Institutional Valuation Suite

3 ชั่วโมงที่ผ่านมา

Standard volatility indicators often fail on long-term growth charts because they measure volatility in dollars rather than percentages. This causes bands to break or become irrelevant during exponential price moves (e.g., Bitcoin going from $1,000 to $100,000).

The Institutional Valuation Suite solves this by utilising Geometric (Log-Normal) Standard Deviation. This allows the model to adapt to the asset's price scale, providing accurate valuation zones regardless of price magnitude.

The model functions as a mean-reversion tool, visualizing price as an elastic band anchored to a "Fair Value" baseline. It identifies when the asset is statistically overextended (Bubble/FOMO) or undervalued (Deep Discount).

Key Features

1. Log-Normal Math Engine

Geometric Mode (Default): Calculates volatility in percentage terms. Essential for Crypto and Growth Stocks.

Arithmetic Mode: Available for Forex or range-bound assets where linear standard deviation is preferred.

2. Sentiment Heat map

Visualises valuation directly on the candles to remove interpretation bias.
GREEN: Deep Value / Accumulation Zone (< -0.5σ).
ORANGE: Overvalued / FOMO Zone (> 2.0σ).
RED: Speculative Bubble Zone (> 3.0σ).

3. Reversion Signals

"VALUE RECLAIM": Triggers when price re-enters the bottom band from below, filtering out "falling knife" scenarios.
"TOP EXIT": Triggers when price breaks down from the speculative top zone.

4. Statistical Dashboard

Displays the real-time Z-Score to quantify how "stretched" the price is relative to its baseline.
> 3.0: Statistical Anomaly (Top).
< -0.5: Statistical Discount (Bottom).

Optimisation Cheat Sheet

The "Cycle Length" input determines the lookback period for the baseline. Recommended settings:

Crypto Macro: 200 (Approx. 4 Years).
Altcoins: 100 (Approx. 2 Years).
Stocks (S&P 500): 50 (1 Year Trend).
Day Trading: Set "Timeframe Lock" to "Chart".

Technical Note
This indicator uses strict offset logic (`barmerge.lookahead_on`) to ensure historical consistency. The signals displayed on historical bars match exactly what would have appeared in real-time.

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

2 ชั่วโมงที่ผ่านมา

เอกสารเผยแพร่

Standard volatility indicators often fail on long-term growth charts because they measure volatility in dollars rather than percentages. This causes bands to break or become irrelevant during exponential price moves (e.g., Bitcoin going from $1,000 to $100,000).

The Institutional Valuation Suite solves this by utilising Geometric (Log-Normal) Standard Deviation. This allows the model to adapt to the asset's price scale, providing accurate valuation zones regardless of price magnitude.

The model functions as a mean-reversion tool, visualizing price as an elastic band anchored to a "Fair Value" baseline. It identifies when the asset is statistically overextended (Bubble/FOMO) or undervalued (Deep Discount).

Key Features

1. Log-Normal Math Engine

Geometric Mode (Default): Calculates volatility in percentage terms. Essential for Crypto and Growth Stocks.

Arithmetic Mode: Available for Forex or range-bound assets where linear standard deviation is preferred.

2. Sentiment Heat map

Visualises valuation directly on the candles to remove interpretation bias.
GREEN: Deep Value / Accumulation Zone (< -0.5σ).
ORANGE: Overvalued / FOMO Zone (> 2.0σ).
RED: Speculative Bubble Zone (> 3.0σ).

3. Reversion Signals

"VALUE RECLAIM": Triggers when price re-enters the bottom band from below, filtering out "falling knife" scenarios.
"TOP EXIT": Triggers when price breaks down from the speculative top zone.

4. Statistical Dashboard

Displays the real-time Z-Score to quantify how "stretched" the price is relative to its baseline.
> 3.0: Statistical Anomaly (Top).
< -0.5: Statistical Discount (Bottom).

Optimisation Cheat Sheet

The "Cycle Length" input determines the lookback period for the baseline. Recommended settings:

Crypto Macro: 200 (Approx. 4 Years).
Altcoins: 100 (Approx. 2 Years).
Stocks (S&P 500): 50 (1 Year Trend).
Day Trading: Set "Timeframe Lock" to "Chart".

Technical Note
This indicator uses strict offset logic (`barmerge.lookahead_on`) to ensure historical consistency. The signals displayed on historical bars match exactly what would have appeared in real-time.

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