This Strategy goes long when Sharpe Ratio is > 1 and Alpha against the S&P500 is generated. It exits when conditions break away. en.wikipedia.org/wiki/Alpha_(finance). Use on daily or 5min.

//@version=2 strategy("Alpha strategy - simple version", overlay=true) //by NIKLAUS //USE ON DAILY TIMEFRAME TO DETECT MOMO STOCKS & ETFs AND TRADE THEM //USE ON 5MIN CHART FOR INTRADAY USAGE //examples to try this on: GER30, NAS100, JPN225, AAPL, IBB, TSLA, FB, etc. //This Strategy goes long when Sharpe Ratio is > 1 and Alpha against the S&P500 is generated. It exits when conditions break away. //https://en.wikipedia.org/wiki/Alpha_(finance) //------------------------------------------------------------------------------------------------------------------------------------ //Alpha is a measure of the active return on an investment, the performance of that investment compared to a suitable market index. //An alpha of 1% means the investment's return on investment over a selected period of time was 1% better than the market during that same period, //an alpha of -1 means the investment underperformed the market. //Alpha is one of the five key measures in modern portfolio theory: alpha, beta, standard deviation, R-squared and the Sharpe ratio. //simplified sharpe src = ohlc4, len = input(180, title = "Sharpe/Alpha/Beta Period") pc = ((src - src[len])/src) std = stdev(src,len) stdaspercent = std/src sharpe = pc/stdaspercent //alpha sym = "SPX500", res=period, src2 = close ovr = security(sym, res, src2) ret = ((close - close[1])/close) retb = ((ovr - ovr[1])/ovr) secd = stdev(ret, len), mktd = stdev(retb, len) Beta = correlation(ret, retb, len) * secd / mktd ret2 = ((close - close[len])/close) retb2 = ((ovr - ovr[len])/ovr) alpha = ret2 - retb2*Beta //plot(Beta, color=green, style=area, transp=40) smatrig = input(title="Sensitivity", type=integer, defval=2, minval=1, maxval=3) bgcolor (sma(sharpe,len/smatrig) > 1 and sma(alpha,len/smatrig) > 0 ? green : red, transp=70) if (close > open) and (sma(sharpe,len/smatrig) > 1) and (sma(alpha,len/smatrig) > 0) strategy.entry("Alpha", strategy.long) strategy.close("Alpha", when = (sma(sharpe,len/smatrig) < 1) or (sma(alpha,len/smatrig) < 0))