This indicator calculates standardized z-scores of price data across four different lookback periods (6, 14, 26, and 100). Standardizing data subtracts the moving average from the price and divides by the standard deviation. It applies a Double Exponential Mov
Indicator · Pine Script v4 · Own pane
SPX Sentiment
A Pine v4 indicator in a separate pane that divides the S&P 500 index by the VIX volatility index to form a ratio, then compares it with its own average and a z-score style measure over a chosen length.
GitHub stars1on the repository
Pine versionv4older, still runs
Lines of code51
Settings7inputs
LicenceNone statedfile: MPL-2.0
Last update3 years ago19 Mar 2023
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
51 lines of Pine Script v4 from TradingView_old/2022/SPX_Sentiment.pine, published under MPL-2.0 (file header). Keep the author's credit and licence lines when you reuse it.
//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © QuantStreet
study("SPX Sentiment", shorttitle="SPX Sentiment")
length = input(50)
vix_close = security("VIX", timeframe.period, close)
spx_close = security("SPX", timeframe.period, close)
smoothness = input(title="Smoothnees", defval=3, minval=0)
mean_line = input(title="Mean Length", defval=100, minval=0)
ratio = spx_close / vix_close
bg_sma = sma(ratio, 200)
bg_color = ratio > bg_sma ? color.green : color.red
calc_zvwap(pds) =>
mean = wma(ratio, length)
vwapsd = sqrt(sma(pow(ratio - mean, 2), pds))
(ratio - mean) / vwapsd
plot(0)
upperTop = input(5) * 10
upperBottom = input(5.0) * 10
lowerTop = input(-5) * 10
lowerBottom = input(-5.0) * 10
line_color = color.black
//plot(10, style=hline.style_dashed, color=color.gray)
//plot(-10, style=hline.style_dashed, color=color.gray)
cg = change(close, 1)
zwap = ema(calc_zvwap(length), smoothness) * 20
zwap_correlation = correlation(zwap, close, 10) * 20
plot(correlation(sma(cg,10), zwap, 10) * 10, color=color.yellow)
//plot(zwap_correlation, color=black, linewidth=2)
plot(sma(zwap, 50), color=color.black)
plot(zwap, title="ZVWAP", color=zwap > 0 ? color.green : color.red, style=plot.style_columns, linewidth=2)
bgcolor(bg_color)
Overview
SPX Sentiment colours the background by whether the ratio is above or below its 200-bar average. Inputs set the length, smoothness, mean length and several band levels. It requests data from other symbols, so it relies on them being available.
- SPX to VIX ratio
- Z-score style deviation measure
- Background colour versus 200-bar average
- Adjustable band levels
Details
Published by
nvFede on GitHub
Code credit
QuantStreet, as written in the script's header
Type
Indicator, Pine Script v4
Draws
Separate pane below the chart
Category
Markets
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 |
|---|---|---|---|
| length | int | 50 | length |
| Smoothnees | int | 3 | smoothness |
| Mean Length | int | 100 | mean_line |
| upperTop | int | 5 | upperTop |
| upperBottom | float | 5.0 | upperBottom |
| lowerTop | int | -5 | lowerTop |
| lowerBottom | float | -5.0 | lowerBottom |
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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