Relativeperformance — Indicators and Strategies

Sector Relative Strength Description This script compares sector performance relative to the S&P 500. Sector price levels or charts alone can mislead, because they tend to move with the broader market. An increase in a sector’s price does not necessarily indicate strength, as it may simply be following the index. For more a more reliable picture, the script calculates a ratio between each sector ETF and SPY. If the ratio has increased, the sector has outperformed the index. In case it has declined, the sector has underperformed. If the value is near zero, the sector has moved in line with the index. The sectors are presented in a table and sorted on relative performance. Calculation Method The performance is expressed as a percentage change in the ratio over a user-defined lookback period. The default lookback is set to 21 bars, which corresponds to one month on a daily chart. This value can be adopted in the settings to match preferred time period. Z-Score In addition to the percentage change, the script calculates a Z-score of the ratio, which measures how far the current value deviates from its recent mean. A high positive Z-score indicates that the ratio is significantly above its average, while a negative value indicates it is below. This normalization allows for comparison between sectors with different price levels or volatility profiles. Table Columns - Relative %: The sector's performance relative to SPY over the selected lookback period - Z-Score: Standardized measure of current performance ratio is relative to its average - Trend Arrow: Indicates the direction of relative performance up down or flat Example Interpretation For example, if XLK shows a 3.7% change, it has outperformed SPY over the selected period. Another sector might show a -2.1% change, which indicates underperformance. While both values shows relative strength or weakness, the Z-score is optional and can provide additional context based on how unusual that performance is compared to the sector's own recent behavior. Use Case This approach helps evaluate overall market conditions and supports a top-down method. By starting with sector performance, it becomes easier to identify where the market is showing leadership or weakness. This allows the stock selection process to be more deliberate and can help refine or customize screeners based on certain sectors.

Relative Performance Suite Overview The Relative Performance Suite (RPS) is a versatile and comprehensive indicator designed to evaluate an asset's performance relative to a benchmark. By offering multiple methods to measure performance, including Relative Performance, Alpha, and Price Ratio, this tool helps traders and investors assess asset strength, resilience, and overall behavior in different market conditions. Key Features: ✅ Multiple Performance Measures: Choose from various relative performance calculations, including: Relative Performance: Measures how much an asset has outperformed or underperformed its benchmark over a given period. Relative Performance (Proportional): A proportional version of relative performance, factoring in scaling effects. Relative Performance (MA Based): Uses moving averages to smooth performance fluctuations. Alpha: A measure of an asset’s performance relative to what would be expected based on its beta and the benchmark’s return. It represents the excess return above the risk-free rate after adjusting for market risk. Price Ratio: Compares asset prices directly to determine relative value over time. ✅ Customizable Moving Averages: Apply different moving average types (SMA, EMA, SMMA, WMA, VWMA) to smooth price inputs and refine calculations. ✅ Beta Calculation: Includes a Beta measure used in Alpha calculation, which users can toggle the visibility of helping users understand an asset's sensitivity to market movements. ✅ Risk-Free Rate Adjustment: Incorporate risk-free rates (e.g., US Treasury yields, Fed Funds Rate) for a more accurate calculation of Alpha. ✅ Logarithmic Returns Option: Users can switch between standard returns and log returns for more refined performance analysis. ✅ Dynamic Color Coding: Identify outperformance or underperformance with intuitive color coding. Option to color bars based on relative strength, making chart analysis easier. ✅ Customizable Tables for Data Display: Overview table summarizing key metrics. Explanation table offering insights into how values are derived. How to Use: Select a Benchmark: Choose a comparison symbol (e.g., TOTAL or SPX ). Pick a Performance Metric: Use different modes to analyze relative performance. Customize Calculation Methods: Adjust moving averages, timeframes, and log returns based on preference. Interpret the Colors & Tables: Utilize the dynamic coloring and tables to quickly assess market conditions. Ideal For: Traders looking to compare individual asset performance against an index or benchmark. Investors analyzing Alpha & Beta to understand risk-adjusted returns. Market analysts who want a visually intuitive and data-rich performance tracking tool. This indicator provides a powerful and flexible way to track relative asset strength, helping users make more informed trading decisions.

relative performance This indicator is built to mesure the performance of a stock vs the index of choice. it is best use for the intraday session because it doesn't take gap into account when doing the calculation. This is how i made my math (using AAPL compared to SPY for simplicity) (change AAPL / ATR AAPL) - (change SPY / ATR SPY) * beta factor * volume factor change is calculated open to close for each candle instead of close to close. this is why gap does not affect the calculation blue columns is an instant snap shot of the RP red and green columns is the moving average of the blue columns limit is the max value for the blue line when ploting them on the chart but doesn't affect the calculation option: indice: default with SPY but could use any stock moving average choice: let you choose between EMA or SMA green and red columns rolling average length : number of bar for the moving average I made an auto adjust for the 5 min chart and the 2 min chart so you can swithc between both chart and have the same average (default value set to 6x 5min and 15x 2 min, giving you the average of the last 30min) volume weighing let you choose if you want a volume factor or not. volume factor is only going to multiplie the result of the price move. it cannot move it from positive to negative. this is the calculation (volume AAPL / volume SMA AAPL) / (volume SPY / volume sma SPY) meaning that a higher volume on the thicker compared to it's sma while having a lower volume on SPY will give you a big relative performance. you can choose the number of bar in the average for the volume. BETA factor work the same way that the volume factor does. you got to manualy enter your beta. default is set to 1.5 table top line : blue square is you RP value (same has the blue columns bar) and your reference thicker middle line : pourcentage move from the open (9:30 open) for your stock on the left and the reference on the right bottom line : beta on the left and volume factor on the right feel free to ask question or give modification idea!

Relative Perfomance Index Hello Traders. Lets keep it simple.. 1. Take the major pairs that have USD in them and watch their change over a specific timeframe. 2. Now lets sort these changes of each pair from the most positive to the most negative. Good, I see you have some ideas already. This is exactly what this indicator does. You will visualize the biggest change in pairs of the timeframe of your choice and from this you can decide on pairs that you want to trade.

Relative Performance This indicator allows to compare relative performance of two indices or securities. It is the update of the previous version rewritten in Pine Script 5 version.

Relative Performance Table This indicator is based on the Performance section in the TradingView's sidebar and uses new Pine tables functionality, originally coded by @Beeholder. It compares the current price of the symbol to its past price and calculates the rate of return to make it easier to track the performance of the symbol. Note that the Performance sidebar is not updated in real-time, while this indicator is, so on real-time charts the values between the two can differ (the indicator's values are more recent). Made a number of enhancement from Bee's script including relative performance of a selected ticker, dynamic table columns, and other options. The formula of the calculation is (Current value - Past value) * 100 / Past value, where Past value is: 1W 1M 3M 6M 9M 52W (1 Year) WTD (Week to Date) MTD (Month to Date) YTD (Year to Date --Future development will include the ability to transpose the table columns/rows