OPEN-SOURCE SCRIPT
Updated {MC} Beta Matrix {Dual Bench} V2
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The {MC} BETA Matrix {Dual Benchmark} | V2 incorporates the “Beta Coefficient” calculations originally designed by LightwaveResearch. The {MC} BETA Matrix {Dual Benchmark} | V2 indicator however calculates and displays the Beta values of a list of assets against two specified benchmarks, typically representing market indexes such as BTCUSD and ETHUSD.Overview
The indicator computes the Beta coefficient for multiple assets over a specified length of time (default is 90 days). Beta is a measure of an asset's volatility in relation to the market (benchmark). The indicator does this for two benchmarks and displays the results in a tabular format. Additionally, it indicates the direction of change in Beta values compared to the previous period using arrows.
Compared to the Beta Table V1 this indicator has very little lag due to the removal of plots, simplified code and functions. This indicator is also webhookable to make data analysis easier, there will be a step by step guide attached below which will provide instructions on how to get the data from TV into google sheets.
Beta Direction Arrow
The +/- ROC column arrows are used to determine if the Beta value has increased, decreased, or remained stable compared to the previous period. Uses arrows to represent the direction:
↑ for a significant increase (Beta change > 0.5)
→ for a slight increase (0.05 < Beta change <= 0.5)
↓ for a significant decrease (Beta change < -0.5)
← for a slight decrease (-0.5 <= Beta change < -0.05)
Addressing Lag
This indicator still can experience lag compared to the simpler beta coefficient indicator due to the extensive computational requirements and data processing involved. The script fetches daily close prices for 30 different assets, requiring the retrieval and processing of historical price data. For each asset, it calculates the percentage return, average return, variance, covariance, and ultimately the beta coefficient against two benchmarks, involving multiple iterations over historical data points & performing calculations for each data point. Additionally, the results are formatted and displayed in a table with additional ROC arrows, adding further computational overhead.
Estimated Lag Duration & Value Difference
The exact duration of the lag can vary based on several factors, including the user's internet connection, the performance of the TradingView platform at the time, and the computational power of the user's device. However, it is generally expected to lag by approximately a few seconds to a minute but in some cases it can lag up to a few hours.
The exact value difference is difficult to estimate but this indicator in most cases will be within 0.3 decimal places compared to the beta coefficient indicator. This delay is a trade-off for the convenience and comprehensive data presentation provided by the indicator.
Webhook Guide
This indicator has in built code which makes the data webhookable. This will save the user time and effort. Please find attached a detailed guide on how to directly get the data for each asset from Trading View into Google Sheets.
https://docs.google.com/document/d/122dbGUcCy1sgwTaSYVi_cHtPO6nKluSH73I0jEInhF8/edit?usp=sharing
Usage & Conclusion
This indicator is primarily useful for traders and analysts who want to understand the volatility and risk of various assets in relation to major market benchmarks.
It can help in making informed decisions on asset allocation, risk management, and identifying assets that are highly correlated with the broader market.
This indicator is a powerful tool for investors who need to monitor multiple assets simultaneously. Its ability to present a broad array of beta coefficients in one consolidated view saves significant time and effort, making it a valuable addition to any investor's toolkit.
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Updated table settingsOpen-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
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.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
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.