AlphaRank - Relative Strength Portfolio Strategy

10시간 전

WHAT IS ALPHARANK?
AlphaRank is a multi-asset relative strength portfolio system that identifies the strongest performing assets within a customizable universe of 10 instruments through pairwise comparison analysis. Unlike traditional relative strength indicators that simply compare price ratios, AlphaRank employs a tournament-style evaluation system using 7 distinct technical indicators to determine true relative strength.

METHODOLOGY - HOW IT WORKS
Core Concept: Pairwise Tournament Analysis
AlphaRank compares every asset against every other asset in your universe (45 unique pairs for 10 assets). For each pair, the system evaluates relative strength using 7 independent indicators:

- RSI (35-period) - Momentum comparison
- Rate of Change (31-period) - Price velocity analysis
- Z-Score (44-period) - Statistical deviation from mean
- Omega Ratio (30-period, smoothed) - Risk-adjusted returns using imported ratio library
- Linear Regression ROC (30-period linreg, 14-period ROC) - Trend strength and acceleration
- Kijun Sen Base (44-period SMA) - Ichimoku-style baseline comparison
- RSI ROC (45-period RSI, 15-period ROC) - Momentum acceleration

Scoring System:
For each pairwise comparison (e.g., ETH vs SOL), the system calculates all 7 indicators on the price ratio (ETH/SOL). Each indicator returns a binary signal (1 or 0). These are summed to create a pair score from 0-7.

If pair score > 3: The numerator asset (ETH) is considered relatively stronger
If pair score ≤ 3: The denominator asset (SOL) is considered relatively stronger

This creates a decisive winner for each pair (no neutral outcomes due to the odd number of indicators).

Final Ranking:
Each asset accumulates points for every pairwise comparison it wins. With 10 assets, each asset faces 9 competitors. Final scores range from 0 (lost all comparisons) to 9 (won all comparisons).

ORIGINALITY - WHY THIS IS DIFFERENT
Traditional Relative Strength:

- Compares assets to a benchmark (like SPY)
- Uses single indicator (usually RSI or price ratio)
- Binary strong/weak classification

AlphaRank Approach:

- Round-robin tournament: every asset vs every other asset
- Multi-indicator consensus (7 indicators, not 1)
- Granular ranking from 0-9 showing exact relative positioning
- Real-time tournament matrix visualization showing all head-to-head results
- Integrated backtesting with position sizing

Key Innovation: By using 7 uncorrelated indicators in a consensus model, AlphaRank reduces false signals from any single indicator's weaknesses. An asset must demonstrate strength across multiple analytical dimensions (momentum, trend, volatility, acceleration) to rank highly.

VISUAL COMPONENTS

Tournament Matrix (Top Right):

Shows every head-to-head matchup
Green dots = asset won that comparison
Red dots = asset lost that comparison
Instantly see which assets dominate across the board


RSPS Score Table (Right side of matrix):

Final relative strength scores (0-9)
Color-coded gradient showing strength hierarchy


Top Assets Table (Bottom Center):

Displays your top N ranked assets
Updates dynamically as rankings change


Equity Curve (Main Chart):

Shows backtested portfolio performance
Compares system returns vs buy-and-hold


Performance Metrics (Bottom):

Sharpe ratio, Sortino ratio, Omega ratio
Maximum drawdown
Individual asset and portfolio metrics

HOW TO USE

Setup:

Choose your 10 assets in the settings (crypto, stocks, indices, etc.)
Set your desired number of top assets to hold (default: 2)
Configure backtest start date and leverage

Interpretation:

Score 7-9: Extremely strong relative to peers - high confidence holdings
Score 4-6: Moderate relative strength - proceed with caution
Score 0-3: Weak relative to peers - avoid or consider shorting

Trading Strategy:
The system automatically allocates capital equally among the top-ranked assets and rebalances when rankings change. This creates a rotation strategy that systematically favors the strongest performers.

TECHNICAL SPECIFICATIONS

Timeframe: Works on all timeframes (1H, 4H, 1D recommended for crypto)
Assets: Fully customizable 10-asset universe
Rebalancing: Automatic when rankings change

SETTINGS EXPLAINED

Leverage Amount: Apply leverage to position sizing (1.0 = no leverage)
Startdate: When to begin backtesting calculations
Highlight Top Assets: How many top-ranked assets to hold (2-5 recommended)
Show Combined Matrix: Toggle the tournament visualization
Show Detailed Metrics: Individual asset performance statistics
Show Small Metrics Table: Simplified performance summary


BACKTESTING METHODOLOGY
The indicator includes full backtesting capabilities. It calculates:

Individual Asset Performance: Each asset's returns if held in isolation
Portfolio Performance: Combined returns of top-ranked assets
Buy & Hold Benchmark: Equal-weight portfolio of all 10 assets
Risk Metrics: Sharpe, Sortino, Omega ratios for all strategies

This allows you to validate the relative strength rotation strategy against simple buy-and-hold.

IMPORTANT NOTES

This is a rotation strategy - it does not predict absolute direction, only relative strength
Works best with correlated assets (e.g., all crypto, all tech stocks)
Requires sufficient history for indicator calculations (minimum 60 bars)
Backtesting uses historical data; future performance may differ
Not financial advice - use for educational purposes

10시간 전

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