates seven independent algorithmic modules to determine market direction. Instead of relying on a single indicator, this tool acts as a Committee of Models, only firing long or short signals when a specific user-defined threshold of mathematical agreement is met.

The 7 Quantitative Modules

Kalman Filter: A noise-reduction algorithm that tracks the underlying price trend by filtering out "market noise."

Stat-Arb Z-Score: Measures price deviation from the mean (Standard Deviation) to identify extreme overbought/oversold conditions.

Regime Detection: Uses the ADX (Average Directional Index) and 200-day SMA to determine if the market is trending or ranging.

Volatility Risk: Analyzes the Rate of Change (ROC) of volatility to identify periods of stabilizing or expanding risk.

Linear Regression Slope: Measures the velocity and angle of the current price trend.

Momentum Cluster: Combines RSI and ROC to confirm that price movement is backed by real strength.

Beta/Correlation (SPY): Analyzes the asset's correlation to the S&P 500 (SPY) to ensure the move is supported by broader market beta.

Key Features
Ensemble Scoring: Each module outputs a score of +1 (Bullish), -1 (Bearish), or 0 (Neutral).

Weighted Thresholds: Users can set a "Signal Threshold" (e.g., 3). A signal only triggers when the net score across all 7 models exceeds that number.

Real-Time Dashboard: A visual table on the chart displays the status of every internal module simultaneously, providing full transparency into why a signal is occurring.

Multi-Asset Analysis: Includes an integrated request.security call to pull S&P 500 data for institutional-grade correlation analysis.

[Technical Specifics
Script Version: Pine Script v6

Overlay: Yes (Plots directly on price)

Visuals: Dynamic background coloring, trend-following "Quant Line," and signal shapes for easy entry/exit identification.

How to Use
Confirmation: Use the Dashboard to see if the majority of models are aligned.

Aggressive vs. Conservative: Lower the Threshold input for more frequent signals, or raise it to 5 or 6 for high-conviction, institutional-style setups.

Trend Following: The central line (Kalman Filter) changes color based on the aggregate score, serving as a dynamic trailing stop or trend bias indicator.

Script open-source

Dans l'esprit TradingView, le créateur de ce script l'a rendu open source afin que les traders puissent examiner et vérifier ses fonctionnalités. Bravo à l'auteur! Bien que vous puissiez l'utiliser gratuitement, n'oubliez pas que la republication du code est soumise à nos Règles.

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Script open-source

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