RS+ Majors Allocation | viResearch

10월 26일

RS+ Majors Allocation | viResearch

Conceptual Foundation and Innovation
The "RS+ Majors Allocation" script is a comprehensive strategy for managing a crypto portfolio focused on BTC, ETH, and SOL. By dynamically rotating between these major assets, the strategy aims to identify the strongest performer in real-time and allocate capital accordingly. The script incorporates a relative strength (RS) model that leverages price movements and a custom scoring system to rank each asset's performance. This allows the strategy to maintain positions in favorable market conditions while moving to cash during periods of weakness.

The script also includes a trend regime filter to further refine allocations. This filter ensures that an asset's own trend aligns with the market’s trend before committing to an allocation, adding another layer of protection against downturns. The approach is designed to outperform traditional buy-and-hold strategies by minimizing risk exposure during unfavorable market conditions.

Technical Composition and Calculation
The "RS+ Majors Allocation" script combines several technical elements to execute the strategy:

Relative Strength Model: Each asset (BTC, ETH, SOL) is evaluated through a ratio matrix, comparing their performance relative to one another. A scoring system is applied to these ratios to rank the assets, determining which is outperforming. This dynamic evaluation is central to the strategy's decision-making process.

Trend Regime Filter: This filter uses trend indicators to assess whether the market and individual assets are in a favorable state. If an asset’s trend score does not meet the criteria, it won't be allocated capital, thus avoiding exposure to potential downturns.

Equity Tracking and Allocation: The script tracks the portfolio's equity performance over time, plotting it against a traditional buy-and-hold strategy for comparison. Allocation decisions are based on the scores of BTC, ETH, and SOL, with the system selecting the top-performing asset and moving to cash if no asset meets the criteria.

Performance Metrics: To evaluate the effectiveness of the strategy, the script calculates several key performance indicators:

Sharpe Ratio: Measures risk-adjusted returns.
Sortino Ratio: Focuses on downside risk by considering only negative fluctuations.
Omega Ratio: Analyzes returns relative to risk.
Maximum Drawdown: Shows the largest peak-to-trough decline, indicating potential loss exposure.
Features and User Inputs
The script offers a range of customizable parameters to tailor the strategy to individual preferences and market conditions:

Asset Selection: Users can choose the specific assets to include in the rotation, with the script currently focusing on BTC, ETH, and SOL. The trend regime filter is optional, allowing for a more aggressive or conservative approach.

Equity Visualization: The script provides real-time equity tracking, comparing the portfolio's performance with individual assets. Users can adjust visualization settings to focus on specific assets or the overall strategy.

Starting Date: The backtesting period can be set to begin at a specific date, helping to analyze the strategy’s performance over different timeframes.

Bar Colors and Alerts: Visual cues, including colored bars, indicate the active trend direction of the selected asset. Additionally, alerts notify traders when the system rotates between assets or moves to cash.

Practical Applications
The "RS+ Majors Allocation" script is designed for traders who want to manage a crypto portfolio with a focus on risk-adjusted returns. It is particularly effective in several scenarios:

Asset Rotation: The dynamic scoring system allows the script to rotate between BTC, ETH, and SOL based on relative strength, capitalizing on the strongest performer at any given time.

Downside Protection: The trend regime filter helps avoid exposure during market-wide downturns by staying in cash, minimizing drawdowns during periods of high volatility.

Active Portfolio Management: By using real-time data to make allocation decisions, the script offers a more hands-on approach to portfolio management compared to passive holding strategies.

Advantages and Strategic Value
This script brings a structured and disciplined approach to portfolio management, combining trend analysis, relative strength, and performance metrics to optimize returns. The use of a scoring system for asset rotation, along with the trend filter, makes it versatile and adaptable to different market environments. The script aims to outperform traditional buy-and-hold strategies by focusing on the strongest assets while reducing risk during unfavorable conditions.

The visual and performance feedback provided by the script allows traders to gain deeper insights into their portfolio’s behavior, helping to make data-driven decisions.

Summary and Usage Tips
The "RS+ Majors Allocation" script is a powerful tool for managing a crypto portfolio with a focus on performance optimization and risk management. By incorporating this strategy, traders can dynamically allocate capital to the top-performing assets while protecting their portfolio from significant downturns. Adjust the trend regime filter, threshold settings, and asset choices to fit your market outlook and trading goals. The script's equity tracking and performance metrics will provide clear insights into how well the strategy is performing compared to a traditional buy-and-hold approach.

Remember to use backtesting to assess the script's effectiveness over different timeframes and market conditions. Keep in mind that past performance does not guarantee future results, so consider using this strategy in conjunction with other analysis tools for a comprehensive approach to trading.

10월 26일

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