OPEN-SOURCE SCRIPT
L-TPI Correlation Assets
# L-TPI Correlation Assets
A composite trend-probability indicator that scores the current asset's directional bias and **scales that score by its rolling correlation to Bitcoin (INDEX:BTCUSD)**. The result is a single weighted signal that strengthens when the asset is moving with BTC and fades toward neutral when the relationship breaks down.
---
## Concept
Most trend indicators tell you *what* an asset is doing. This one asks a second question: *how much does that signal matter right now, given the asset's relationship to the broader crypto market?*
The script does this in three stages:
1. **Trend Probability Index (TPI)** — a 4-filter composite that produces a normalized trend score in the range `[-1, +1]`.
2. **Multi-Period Correlation Weight** — a weighted average of the asset's price correlation to BTC across five lookback windows.
3. **Final Weighted Score** — the TPI multiplied by the correlation weight, with a configurable neutral zone around zero.
---
## 1. Trend Probability Index (TPI)
Four independent filters each cast a vote of `+1` (bullish) or `-1` (bearish):
| Filter | Logic | Bullish When |
|---|---|---|
| **f1 — ROC** | Rate of Change over *N* bars | ROC > 1 |
| **f2 — RSI** | Relative Strength Index | RSI > 50 |
| **f3 — EMA Cross** | Fast EMA vs. Slow EMA | Fast > Slow |
| **f4 — SMA** | Price vs. long SMA | Close > SMA |
- **Raw Trend Score** = `f1 + f2 + f3 + f4` → integer in `[-4, +4]`
- **Avg Trend Score** = `Raw / 4` → normalized to `[-1, +1]`
The Avg Trend Score is the TPI value passed forward.
---
## 2. Correlation Weight (vs. INDEX:BTCUSD)
The script computes the **Pearson correlation coefficient** between the chart asset's close and BTC's close across **five user-defined lookback windows** (default 30, 60, 90, 180, 365 bars). Each window has its own user weight (default 1, 2, 3, 4, 5 — favoring longer horizons).
For each window:
- Validity is checked: a window must have at least *Min valid obs ratio* (default 80%) of aligned, non-`na` bars.
- Invalid windows are excluded from the weighted average.
The final weight is a clamped weighted mean:
```
weight = clamp( Σ(corr_i × user_weight_i) / Σ(user_weight_i), -1, +1 )
```
BTC is fetched via `ticker.modify` so dividend/session adjustments on the chart propagate to the comparison series.
---
## 3. Final Weighted Score
```
final_weighted_score = avg_trend_score × weight
```
- **Range:** `[-1, +1]`
- **Strong bullish:** TPI is bullish *and* asset moves with BTC → score pushes toward +1
- **Strong bearish:** TPI is bearish *and* asset moves with BTC → score pushes toward −1
- **Neutral / decoupled:** TPI is mixed *or* correlation is weak → score collapses toward 0
A configurable **neutral zone** (default `±0.02`) flags conditions where the signal is too weak to act on.
---
## Visual Output
- **Final Weighted Score** — bold line; green above 0, red below, yellow in the neutral zone.
- **Correlation Weight** — stepline showing the current BTC-correlation multiplier.
- **Raw / Avg Trend Score** — the underlying TPI before correlation weighting.
- **Per-window correlations** — optional plots for the 30/60/90/180/365-bar `r` values.
- **Neutral zone** — optional background tint, threshold lines, and diamond marker.
- **Underlying filters** — ROC, RSI, EMAs, SMA can each be plotted individually.
### Tables
- **Signal Table** — every filter's state, raw/avg trend, correlation weight, final score, and overall bull/bear/neutral state.
- **Correlation Diagnostic Table** — per-window `r`, user weight, validity status, and resolved comparison symbol.
- **Final Score Table** — large display of the final weighted score for clean screenshots / streaming.
All tables have configurable positions.
---
## Inputs Overview
| Group | Key Inputs |
|---|---|
| Global | Timeframe |
| Neutral Zone | Low / High thresholds |
| ROC, RSI, EMA, SMA | Lengths for each filter |
| Correlation Weight | 5 × (period, weight), min valid obs ratio |
| Plot Toggles | Per-component visibility |
| Tables | Show/hide and positioning |
---
## How to Read It
- **Score > 0, rising, green:** trend filters and BTC correlation both supportive.
- **Score < 0, falling, red:** trend filters and BTC correlation both negative.
- **Score in yellow zone:** either filters are split, or the asset has decoupled from BTC — treat as no-trade.
- **Correlation weight near 0:** asset is currently uncorrelated with BTC; the trend signal is being intentionally muted.
---
## Notes & Limitations
- Comparison is hardcoded to `INDEX:BTCUSD`. Most useful on crypto and crypto-adjacent assets.
- Correlation is computed on **raw closes**, not returns. This produces smoother, more persistent `r` values that emphasize co-movement of price levels rather than short-term return co-movement.
- The TPI uses a fixed equal-weight blend of ROC, RSI, EMA cross, and SMA. It's a deliberately simple base; the correlation weighting is where the differentiation comes from.
- Designed for higher timeframes (default 1D). Works on lower TFs but the long correlation windows (e.g. 365 bars) become short in calendar time.
---
*Not financial advice. Always backtest and validate on your own instruments and timeframe before using any indicator for live decisions.*
A composite trend-probability indicator that scores the current asset's directional bias and **scales that score by its rolling correlation to Bitcoin (INDEX:BTCUSD)**. The result is a single weighted signal that strengthens when the asset is moving with BTC and fades toward neutral when the relationship breaks down.
---
## Concept
Most trend indicators tell you *what* an asset is doing. This one asks a second question: *how much does that signal matter right now, given the asset's relationship to the broader crypto market?*
The script does this in three stages:
1. **Trend Probability Index (TPI)** — a 4-filter composite that produces a normalized trend score in the range `[-1, +1]`.
2. **Multi-Period Correlation Weight** — a weighted average of the asset's price correlation to BTC across five lookback windows.
3. **Final Weighted Score** — the TPI multiplied by the correlation weight, with a configurable neutral zone around zero.
---
## 1. Trend Probability Index (TPI)
Four independent filters each cast a vote of `+1` (bullish) or `-1` (bearish):
| Filter | Logic | Bullish When |
|---|---|---|
| **f1 — ROC** | Rate of Change over *N* bars | ROC > 1 |
| **f2 — RSI** | Relative Strength Index | RSI > 50 |
| **f3 — EMA Cross** | Fast EMA vs. Slow EMA | Fast > Slow |
| **f4 — SMA** | Price vs. long SMA | Close > SMA |
- **Raw Trend Score** = `f1 + f2 + f3 + f4` → integer in `[-4, +4]`
- **Avg Trend Score** = `Raw / 4` → normalized to `[-1, +1]`
The Avg Trend Score is the TPI value passed forward.
---
## 2. Correlation Weight (vs. INDEX:BTCUSD)
The script computes the **Pearson correlation coefficient** between the chart asset's close and BTC's close across **five user-defined lookback windows** (default 30, 60, 90, 180, 365 bars). Each window has its own user weight (default 1, 2, 3, 4, 5 — favoring longer horizons).
For each window:
- Validity is checked: a window must have at least *Min valid obs ratio* (default 80%) of aligned, non-`na` bars.
- Invalid windows are excluded from the weighted average.
The final weight is a clamped weighted mean:
```
weight = clamp( Σ(corr_i × user_weight_i) / Σ(user_weight_i), -1, +1 )
```
BTC is fetched via `ticker.modify` so dividend/session adjustments on the chart propagate to the comparison series.
---
## 3. Final Weighted Score
```
final_weighted_score = avg_trend_score × weight
```
- **Range:** `[-1, +1]`
- **Strong bullish:** TPI is bullish *and* asset moves with BTC → score pushes toward +1
- **Strong bearish:** TPI is bearish *and* asset moves with BTC → score pushes toward −1
- **Neutral / decoupled:** TPI is mixed *or* correlation is weak → score collapses toward 0
A configurable **neutral zone** (default `±0.02`) flags conditions where the signal is too weak to act on.
---
## Visual Output
- **Final Weighted Score** — bold line; green above 0, red below, yellow in the neutral zone.
- **Correlation Weight** — stepline showing the current BTC-correlation multiplier.
- **Raw / Avg Trend Score** — the underlying TPI before correlation weighting.
- **Per-window correlations** — optional plots for the 30/60/90/180/365-bar `r` values.
- **Neutral zone** — optional background tint, threshold lines, and diamond marker.
- **Underlying filters** — ROC, RSI, EMAs, SMA can each be plotted individually.
### Tables
- **Signal Table** — every filter's state, raw/avg trend, correlation weight, final score, and overall bull/bear/neutral state.
- **Correlation Diagnostic Table** — per-window `r`, user weight, validity status, and resolved comparison symbol.
- **Final Score Table** — large display of the final weighted score for clean screenshots / streaming.
All tables have configurable positions.
---
## Inputs Overview
| Group | Key Inputs |
|---|---|
| Global | Timeframe |
| Neutral Zone | Low / High thresholds |
| ROC, RSI, EMA, SMA | Lengths for each filter |
| Correlation Weight | 5 × (period, weight), min valid obs ratio |
| Plot Toggles | Per-component visibility |
| Tables | Show/hide and positioning |
---
## How to Read It
- **Score > 0, rising, green:** trend filters and BTC correlation both supportive.
- **Score < 0, falling, red:** trend filters and BTC correlation both negative.
- **Score in yellow zone:** either filters are split, or the asset has decoupled from BTC — treat as no-trade.
- **Correlation weight near 0:** asset is currently uncorrelated with BTC; the trend signal is being intentionally muted.
---
## Notes & Limitations
- Comparison is hardcoded to `INDEX:BTCUSD`. Most useful on crypto and crypto-adjacent assets.
- Correlation is computed on **raw closes**, not returns. This produces smoother, more persistent `r` values that emphasize co-movement of price levels rather than short-term return co-movement.
- The TPI uses a fixed equal-weight blend of ROC, RSI, EMA cross, and SMA. It's a deliberately simple base; the correlation weighting is where the differentiation comes from.
- Designed for higher timeframes (default 1D). Works on lower TFs but the long correlation windows (e.g. 365 bars) become short in calendar time.
---
*Not financial advice. Always backtest and validate on your own instruments and timeframe before using any indicator for live decisions.*
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Mã nguồn mở
Theo đúng tinh thần TradingView, tác giả của tập lệnh này đã công bố nó dưới dạng mã nguồn mở, để các nhà giao dịch có thể xem xét và xác minh chức năng. Chúc mừng tác giả! Mặc dù bạn có thể sử dụng miễn phí, hãy nhớ rằng việc công bố lại mã phải tuân theo Nội quy.
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.