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.

Open-source script

In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.

sizmical

Disclaimer

The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.

Open-source script

sizmical