Modern Portfolio Theory: Free TradingView Indicator (Pine Script)

Add It to Your TradingView Chart

1Copy the scriptPress Copy script above, or the copy button on the code below.
2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
3Paste over the templateCreate a new indicator, select all of the template text and paste. Press Save and give it a name.
4Add it to the chartPress Add to chart, then adjust the settings with the gear icon next to its name.

Source Code

254 lines of Pine Script v5 from pinescript/editors_picks/modern-portfolio-theory.pine, published under MPL-2.0 (file header). Keep the author's credit and licence lines when you reuse it.

modern-portfolio-theory.pine

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © VanHe1sing

//@version=5
indicator("Modern Portfolio Theory", shorttitle = "[MPT]", max_labels_count = 500)

//======================================================================================================================}
// - User Inputs
//======================================================================================================================{

int BarScale = input(150, "Bar Scale")
float rfr    = input.float(0.048, "Risk-Free Rate")
int strt_year= input(2010, "Portfolio Start Year")

data         = timestamp(strt_year, 01, 01, 0, 0)

float weight1 = input.float(10, "Weight 1", group = "Weight's", inline = "W") / 100
float weight2 = input.float(22, "Weight 2", group = "Weight's", inline = "W") / 100
float weight3 = input.float(5, "Weight 3", group = "Weight's", inline = "W") / 100
float weight4 = input.float(27, "Weight 4", group = "Weight's", inline = "W") / 100
float weight5 = input.float(10, "Weight 5", group = "Weight's", inline = "W") / 100
float weight6 = input.float(5, "Weight 6", group = "Weight's", inline = "W") / 100
float weight7 = input.float(3, "Weight 7", group = "Weight's", inline = "W") / 100
float weight8 = input.float(3, "Weight 8", group = "Weight's", inline = "W") / 100
float weight9 = input.float(5, "Weight 9", group = "Weight's", inline = "W") / 100
float weight10= input.float(10, "Weight 10", group = "Weight's", inline = "W") / 100

bool use_sym1 = input.bool(true, "Use Symbol 1?", inline = "Use?")
bool use_sym2 = input.bool(true, "Use Symbol 2?", inline = "Use?")
bool use_sym3 = input.bool(true, "Use Symbol 3?", inline = "Use?")
bool use_sym4 = input.bool(true, "Use Symbol 4?", inline = "Use?")
bool use_sym5 = input.bool(true, "Use Symbol 5?", inline = "Use?")
bool use_sym6 = input.bool(true, "Use Symbol 6?", inline = "Use?")
bool use_sym7 = input.bool(true, "Use Symbol 7?", inline = "Use?")
bool use_sym8 = input.bool(true, "Use Symbol 8?", inline = "Use?")
bool use_sym9 = input.bool(true, "Use Symbol 9?", inline = "Use?")
bool use_sym10= input.bool(true, "Use Symbol 10?", inline = "Use?")

sym1 =     input.symbol("    INDEX:BTCUSD    ", "    Symbol 1    ", inline = "Sym", group = "Symbol's")
sym2 =     input.symbol("    INDEX:ETHUSD    ", "    Symbol 2    ", inline = "Sym", group = "Symbol's")
sym3 =     input.symbol("    BINANCE:AAVEUSD    ", "    Symbol 3    ", inline = "Sym", group = "Symbol's")
sym4 =     input.symbol("    BINANCE:BNBUSD    ", "    Symbol 4    ", inline = "Sym", group = "Symbol's")
sym5 =     input.symbol("    BINANCE:SOLUSD    ", "    Symbol 5    ", inline = "Sym", group = "Symbol's")
sym6 =     input.symbol("    BINANCE:XRPUSD    ", "    Symbol 6    ", inline = "Sym", group = "Symbol's")
sym7 =     input.symbol("    BINANCE:ETCUSD    ", "    Symbol 7    ", inline = "Sym", group = "Symbol's")
sym8 =     input.symbol("    BINANCE:ADAUSD    ", "    Symbol 8    ", inline = "Sym", group = "Symbol's")
sym9 =     input.symbol("    BINANCE:AVAXUSD    ", "    Symbol 9    ", inline = "Sym", group = "Symbol's")
sym10 = input.symbol("    BINANCE:RUNEUSD    ", "    Symbol 10    ", inline = "Sym", group = "Symbol's")

//======================================================================================================================}
// - Declaration of Functions
//======================================================================================================================{
// Clean symbol from exchange name
clean_symbol(symbol)=>
    sym = str.split(symbol, ":")
    sym.get(1)

// Risk and Return Function
risk_return(src)=>
    var returns_array   = array.new_float(0)
    float root          = math.sqrt(365)

    if time >= data
        daily_return = 0.0
        //Daily Asset Returns 
        //formula -> (previous_value/current_value - 1)
        daily_return := src/src[1] - 1
        returns_array.push(daily_return)

    X = returns_array.stdev()*root
    Y = returns_array.avg()*root

    [X, Y]

// Scatter Plot
scatter(float xPosition, float yPosition, color  Color,
             int BarScale, string symbol, nodeChar = "⦿", nodeSize1 =  size.small, nodeSize =  size.normal) =>
    if barstate.islast
        float Y2 =     nz(yPosition)
        int   X2 = int(nz(xPosition) * BarScale)
        X2 := math.min(500, X2) + bar_index
   
        node = label.new(X2, Y2, nodeChar,  size=nodeSize,
                             color=#00000000, textcolor=Color,
                             style=label.style_label_center)

        nodeChar1 =  symbol
        label.new(X2+10, Y2, nodeChar1,  size=nodeSize1,
                         color=#00000000, textcolor=color.new(Color, 50),
                         style=label.style_label_center)

        label.new(bar_index, Y2, text= symbol + "  " + str.tostring(math.round(yPosition,3)), 
                 style = label.style_label_right, size = size.small, color = Color, textcolor = #000000)

        label.new(X2, 0, text= str.tostring(math.round(xPosition-1,2)), 
                 style = label.style_label_up, size = size.small, color = Color, textcolor = #000000)

//======================================================================================================================}
// - X & Y Values
//======================================================================================================================{
[    X1    ,    Y1    ] = request.security(    sym1    ,"", risk_return(close))
[    X2    ,    Y2    ] = request.security(    sym2    ,"", risk_return(close))
[    X3    ,    Y3    ] = request.security(    sym3    ,"", risk_return(close))
[    X4    ,    Y4    ] = request.security(    sym4    ,"", risk_return(close))
[    X5    ,    Y5    ] = request.security(    sym5    ,"", risk_return(close))
[    X6    ,    Y6    ] = request.security(    sym6    ,"", risk_return(close))
[    X7    ,    Y7    ] = request.security(    sym7    ,"", risk_return(close))
[    X8    ,    Y8    ] = request.security(    sym8    ,"", risk_return(close))
[    X9    ,    Y9    ] = request.security(    sym9    ,"", risk_return(close))
[    X10    ,    Y10    ] = request.security(    sym10    ,"", risk_return(close))

//======================================================================================================================}
// - Plots and AVG Portfolio ★
//======================================================================================================================{

var tbl = table.new(position.bottom_right, 15, 15, frame_color = #474747, frame_width = 2)

table.cell(tbl, 0, 0, "Symbol's", text_color = #f3f3f3)
table.cell(tbl, 0, 1, clean_symbol(    sym1    ), text_color = color.gray)
table.cell(tbl, 0, 2, clean_symbol(    sym2    ), text_color = color.gray)
table.cell(tbl, 0, 3, clean_symbol(    sym3    ), text_color = color.gray)
table.cell(tbl, 0, 4, clean_symbol(    sym4    ), text_color = color.gray)
table.cell(tbl, 0, 5, clean_symbol(    sym5    ), text_color = color.gray)
table.cell(tbl, 0, 6, clean_symbol(    sym6    ), text_color = color.gray)
table.cell(tbl, 0, 7, clean_symbol(    sym7    ), text_color = color.gray)
table.cell(tbl, 0, 8, clean_symbol(    sym8    ), text_color = color.gray)
table.cell(tbl, 0, 9, clean_symbol(    sym9    ), text_color = color.gray)
table.cell(tbl, 0, 10,clean_symbol(    sym10    ), text_color = color.gray)

table.cell(tbl, 1, 0, "Weight's", text_color = #f3f3f3)
table.cell(tbl, 1, 1, str.tostring(use_sym1 ? weight1*100 : 0, format.percent), text_color = color.gray)
table.cell(tbl, 1, 2, str.tostring(use_sym2 ?weight2*100 : 0, format.percent), text_color = color.gray)
table.cell(tbl, 1, 3, str.tostring(use_sym3 ?weight3*100 : 0, format.percent), text_color = color.gray)
table.cell(tbl, 1, 4, str.tostring(use_sym4 ?weight4*100 : 0, format.percent), text_color = color.gray)
table.cell(tbl, 1, 5, str.tostring(use_sym5 ?weight5*100 : 0, format.percent), text_color = color.gray)
table.cell(tbl, 1, 6, str.tostring(use_sym6 ?weight6*100 : 0, format.percent), text_color = color.gray)
table.cell(tbl, 1, 7, str.tostring(use_sym7 ?weight7*100 : 0, format.percent), text_color = color.gray)
table.cell(tbl, 1, 8, str.tostring(use_sym8 ?weight8*100 : 0, format.percent), text_color = color.gray)
table.cell(tbl, 1, 9, str.tostring(use_sym9 ?weight9*100 : 0, format.percent), text_color = color.gray)
table.cell(tbl, 1, 10,str.tostring(use_sym10 ?weight10*100 : 0, format.percent), text_color = color.gray)

table.cell(tbl, 0, 11, "Total", text_color = #f3f3f3)

sum = ((use_sym1 ? weight1 : 0)
     + (use_sym2 ? weight2 : 0)
     + (use_sym3 ? weight3 : 0)
     + (use_sym4 ? weight4 : 0)
     + (use_sym5 ? weight5 : 0)
     + (use_sym6 ? weight6 : 0)
     + (use_sym7 ? weight7 : 0)
     + (use_sym8 ? weight8 : 0)
     + (use_sym9 ? weight9 : 0)
     + (use_sym10 ? weight10 : 0)) * 100

table.cell(tbl, 1, 11, 
     str.tostring(sum, format.percent), 
     text_color = sum < 100 ? color.orange : sum == 100 ? color.green : color.red, 
     text_size = sum == 100 ? size.large : sum > 100 ? size.huge : size.large)
if sum < 100
    table.cell(tbl, 0, 12, "Cash", text_color = #f3f3f3)
    table.cell(tbl, 1, 12, str.tostring(100-sum, format.percent), text_color = #f3f3f3, text_size = size.large)

//Gradient colors of scatter plot marks
y_max = math.max(Y1, Y2, Y3,Y4,Y5,Y6,Y7,Y8,Y9,Y10)

y_min = math.min(Y1, Y2, Y3,Y4,Y5,Y6,Y7,Y8,Y9,Y10)

gradient(val)=>
    color_ = color.from_gradient(val, y_min,
                                 y_max, color.rgb(135, 223, 138), color.aqua)

color_1= gradient(    Y1    ), scatter(    X1    ,    Y1    ,    color_1    , BarScale, clean_symbol(    sym1    ))
color_2= gradient(    Y2    ), scatter(    X2    ,    Y2    ,    color_2    , BarScale, clean_symbol(    sym2    ))
color_3= gradient(    Y3    ), scatter(    X3    ,    Y3    ,    color_3    , BarScale, clean_symbol(    sym3    ))
color_4= gradient(    Y4    ), scatter(    X4    ,    Y4    ,    color_4    , BarScale, clean_symbol(    sym4    ))
color_5= gradient(    Y5    ), scatter(    X5    ,    Y5    ,    color_5    , BarScale, clean_symbol(    sym5    ))
color_6= gradient(    Y6    ), scatter(    X6    ,    Y6    ,    color_6    , BarScale, clean_symbol(    sym6    ))
color_7= gradient(    Y7    ), scatter(    X7    ,    Y7    ,    color_7    , BarScale, clean_symbol(    sym7    ))
color_8= gradient(    Y8    ), scatter(    X8    ,    Y8    ,    color_8    , BarScale, clean_symbol(    sym8    ))
color_9= gradient(    Y9    ), scatter(    X9    ,    Y9    ,    color_9    , BarScale, clean_symbol(    sym9    ))
color_10= gradient(    Y10    ), scatter(    X10    ,    Y10    ,    color_10, BarScale, clean_symbol(    sym10    ))

// Portfolio

// Risk and Return of Portfolio
x_portfolio = (use_sym1 ? X1*weight1 : 0)
 + (use_sym2 ? X2*weight2 : 0)
 + (use_sym3 ? X3*weight3 : 0)
 + (use_sym4 ? X4*weight4 : 0)
 + (use_sym5 ? X5*weight5 : 0)
 + (use_sym6 ? X6*weight6 : 0)
 + (use_sym7 ? X7*weight7 : 0)
 + (use_sym8 ? X8*weight8 : 0)
 + (use_sym9 ? X9*weight9 : 0)
 + (use_sym10 ? X10*weight10 : 0)

y_portfolio = (use_sym1 ? Y1*weight1 : 0)  
 + (use_sym2 ? Y2*weight2 : 0)
 + (use_sym3 ? Y3*weight3 : 0)
 + (use_sym4 ? Y4*weight4 : 0)
 + (use_sym5 ? Y5*weight5 : 0)
 + (use_sym6 ? Y6*weight6 : 0)
 + (use_sym7 ? Y7*weight7 : 0)
 + (use_sym8 ? Y8*weight8 : 0)
 + (use_sym9 ? Y9*weight9 : 0)
 + (use_sym10 ? Y10*weight10 : 0)


// Plot of Portfolio
scatter(x_portfolio, y_portfolio, color.red, BarScale, "Portfolio", "★", size.small, size.huge)

// Axis lines with labels
if barstate.islast
    x_max = math.round(math.max(X1,X2,X3,X4,X5,X6,X7,X8,X9,X10)*250)
    y_max := y_max+(y_max/10)

    X = bar_index
    X2 = int(nz(x_portfolio) * BarScale)
    X2 := math.min(500, X2) + bar_index

    // Background
    box.new(X+x_max, y_max, X, 0, #ffffff00, bgcolor = #ffffff07)

    // Return Axis
    label.new(X, y_max, "RETURN (Mean Daily Returns)", textcolor = #d6d6d6, style = label.style_none)
    line.new(X, 0.0, X, y_max, color=color.gray,
                     style=line.style_solid,  width=1)
 
    // Risk Axis
    label.new(X+x_max, 0, "RISK (Standart Deviation)", textcolor = #d6d6d6, style = label.style_none)
    line.new(X+x_max, 0.0, X, 0.0, color=color.gray,
                     style=line.style_solid,  width=1)

    // Legend
    y_max := y_max - (y_max/10)
    x_max := x_max + 50
    label.new(X+x_max, y_max, "  ★ - Manually Optimized Portfolio", textcolor = color.red, style = label.style_none)
    label.new(X+x_max, y_max-y_max/35, "⦿ - Coins (X - Risk, Y - Return)", textcolor = color.rgb(82, 255, 232), style = label.style_none)
    label.new(X+x_max, y_max-y_max/15, "Portfolio from " + str.tostring(strt_year), textcolor = #6b6b6b, style = label.style_none)

    // Capital allocation line (CAL)
    line.new(X2, 0.0, X2, y_portfolio, color=#474747,
                     style=line.style_dotted,  width=1)
                     
    line.new(X2, y_portfolio, X, y_portfolio, color=#474747,
                     style=line.style_dotted,  width=1)
    //(CAL) and risk-free rate
    line.new(X2, y_portfolio, X, 0+rfr, color=#474747,
                     style=line.style_dashed,  width=1)

    label.new(X+15, 0+rfr, "Risk-Free Rate \n" + str.tostring(rfr*100, format.percent), textcolor = #d6d6d6, style = label.style_none)

    
//★

Overview

The script supports ten symbols including Bitcoin, Ethereum, Aave, Binance, Solana, XRP, Ethereum Classic, Cardano, Avalanche and Rune. Inputs control symbol inclusion, weight values, portfolio start year and bar scale. Results appear in a separate pane. The indicator provides no built in exit signals or position management.

Portfolio Weights
Cryptocurrency Symbols
Bar Scale
Start Year
Symbol Toggle

Details

Published by

regalouisei on GitHub

Code credit

VanHe1sing, as written in the script's header

Type

Indicator, Pine Script v5

Draws

Separate pane below the chart

Markets

Crypto

Timeframes

Any timeframe

Risk Notes

No repainting, lookahead or stacked entries were found in its code or README. That says nothing about how well it works: test it first.

File

pinescript/editors_picks/modern-portfolio-theory.pine

Repository

github.com/regalouisei/collect-tradingview. See its other scripts in the library

Settings

The inputs you can change from the gear icon on the chart. Defaults are the author's.

Setting	Type	Default	Variable
Bar Scale	`int`	`150`	`BarScale`
Risk-Free Rate	`float`	`0.048`	`rfr`
Portfolio Start Year	`int`	`2010`	`strt_year`
Weight 1	`float`	`10`	`weight1`
Weight 2	`float`	`22`	`weight2`
Weight 3	`float`	`5`	`weight3`
Weight 4	`float`	`27`	`weight4`
Weight 5	`float`	`10`	`weight5`
Weight 6	`float`	`5`	`weight6`
Weight 7	`float`	`3`	`weight7`
Weight 8	`float`	`3`	`weight8`
Weight 9	`float`	`5`	`weight9`

Show all 33 settings

Setting	Type	Default	Variable
Weight 10	`float`	`10`	`weight10`
Use Symbol 1?	`bool`	`true`	`use_sym1`
Use Symbol 2?	`bool`	`true`	`use_sym2`
Use Symbol 3?	`bool`	`true`	`use_sym3`
Use Symbol 4?	`bool`	`true`	`use_sym4`
Use Symbol 5?	`bool`	`true`	`use_sym5`
Use Symbol 6?	`bool`	`true`	`use_sym6`
Use Symbol 7?	`bool`	`true`	`use_sym7`
Use Symbol 8?	`bool`	`true`	`use_sym8`
Use Symbol 9?	`bool`	`true`	`use_sym9`
Use Symbol 10?	`bool`	`true`	`use_sym10`
Symbol 1	`symbol`	`INDEX:BTCUSD`	`sym1`
Symbol 2	`symbol`	`INDEX:ETHUSD`	`sym2`
Symbol 3	`symbol`	`BINANCE:AAVEUSD`	`sym3`
Symbol 4	`symbol`	`BINANCE:BNBUSD`	`sym4`
Symbol 5	`symbol`	`BINANCE:SOLUSD`	`sym5`
Symbol 6	`symbol`	`BINANCE:XRPUSD`	`sym6`
Symbol 7	`symbol`	`BINANCE:ETCUSD`	`sym7`
Symbol 8	`symbol`	`BINANCE:ADAUSD`	`sym8`
Symbol 9	`symbol`	`BINANCE:AVAXUSD`	`sym9`
Symbol 10	`symbol`	`BINANCE:RUNEUSD`	`sym10`

Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.

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