Apex Flow | Oquant

3 ต.ค.

Overview
Apex Flow is a rotational allocation indicator designed for cryptocurrency traders seeking to dynamically shift capital between a selection of assets based on trend strength and relative performance. It aims to capture upside in trending markets while reducing exposure during weaker periods by incorporating a multi-factor trend detection system and a relative strength ranking mechanism. This tool is built to provide a structured approach to portfolio allocation in crypto environments, emphasizing risk management through trend confirmation and a built-in risk-on filter to avoid drawdowns in non-conducive conditions. Its originality lies in the ensemble of customized trend filters combined with pairwise relative strength comparisons, which together create a robust scoring system for asset selection—going beyond simple momentum or single-indicator rotations to offer a more nuanced, adaptive strategy.


Key Factors/Components
Multi-Trend Detection Ensemble: Utilizes a blend of moving average-based filters, deviation bands, and momentum oscillators to evaluate overall market trend direction.
Relative Strength Ranking: Compares assets pairwise to determine dominance, assigning scores that influence allocation priorities.
Allocation Splits: Supports configurable splits between the top-performing asset(s) and secondary ones, allowing for concentrated or diversified exposure.
risk-on Filter: Applies smoothing techniques to the simulated portfolio equity to confirm uptrend viability, acting as a macro-level risk overlay.
Performance Metrics and Visuals: Includes built-in tables for allocations, metrics (like Sharpe, Sortino, Omega ratios, max drawdown, and net profit), and an asset matrix for transparency in decision-making.

How It Works
The indicator first assesses each asset's trend state using an ensemble of seven trend-following components, each contributing to a composite score that signals whether the asset is in a bullish trend, or bearish trend. Thresholds determine when an asset qualifies for allocation (e.g., requiring a majority positive score for inclusion). Next, eligible assets are ranked via relative strength calculations derived from pairwise trend comparisons, producing a dominance score for each. The highest-scoring asset(s) receive primary allocation, with optional secondary allocation to the next tier based on user-defined splits (e.g., 80/20). Daily returns are then used to simulate a portfolio equity curve, which is filtered through multiple smoothing methods to ensure the overall strategy is in an "up" state before committing capital—otherwise, it defaults to cash. This process helps prioritize stronger assets while incorporating safeguards against prolonged downtrends, though it may lag in rapidly reversing markets due to its confirmatory nature.

For Who It Is Best/Recommended Use Cases
This indicator is ideal for intermediate to advanced cryptocurrency traders who appreciate an active, systematic strategy for rotating capital across a basket of assets (e.g., major cryptos like BTC, ETH, SOL, and SUI). It's suited for medium-term on the 1D timeframe, where the ensemble of trend filters and relative strength rankings can identify and capitalize on multi-day to weekly momentum shifts in trending markets. Recommended for those actively managing diversified crypto portfolios to potentially outperform buy-and-hold benchmarks with controlled volatility. It's not optimized for short-term scalping (e.g., intraday), highly illiquid assets, or prolonged range-bound conditions, where its confirmatory logic may lead to delayed/false signals. Always integrate it with your own risk management practices.

Settings and Default Settings
Strategy Start Date: Timestamp for "1 Jan 2023" – Defines the backtest start; adjust to test different periods.
Assets: Asset 1 ("INDEX:BTCUSD"), Asset 2 ("INDEX:ETHUSD"), Asset 3 ("CRYPTO:SOLUSD"), Asset 4 ("CRYPTO:SUIUSD") – Select up to four cryptos; defaults focus on major ones.
Allocation Split: "100/0" – Options include 80/20, 70/30, 60/40; default fully allocates to the top asset(s).
Plot Equity Curves: Strategy equity and btc equity enabled by default – Toggle to visualize strategy and individual assets.
Show Tables: All enabled – Display allocation, metrics, and asset matrix for real-time insights.
Internal parameters like trend lengths and multipliers are fixed to balance sensitivity and reliability, optimized for daily crypto charts.

Conclusion
Apex Flow offers a systematic way to navigate crypto rotations by blending trend confirmation with relative strength, potentially enhancing returns in bullish cycles while preserving capital in others. Its ensemble approach and equity filter provide a layer of robustness not found in simpler rotators, making it a valuable addition for trend-oriented portfolios.

⚠️ Disclaimer: This indicator is intended for educational and informational purposes only. Trading/investing involves risk, and past performance does not guarantee future results. Always test and evaluate indicators/strategies before applying them in live markets. Use at your own risk.

8 ต.ค.

เอกสารเผยแพร่

Updated the risk-on filter to use z-score and min-max normalization on the simulated equity curve, removing the prior smoothing methods. The goal is to reduce risk-on filter clustering between up and cash states. Risk-On filter now requires only 40 bars post-start to start working.

8 ต.ค.

เอกสารเผยแพร่

Fixed an issue with risk-on filters simulated equity.