立即開始

NAV

Market to NAV Premium Arbitrage Alpha IndicatorBitcoin treasury companies such as Microstrategy are known for trading at significant premiums. but how big exactly is the premium? And how can we measure it in real time? I developed this quantitative tool to identify statistical mispricings between market capitalization and net asset value (NAV), specifically designed for arbitrage strategies and alpha generation in Bitcoin-holding companies, such as MicroStrategy or Sharplink Gaming, or SPACs used primarily to hold cryptocurrencies, Bitcoin ETFs, and other NAV-based instruments. It can probably also be used in certain spin-offs. KEY FEATURES: ✅ Real-time Premium/Discount Calculation • Automatically retrieves market cap data from TradingView • Calculates precise NAV based on underlying asset holdings (for example Bitcoin) • Formula: (Market Cap - NAV) / NAV × 100 ✅ Statistical Analysis • Historical percentile rankings (customizable lookback period) • Standard deviation bands (2σ) for extreme value detection (close to these values might be seen as interesting points to short or go long) • Smoothing period to reduce noise ✅ Multi-Source Market Cap Detection • You can add the ticker of the NAV asset, but if necessary, you can also put it manually. Priority system: TradingView data → Calculated → Manual override ✅ Advanced NAV Modeling • Basic NAV: Asset holdings + cash. • Adjusted NAV: Includes software business value, debt, preferred shares. If the company has a lot of this kind of intrinsic value, put it in the "cash" field • Support for any underlying asset (BTC, ETH, etc.) TRADING APPLICATIONS: 🎯 Pairs Trading Signals • Long/Short opportunities when premium reaches statistical extremes • Mean reversion strategies based on historical ranges • Risk-adjusted position sizing using percentile ranks 🎯 Arbitrage Detection • Identifies when market pricing significantly deviates from fair value • Quantifies the magnitude of mispricing for profit potential • Historical context for timing entry/exit points CONFIGURATION OPTIONS: • Underlying Asset: Any symbol (default: COINBASE:BTCUSD) NEEDS MANUAL INPUT • Asset Quantity: Precise holdings amount (for example, how much BTC does the company currently hold). NEEDS MANUAL INPUT • Cash Holdings: Additional liquid assets. NEEDS MANUAL INPUT • Market Cap Mode: Auto-detect, calculated, or manual • Advanced Adjustments: Business value, debt, preferred shares • Display Settings: Lookback period, smoothing, custom colors IT CAN BE USED BY: • Quantitative traders focused on statistical arbitrage • Institutional investors monitoring NAV-based instruments • Bitcoin ETF and MSTR traders seeking alpha generation • Risk managers tracking premium/discount exposures • Academic researchers studying market efficiency (as you can see, markets are not efficient 😉)
Pine Script®指標
由HenriqueCentieiro提供
Discount to Net Asset ValueOverview This indicator helps investors and analysts identify when a company’s stock is trading below or above its intrinsic value. A persistent discount may highlight potential value opportunities, while a sustained premium could signal overvaluation or strong market sentiment. By visually shading the background and plotting the discount/premium percentage, users can quickly screen for undervalued stocks, confirm fundamental research, and make more informed buy or sell decisions. Usage Calculates the Net Asset Value discount (or premium) for any symbol. By default the indicator uses the current chart symbol’s TOTAL_ASSETS, TOTAL_LIABILITIES, and TOTAL_SHARES_OUTSTANDING. You can select another symbol by checking “Use Custom Symbol” and entering the ticker of the other symbol. This is useful for comparing the Discount to NAV across symbols. Shows the percentage discount (or premium) of market capitalization relative to net asset value. Recommended timeframes: daily bars or higher. Reporting Periods: • FQ = Fiscal Quarter • FY = Fiscal Year • TTM = Trailing Twelve Months Note: NAV is pulled on the chosen reporting period (FQ, FY, TTM). By default the background is shaded red to illustrate a discount to NAV and green to illustrate a premium to NAV. This can be toggled in the settings.
Pine Script®指標
由quickshiftinn提供