Universal Valuation | QuantMAC

4 gün önce

🎯 Universal Valuation | QuantMAC

🚀 Professional-Grade Valuation Engine with 14+ Technical Components

The Universal Valuation indicator is a sophisticated composite analysis tool that combines multiple technical indicators, statistical measures, and risk ratios to provide a comprehensive assessment of asset valuation across all market conditions and timeframes.

📊 Core Architecture & Methodology

🔬 Z-Score Normalization System
Each component is normalized using statistical Z-scores, which measure how many standard deviations a value is from its historical mean. This standardization allows different indicators to be combined meaningfully:

• Positive Z-scores indicate values above historical average (potentially overvalued)
  
• Negative Z-scores indicate values below historical average (potentially undervalued)
  
• Individual lookback periods for each component ensure optimal sensitivity
  
• Real-time statistical calculations with dynamic standard deviation adjustments
  

📈 Composite Scoring Algorithm
The final valuation score is calculated as the weighted average of all enabled components, providing a unified view of market conditions while maintaining granular control over individual inputs.

🛠️ Technical Components Breakdown

📊 Momentum & Oscillator Components

🎯 RSI (Relative Strength Index)

• Function: Measures price momentum and overbought/oversold conditions
  
• Default Settings: 21-period RSI with 150-period Z-score normalization
  
• Analysis: Values above 70 (traditional) become positive Z-scores, indicating potential overvaluation
  
• Edge: Z-score normalization adapts to changing market volatility unlike fixed thresholds
  

🌊 CCI (Commodity Channel Index)

• Function: Identifies cyclical price patterns and extreme price levels
  
• Default Settings: 30-period CCI with 150-period Z-score normalization
  
• Analysis: Measures price deviation from statistical mean using typical price (HLC/3)
  
• Edge: Excellent for identifying price extremes in trending and ranging markets
  

🔵 Chande Momentum Oscillator

• Function: Advanced momentum indicator using sum of gains vs. sum of losses
  
• Default Settings: 50-period calculation with 50-period Z-score normalization
  
• Analysis: Formula: 100 * (Sum_Gains - Sum_Losses) / (Sum_Gains + Sum_Losses)
  
• Edge: Less prone to whipsaws compared to RSI, better momentum persistence detection
  

🎭 IMI (Intraday Momentum Index)

• Function: Combines RSI concept with intraday price action analysis
  
• Default Settings: 100-period calculation with 150-period Z-score normalization
  
• Analysis: Uses gains/losses based on close vs. open rather than close-to-close
  
• Edge: Captures intraday sentiment and gap behavior effectively
  

📈 Price Action & Trend Components

📊 Bollinger Bands Position

• Function: Measures price position relative to volatility-adjusted bands
  
• Default Settings: 30-period bands with 50-period Z-score normalization
  
• Analysis: (Price - SMA) / (2 * Standard_Deviation) normalized to Z-score
  
• Edge: Adapts to volatility changes, providing context-aware overbought/oversold levels
  

💹 Price Z-Score

• Function: Direct statistical analysis of price deviation from historical mean
  
• Default Settings: 150-period lookback for Z-score calculation
  
• Analysis: Pure price momentum without indicator lag or smoothing
  
• Edge: Unfiltered price analysis, excellent for mean reversion strategies
  

📊 Disparity Index

• Function: Measures percentage deviation of price from its moving average
  
• Default Settings: 10-period SMA with 150-period Z-score normalization
  
• Analysis: 100 * (Price - SMA) / SMA, then normalized to Z-score
  
• Edge: Highly sensitive to short-term price deviations, excellent for timing entries
  

🎯 TEMA (Triple Exponential Moving Average)

• Function: Advanced moving average with reduced lag and improved responsiveness
  
• Default Settings: 10-period TEMA with 150-period Z-score normalization
  
• Analysis: Triple-smoothed EMA that maintains trend-following capability with less noise
  
• Edge: Superior trend identification with minimal lag compared to traditional MAs
  

📊 Volume & Market Structure Components

📈 VWAP (Volume Weighted Average Price)

• Function: Incorporates volume into price analysis for institutional perspective
  
• Default Settings: Standard VWAP with 300-period Z-score normalization
  
• Analysis: Compares current price to volume-weighted institutional benchmark
  
• Edge: Reveals institutional sentiment and identifies fair value zones
  

⚡ Intraday Momentum

• Function: Measures session-based momentum using open-to-close movement
  
• Default Settings: (Close - Open) / Open * 100 with 250-period Z-score normalization
  
• Analysis: Captures daily sentiment and gap behavior in percentage terms
  
• Edge: Excellent for intraday trading and gap analysis strategies
  

🎲 Advanced Statistical Components

🌊 Hurst Exponent (Optional)

• Function: Measures market efficiency and trend persistence characteristics
  
• Default Settings: 100-period calculation with 200-period Z-score normalization
  
• Analysis: Values > 0.5 indicate trending markets, < 0.5 indicate mean-reverting markets
  
• Edge: Identifies market regime changes and optimal strategy selection
  
• Note: Computationally intensive, disabled by default for performance
  

📊 Risk-Adjusted Performance Ratios

⚡ Sharpe Ratio

• Function: Risk-adjusted return measurement using total volatility
  
• Default Settings: 400-period calculation with 120-period Z-score normalization
  
• Analysis: (Return - Risk_Free_Rate) / Standard_Deviation of returns
  
• Edge: Identifies periods of superior risk-adjusted performance
  

🎯 Sortino Ratio

• Function: Risk-adjusted return using only downside deviation (superior to Sharpe)
  
• Default Settings: 400-period calculation with 120-period Z-score normalization
  
• Analysis: (Return - Risk_Free_Rate) / Downside_Deviation
  
• Edge: More accurate risk assessment as it ignores upside volatility
  

🌟 Omega Ratio

• Function: Advanced risk measure comparing gains above threshold to losses below
  
• Default Settings: 400-period calculation with 200-period Z-score normalization
  
• Analysis: Sum_of_Gains_Above_Threshold / Sum_of_Losses_Below_Threshold
  
• Edge: Captures full return distribution, not just mean and variance
  

🎨 Visualization & Interface

🌈 Dual Color Schemes

• Bright Mode: Vibrant colors for clear daylight visibility
  
• Dark Mode: Muted tones for low-light trading environments
  
• Adaptive Gradients: Color intensity scales with Z-score magnitude
  
• Background Highlighting: Optional panel and chart background coloring for extreme conditions
  

📊 Comprehensive Data Table

• Real-time Z-scores for each enabled component
  
• Composite score with gradient coloring
  
• Valuation phase classification (6 distinct levels)
  
• Toggle individual components on/off for custom analysis
  

🎯 Valuation Phase Classifications

📈 Systematic Valuation Levels

• Extremely Undervalued: Z-score ≤ -2.0 (Exceptional buying opportunity)
  
• Strongly Undervalued: Z-score ≤ -1.3 (Strong buying signal)
  
• Moderately Undervalued: Z-score < -0.65 (Potential buying opportunity)
  
• Fairly Valued: Z-score -0.65 to 0.5 (Neutral zone)
  
• Slightly Overvalued: Z-score 0.5 to 1.2 (Caution zone)
  
• Moderately Overvalued: Z-score 1.2 to 2.0 (Potential selling zone)
  
• Strongly Overvalued: Z-score ≥ 2.0 (Strong selling signal)
  

🌍 Universal Asset Compatibility

✅ Equity Markets - Individual stocks, ETFs, indices, sector rotation analysis
✅ Cryptocurrency - Bitcoin, altcoins, DeFi tokens, NFT projects

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🚀 Key Strategic Advantages

🔬 Scientific Approach
Unlike traditional indicators that use fixed thresholds, the Universal Valuation employs dynamic statistical normalization that adapts to changing market conditions and volatility regimes.

⚡ Multi-Dimensional Analysis
Combines momentum, trend, volume, and risk-adjusted metrics to provide a 360-degree view of market valuation, reducing false signals and improving decision accuracy.

🎯 Customizable Framework
Enable or disable individual components to create custom valuation models tailored to specific assets, strategies, or market conditions.

📊 Institutional-Grade Metrics
Incorporates sophisticated risk ratios (Sharpe, Sortino, Omega) typically used by hedge funds and institutional investors.

💡 Professional Trading Applications

🎯 Mean Reversion Strategies

• Identify extreme valuation levels for contrarian entries
  
• Use composite Z-score thresholds for systematic signal generation
  
• Combine with volume analysis for confirmation
  

📈 Trend Following Enhancement

• Avoid trend entries during overvalued conditions
  
• Use undervalued readings to add to existing positions
  
• Time trend continuation trades with valuation support
  

🔄 Portfolio Management

• Asset allocation based on relative valuation scores
  
• Risk management using integrated Sharpe/Sortino ratios
  
• Sector rotation timing using cross-asset comparison
  

⚡High-Frequency Applications

• Intraday momentum component for scalping strategies
  
• VWAP analysis for institutional order flow
  
• Real-time composite scoring for algorithmic systems
  

🛠️ Configuration Best Practices

📊 Conservative Setup (Long-term)

• Enable all components except Hurst Exponent
  
• Use longer Z-score periods (200+) for stability
  
• Focus on -1.3/+2.0 thresholds for major signals
  

⚡ Aggressive Setup (Short-term)

• Emphasize momentum components (RSI, CCI, Chande)
  
• Shorter Z-score periods (50-100) for responsiveness
  
• Use -0.65/+1.2 thresholds for frequent signals
  

🎯 Risk-Focused Setup

• Prioritize Sharpe, Sortino, and Omega ratios
  
• Enable VWAP and price components
  
• Use conservative thresholds with position sizing guidance
  

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🏆 Professional Multi-Asset Valuation System

The Universal Valuation indicator represents a quantum leap in technical analysis sophistication, combining academic rigor with practical trading applications. By normalizing diverse technical components through statistical Z-scores, it provides objective, data-driven valuation assessments that adapt to any market condition.

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📝 Disclaimer: This indicator is for educational and informational purposes only. The statistical models and risk ratios do not guarantee future performance. Always conduct thorough analysis and implement proper risk management practices.

4 gün önce

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2 saat önce

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