Valuation Model BTC [MarktQuant]

Mar 27

The "Valuation Model BTC" is a sophisticated technical analysis tool tailored specifically for Bitcoin (BTC), designed to evaluate its valuation through a composite z-score derived from a variety of on-chain, market, and technical metrics. This indicator aggregates up to 14 distinct Bitcoin-specific indicators—such as price, Market Value to Realized Value (MVRV), Spent Output Profit Ratio (SOPR), Sharpe Ratio, Sortino Ratio, Omega Ratio, Net Unrealized Profit/Loss (NUPL), Risk Index, Active Addresses, Supply Profitability State, Relative Strength Index (RSI), Value Days Destroyed (VDD), Volume Weighted Average Price (VWAP), and On-Chain Indicator (OCI)—into a single average z-score. This provides traders with a holistic view of Bitcoin’s valuation, helping to identify overbought or oversold conditions.

The indicator features a customizable table display, optional candlestick coloring, plotted z-score lines, background highlights, and diamond-shaped markers for Dollar-Cost Averaging (DCA) signals.

Key Features
Comprehensive Z-Score Calculation:
Incorporates 14 Bitcoin-specific metrics, each normalized into a z-score based on a user-defined lookback period.

Users can enable or disable individual metrics to tailor the model to their preferences.

Average Z-Score (Z AVG):
Computes an average z-score from the selected metrics.
Applies an optional exponential moving average smoothing to refine the signal.

Visualization Options:

• Table Display: A customizable table (position selectable, default: Middle Right) shows each metric’s label and z-score:
  
• Includes an average z-score and valuation message with matching gradient coloring.
  
• Candlestick Coloring: Optionally colors candlesticks based on the average z-score, transitioning from green to red over a -2.2 to 2.2 range.
  
• Plots: Individual z-scores and the smoothed average can be plotted, each with unique gradient colors.
  
• Labels: Optional labels display metric names next to their plotted values on the last bar.
  
• Background Highlights: Shades the background green for oversold (below DCA In) or red for overbought (above DCA Out) conditions.
  
• Symbols: Displays diamond markers below bars for oversold (green) and above bars for overbought (orange) signals.
  

Valuation Levels:
Categorizes the average z-score into seven zones with descriptive messages:
≤ -2: "Strongly Undervalued" with double green indicators.
< -1.5: "Moderately Undervalued" with a green indicator.
< -0.5: "Slightly Undervalued" with green and yellow indicators.
< 0: "Fairly Valued" with yellow and orange indicators.
< 0.5: "Slightly Overvalued" with red and orange indicators.
< 1.5: "Moderately Overvalued" with a red indicator.
< 2: "Strongly Overvalued" with double red indicators.

Inputs
Z Score Length: Lookback period for z-score calculations (default: 400 days).

DCA Thresholds:
DCA Out (default: 2.0): Overbought threshold.
DCA In (default: -1.5): Oversold threshold.

Indicator Calculations

• Z-Score: Normalizes each metric by calculating how many standard deviations it is from its mean over the lookback period.
  
• NUPL: Derived from Market Cap minus Realized Cap, normalized via percentile conversion.
  
• Risk Index: Based on Delta Cap relative to Market Cap.
  
• Supply Profitability: Difference between profit and loss percentages of addresses.
  
• VDD: Rate of change of a custom Value Days Destroyed metric.
  
• OCI: Combines MVRV, SOPR, and Active Addresses into a composite on-chain indicator.
  
• Average Z-Score: Sums the selected z-scores, excludes unavailable data, and divides by the number of active metrics.
  

Usage
Chart Setup: Apply to a Bitcoin chart (e.g., INDEX:BTCUSD).
Interpretation: Use the table’s average z-score and message to assess Bitcoin’s valuation. Plotted lines provide detailed metric analysis, while background highlights and symbols signal DCA opportunities.

Mar 27

Release Notes

Improved script loading time.

Sep 26

Release Notes

Removed the MVRV Z-Score due to the unavailability of the MVRV data vendor.
Replaced with the Delta EMA Z-Score.
The Delta EMA is calculated by measuring the difference between the asset's price and its exponential moving average (EMA)

Oct 2

Release Notes

• New plot styles
  
• MVRV is added
  
• OCI is added
  

Oct 2

Release Notes

V3- Script improvement