OPEN-SOURCE SCRIPT
Updated Z-Scored Performance Ratios
This indicator utilizes QuantiLuxe's Rolling Risk-Adjusted Performance Ratios (tradingview.com/script/J1aP07iJ-Rolling-Risk-Adjusted-Performance-Ratios/) to quantify the strength of an asset's current price performance relative to it's historical returns using the sharpe, sortino, and omega ratios.
Sharpe Ratio: Measures the risk-adjusted return of an investment by evaluating its return per unit of price volatility or risk.
Sortino Ratio: Measures the risk-adjusted return of an investment by evaluating its return per unit of downside price volatility.
Omega Ratio: Measures the probability-weighted ratio of gains to losses for returns above and below a certain threshold. It evaluates the distribution, or skewness of returns rather than focusing on averages.
Quantification of each ratio's deviation from it's rolling average can provide investor's with insight into current price performance relative to a chosen lookback period, which may serve as a useful valuation metric.
Sharpe Ratio: Measures the risk-adjusted return of an investment by evaluating its return per unit of price volatility or risk.
Sortino Ratio: Measures the risk-adjusted return of an investment by evaluating its return per unit of downside price volatility.
Omega Ratio: Measures the probability-weighted ratio of gains to losses for returns above and below a certain threshold. It evaluates the distribution, or skewness of returns rather than focusing on averages.
Quantification of each ratio's deviation from it's rolling average can provide investor's with insight into current price performance relative to a chosen lookback period, which may serve as a useful valuation metric.
Release Notes
Ideal for identifying statistically significant asset price performance.Useful when comparing current performance ratios vs. the long term performance ratios of BTC, identifying long term tops and bottoms.
Release Notes
Weekly smoothing factorRelease Notes
Color-coded standard deviationsRelease Notes
.Release Notes
Changed the nameOpen-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.