Valuation Model BTC [MarktQuant]

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The "Valuation Model BTC" is a sophisticated technical analysis tool tailored specifically for Bitcoin (BTC), designed to evaluate its valuation through a composite z-score derived from a variety of on-chain, market, and technical metrics. This indicator aggregates up to 14 distinct Bitcoin-specific indicators—such as price, Market Value to Realized Value (MVRV), Spent Output Profit Ratio (SOPR), Sharpe Ratio, Sortino Ratio, Omega Ratio, Net Unrealized Profit/Loss (NUPL), Risk Index, Active Addresses, Supply Profitability State, Relative Strength Index (RSI), Value Days Destroyed (VDD), Volume Weighted Average Price (VWAP), and On-Chain Indicator (OCI)—into a single average z-score. This provides traders with a holistic view of Bitcoin’s valuation, helping to identify overbought or oversold conditions.

The indicator features a customizable table display, optional candlestick coloring, plotted z-score lines, background highlights, and diamond-shaped markers for Dollar-Cost Averaging (DCA) signals.

Key Features
Comprehensive Z-Score Calculation:
Incorporates 14 Bitcoin-specific metrics, each normalized into a z-score based on a user-defined lookback period.

Users can enable or disable individual metrics to tailor the model to their preferences.

Average Z-Score (Z AVG):
Computes an average z-score from the selected metrics.
Applies an optional exponential moving average smoothing to refine the signal.

Visualization Options:

• Table Display: A customizable table (position selectable, default: Middle Right) shows each metric’s label and z-score:
  
• Includes an average z-score and valuation message with matching gradient coloring.
  
• Candlestick Coloring: Optionally colors candlesticks based on the average z-score, transitioning from green to red over a -2.2 to 2.2 range.
  
• Plots: Individual z-scores and the smoothed average can be plotted, each with unique gradient colors.
  
• Labels: Optional labels display metric names next to their plotted values on the last bar.
  
• Background Highlights: Shades the background green for oversold (below DCA In) or red for overbought (above DCA Out) conditions.
  
• Symbols: Displays diamond markers below bars for oversold (green) and above bars for overbought (orange) signals.
  

Valuation Levels:
Categorizes the average z-score into seven zones with descriptive messages:
≤ -2: "Strongly Undervalued" with double green indicators.
< -1.5: "Moderately Undervalued" with a green indicator.
< -0.5: "Slightly Undervalued" with green and yellow indicators.
< 0: "Fairly Valued" with yellow and orange indicators.
< 0.5: "Slightly Overvalued" with red and orange indicators.
< 1.5: "Moderately Overvalued" with a red indicator.
< 2: "Strongly Overvalued" with double red indicators.

Inputs
Z Score Length: Lookback period for z-score calculations (default: 400 days).

DCA Thresholds:
DCA Out (default: 2.0): Overbought threshold.
DCA In (default: -1.5): Oversold threshold.

Indicator Calculations

• Z-Score: Normalizes each metric by calculating how many standard deviations it is from its mean over the lookback period.
  
• NUPL: Derived from Market Cap minus Realized Cap, normalized via percentile conversion.
  
• Risk Index: Based on Delta Cap relative to Market Cap.
  
• Supply Profitability: Difference between profit and loss percentages of addresses.
  
• VDD: Rate of change of a custom Value Days Destroyed metric.
  
• OCI: Combines MVRV, SOPR, and Active Addresses into a composite on-chain indicator.
  
• Average Z-Score: Sums the selected z-scores, excludes unavailable data, and divides by the number of active metrics.
  

Usage
Chart Setup: Apply to a Bitcoin chart (e.g., INDEX:BTCUSD).
Interpretation: Use the table’s average z-score and message to assess Bitcoin’s valuation. Plotted lines provide detailed metric analysis, while background highlights and symbols signal DCA opportunities.

27 thg 3

Phát hành các Ghi chú

Improved script loading time.

26 thg 9

Phát hành các Ghi chú

Removed the MVRV Z-Score due to the unavailability of the MVRV data vendor.
Replaced with the Delta EMA Z-Score.
The Delta EMA is calculated by measuring the difference between the asset's price and its exponential moving average (EMA)

2 thg 10

Phát hành các Ghi chú

• New plot styles
  
• MVRV is added
  
• OCI is added
  

2 thg 10

Phát hành các Ghi chú

V3- Script improvement