OPEN-SOURCE SCRIPT
HPK Crash Indicator
From Hari P. Krishnan's book, The Second Leg Down: Strategies for Profiting after a Market Sell-Off:
"We start by specifying the year on year (YoY) change in the index. Next, we calculate the 5 year trailing Z score of the YoY returns. We also calculate the 5 year trailing Z score of 1 month historical volatility for the index, using daily returns. Our crisis warning indicator flashes if both Z scores are above 2. In other words, recent price increases and current volatility need to be at least 2 standard deviations above normal.
It can be seen that this basic implementation is reasonably effective, accepting that the effective sample set is small. A false signal is given in mid-2006, but the signal is quickly washed away. The remaining signals occur fairly close to the point of collapse. The idea that elevated volatility is predictive of danger is not new and underpins many asset allocation schemes. However, Sornette deserves credit for moving away from a largely valuation-based approach to predicting crises to one that relies upon price action itself."
"We start by specifying the year on year (YoY) change in the index. Next, we calculate the 5 year trailing Z score of the YoY returns. We also calculate the 5 year trailing Z score of 1 month historical volatility for the index, using daily returns. Our crisis warning indicator flashes if both Z scores are above 2. In other words, recent price increases and current volatility need to be at least 2 standard deviations above normal.
It can be seen that this basic implementation is reasonably effective, accepting that the effective sample set is small. A false signal is given in mid-2006, but the signal is quickly washed away. The remaining signals occur fairly close to the point of collapse. The idea that elevated volatility is predictive of danger is not new and underpins many asset allocation schemes. However, Sornette deserves credit for moving away from a largely valuation-based approach to predicting crises to one that relies upon price action itself."
نص برمجي مفتوح المصدر
قام مؤلف هذا النص البرمجي بنشره وجعله مفتوح المصدر، بحيث يمكن للمتداولين فهمه والتحقق منه، وهو الأمر الذي يدخل ضمن قيم TradingView. تحياتنا للمؤلف! يمكنك استخدامه مجانًا، ولكن إعادة استخدام هذا الرمز في المنشور يخضع لقواعدقوانين الموقع. يمكنك جعله مفضلاً لاستخدامه على الرسم البياني.
هل تريد استخدام هذا النص البرمجي على الرسم البياني؟
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