This indicator plots a TTM Squeeze momentum oscillator in a separate pane. It compares a Bollinger Band offset to a Keltner Channel offset and marks the zero line white when the difference is non-negative and black when the bands are inside the channel. A line
Indicator · Pine Script v5 · Own pane
Relative Sharpe Ratio
The Relative Sharpe Ratio indicator calculates risk-adjusted return measures over a user-defined lookback window and plots them in a separate pane.
GitHub stars1on the repository
Pine versionv5runs as is
Lines of code28
Settings1inputs
LicenceNone stated
Last update3 years ago10 Nov 2022
Add It to Your TradingView Chart
- 1Copy the scriptPress Copy script above. It reads the file straight from GitHub.
- 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
The code stays on GitHub. The author has not published this script under an open licence, so ForexR does not show its code. Copy script reads the file straight from GitHub into your clipboard, so you can still try it on your own chart. Ask the author before reusing the code anywhere else.
Overview
Relative Sharpe Ratio calculates single-period simple returns, sums them over the period, and divides the sum by the return variance. It also computes a relative cumulative return against a baseline historical price and divides it by variance. Both metrics are plotted alongside a zero baseline to evaluate relative return relative to volatility.
- Rolling simple return sum calculation
- Return variance measurement using standard deviation
- Relative cumulative return comparison against baseline price
- Dual line plots for single return and relative Sharpe ratios
Details
Published by
JohnsonHsiao on GitHub
Type
Indicator, Pine Script v5
Draws
Separate pane below the chart
Category
Volatility & bands, Oscillators & momentum
Markets
Any symbol
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.
Settings
The inputs you can change from the gear icon on the chart. Defaults are the author's.
| Setting | Type | Default | Variable |
|---|---|---|---|
| return_measure_period | int | 20 | return_measure_period |
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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