🏛️ Inst. Value Suite

Institutional Valuation Suite (IVS)

Executive Summary Traditional volatility indicators frequently exhibit limitations when applied to long-term secular growth assets. Because they calculate volatility in absolute currency units rather than percentage terms, standard deviation bands often distort or become obsolete during phases of exponential price expansion (e.g., significant capitalization shifts in Crypto or Growth Stocks).

The Institutional Valuation Suite addresses this latency by utilizing Geometric (Log-Normal) Standard Deviation. This methodology enables the model to adapt dynamically to the asset's price scale, providing statistically significant valuation zones regardless of price magnitude.

Operational Theory The model operates as a mean-reversion instrument, visualizing price action as a dynamic deviation from a "Fair Value" baseline. It quantifies statistical extremes to identify when an asset is overextended (Speculative Premium) or undervalued (Deep Discount) relative to historical volatility.

Key Features

1. Log-Normal Volatility Engine

Geometric Mode (Default): Calculates volatility in percentage terms. This is the requisite setting for assets exhibiting logarithmic growth, such as Cryptocurrencies and Technology equities.

Arithmetic Mode: Retains linear calculation methods for Forex pairs or range-bound assets where traditional standard deviation is preferred.

2. Valuation Heatmap

Visualizes valuation metrics directly onto price candles to mitigate subjective interpretation bias.

GREEN: Deep Value / Accumulation Zone (<−0.5σ).

ORANGE: Overvaluation / Premium Zone (>2.0σ).

RED: Speculative Anomaly Zone (>3.0σ).

3. Mean Reversion Signals

VALUE RECLAIM: Triggers when price re-enters the lower deviation band from below. This confirms support validation and filters out premature entries during high-momentum drawdowns.

TOP EXIT: Triggers when price breaks down from the upper speculative zone, signaling a potential trend exhaustion.

4. Statistical Dashboard

Displays a real-time Z-Score to quantify the standard deviations the current price is from its baseline.

>3.0: Statistical Anomaly (upper bound).

<−0.5: Statistical Discount (lower bound).

Configuration & Parameters

Per your requirements, the suggested code tooltips for your inputs are listed below.

Cycle Length

Determines the lookback period used to calculate the Fair Value baseline.

Crypto Macro: 200 (Approx. 4 Years).

Altcoins: 100 (Approx. 2 Years).

Equities (S&P 500): 50 (1 Year Trend).

Intraday: Set "Timeframe Lock" to "Chart".

Tooltip Text: "Sets the lookback period for the baseline calculation. Recommended: 200 for Crypto Macro, 50 for Equities, or adjust based on the asset's specific volatility cycle."

Timeframe Lock

Allows the user to fix the calculation to a specific timeframe or allow it to float with the chart.

Tooltip Text: "Locks the calculation to a specific timeframe (e.g., Daily, Weekly) to ensure baseline consistency when zooming into lower timeframes."

Technical Integrity

This indicator employs strict strict offset logic (barmerge.lookahead_on) to ensure historical data integrity. The signals rendered on historical bars are mathematically identical to those that would have appeared in a real-time environment, ensuring backtesting reliability.

Disclaimer: This script provides statistical analysis based on historical volatility metrics and does not constitute financial advice.