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ScaleTrade Statistics Table

Introduction

The ScaleTrade statistics table is a helpful tool for traders to analyze general market conditions easily. In this section we will discuss the different statistics displayed and their formulas. Please note that in the formulas, notation such as close[n], means the close price n periods ago. Below is a sample picture of the table on TradingView.

Metrics

For these metrics to update in live time, please enable the setting On every tick which can be found here:

Relative Volatility Index - RVI

The Relative Volatility Index is used to measure the volatility of the individual security in comparison to other securities within the exchange. To do this we take the Average Directional Index (ADX) of the security over a period of 14 candles and divide it by the ADX of SPY (SPDR S&P 500 ETF Trust). To read it, we note that if the number is greater than 100%, the security is trending more than from SPY and if it is less than 100%, the security is trending less than SPY. If the value is exactly 100%, it means the security and SPY are perfectly correlated over the observed period in regards to volatility. To read more on the ADX indicator, please visit this reference.
RVI=ADX(security, 14)ADX(SPY, 14)\text{RVI}=\frac{\text{ADX(security, 14)}}{\text{ADX(SPY, 14)}}

Average True Range - ATR

The Average True Range is another metric to measure the volatility of a security. It determines the range at which a security is trading for the observed period. It uses the True Range indicator and then takes a moving average over the true range. It is primarily used to help place stop loss and take profit positions. Note that we calculate this indicator on a daily timeframe.
TR=max[(high−low),abs(high−close[1]),abs(low−close[1])]\text{TR}=\text{max}\left[(\text{high}-\text{low}),\text{abs}(\text{high}-\text{close}[1]),\text{abs}(\text{low}-\text{close}[1])\right]
ATR(n=14)=ATR[n−1]+TRn\text{ATR(n=14)}=\frac{\text{ATR}[n-1]+\text{TR}}{n}

Gap Percentage - GAP

The Gap Percentage is the difference between the prior day's closing price and the opening price for the day. It shows after-hour volatility and can often be used to help predict which way the security will move for that day. Please note the open and close prices are on the daily timeframe.
Gap=open−close[1]close[1]\text{Gap}=\frac{\text{open}-\text{close}[1]}{\text{close}[1]}

Relative Strength Index - RSI

The Relative Strength Index is a momentum indicator used to gauge the speed and magnitude of a security's recent price changes with the goal of evaluating overvalued or undervalues pricing. This security operates on a scale from 0 to 100, with values over 70 denoting an "overbought" condition whereas values under 30 signal an "oversold" condition. Note that we calculate this indicator on a daily timeframe.
Gain-Ratio=(prev-avg-gain⋅13)+current-gain(prev-avg-loss⋅13)+current-loss\text{Gain-Ratio}=\frac{(\text{prev-avg-gain}\cdot13)+\text{current-gain}}{(\text{prev-avg-loss}\cdot13)+\text{current-loss}}
RSI=100−1001+Gain-Ratio\text{RSI}=100-\frac{100}{1+\text{Gain-Ratio}}

Short Volume Ratio - SVR

The Short Volume Ratio compares the current volume of the security to the short volume of the security. To do this, we use the ticker FINRA:<security>_SHORT_VOLUME (referenced as SVD in the formula) which will retrieve the short volume data of the given security. This can be used to determine how much short volume is present in the security and help determine if there will be a large directional move. Note this indicator is calculated on the daily timeframe.
SVR=SVDvolume⋅100\text{SVR}=\frac{\text{SVD}}{\text{volume}}\cdot100

Short Interest Ratio - SIR

The Short Interest Ratio compares the current outstanding shares of the security to the total short volume of the security. To do this, we use the ticker QUANDL:FINRA/FNSQ_<security> (referenced as FNSQ in the formula) which will retrieve the total short interest of the day. Similarly to the SVR, this can be used to determine how much short interest is present in the security and help determine if there will be a large directional move. Note this indicator is calculated on the daily timeframe.
SIR=FNSQvolume∗100\text{SIR}=\frac{\text{FNSQ}}{\text{volume}}*100