Monthly beta (5Y monthly) with multi-timeframe support — Indicator by haribotagada

multitimeframe volatility historicalvolatility

The PROPER way to calculate beta for a stock using monthly price returns. None of this nonsense using daily returns and sliding windows as done by other scripts...

Works on any timeframe.

This script has been checked against 100s of stocks on Yahoo finance and Zacks research data and matches 100% (some rounding error as this script is kept updated live on unconfirmed monthly bars).

You can check for yourself:
Zacks fundamentals - beta

The script calculates beta using the Variance-Covariance Method as described on Investopedia
How to calculate Beta

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Disclaimer

The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.

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