Market Efficiency

2024년 9월 15일

Market Efficiency:

The strategy calculates market efficiency using several parameters like volatility, autocorrelation, volume spikes, and order imbalance. These values are normalized over a lookback period to generate an efficiency score.
An oscillator is calculated by smoothing the efficiency score using a Hull Moving Average (HMA), which is then used to determine market efficiency or inefficiency.

Trend vs. Mean Reversion:

Based on statistical properties and volatility analysis, the script distinguishes between a trending market or a mean-reverting market.
The Hurst exponent is used to estimate whether the market is stabilizing or becoming chaotic, contributing to this determination. Credits to Coff3eG george_608

MVRV Ratio:

The MVRV (Market Value to Realized Value) indicator for Bitcoin is included. This metric compares the current market value of Bitcoin to its historical realized value using a 155-day simple moving average (SMA).
The ratio helps determine whether the market is overvalued (bullish) or undervalued (bearish), providing signals for buy or sell conditions. Credits to AriSai_TRW

Long Only Trade Calculation:

The script is configured for long trades only. A long trade is opened when:
The market is trending (not mean-reverting).
The MVRV ratio suggests a bullish condition.
The efficiency oscillator is below zero

A long position is closed if:
The market begins to revert to the mean.
The MVRV ratio turns bearish (below 1).

2024년 9월 15일

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2024년 9월 16일

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Added Plot options

1월 16일

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6월 1일

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