Multi-Asset Universal Valuation Z_score -> PROFABIGHI_CAPITAL

🌟 Overview

The Multi-Asset Universal Valuation Z-Score → PROFABIGHI_CAPITAL indicator delivers a sophisticated portfolio screening tool by calculating normalized Z-scores for multiple assets simultaneously, incorporating price deviations alongside a suite of technical and risk-adjusted metrics to uncover relative overvaluations or undervaluations.

It empowers traders to monitor up to 25 assets—such as cryptocurrencies—in real-time through comprehensive tables, highlighting mispriced opportunities via statistical extremes, fair value estimates, and dynamic rankings for strategic rebalancing in diversified holdings.

📅 Assets Configuration

– Number of Assets: Define the portfolio size from 1 to 25 symbols, optimizing for computational load while expanding coverage for broader market scans.
– Asset Symbols (1-25): Individually select tickers, often crypto pairs like BTCUSD or ETHUSD, to form a watchlist tailored to specific sectors or correlations for comparative analysis.

📊 General Settings

– Z-Score Lookback Period: Set the historical window for mean and standard deviation computations, influencing sensitivity to recent versus long-term deviations.
– Correlation Analysis Period: Establish the span for evaluating metric-price relationships, ensuring robust adjustments for interdependent signals.
– Show Main Table: Activate a central dashboard aggregating all assets' prices, sigma bands, fair values, and Z-scores for at-a-glance portfolio oversight.
– Show Ranking Tables: Enable sorted overviews of the top oversold and overbought assets, prioritizing high-conviction opportunities by deviation severity.
– Use Price Weighting: Blend direct price Z-scores with indicator-derived ones, anchoring the final score in raw market behavior.
– Adaptive Weighting: Dynamically scale metric influences by their correlation strength to price, promoting relevance in varying regimes.

📈 RSI Settings

– Enable RSI: Incorporate relative strength index to capture momentum extremes within the Z-score framework.
– RSI Length: Adjust the computation period to fine-tune overbought/oversold detection in asset valuations.

📈 ROC Settings

– Enable ROC: Include rate of change to highlight acceleration or deceleration in price trends for deviation scoring.
– ROC Period: Specify the lookback for percentage shifts, balancing short-term volatility with trend persistence.

📈 BB% Settings

– Enable BB%: Factor in Bollinger Bands position to measure range-bound extremes relative to volatility.
– BB Length: Define the moving average span for the bands' centerline.
– BB Standard Deviation: Set the multiplier for band width, controlling sensitivity to price envelopes.

📈 Crosby Ratio Settings

– Enable Crosby Ratio: Activate this trend angle proxy using smoothed Heikin-Ashi for directional slope analysis.
– Crosby Length: Choose the smoothing window to refine the ratio's responsiveness to price arcs.

📈 Sharpe Ratio Settings

– Enable Sharpe Ratio: Embed risk-adjusted returns to penalize volatility in the valuation score.
– Sharpe Period: Select the calculation horizon for mean returns and standard deviation.
– Sharpe Smoothing: Apply exponential averaging to stabilize the annualized efficiency metric.

📈 Sortino Ratio Settings

– Enable Sortino Ratio: Focus on downside volatility for a more trader-friendly risk gauge.
– Sortino Period: Determine the span for excess returns over the risk-free benchmark.
– Risk-Free Rate (%): Input the annual safe yield to adjust for opportunity costs.
– Sortino Smoothing: Smooth the downside-focused ratio for consistent signals.

📈 Omega Ratio Settings

– Enable Omega Ratio: Use gains-versus-losses probability for threshold-sensitive performance ranking.
– Omega Period: Set the evaluation window for return distributions.
– Target Return (%): Define the minimum acceptable yield to bifurcate positive/negative outcomes.
– Omega Smoothing: Refine the ratio with averaging to mitigate outlier impacts.

🛡️ Threshold Settings

– Extreme Overbought Level: Mark severe positive deviations warranting aggressive sells or hedges.
– Extreme Oversold Level: Flag profound negative deviations for opportunistic buys.
– Overbought Level: Signal moderate upward stretches for cautionary monitoring.
– Oversold Level: Indicate mild downward pulls for potential accumulation.

🎨 Color Settings

– Neutral Color: Subtle shade for assets within normal ranges, avoiding false alarms.
– Overbought Color: Alerting red for high-valuation warnings.
– Oversold Color: Inviting green for undervaluation opportunities.
– Extreme Overbought Color: Intense maroon for crisis-level bubbles.
– Extreme Oversold Color: Bright lime for deep-value bargains.

🔧 Helper Functions

– RSI/ROC/BB% Computations: Standard oscillators for momentum, change rate, and band positioning.
– Crosby Ratio: Approximates trend slope via Heikin-Ashi averages and ATR-normalized angles.
– Sharpe/Sortino/Omega Ratios: Annualized efficiency metrics, with Sortino emphasizing downside and Omega using return thresholds.
– Z-Score Normalization: Transforms series into standard deviations from means for cross-asset comparability.
– Correlation & Beta Adjustments: Quantifies metric-price links to refine weighted influences.
– Weighted Z-Score Blend: Integrates indicators with price via betas and correlations for holistic scoring.
– Symbol Cleanup: Strips exchange prefixes and pairs for concise table labels.

📦 Multi-Asset Processing

– Security Fetching: Pulls comprehensive data—prices, Z-scores, means, deviations, expectations—for each asset in parallel.
– Array Management: Dynamically stores metrics in expandable arrays, scaling to the selected portfolio size.
– Ranking Engine: Bubble-sorts by Z-scores to prioritize undervalued (low) and overvalued (high) assets for quick scans.

📋 Main Table

– Central Dashboard: Rows for prices, ±1/2/3 sigma bands, fair values, expected prices, and dual Z-scores; columns per asset with color-coded cells by deviation severity.
– Dynamic Headers: Asset symbols highlighted if ranked in top oversold/overbought quintiles for immediate focus.

🏆 Ranking Tables

– Oversold Rankings: Top 5 (or fewer) by lowest Z-scores, detailing symbols, individual Z's, averages, and the weakest metric.
– Overbought Rankings: Top 5 (or fewer) by highest Z-scores, mirroring structure for symmetry in bubble detection.

📊 Current Asset Visualization

– Sigma Deviation Plots: Lines mapping ±1/2/3 standard deviations from the mean for contextual over/undervaluation.
– Fair Value & Expected Price Traces: Central mean and Z-adjusted projection to visualize reversion targets.
– Live Price Overlay: Blue line tracking current close against bands for real-time deviation monitoring.
– Zone Backgrounds: Faint tints scaling from neutral to extreme colors based on the asset's Z-score status.

🔔 Alerts

– Overbought Entry: Activates on crossing into moderate high-deviation territory.
– Oversold Entry: Triggers upon entering low-deviation zones.
– Extreme Overbought/Oversold: High-priority warnings at critical thresholds for portfolio-wide risks.

✅ Key Takeaways

– Cross-asset Z-scores reveal portfolio imbalances via statistical lenses, blending raw price with advanced ratios.
– Adaptive correlations ensure metric relevance, while rankings accelerate opportunity hunting.
– Comprehensive tables and band visuals turn complex data into actionable insights for diversified trading.
– Customizable metrics and thresholds adapt to crypto volatility or traditional equities alike.