OPEN-SOURCE SCRIPT
Copula Tail Dependency [forexobroker]
Copula Tail Dependency [forexobroker] estimates the empirical lower- and upper-tail dependence between price returns and volume changes using a rank-based copula. Rather than measuring linear correlation (which collapses to a single number and ignores tail behavior), the indicator measures whether extreme co-occurrences are abnormally frequent. The unique angle is that crossovers of the upper- or lower-tail measure above a threshold mark genuine joint-extreme regimes where return-volume co-movement is strong, while ordinary days leave both measures low.
🔶 ALGORITHM
1. Each bar's one-step log return and volume change are computed.
2. Both series are rank-transformed within the last N (default 50) bars; the rank divided by N produces a uniform marginal U for returns and V for volume changes.
3. The empirical lower-tail dependence is lambda_L = count(U <= u AND V <= u) / count(V <= u) for u equal to the tail fraction (default 0.1).
4. The empirical upper-tail dependence is lambda_U = count(U >= 1-u AND V >= 1-u) / count(V >= 1-u).
5. Both quantities live on [0, 1]; values near 0 indicate independence at the tails, values near 1 indicate strong joint-extreme behavior.
6. A signal threshold (default 0.5) defines the line above which the tail measure is treated as a co-movement regime.
7. Bullish signal: lambda_U crosses above the threshold. Bearish signal: lambda_L crosses above the threshold.
🔶 SIGNAL LOGIC
- Buy: lambda_U crosses above the threshold AND session filter passes AND position is not already long AND cooldown bars elapsed AND barstate.isconfirmed.
- Sell: lambda_L crosses above the threshold AND session filter passes AND position is not already short AND cooldown bars elapsed AND barstate.isconfirmed.
The cross-up trigger filters out sustained-tail regimes that have already been priced in; entries fire only when joint-tail strength is freshly established.
🔶 INPUTS
- Calculation group: Window N (default 50), Tail Fraction u (default 0.1), Signal Threshold (default 0.5).
- Signal Logic group: cooldown bars (default 15).
- Filters group: optional session restriction (default 0000-2400).
- Visual group: dashboard toggle, 3-layer glow toggle, upper-tail and lower-tail colors, dashboard background.
🔶 ALERTS
CTD Buy, CTD Sell, CTD Any Signal, CTD Upper Tail Up, CTD Lower Tail Up, CTD Upper Tail Dn, CTD Lower Tail Dn, CTD Symmetric Tails, CTD Webhook JSON.
🔶 LIMITATIONS
- Volume is required, so on symbols without exchange volume the lower/upper tail estimates degrade to noise.
- The rank transform uses a fixed look-back, so the marginal CDF is local rather than global; very long-trend regimes can suppress tail measures.
- With N = 50 and u = 0.1, the upper and lower tails each contain only 5 reference points; small sample noise is expected.
- The indicator measures co-movement direction, not magnitude; it does not size the move.
- A high lambda_U can persist during slow grinding uptrends and then mean-revert, so re-entries from cool to hot are the cleanest signals.
🔶 ALGORITHM
1. Each bar's one-step log return and volume change are computed.
2. Both series are rank-transformed within the last N (default 50) bars; the rank divided by N produces a uniform marginal U for returns and V for volume changes.
3. The empirical lower-tail dependence is lambda_L = count(U <= u AND V <= u) / count(V <= u) for u equal to the tail fraction (default 0.1).
4. The empirical upper-tail dependence is lambda_U = count(U >= 1-u AND V >= 1-u) / count(V >= 1-u).
5. Both quantities live on [0, 1]; values near 0 indicate independence at the tails, values near 1 indicate strong joint-extreme behavior.
6. A signal threshold (default 0.5) defines the line above which the tail measure is treated as a co-movement regime.
7. Bullish signal: lambda_U crosses above the threshold. Bearish signal: lambda_L crosses above the threshold.
🔶 SIGNAL LOGIC
- Buy: lambda_U crosses above the threshold AND session filter passes AND position is not already long AND cooldown bars elapsed AND barstate.isconfirmed.
- Sell: lambda_L crosses above the threshold AND session filter passes AND position is not already short AND cooldown bars elapsed AND barstate.isconfirmed.
The cross-up trigger filters out sustained-tail regimes that have already been priced in; entries fire only when joint-tail strength is freshly established.
🔶 INPUTS
- Calculation group: Window N (default 50), Tail Fraction u (default 0.1), Signal Threshold (default 0.5).
- Signal Logic group: cooldown bars (default 15).
- Filters group: optional session restriction (default 0000-2400).
- Visual group: dashboard toggle, 3-layer glow toggle, upper-tail and lower-tail colors, dashboard background.
🔶 ALERTS
CTD Buy, CTD Sell, CTD Any Signal, CTD Upper Tail Up, CTD Lower Tail Up, CTD Upper Tail Dn, CTD Lower Tail Dn, CTD Symmetric Tails, CTD Webhook JSON.
🔶 LIMITATIONS
- Volume is required, so on symbols without exchange volume the lower/upper tail estimates degrade to noise.
- The rank transform uses a fixed look-back, so the marginal CDF is local rather than global; very long-trend regimes can suppress tail measures.
- With N = 50 and u = 0.1, the upper and lower tails each contain only 5 reference points; small sample noise is expected.
- The indicator measures co-movement direction, not magnitude; it does not size the move.
- A high lambda_U can persist during slow grinding uptrends and then mean-revert, so re-entries from cool to hot are the cleanest signals.
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.
🔵Gain access to our powerful tools : forexobroker.com/tv
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
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.
🔵Gain access to our powerful tools : forexobroker.com/tv
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
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.