Sector Rotation Indicator for ThinkorSwim

[Trading51]

@Trading51 Click on the settings gear for the study and check the "Left Axis" checkbox.

Can someone let me know why this is not scaling right?

https://imgur.com/a/e0kfLDt

 

[Bhai]

Can someone let me know why this is not scaling right?

https://imgur.com/a/e0kfLDt

Use the study in "lower"
by default its loading in upper/price column. Drag it to lower.

Studies --> Edit Studies --> Drag the study from Price to Lower.

 

[pjk]

Used the original version and added the 2 additional sectors Real Estate (XLRE) and Communications (XLC). I tried this on a weekly chart and the signals didn't work well for predicting next month's movements. It seems to work best on a daily chart.

Does anyone have trading recommendations as when to buy/sell?

# ETF_Rotate_Lower by ED_nn ThinkScriptLounge 4-2019
# from 4/4/2019 chat room:
# 06:37 Mobius: johnny - To find rotation quickly - Use primary ETF's in a watchlist with 2 columns first column is Correlation to SPX second is a stochastic of Beta, if Beta is 1 or close to 1 that ETF is moving at the fastest momentum in that range and if correlation is with SPX .85 or better it's moving with SPX cor# daily start with 13,34 as starting point.
# 4-19-19 Markos took out Beta 1 & 2.
# 6-23-19 Markos put Beta back in
# 12-6-20 pjk added RealEstate (XLRE) and Communications sectors (XLC)

declare lower;

input BetaLength = 21;
input StochLength =34;
input showBeta = No;
input showOverlay = Yes;

input Cyclicals      = "XLY"; #=Discretionary
input Technology     = "XLK";
input Industrials    = "XLI";
input Materials      = "XLB";
input Energy         = "XLE";
input Staples        = "XLP";
input HealthCare     = "XLV";
input Utilities      = "XLU";
input Financials     = "XLF";
input RealEstate     = "XLRE";
input Communications = "XLC"; #XTL

#------------------------------
#----purple colors
defineglobalColor(“PlumMedium“, createColor(221, 160, 221));
defineglobalColor(“Orchid“, createColor(218, 130, 214));
defineglobalColor(“MediumOrchid“, createColor(186, 85, 211));
defineglobalColor(“MediumPurple“, createColor(147, 112, 219));
defineglobalColor(“DarkOrchid“, createColor(153, 50, 204));


plot Scriptlabel = Double.NaN;
Scriptlabel.SetDefaultColor(CreateColor (0, 0, 0));

def Agg = GetAggregationPeriod();

#--------------------date start
addLabel(1,  getMonth() + "/" +
             getDayOfMonth(getYyyyMmDd()) + "/" +
             AsPrice(getYear()), GlobalColor("PlumMedium"));
#--------------------date end

#addLabel(1, " Ticker: '" + GetSymbol() + "' ", GlobalColor("Orchid"));

addLabel(1, "Agg: " +
              ( if Agg == 60000 then "1 Min"
           else if Agg == 120000 then "2 Min"
           else if Agg == 180000 then "3 Min"
           else if Agg == 240000 then "4 Min"
           else if Agg == 300000 then "5 Min"
           else if Agg == 600000 then "10 Min"
           else if Agg == 900000 then "15 Min"
           else if Agg == 1800000 then "30 Min"
           else if Agg == 3600000 then "1 Hour"
           else if Agg == 7200000 then "2 Hour"
           else if Agg == 14400000 then "4 Hours"
           else if Agg == 86400000 then "1 Day"
           else if Agg == 604800000 then "1 Week"
           else if Agg == 2592000000 then "1 Month"
           else  (Agg / 1000 / 60) + "Minutes")  +
           " (" + (if Agg<=23400000
                   then 23400000/Agg
                   else 86400000/Agg)+ ")"
          , GlobalColor("MediumPurple"));
#addLabel(1, BarNumber() + " Bars", GlobalColor("DarkOrchid"));

#-----------------------------
#-----------------------------

addLabel(1,"Rotation Beta/Stochastic (" + betaLength + "," +stochLength + ") ", color.Light_Gray);


script calcBeta {
  input secondSymbol = "XLF";
  input refSymbol = "SPX";
  input betaLength = 21;
  input returnLength = 1;

  def refPrice = close(refSymbol);
  def primary = if refPrice[returnLength] == 0
                then 0
                else (refPrice - refPrice[returnLength]) /
                      refPrice[returnLength] * 100;
  def secondPrice = close(secondSymbol);
  def secondary = if secondPrice[returnLength] == 0
                  then 0
                  else (secondPrice - secondPrice[returnLength]) /
                        secondPrice[returnLength] * 100;
  plot Beta = covariance(secondary, primary, betaLength) /
                         Sqr(stdev(primary, betaLength));
}

script EhlersESSfilter {
    input price = close;
    input length = 8;
    def ESS_coeff_0 = Exp(-Double.Pi * Sqrt(2) / length);
    def ESS_coeff_2 = 2 * ESS_coeff_0 * Cos(Sqrt(2) * Double.Pi / length);
    def ESS_coeff_3 = - Sqr(ESS_coeff_0);
    def ESS_coeff_1 = 1 - ESS_coeff_2 - ESS_coeff_3;
    def ESS_filter = if IsNaN(price + price[1]) then
                      ESS_filter[1]
                 else ESS_coeff_1 * (price + price[1]) / 2 +
                      ESS_coeff_2 * ESS_filter[1] +
                      ESS_coeff_3 * ESS_filter[2];
    plot Smooth_Filter =
         if barnumber() <  length then
              price
         else if !IsNaN(price) then
              ESS_filter
         else Double.NaN;
}

script calcStoch {
  input data = close;
  input StochLength = 21;
  def stochasticValue = ((data - lowest(data, StochLength)) /
                         (highest(data, StochLength) - lowest(data, StochLength)));
  plot stoch = stochasticValue;
}

plot beta1 = if showBeta then calcBeta(Cyclicals) else Double.NaN;
plot beta2 = if showBeta then calcBeta(Technology) else Double.NaN;
####
plot stoch1 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = Cyclicals,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch1.SetDefaultColor(Color.VIOLET);
stoch1.SetLineWeight(2);
stoch1.SetPaintingStrategy(PaintingStrategy.LINE_VS_SQUARES);
stoch1.HideBubble();
AddLabel(ShowOverlay, " Cyclicals ", Color.VIOLET);
AddChartBubble(ShowOverlay and IsNaN(close[-1]) and !IsNaN(close), if stoch1 < 0.15 then 0 else if stoch1 > 0.85 then 1 else stoch1, "Cyclicals", Color.VIOLET, stoch1 > 0.5);

plot stoch2 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = Technology,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch2.SetDefaultColor(CreateColor(90, 160, 120));
stoch2.SetLineWeight(5);
stoch2.SetStyle(Curve.LONG_DASH);
stoch2.HideBubble();
AddLabel(ShowOverlay, " Techology ", CreateColor(90, 160, 120));
AddChartBubble(ShowOverlay and IsNaN(close[-1]) and !IsNaN(close), if stoch2 < 0.15 then 0 else if stoch2 > 0.85 then 1 else stoch2, "Technology", CreateColor(90, 160, 120), stoch2 > 0.5);

plot stoch3 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = Industrials,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch3.SetDefaultColor(Color.MAGENTA);
stoch3.SetLineWeight(5);
stoch3.SetStyle(Curve.SHORT_DASH);
stoch3.HideBubble();
AddLabel(ShowOverlay, " Industrials ", Color.MAGENTA);
AddChartBubble(ShowOverlay and IsNaN(close[-1]) and !IsNaN(close), if stoch3 < 0.15 then 0 else if stoch3 > 0.85 then 1 else stoch3, "Industrials", Color.MAGENTA, stoch3 > 0.5);

plot stoch4 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = Materials,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch4.SetDefaultColor(Color.CYAN);
stoch4.SetLineWeight(2);
stoch4.SetPaintingStrategy(PaintingStrategy.LINE);
stoch4.HideBubble();
AddLabel(ShowOverlay, " Materials ", Color.CYAN);
AddChartBubble(ShowOverlay and IsNaN(close[-1]) and !IsNaN(close), if stoch4 < 0.15 then 0 else if stoch4 > 0.85 then 1 else stoch4, "Materials", Color.CYAN, stoch4 > 0.5);

plot stoch5 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = Energy,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch5.SetDefaultColor(Color.YELLOW);
stoch5.SetLineWeight(1);
stoch5.SetPaintingStrategy(PaintingStrategy.Line_vs_POINTS);
stoch5.HideBubble();
AddLabel(ShowOverlay, " Energy ", Color.YELLOW);
AddChartBubble(ShowOverlay and IsNaN(close[-1]) and !IsNaN(close), if stoch5 < 0.15 then 0 else if stoch5 > 0.85 then 1 else stoch5, "Energy", Color.YELLOW, stoch5 > 0.5);

plot stoch6 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = Staples,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch6.SetDefaultColor(CreateColor(80, 180, 70));
stoch6.SetLineWeight(2);
stoch6.SetPaintingStrategy(PaintingStrategy.LINE_VS_TRIANGLES);
stoch6.HideBubble();
AddLabel(ShowOverlay, " Staples ", CreateColor(80, 180, 70));
AddChartBubble(ShowOverlay and IsNaN(close[-1]) and !IsNaN(close), if stoch6 < 0.15 then 0 else if stoch6 > 0.85 then 1 else stoch6, "Staples", CreateColor(80, 180, 70), stoch6 > close);

plot stoch7 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = HealthCare,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch7.SetDefaultColor(CreateColor(180, 80, 180));
stoch7.SetLineWeight(4);
stoch7.SetPaintingStrategy(PaintingStrategy.LINE);
stoch7.HideBubble();
AddLabel(ShowOverlay, " HealthCare ", CreateColor(180, 80, 180));
AddChartBubble("time condition" = ShowOverlay and IsNaN(close[-1]) and !IsNaN(close), "price location" = if stoch7 < 0.15 then 0 else if stoch7 > 0.85 then 1 else stoch7, text = "HealthCare", color = CreateColor(180, 80, 180), stoch7 > 0.5);

plot stoch8 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = Utilities,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch8.SetDefaultColor(Color.ORANGE);
stoch8.SetLineWeight(2);
stoch8.SetPaintingStrategy(PaintingStrategy.LINE);
stoch8.HideBubble();
AddLabel(ShowOverlay, " Utilities ", Color.ORANGE);
AddChartBubble(ShowOverlay and IsNaN(close[-1]) and !IsNaN(close[0]), if stoch8 < 0.15 then 0 else if stoch8 > 0.85 then 1 else stoch8, "Utilities", Color.ORANGE, stoch8 > 0.5);

plot stoch9 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = Financials,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch9.SetDefaultColor(Color.pink);
stoch9.SetLineWeight(2);
stoch9.SetPaintingStrategy(PaintingStrategy.LINE_VS_POINTS);
stoch9.HideBubble();
AddLabel(ShowOverlay, " Financials ", Color.pink);
AddChartBubble(ShowOverlay and IsNaN(close[-1]) and !IsNaN(close), if stoch9 < 0.15 then 0 else if stoch9 > 0.85 then 1 else stoch9, "Financials", Color.pink, stoch9 > 0.5);

plot stoch10 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = RealEstate,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch10.SetDefaultColor(Color.gray);
stoch10.SetLineWeight(2);
stoch10.SetPaintingStrategy(PaintingStrategy.LINE_VS_POINTS);
stoch10.HideBubble();
AddLabel(ShowOverlay, " RealEstate ", Color.gray);
AddChartBubble(ShowOverlay and IsNaN(close[-1]) and !IsNaN(close), if stoch10 < 0.15 then 0 else if stoch10 > 0.85 then 1 else stoch10, "RealEstate", Color.gray, stoch10 > 0.5);

#Communications
plot stoch11 = calcStoch(
                        data = EhlersESSfilter(
                               calcBeta(secondSymbol = Communications,
                               betaLength = BetaLength)),
                                     stochLength = StochLength);
stoch11.SetDefaultColor(Color.PINK);
stoch11.SetLineWeight(2);
stoch11.SetPaintingStrategy(PaintingStrategy.LINE_VS_POINTS);
stoch11.HideBubble();
AddLabel(ShowOverlay, " Communications ", Color.PINK);
AddChartBubble(ShowOverlay and IsNaN(close[-1]) and !IsNaN(close), if stoch11 < 0.15 then 0 else if stoch11 > 0.85 then 1 else stoch11, "Communications", Color.PINK, stoch11 > 0.5);


#----------------------------------------------
def barNumber = BarNumber();
def endBar = if !IsNaN(close) and IsNaN(close[-1]) then barNumber else endBar[1];
def lastBar = HighestAll(endBar);
input flowLabelStep = 40;
addLabel(1,"Last Bar = " + lastBar, color.Light_Gray);
DefineGlobalColor("YellowGreen", CreateColor(90, 140, 5));
AddChartBubble(barNumber == (lastBar - flowLabelStep), 1.01,
"M O N E Y   F L O W S   I N", globalColor("YellowGreen"), 1);
AddChartBubble(barNumber == (lastBar - 2*flowLabelStep), 1.01,
"M O N E Y   F L O W S   I N", globalColor("YellowGreen"), 1);
#mAddChartBubble(barNumber == (lastBar - 3*flowLabelStep), 1.01,
#"M O N E Y   F L O W S   I N", globalColor("YellowGreen"), 1);

DefineGlobalColor("Cinamon", CreateColor(200, 10, 40));
AddChartBubble(barNumber == (lastBar - flowLabelStep), -0.01,
"M O N E Y   F L O W S   O U T", globalColor("Cinamon"), 0);
AddChartBubble(barNumber == (lastBar - 2*flowLabelStep), -0.01,
"M O N E Y   F L O W S   O U T", globalColor("Cinamon"), 0);
#mAddChartBubble(barNumber == (lastBar - 3*flowLabelStep), -0.01,
#m"M O N E Y   F L O W S   O U T", globalColor("Cinamon"), 0);

#plot zero = if isNaN(close) then double.nan else 0;
plot zero = if barNumber > (lastBar + 7) then double.nan else 0;
zero.SetDefaultColor(createColor(90, 20, 20));
zero.SetStyle(Curve.Long_Dash);
zero.SetLineWeight(5);
zero.HideBubble();
plot one = if barNumber > (lastBar + 7) then double.nan else 1;
one.SetDefaultColor(createColor(20, 70, 20));
one.SetStyle(Curve.Long_Dash);
one.SetLineWeight(5);
one.HideBubble();
#EOC

 

[mangh99]

How could this be used to spot a sector rotation?

I think a post above noted it, as a sector moves below 80 its going out of favor, as it moves above 20 momentum is picking up. Play sectors that are moving up for long and sectors moving down for shorts. Half the stocks moves are based on the performance of the sectors they are in.

 

[MerryDay]

Sector Labels -- no spaghetti

Here is the shared link: http://tos.mx/XNf1pOH

 

[boatshoes]

@MerryDay Are the labels referring to previous day close? For example, XLK is showing relative strength today and XLP is relatively weak.

 

[MerryDay]

@boatshoes
I didn't create the logic for this study (my specialty is putting the lipstick on the pig)
If you look at the first post in this thread, you will find how the movement is defined.
According to this study, technology has been down down down for quite a while now... And look there is staples slowly rising...

 

[boatshoes]

@MerryDay Referencing the intraday relative strength of XLK.

Today:
XLK +0.21%
SPX +0.17%
XLI -0.45%
XLP -0.56%

In the labels, XLK shows as red and both XLI and XLP show as green. For that to be valid, it would have to be referencing the Friday close instead of the intraday price action today.

 

[MerryDay]

@boatshoes This is based on the daily chart. I am not sure that the study works intraday; you would have to read through the whole thread to determine that.

The labels are consistent with the study in post#1.

You can look through the code if you have questions. As I said, I didn't create the logic just the labels.

 

[boatshoes]

@boatshoes
This is based on the daily chart. I am not sure that the study works intraday; you would have to read through the whole thread to determine that.
The labels are consistent with the study in post#1.
You can look through the code if you have questions. As I said, I didn't create the logic just the labels.

Makes sense, nice share on the labels. I too prefer the labels than the spaghetti maze haha

 

[datager]

@pjk Impressive code and I'm a newbie too Does anyone know why this Study in my Lower with Left Axlis checked looks like this and how to resolve?

 

[MerryDay]

@boatshoes I understand your question better now. We don't have the ability to determine sector relative strength so this study does it's best approximation using these calculations

 

[pjk]

@datager, when you add a study, TOS usually adds it by default in the 'lower' section. You have to drag the study from the lower to the 'price' or 'volume' upper section. Thanks for the praise, I just did a copy/edit/paste job on the original code. I unfortunately (still) know very little about Thinkscript syntax.

 

[8Nick8]

@MerryDay Thanks for sharing..May i know how do you configure to have the news in this setting. thanks

 

[BenTen]

@Nick That's a built-in feature in ToS. You can enable it from the sidebar.

 

[aceboogie_11]

In this version, I got rid of the spaghetti and just went with labels:

Here is the chart link: http://tos.mx/u1u8vzO

will this only work during the trading day because I am trying to test it out on demand and the boxes are gray the whole day?

 

[rad14733]

will this only work during the trading day because I am trying to test it out on demand and the boxes are gray the whole day?

It's probably related to OnDemand not being able to access the historic sector fundamentals... The capabilities of OndDemand are somewhat limited...

 

[xad]

@MerryDay Some of the sectors are not appearing, is it because of black background? Can you please help me adjust the code ..

 

[Thomas]

Here's one I like, simple, and symbols can be changed: https://tos.mx/6H6kdCj

 

[MerryDay]

@xad I agree the default colors in my sector labels post may not be optimal on a black background. I have updated the shared link w/ a study that uses all global colors. After re-downloading and adding to your chart; clicking on the gear icon will allow you to change the colors to better co-ordinate w/ your chart settings.
HTH