OPEN-SOURCE SCRIPT
Institutional Quant Correlation Grid Suite
Slide 1: Title
Institutional Quant Correlation Grid Suite
Pine Script v6 Indicator
Purpose: A professional-grade quantitative analysis tool that evaluates a ticker's relationship to a benchmark (e.g., SPY) across multiple dimensions — correlation, volatility, momentum, and risk-adjusted performance — all presented in an intuitive visual dashboard.
Author: Quant Trading Team
Version: 6.0
Slide 2: Problem Statement & Solution
The Challenge:
Retail traders lack institutional-grade quant tools inside TradingView.
Evaluating a stock's true relationship to the market (or sector ETF) requires looking beyond simple price correlation.
Key metrics (Beta, Alpha, Z-scores, Relative Strength) are scattered across different indicators.
Our Solution:
An all-in-one indicator that computes, visualizes, and alerts on:
Multi-asset correlations (Price, RSI, ATR, Volume, Volume-Weighted)
Risk metrics (Beta, Annualized Alpha)
Mean-reversion signals (Spread Z-Score)
Relative strength momentum (RS Ratio)
Timeframe returns (1D, 1W, 1M)
Automated Buy/Hold/Sell conditions
Slide 3: Core Inputs – Quant Settings
Input Default Description
Lookback Window 30 bars Rolling window for all correlations & statistics. Adjustable 10–500.
Reference Symbol SPY Benchmark ETF. Dropdown includes 40+ sector/thematic ETFs (XLF, SMH, ARKG, GDX, JETS, etc.)
Correlation Metric Close Which data series to screen against the benchmark (Close, Open, High, Low, Volume, RSI, ATR).
Correlation Threshold 0.70 Minimum absolute correlation to be considered "aligned".
Z-Score Extremes Threshold 2.00 Level at which the spread is considered overextended (mean-reversion signal).
Slide 4: Oscillator & Indicator Parameters
The suite uses standard technical indicators for its multi-dimensional analysis:
Indicator Parameter Default
RSI Length 14
MACD Fast / Slow / Signal 12 / 26 / 9
Stochastic Length / Smooth 14 / 3
CCI Length 20
Williams %R Length 14
ATR Length 14
These are used to compute correlations across different market regimes (momentum, volatility, volume) — not just price.
Slide 5: Core Calculations – Correlation Suite
The indicator computes 6 distinct correlation metrics against the reference symbol over the lookback window:
Correlation Methodology
Price Corr Standard Pearson correlation of Close prices.
Selected Metric Corr Correlation of the user-chosen metric (e.g., RSI, Volume) against the benchmark's equivalent.
RSI Corr Correlation of RSI values.
ATR Corr Correlation of Average True Range (volatility alignment).
Volume Corr Correlation of raw volume (detects relative liquidity/interest).
VW-Corr Volume-Weighted correlation — weights daily returns by volume, giving more importance to high-volume days.
Slide 6: Core Calculations – Risk & Performance
Beta & Alpha (Annualized)
Beta = Covariance(asset, benchmark) / Variance(benchmark)
Alpha = (Mean_Asset_Return - Beta × Mean_Benchmark_Return) × 100 × 252
Interpretation: Beta > 1 = higher volatility than benchmark; Alpha > 0 = outperformance.
Relative Strength (RS) Momentum
RS Ratio = Close_Asset / Close_Benchmark
RS Momentum = (RS_Ratio / SMA(RS_Ratio, length) - 1) × 100
Positive = asset is strengthening relative to benchmark.
Spread Z-Score (Mean-Reversion)
Log Spread = ln(Close_Asset / Close_Benchmark)
Z = (Log_Spread - Mean(Log_Spread)) / StdDev(Log_Spread)
Extreme positive = asset is overextended vs benchmark (sell signal).
Slide 7: Grid 1 – Quant Heatcard (Visual Dashboard)
Position Options: 9 positions (Top/Bottom + Left/Center/Right)
Text Size: Tiny, Small, Normal
Top Row (6 cards):
Card Display Color Logic
Beta Value vs 1.0 Green if ≥ 1.0
Alpha (Ann.) Annualized % Green if positive, Red if negative
Price Corr Correlation Green if ≥ threshold
VW-Corr Volume-Weighted Corr Gold if ≥ threshold
RS Momentum % vs benchmark Green if positive, Red if negative
Spread Z-Score Z value Gold if ≥ Z-threshold (overextended)
Slide 8: Grid 1 – Quant Heatcard (Continued)
Bottom Row (6 cards):
Card Display Color Logic
Return 1D % change Green if positive, Red if negative
Return 1W % change (weekly close) Green if positive, Red if negative
Return 1M % change (monthly close) Green if positive, Red if negative
Quant Signal "ALPHA PASS" or "NEUTRAL" PASS if: corrClose ≥ threshold AND RS Momentum > 0 AND Beta > 0.8
Benchmark Symbol text (e.g., "SPY") Cyan highlight
Lookback e.g., "30 bars" Muted display
Slide 9: Grid 2 – Detailed Breakdown Table
Position Options: 9 positions (separate from Grid 1)
Text Size: Tiny, Small, Normal
Row Col 0 Col 1 Col 2 Col 3
Row 0: Correlations Price Corr RSI Corr ATR Corr Volume Corr
Row 1: Structure Beta Alpha Spread Z-Score RS Momentum
Row 2: Selected Metric Selected Metric Name Correlation of Selected Metric PASS/FAIL (≥ threshold) Lookback (e.g., "30B")
Color Coding:
Green = Strong/Positive
Red = Weak/Negative
Cyan = Informational
Gold = Extreme/Warning
Slide 10: Plots & Screener Exports
The indicator also plots directly on the chart pane (below price):
Plot Color Display
Price Correlation (%) Blue (linewidth 2) Main chart pane
VW-Correlation (%) Yellow (linewidth 1) Main chart pane
Threshold Upper/Lower Green/Red dashed lines ±70% bands
Beta Teal Data Window + Status Line
Alpha (%) Green Data Window + Status Line
RS Momentum (%) Purple Data Window + Status Line
Z-Score Orange Data Window + Status Line
Return 1D/1W/1M Purple/Orange/Red Data Window + Status Line
These enable screeners and multi-ticker comparisons using TradingView's Data Window.
Slide 11: Alert Conditions – Automated Signals
The indicator generates 3 distinct alert conditions for automated trading notifications:
Signal Condition
BUY / Accumulation corrClose ≥ threshold AND corrVW ≥ threshold AND RS Momentum > 0 AND Beta > 0.8 AND Z-Score < zThreshold
HOLD / Neutral corrClose ≥ threshold AND RS Momentum ≤ 0.5 AND Z-Score < zThreshold
SELL / Divergence RS Momentum < 0 OR corrClose < 0.20 OR Z-Score ≥ zThreshold
Alert Messages include: Ticker name and clear reasoning (e.g., "High correlation, positive RS momentum against benchmark, and stable Z-score.")
Slide 12: Use Cases & Applications
Scenario How the Indicator Helps
Sector Rotation Compare a stock to sector ETF (e.g., AAPL vs. XLK). High correlation + positive RS = sector leader.
Pair Trading Z-Score tells you when spread is overextended — mean-reversion entry/exit points.
Risk Management Beta tells you if stock is riskier than market; ATR correlation shows volatility alignment.
Factor Screening The "Quant Signal" (ALPHA PASS) quickly flags stocks with strong fundamentals vs benchmark.
Momentum Investing RS Momentum identifies stocks gaining relative strength.
Earnings / Event Analysis 1D/1W/1M returns show immediate impact vs benchmark.
Slide 13: Technical Implementation Highlights
Lookahead Handling: Uses barmerge.lookahead_off for reference security to avoid repainting.
Rolling Windows: All statistics use TradingView's ta.correlation, ta.sma, ta.stdev for consistency.
Volume-Weighted Correlation: Custom computation using volume-weighted returns for more robust correlation.
Dynamic Tables: Uses table.new with position constants, allowing users to place grids anywhere on screen.
Alerts: Built-in alertcondition() for automated strategy integration.
Compatibility: Requires Pine Script v6. Works on all timeframes (1min to monthly).
Slide 14: Customization Options Summary
Group Parameter Options
Core Quant Lookback, Reference Symbol, Correlation Metric, Thresholds 10-500, 40+ ETFs, 7 metrics, 0.05 steps
Grid 1 (Heatcard) Show/Hide, Position, Text Size 9 positions, 3 sizes
Grid 2 (Details) Show/Hide, Position, Text Size 9 positions, 3 sizes
Oscillators RSI, MACD, Stochastic, CCI, Williams, ATR lengths User-adjustable
Result: A fully configurable tool adaptable to any trading style — from day trading to long-term investing.
Slide 15: Demonstration – Example Output
Ticker: AAPL
Benchmark: SPY
Lookback: 30 bars
Metric Value Signal
Beta 1.12 High volatility
Alpha +2.3% Positive outperformance
Price Corr 0.85 Strong alignment
VW-Corr 0.81 Volume-confirmed correlation
RS Momentum +1.2% Gaining relative strength
Z-Score +0.45 Within normal range
Quant Signal ALPHA PASS Bullish
Alert: BUY condition triggered.
Slide 16: Summary & Value Proposition
What this indicator delivers:
✅ Institutional-grade quant dashboard in a single script
✅ Multi-dimensional analysis — not just price, but volatility, volume, momentum, and risk
✅ Visual clarity with two customizable data grids
✅ Actionable alerts for systematic trading
✅ Screener-ready outputs via Data Window
✅ Fully configurable to fit any strategy or timeframe
Ideal for: Swing traders, sector rotators, pair traders, risk managers, and quantitative researchers using TradingView.
FOR EDUCATIONAL PURPOSES ONLY
NOT A FINANCIAL ADVICE
Institutional Quant Correlation Grid Suite
Pine Script v6 Indicator
Purpose: A professional-grade quantitative analysis tool that evaluates a ticker's relationship to a benchmark (e.g., SPY) across multiple dimensions — correlation, volatility, momentum, and risk-adjusted performance — all presented in an intuitive visual dashboard.
Author: Quant Trading Team
Version: 6.0
Slide 2: Problem Statement & Solution
The Challenge:
Retail traders lack institutional-grade quant tools inside TradingView.
Evaluating a stock's true relationship to the market (or sector ETF) requires looking beyond simple price correlation.
Key metrics (Beta, Alpha, Z-scores, Relative Strength) are scattered across different indicators.
Our Solution:
An all-in-one indicator that computes, visualizes, and alerts on:
Multi-asset correlations (Price, RSI, ATR, Volume, Volume-Weighted)
Risk metrics (Beta, Annualized Alpha)
Mean-reversion signals (Spread Z-Score)
Relative strength momentum (RS Ratio)
Timeframe returns (1D, 1W, 1M)
Automated Buy/Hold/Sell conditions
Slide 3: Core Inputs – Quant Settings
Input Default Description
Lookback Window 30 bars Rolling window for all correlations & statistics. Adjustable 10–500.
Reference Symbol SPY Benchmark ETF. Dropdown includes 40+ sector/thematic ETFs (XLF, SMH, ARKG, GDX, JETS, etc.)
Correlation Metric Close Which data series to screen against the benchmark (Close, Open, High, Low, Volume, RSI, ATR).
Correlation Threshold 0.70 Minimum absolute correlation to be considered "aligned".
Z-Score Extremes Threshold 2.00 Level at which the spread is considered overextended (mean-reversion signal).
Slide 4: Oscillator & Indicator Parameters
The suite uses standard technical indicators for its multi-dimensional analysis:
Indicator Parameter Default
RSI Length 14
MACD Fast / Slow / Signal 12 / 26 / 9
Stochastic Length / Smooth 14 / 3
CCI Length 20
Williams %R Length 14
ATR Length 14
These are used to compute correlations across different market regimes (momentum, volatility, volume) — not just price.
Slide 5: Core Calculations – Correlation Suite
The indicator computes 6 distinct correlation metrics against the reference symbol over the lookback window:
Correlation Methodology
Price Corr Standard Pearson correlation of Close prices.
Selected Metric Corr Correlation of the user-chosen metric (e.g., RSI, Volume) against the benchmark's equivalent.
RSI Corr Correlation of RSI values.
ATR Corr Correlation of Average True Range (volatility alignment).
Volume Corr Correlation of raw volume (detects relative liquidity/interest).
VW-Corr Volume-Weighted correlation — weights daily returns by volume, giving more importance to high-volume days.
Slide 6: Core Calculations – Risk & Performance
Beta & Alpha (Annualized)
Beta = Covariance(asset, benchmark) / Variance(benchmark)
Alpha = (Mean_Asset_Return - Beta × Mean_Benchmark_Return) × 100 × 252
Interpretation: Beta > 1 = higher volatility than benchmark; Alpha > 0 = outperformance.
Relative Strength (RS) Momentum
RS Ratio = Close_Asset / Close_Benchmark
RS Momentum = (RS_Ratio / SMA(RS_Ratio, length) - 1) × 100
Positive = asset is strengthening relative to benchmark.
Spread Z-Score (Mean-Reversion)
Log Spread = ln(Close_Asset / Close_Benchmark)
Z = (Log_Spread - Mean(Log_Spread)) / StdDev(Log_Spread)
Extreme positive = asset is overextended vs benchmark (sell signal).
Slide 7: Grid 1 – Quant Heatcard (Visual Dashboard)
Position Options: 9 positions (Top/Bottom + Left/Center/Right)
Text Size: Tiny, Small, Normal
Top Row (6 cards):
Card Display Color Logic
Beta Value vs 1.0 Green if ≥ 1.0
Alpha (Ann.) Annualized % Green if positive, Red if negative
Price Corr Correlation Green if ≥ threshold
VW-Corr Volume-Weighted Corr Gold if ≥ threshold
RS Momentum % vs benchmark Green if positive, Red if negative
Spread Z-Score Z value Gold if ≥ Z-threshold (overextended)
Slide 8: Grid 1 – Quant Heatcard (Continued)
Bottom Row (6 cards):
Card Display Color Logic
Return 1D % change Green if positive, Red if negative
Return 1W % change (weekly close) Green if positive, Red if negative
Return 1M % change (monthly close) Green if positive, Red if negative
Quant Signal "ALPHA PASS" or "NEUTRAL" PASS if: corrClose ≥ threshold AND RS Momentum > 0 AND Beta > 0.8
Benchmark Symbol text (e.g., "SPY") Cyan highlight
Lookback e.g., "30 bars" Muted display
Slide 9: Grid 2 – Detailed Breakdown Table
Position Options: 9 positions (separate from Grid 1)
Text Size: Tiny, Small, Normal
Row Col 0 Col 1 Col 2 Col 3
Row 0: Correlations Price Corr RSI Corr ATR Corr Volume Corr
Row 1: Structure Beta Alpha Spread Z-Score RS Momentum
Row 2: Selected Metric Selected Metric Name Correlation of Selected Metric PASS/FAIL (≥ threshold) Lookback (e.g., "30B")
Color Coding:
Green = Strong/Positive
Red = Weak/Negative
Cyan = Informational
Gold = Extreme/Warning
Slide 10: Plots & Screener Exports
The indicator also plots directly on the chart pane (below price):
Plot Color Display
Price Correlation (%) Blue (linewidth 2) Main chart pane
VW-Correlation (%) Yellow (linewidth 1) Main chart pane
Threshold Upper/Lower Green/Red dashed lines ±70% bands
Beta Teal Data Window + Status Line
Alpha (%) Green Data Window + Status Line
RS Momentum (%) Purple Data Window + Status Line
Z-Score Orange Data Window + Status Line
Return 1D/1W/1M Purple/Orange/Red Data Window + Status Line
These enable screeners and multi-ticker comparisons using TradingView's Data Window.
Slide 11: Alert Conditions – Automated Signals
The indicator generates 3 distinct alert conditions for automated trading notifications:
Signal Condition
BUY / Accumulation corrClose ≥ threshold AND corrVW ≥ threshold AND RS Momentum > 0 AND Beta > 0.8 AND Z-Score < zThreshold
HOLD / Neutral corrClose ≥ threshold AND RS Momentum ≤ 0.5 AND Z-Score < zThreshold
SELL / Divergence RS Momentum < 0 OR corrClose < 0.20 OR Z-Score ≥ zThreshold
Alert Messages include: Ticker name and clear reasoning (e.g., "High correlation, positive RS momentum against benchmark, and stable Z-score.")
Slide 12: Use Cases & Applications
Scenario How the Indicator Helps
Sector Rotation Compare a stock to sector ETF (e.g., AAPL vs. XLK). High correlation + positive RS = sector leader.
Pair Trading Z-Score tells you when spread is overextended — mean-reversion entry/exit points.
Risk Management Beta tells you if stock is riskier than market; ATR correlation shows volatility alignment.
Factor Screening The "Quant Signal" (ALPHA PASS) quickly flags stocks with strong fundamentals vs benchmark.
Momentum Investing RS Momentum identifies stocks gaining relative strength.
Earnings / Event Analysis 1D/1W/1M returns show immediate impact vs benchmark.
Slide 13: Technical Implementation Highlights
Lookahead Handling: Uses barmerge.lookahead_off for reference security to avoid repainting.
Rolling Windows: All statistics use TradingView's ta.correlation, ta.sma, ta.stdev for consistency.
Volume-Weighted Correlation: Custom computation using volume-weighted returns for more robust correlation.
Dynamic Tables: Uses table.new with position constants, allowing users to place grids anywhere on screen.
Alerts: Built-in alertcondition() for automated strategy integration.
Compatibility: Requires Pine Script v6. Works on all timeframes (1min to monthly).
Slide 14: Customization Options Summary
Group Parameter Options
Core Quant Lookback, Reference Symbol, Correlation Metric, Thresholds 10-500, 40+ ETFs, 7 metrics, 0.05 steps
Grid 1 (Heatcard) Show/Hide, Position, Text Size 9 positions, 3 sizes
Grid 2 (Details) Show/Hide, Position, Text Size 9 positions, 3 sizes
Oscillators RSI, MACD, Stochastic, CCI, Williams, ATR lengths User-adjustable
Result: A fully configurable tool adaptable to any trading style — from day trading to long-term investing.
Slide 15: Demonstration – Example Output
Ticker: AAPL
Benchmark: SPY
Lookback: 30 bars
Metric Value Signal
Beta 1.12 High volatility
Alpha +2.3% Positive outperformance
Price Corr 0.85 Strong alignment
VW-Corr 0.81 Volume-confirmed correlation
RS Momentum +1.2% Gaining relative strength
Z-Score +0.45 Within normal range
Quant Signal ALPHA PASS Bullish
Alert: BUY condition triggered.
Slide 16: Summary & Value Proposition
What this indicator delivers:
✅ Institutional-grade quant dashboard in a single script
✅ Multi-dimensional analysis — not just price, but volatility, volume, momentum, and risk
✅ Visual clarity with two customizable data grids
✅ Actionable alerts for systematic trading
✅ Screener-ready outputs via Data Window
✅ Fully configurable to fit any strategy or timeframe
Ideal for: Swing traders, sector rotators, pair traders, risk managers, and quantitative researchers using TradingView.
FOR EDUCATIONAL PURPOSES ONLY
NOT A FINANCIAL ADVICE
Skrip open-source
Dengan semangat TradingView yang sesungguhnya, pembuat skrip ini telah menjadikannya sebagai sumber terbuka, sehingga para trader dapat meninjau dan memverifikasi fungsinya. Salut untuk penulisnya! Meskipun Anda dapat menggunakannya secara gratis, perlu diingat bahwa penerbitan ulang kode ini tunduk pada Tata Tertib kami.
Pernyataan Penyangkalan
Informasi dan publikasi ini tidak dimaksudkan, dan bukan merupakan, saran atau rekomendasi keuangan, investasi, trading, atau jenis lainnya yang diberikan atau didukung oleh TradingView. Baca selengkapnya di Ketentuan Penggunaan.
Skrip open-source
Dengan semangat TradingView yang sesungguhnya, pembuat skrip ini telah menjadikannya sebagai sumber terbuka, sehingga para trader dapat meninjau dan memverifikasi fungsinya. Salut untuk penulisnya! Meskipun Anda dapat menggunakannya secara gratis, perlu diingat bahwa penerbitan ulang kode ini tunduk pada Tata Tertib kami.
Pernyataan Penyangkalan
Informasi dan publikasi ini tidak dimaksudkan, dan bukan merupakan, saran atau rekomendasi keuangan, investasi, trading, atau jenis lainnya yang diberikan atau didukung oleh TradingView. Baca selengkapnya di Ketentuan Penggunaan.