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已更新 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.
發行說明
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.
發行說明
Weekly smoothing factor發行說明
Color-coded standard deviations發行說明
.發行說明
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免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。