Comparing Equity Factors with Relative Performance and Correlation

Summary

This TradingView indicator compares a broad set of equity and regional exchange-traded funds using relative performance, correlation, and trend measures. Its performance table can rank each fund by rate of change relative to the group average, or by a return-to-variability measure calculated over a configurable lookback. A separate table reports each fund’s correlation with the chart’s current instrument, offering a view of how the selected assets move together.

The script also includes implied-correlation displays, normalized variants, and a trend estimate based on a normalized Kaufman adaptive moving average oscillator. These views can help users compare factor exposures and assess market regime, but the description characterizes some regime and risk-on/risk-off displays as approximate and dependent on timeframe and lookback choices. The document provides implementation details rather than empirical validation: it reports no out-of-sample results, and its tables should be treated as descriptive comparisons rather than evidence of predictive value.

Key ideas

• The indicator compares a collection of equity and regional funds using relative rate of change or a Sharpe-style measure.
• It calculates each fund’s rolling correlation with the chart’s instrument.
• A normalized adaptive moving average oscillator supplies a trend estimate for the funds.
• Optional normalized implied-correlation views and regime displays add context, with results depending on chosen lookbacks.
• The document gives no performance evidence showing that these comparisons predict returns.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.