OPEN-SOURCE SCRIPT
FULCRUM: Rates & Vol Adjusted Ratio VWAP
WHAT IT DOES
The fulcrum of the index complex: a rates-and-volatility-adjusted VWAP for the relationship between two markets. It rebuilds the NQ/ES ratio bar by bar — 2500·NQ/ES, normalized by VXN×US10Y — then anchors a volume-weighted mean with ±1σ and ±2σ bands on that relative-value series. One line that says whether tech is rich or cheap against the broad market, and how stretched the move is. It lives in its own pane, works on any chart, and configures itself.
HOW IT WORKS
Both legs are requested at chart resolution, and the bar's ratio high/low come from the cross-extremes (NQ high over ES low, and the reverse) — the VWAP sees the bar's true range, not just closes.
A spread has no volume of its own, so weighting borrows the geometric mean of both legs' volume.
The rates/vol divisor uses the PRIOR session's confirmed VXN and US10Y closes — identical live and on reload. No repaint.
The anchor is automatic: session on charts up to 20m, week up to 4h, month above. Override it if you disagree.
Bands come from cumulative volume-weighted variance, not a rolling stdev, and stay hidden for the first bars after each reset while they cook.
The ratio line holds its color until the move clears ±0.15σ — color changes are regime, not noise. A faint tint marks ±2σ extension.
A live table reads VWAP, ratio, Δ%, σ-distance, zone, and the divisor's status — if a feed is missing it says so instead of guessing silently.
HOW TO USE IT
Read the relationship against its anchored mean: +2σ on a ratio behaves like +2σ on price — stretched, and usually walked back. Cross alerts on VWAP, ±1σ, and ±2σ are included. Swap the symbols and multiplier and it generalizes to any pair you trade.
WHAT IT CAN'T DO
It describes the relationship, not direction — the ratio falling doesn't say whether NQ is weak or ES is strong. If the VXN or US10Y feed is unavailable, the divisor falls back to sane defaults and the table flags it; it will not pretend.
SETTINGS
Numerator, denominator, and multiplier; VXN×US10Y normalization; auto or manual anchor (session, week, month); band multipliers; warm-up hiding; colors, fill, labels, table.
Open source. Free. Where the balance sits.
The fulcrum of the index complex: a rates-and-volatility-adjusted VWAP for the relationship between two markets. It rebuilds the NQ/ES ratio bar by bar — 2500·NQ/ES, normalized by VXN×US10Y — then anchors a volume-weighted mean with ±1σ and ±2σ bands on that relative-value series. One line that says whether tech is rich or cheap against the broad market, and how stretched the move is. It lives in its own pane, works on any chart, and configures itself.
HOW IT WORKS
Both legs are requested at chart resolution, and the bar's ratio high/low come from the cross-extremes (NQ high over ES low, and the reverse) — the VWAP sees the bar's true range, not just closes.
A spread has no volume of its own, so weighting borrows the geometric mean of both legs' volume.
The rates/vol divisor uses the PRIOR session's confirmed VXN and US10Y closes — identical live and on reload. No repaint.
The anchor is automatic: session on charts up to 20m, week up to 4h, month above. Override it if you disagree.
Bands come from cumulative volume-weighted variance, not a rolling stdev, and stay hidden for the first bars after each reset while they cook.
The ratio line holds its color until the move clears ±0.15σ — color changes are regime, not noise. A faint tint marks ±2σ extension.
A live table reads VWAP, ratio, Δ%, σ-distance, zone, and the divisor's status — if a feed is missing it says so instead of guessing silently.
HOW TO USE IT
Read the relationship against its anchored mean: +2σ on a ratio behaves like +2σ on price — stretched, and usually walked back. Cross alerts on VWAP, ±1σ, and ±2σ are included. Swap the symbols and multiplier and it generalizes to any pair you trade.
WHAT IT CAN'T DO
It describes the relationship, not direction — the ratio falling doesn't say whether NQ is weak or ES is strong. If the VXN or US10Y feed is unavailable, the divisor falls back to sane defaults and the table flags it; it will not pretend.
SETTINGS
Numerator, denominator, and multiplier; VXN×US10Y normalization; auto or manual anchor (session, week, month); band multipliers; warm-up hiding; colors, fill, labels, table.
Open source. Free. Where the balance sits.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.