OPEN-SOURCE SCRIPT
Outperformance Alpha
Outperformance Alpha
Relative Strength Engine – Alpha vs Benchmark
This indicator calculates the rolling outperformance (alpha) of any symbol against a chosen benchmark and displays it in a separate pane. It offers both a simple excess-return mode and a full risk-adjusted (Jensen-style) alpha that incorporates rolling beta and a risk-free rate.
Default benchmark is set to CNX500.
You can change it to any index or stock.
What the Indicator Shows
• Continuous alpha line with color-coded fill (positive = teal, negative = red)
• Automatic detection of short-term alpha peaks (selectable 9 / 21 / 50 bars)
• 52-week alpha highs
• Special “Alpha Leads Price” signal (cyan diamonds) – appears when alpha makes a
new 52-week high while the stock price itself has not yet broken its own 52-week
high
• Optional soft background coloring based on alpha direction
• Real-time statistics table (Alpha, Stock Return, Benchmark Return, Beta, Risk-Free
Rate)
Calculation Modes:
1.Simple Excess Return
Stock return over the chosen period minus benchmark return.
2.Risk-Adjusted
Classic Jensen’s Alpha using rolling beta and a user-defined annual risk-free
rate(periodized automatically).
Key Inputs:
1.Benchmark symbol (default: CNX500)
2.Performance lookback period
3.Alpha calculation mode
4.Risk-free rate (annual %)
5.Beta calculation window
6.Short-term peak length
7.Toggle for the early “Alpha Leads Price” diamonds
8.Full color and display controls
Alerts Included:
• Alpha crosses above zero
• Alpha crosses below zero
• New 52-week alpha high
• Alpha Leads Price signal
Recommended Usage:
Works best on the daily timeframe. All length inputs are measured in bars.
Use it as a relative-strength filter to identify stocks that are genuinely outperforming (or underperforming) their benchmark, especially when the cyan “Alpha Leads Price” diamonds appear.
Disclaimer:
This tool is for educational and informational purposes only. It does not provide investment advice. Past relative performance is not a guarantee of future results. Always do your own research and risk management.
Relative Strength Engine – Alpha vs Benchmark
This indicator calculates the rolling outperformance (alpha) of any symbol against a chosen benchmark and displays it in a separate pane. It offers both a simple excess-return mode and a full risk-adjusted (Jensen-style) alpha that incorporates rolling beta and a risk-free rate.
Default benchmark is set to CNX500.
You can change it to any index or stock.
What the Indicator Shows
• Continuous alpha line with color-coded fill (positive = teal, negative = red)
• Automatic detection of short-term alpha peaks (selectable 9 / 21 / 50 bars)
• 52-week alpha highs
• Special “Alpha Leads Price” signal (cyan diamonds) – appears when alpha makes a
new 52-week high while the stock price itself has not yet broken its own 52-week
high
• Optional soft background coloring based on alpha direction
• Real-time statistics table (Alpha, Stock Return, Benchmark Return, Beta, Risk-Free
Rate)
Calculation Modes:
1.Simple Excess Return
Stock return over the chosen period minus benchmark return.
2.Risk-Adjusted
Classic Jensen’s Alpha using rolling beta and a user-defined annual risk-free
rate(periodized automatically).
Key Inputs:
1.Benchmark symbol (default: CNX500)
2.Performance lookback period
3.Alpha calculation mode
4.Risk-free rate (annual %)
5.Beta calculation window
6.Short-term peak length
7.Toggle for the early “Alpha Leads Price” diamonds
8.Full color and display controls
Alerts Included:
• Alpha crosses above zero
• Alpha crosses below zero
• New 52-week alpha high
• Alpha Leads Price signal
Recommended Usage:
Works best on the daily timeframe. All length inputs are measured in bars.
Use it as a relative-strength filter to identify stocks that are genuinely outperforming (or underperforming) their benchmark, especially when the cyan “Alpha Leads Price” diamonds appear.
Disclaimer:
This tool is for educational and informational purposes only. It does not provide investment advice. Past relative performance is not a guarantee of future results. Always do your own research and risk management.
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.
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
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.
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.