OPEN-SOURCE SCRIPT
Risk Dispersion Regime Indicator
Its primary objective is to measure the real-time correlation level (the lockstep movement) of a basket of assets to generate a dynamic multiplier. This multiplier adjusts your position sizing based on the current market risk regime.
⚙️ Configuration and Inputs
Customizable Basket: The script analyzes a basket of 3 to 20 assets (the slots). By default, it is preconfigured with major US sector and index ETFs (SPY, QQQ, XLK, etc.).
Analysis Windows: The user defines the lookback period for the correlation calculation (default 120 sessions) and the historical depth to establish the ranking (default 750 sessions).
Position Sizing Governor: Allows you to configure the amplitude of the position adjustments via a minimum multiplier (0.3x), a maximum multiplier (1.7x), and a global strength modifier.
🧮 Mathematical Mechanics and Logic
Standardization (Z-Score): The indicator converts the return of each asset in the basket into a Z-score (return standardized relative to its mean and standard deviation) to put all symbols on the exact same scale.
Group Correlation (Rho): Instead of calculating asset pairs one by one (which is computationally heavy), the code uses an optimized mathematical identity: it derives the average correlation of the basket directly from the variance of the assets' average.
Walk-Forward Ranking: The script calculates the percentile of the current correlation strictly against previously observed historical values. This method guarantees zero lookahead bias, making the indicator perfectly safe and robust for algorithmic backtesting.
🖥️ Visual Outputs and Interface
Main Plots: The indicator draws three lines on a separate lower pane: the correlation rank (percentile), the raw correlation, and the resulting position size multiplier.
Color-Coded Regimes: The chart background changes color dynamically. It turns red when the market moves as a monolith (rank > 0.90, signaling high systemic risk) and green when the market is highly dispersed (rank < 0.25, a favorable environment for stock-picking).
Diagnostic Dashboard: A table is displayed in the top right corner. It indicates the real-time market state (Very Tight, Loose, etc.), the recommended multiplier, and includes built-in safeguards (e.g., warning the user if the timeframe is not daily or if specific assets lack historical quote data).
Built-in Alerts: Alert conditions (alertcondition) are programmed to notify the user whenever the market crosses extreme correlation thresholds (90th and 25th percentiles).
⚙️ Configuration and Inputs
Customizable Basket: The script analyzes a basket of 3 to 20 assets (the slots). By default, it is preconfigured with major US sector and index ETFs (SPY, QQQ, XLK, etc.).
Analysis Windows: The user defines the lookback period for the correlation calculation (default 120 sessions) and the historical depth to establish the ranking (default 750 sessions).
Position Sizing Governor: Allows you to configure the amplitude of the position adjustments via a minimum multiplier (0.3x), a maximum multiplier (1.7x), and a global strength modifier.
🧮 Mathematical Mechanics and Logic
Standardization (Z-Score): The indicator converts the return of each asset in the basket into a Z-score (return standardized relative to its mean and standard deviation) to put all symbols on the exact same scale.
Group Correlation (Rho): Instead of calculating asset pairs one by one (which is computationally heavy), the code uses an optimized mathematical identity: it derives the average correlation of the basket directly from the variance of the assets' average.
Walk-Forward Ranking: The script calculates the percentile of the current correlation strictly against previously observed historical values. This method guarantees zero lookahead bias, making the indicator perfectly safe and robust for algorithmic backtesting.
🖥️ Visual Outputs and Interface
Main Plots: The indicator draws three lines on a separate lower pane: the correlation rank (percentile), the raw correlation, and the resulting position size multiplier.
Color-Coded Regimes: The chart background changes color dynamically. It turns red when the market moves as a monolith (rank > 0.90, signaling high systemic risk) and green when the market is highly dispersed (rank < 0.25, a favorable environment for stock-picking).
Diagnostic Dashboard: A table is displayed in the top right corner. It indicates the real-time market state (Very Tight, Loose, etc.), the recommended multiplier, and includes built-in safeguards (e.g., warning the user if the timeframe is not daily or if specific assets lack historical quote data).
Built-in Alerts: Alert conditions (alertcondition) are programmed to notify the user whenever the market crosses extreme correlation thresholds (90th and 25th percentiles).
סקריפט קוד פתוח
ברוח האמיתית של TradingView, יוצר הסקריפט הזה הפך אותו לקוד פתוח, כך שסוחרים יוכלו לעיין בו ולאמת את פעולתו. כל הכבוד למחבר! אמנם ניתן להשתמש בו בחינם, אך זכור כי פרסום חוזר של הקוד כפוף ל־כללי הבית שלנו.
כתב ויתור
המידע והפרסומים אינם מיועדים להיות, ואינם מהווים, ייעוץ או המלצה פיננסית, השקעתית, מסחרית או מכל סוג אחר המסופקת או מאושרת על ידי TradingView. קרא עוד ב־תנאי השימוש.
סקריפט קוד פתוח
ברוח האמיתית של TradingView, יוצר הסקריפט הזה הפך אותו לקוד פתוח, כך שסוחרים יוכלו לעיין בו ולאמת את פעולתו. כל הכבוד למחבר! אמנם ניתן להשתמש בו בחינם, אך זכור כי פרסום חוזר של הקוד כפוף ל־כללי הבית שלנו.
כתב ויתור
המידע והפרסומים אינם מיועדים להיות, ואינם מהווים, ייעוץ או המלצה פיננסית, השקעתית, מסחרית או מכל סוג אחר המסופקת או מאושרת על ידי TradingView. קרא עוד ב־תנאי השימוש.