Relative Asset Performance [MarktQuant]

Sep 24

The Relative Performance Asset Indicator is a tool to compare cryptocurrency performance. It shows a ranked table of assets by their Rate of Change (ROC%), with metrics like Z-Score, Sharpe Ratio, and Sortino Ratio. Users can customize the plot style of ROC% (e.g., histogram, line). Gradient colors highlight favorable, neutral, and unfavorable values for Z-Score, Sharpe, and Sortino, helping identify top performers.

Features

• Multi-Asset Comparison: Tracks and ranks 34 cryptocurrencies (e.g., BTC, ETH, SOL) based on ROC%.
  
• Performance Metrics:
  
• ROC%: Percentage price change over a user-defined period.
  
• Z-Score: Valuation relative to historical mean and standard deviation, Universal Valuation Model.
  
• Sharpe Ratio: Risk-adjusted return (average return divided by standard deviation).
  
• Sortino Ratio: Risk-adjusted return focusing on downside risk (average return divided by downside deviation).
  

Customizable Visuals

• Optional ROC% labels next to plots.
  
• Gradient Coloring for Z-Score, Sharpe and Sortino Ratio
  
• Rank Tracking: Shows current rank and rank change (Δ RANK).
  
• NaN Handling: Displays "NaN" for undefined values due to insufficient data.
  

Inputs

Valuation Length
Sets bars for Z-Score calculation.
Usage: Increase for long-term trends, decrease for recent price sensitivity.

Rate of Change Length
Period (bars) for ROC% calculation.
Usage: Enable for clarity, disable to reduce clutter.

Risk Ratios Length
Lookback period for Sharpe and Sortino ratios.
Usage: Adjust for timeframe; ensure enough data to avoid "NaN".

Plot Style
Visualization style for ROC% plots.
Options: Histogram, Line, Stepline, Circles, Crosses, Area, Columns.
Usage: Choose style for chart readability.

Chart Plots
ROC% for 34 cryptocurrencies in selected style with unique colors.
Optional labels show ROC% and ticker if "Show Labels" is enabled.

Ranking Table Columns

1. RANK: Current rank by ROC% (1 = highest).
   
2. Δ RANK: Rank change (positive = up, with up/down arrow emojis).
   
3. ASSET: Ticker in asset-specific colors.
   
4. ROC%: Percentage change, asset-colored.
   
5. Z-SCORE: Valuation with gradient (green: ≤ -1.7, yellow: 0, red: ≥ 1.7).
   
6. SHARPE: Ratio with gradient (green: ≥ 0.1, yellow: 0, red: ≤ -0.1).
   
7. SORTINO: Ratio with gradient (green: ≥ 0.3, yellow: 0, red: ≤ -0.3).
   

Table

• RANK and Δ RANK: Spot top performers and momentum shifts.
  
• ROC%: Compare momentum; higher is better.
  
• Z-SCORE: Green suggests undervaluation, red suggests overvaluation.
  
• SHARPE/SORTINO: Green indicates better risk-adjusted returns, red indicates worse.
  
• NaN Values: Appear if data is insufficient; decrease Length or use longer timeframe.
  

Limitations
Data Availability: New assets (e.g., HYPE, PENGU) may show "NaN" if data is limited. Ensure timeframe has enough bars (>Smallest selected length).

Sep 25

Release Notes

V2