Z-Scored Performance Ratios

2023년 12월 6일

This indicator utilizes QuantiLuxe's Rolling Risk-Adjusted Performance Ratios (tradingview.com/script/J1aP07iJ-Rolling-Risk-Adjusted-Performance-Ratios/) to quantify the strength of an asset's current price performance relative to it's historical returns using the sharpe, sortino, and omega ratios.

Sharpe Ratio: Measures the risk-adjusted return of an investment by evaluating its return per unit of price volatility or risk.

Sortino Ratio: Measures the risk-adjusted return of an investment by evaluating its return per unit of downside price volatility.

Omega Ratio: Measures the probability-weighted ratio of gains to losses for returns above and below a certain threshold. It evaluates the distribution, or skewness of returns rather than focusing on averages.

Quantification of each ratio's deviation from it's rolling average can provide investor's with insight into current price performance relative to a chosen lookback period, which may serve as a useful valuation metric.

2023년 12월 6일

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Ideal for identifying statistically significant asset price performance.

Useful when comparing current performance ratios vs. the long term performance ratios of BTC, identifying long term tops and bottoms.

2023년 12월 6일

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Weekly smoothing factor

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Color-coded standard deviations

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2023년 12월 6일

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