Crypto Portfolio ManagementCrypto Portfolio Management
This is an indicator not like the other ones that you regularly see in tradingview. The main difference is that this indicator does not plot a value for each candle bar like you would see with RSI or MACD. Actually it is table and it just uses tradingview great database of assets to plot some valuebale information that can not be found elsewhere easily. These metrics are some basic one that is used by portfolio managers to decide what they want to hold in their portfolio. The basic idea is that you should hold assets in your basket that are less correlated to the benchmark.
Benchmark in traditional context refers to main market indices like S&P 500 of US market. But they already have a lot of tools available. My effort was for crypto investors who are trying to rebalance their portfolio every month or week to have some good metrics to make decision. Because of this I used Bitcoin as crypto market benchmark. So, everything is compared to bitcoin in this script. I’m gonna explain the terms that is used in the table’s columns below.
MAKE SURE YOU PUT YOUR CHART AT DAILY AND AT THE MAXIMUM AVAILABLE DATA EXCHANGE.
Y-Exp
This is yearly expected return of the asset. It is simply the mean of the yearly returns of the asset. (these calculations are not typical in Tradingview because mainly we calculate on each bar and give value at the same bar but here this value to change once a year). Remember that the higher this value is the better it is because historically the asset have shown good returns but there is a tip: Always check the available historical data in any asset that you are adding if you add an asset that has only 1 year of data available or you use an exchange data that recently added the coin you will get unsignificant results and the results can not be trusted. You should always selects coins and market (coins can be changed in setting) that have the largest data available.
Y-SDev
This is a little bit complicated than the previous. This is the standard deviation of the yearly returns. This is a classic measure of RISK in financial markets. The higher the value, the more risk is involved with the asset that you have added. If you added two assets that have same returns but different Standard deviations, the rational thinker should choose the asset with lower Standard deviation.
The standard deviation is a good place to start but there are some considerations to have -it is getting complicated and average user should not be involved with these terms and can ignore the next phrases- standard deviation and mean of the yearly returns are random variables, these variables have a theoretical probability density function and these functions are not gaussian normal distribution. Because of this in the professional usage these returns should be transformed to a normal distribution and have all these terms calculated there and then transform back to its own normal state and then be used for any serious investment decision. I think these calculations can be done on Tradingview but I need you support to do this in the form of like and share of my scripts and ideas.
M-Exp and M-SDev
These terms are like the previous ones but it is calculated on monthly returns. As it goes for yearly return, the monthly returns change once a monthly candle closes. So be patient to use this indicator.
I highly recommend not to make decisions on monthly data due to a lot of noise involved with this market but in long run it is ok. So go with yearly returns and wait at least for 3 years to see your results.
CorToBTC
Basically you want to buy something that is less correalted with the benchmark. this is the correlation of the asset to bitcoin.
Sharpe Ratio
This is one of the most used metric as a risk adjusted return measurment. you can google it for more information. The higher this value the better. remmeber with any invenstment it is important to understand risks associated with the assets that you are buying.
DownFromATH
This metric that I didn't see anywhere in the tradingview and is familiar in the platforms like coinmarketcap. this is a real calculation of precentage down from ATH (All Time High). it means how much percentage a coin is down from the maximum price that the asset has experienced until now.
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Remember you can change all the asset except main asset. If you like this script to 500 I will update this continuously.
Standarddevation
Volatility Ratio Adaptive RSX [Loxx]Volatility Ratio Adaptive RSX this indicator adds volatility ratio adapting and speed value to RSX in order to make it more responsive to market condition changes at the times of high volatility, and to make it smoother in the times of low volatility
What is RSX?
RSI is a very popular technical indicator, because it takes into consideration market speed, direction and trend uniformity. However, the its widely criticized drawback is its noisy (jittery) appearance. The Jurik RSX retains all the useful features of RSI, but with one important exception: the noise is gone with no added lag.
Included:
-Toggle on/off bar coloring
Standard deviation channel of linear regression distance [AbAh]The indicator calculates the distance between linear regression line and the data point (price) as a percentage , then calculates the standard deviation for the linear regression distance , then draw the channel of two lines depending on the values of standard deviation .
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1 - for Best result , indicator should be used on 2H frame Time of less : like 1H or 30 min
2 - The upper line and the lower line, both play a role as a support and resistance area, when the price bounces from the upper zone or lower zone, there is a high probability that it will move to the other line.
3 - The price breakout of one of the lower or upper lines may indicate a major price movement coming in the direction of the breakout
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STD Stepped Ehlers Optimal Tracking Filter MTF w/ Alerts [Loxx]STD Stepped Ehlers Optimal Tracking Filter MTF w/ Alerts is the traditional Ehlers Optimal Tracking Filter but with stepped price levels, access to multiple time frames, and alerts.
What is Ehlers Optimal Tracking Filter?
From "OPTIMAL TRACKING FILTERS" by John Ehlers:
"Dr. R.E. Kalman introduced his concept of optimum estimation in 1960. Since that time, his technique has proven to be a powerful and practical tool. The approach is particularly well suited for optimizing the performance of modern terrestrial and space navigation systems. Many traders not directly involved in system analysis have heard about Kalman filtering and have expressed an interest in learning more about it for market applications. Although attempts have been made to provide simple, intuitive explanations, none has been completely successful. Almost without exception, descriptions have become mired in the jargon and state-space notation of the “cult”.
Surprisingly, in spite of the obscure-looking mathematics (the most impenetrable of which can be found in Dr. Kalman’s original paper), Kalman filtering is a fairly direct and simple concept. In the spirit of being pragmatic, we will not deal with the full-blown matrix equations in this description and we will be less than rigorous in the application to trading. Rigorous application requires knowledge of the probability distributions of the statistics. Nonetheless we end with practically useful results. We will depart from the classical approach by working backwards from Exponential Moving Averages. In this process, we introduce a way to create a nearly zero lag moving average. From there, we will use the concept of a Tracking Index that optimizes the filter tracking for the given uncertainty in price movement and the uncertainty in our ability to measure it."
Included:
-Standard deviation stepping filter, price is required to exceed XX deviations before the moving average line shifts direction
-Selection of filtering based on source price, the moving average, or both; you can also set the Filter deviations to 0 for no filtering at all
-Toggle on/off bar coloring
-Toggle on/off signals
-Long/Short alerts
STD Aadaptive, floating RSX Dynamic Momentum Index [Loxx]STD Aadaptive, floating RSX Dynamic Momentum Index is an attempt to improve Chande's original work on Dynamic Momentum Index. The full name of this indicator is "Standard-Deviation-Adaptive, floating-level, Dynamic Momentum Index on Jurik's RSX".
What Is Dynamic Momentum Index?
The dynamic momentum index is used in technical analysis to determine if a security is overbought or oversold. This indicator, developed by Tushar Chande and Stanley Kroll, is very similar to the relative strength index (RSI). The main difference between the two is that the RSI uses a fixed number of time periods (usually 14), while the dynamic momentum index uses different time periods as volatility changes, typically between five and 30.
What is RSX?
RSI is a very popular technical indicator, because it takes into consideration market speed, direction and trend uniformity. However, the its widely criticized drawback is its noisy (jittery) appearance. The Jurk RSX retains all the useful features of RSI, but with one important exception: the noise is gone with no added lag.
Differences
RSX is used instead of RSI for the calculation, producing a much smoother result
Standard deviation is used to adapt the RSX calculation
Floating levels are used instead of fixed levels for OB/OS
Included
-Change bar colors
Jurik Filter [Loxx]Jurik Filter is a Jurik-filtered moving average that acts as both a baseline and a support and resistance indicator
What is Jurik Volty used in the Juirk Filter?
One of the lesser known qualities of Juirk smoothing is that the Jurik smoothing process is adaptive. "Jurik Volty" (a sort of market volatility ) is what makes Jurik smoothing adaptive. The Jurik Volty calculation can be used as both a standalone indicator and to smooth other indicators that you wish to make adaptive.
What is the Jurik Moving Average?
Have you noticed how moving averages add some lag (delay) to your signals? ... especially when price gaps up or down in a big move, and you are waiting for your moving average to catch up? Wait no more! JMA eliminates this problem forever and gives you the best of both worlds: low lag and smooth lines.
Ideally, you would like a filtered signal to be both smooth and lag-free. Lag causes delays in your trades, and increasing lag in your indicators typically result in lower profits. In other words, late comers get what's left on the table after the feast has already begun.
Included
-Advanced filtering system using multiples of standard deviation, this filter acts paint dynamic support and resistance levels on the chart based on volatility
-Double Jurik filtering
-Toggle bar color on/off
DataCleanerLibrary "DataCleaner"
Functions for acquiring outlier levels and acquiring a cleaned version of a series.
outlierLevel(src, len, level) Gets the (standard deviation) outlier level for a given series.
Parameters:
src : The series to average and add a multiple of the standard deviation to.
len : The The number of bars to measure.
level : The positive or negative multiple of the standard deviation to apply to the average. A positive number will be the upper boundary and a negative number will be the lower boundary.
Returns: The average of the series plus the multiple of the standard deviation.
cleanUsing(src, result, len, maxDeviation) Returns an array representing the result series with (outliers provided by the source) removed.
Parameters:
src : The source series to read from.
result : The result series.
len : The maximum size of the resultant array.
maxDeviation : The positive or negative multiple of the standard deviation to apply to the average. A positive number will be the upper boundary and a negative number will be the lower boundary.
Returns: An array containing the cleaned series.
clean(src, len, maxDeviation) Returns an array representing the source series with outliers removed.
Parameters:
src : The source series to read from.
len : The maximum size of the resultant array.
maxDeviation : The positive or negative multiple of the standard deviation to apply to the average. A positive number will be the upper boundary and a negative number will be the lower boundary.
Returns: An array containing the cleaned series.
outlierLevelAdjusted(src, level, len, maxDeviation) Gets the (standard deviation) outlier level for a given series after a single pass of removing any outliers.
Parameters:
src : The series to average and add a multiple of the standard deviation to.
level : The positive or negative multiple of the standard deviation to apply to the average. A positive number will be the upper boundary and a negative number will be the lower boundary.
len : The The number of bars to measure.
maxDeviation : The optional standard deviation level to use when cleaning the series. The default is the value of the provided level.
Returns: The average of the series plus the multiple of the standard deviation.
Enlighten-TradeTechnical analysts use support and resistance levels to identify price points on a chart to find probabilities to trade a prevailing trend.
This indicator plots dynamic support and resistance based on price range (all time frames).
Indicator will plot S1, S2, S3, S4 - P - R1, R2, R3, R4 (S = Support, R = Resistance & P = Pivot )
Support breaks when a downtrend was started and price will go below the support level.
Resistance breaks when a uptrend was started and price will go above the support level.
Breakouts provide possible trading opportunities. A breakout to the upside signals traders to possible get long or cover short positions. A breakout to the downside signals traders to possibly get short or to sell long positions.
Breakouts can be subjective since not all traders will recognize or use support and resistance levels.
This indicator shows Dynamic Support & Resistance Levels.
