Medium Term Universal Valuation - HesselHoff

Medium Term Universal Valuation - HesselHoff

Credits to MarktQuant (Staggy) for parts of the code.


The Medium Term Universal Valuation indicator provides a comprehensive analysis by calculating various technical mean reversion indicators and risk/reward ratios, offering insights into market valuation levels.

Features:


Flexible Metrics:

Users can customize the included indicators to their preferences, such as TEMA Z, Median Percentile Z, Relative Volatility Z, and more. This flexibility allows for tailored analyses suited to individual investing approaches.


Interactive Table:

The script generates a detailed table displaying the calculated Z-scores for each selected metric, along with an aggregated Z-score. This table enables users to compare current market conditions against historical data effectively.


Color-Coded Analysis:

The chart bars are color-coded based on the sum of the Z-scores from the selected indicators, highlighting whether the market is undervalued, fairly valued, or overvalued at a glance.


Alert System:

Users can set alerts for specific valuation conditions. For example, an alert can be triggered when the aggregated Z-score indicates the market is strongly undervalued (<= -1.3) or strongly overvalued (>= 2), helping users make timely trading decisions.


Color Schemes:

Standard: Green and red colors represent positive and negative Z-scores, respectively, for a classic visual approach.

Cosmos: Bright green and magenta colors offer a modern, vibrant look.

Simple: White and black colors provide a minimalist, clean aesthetic.


Table and Valuation Phases:

The indicator's table shows the Z-scores of each selected metric and the aggregated Z-score, summarizing the market valuation into clear phases:

Strongly Undervalued (<= -1.3)
Moderately Undervalued (< -0.65)
Slightly Undervalued (< -0.5)
Fairly Valued (-0.5 to 0.5)
Slightly Overvalued (< 1.2)
Moderately Overvalued (< 2)
Strongly Overvalued (>= 2)


Z-Score Asymmetry:

The Z-score distribution is asymmetric, with "Strongly Undervalued" starting at -1.3 and "Strongly Overvalued" at 2. This counteracts the tendency to reach overvalued conditions more quickly than undervalued conditions based off various indicator calculations.


Trading Actions:

Based on the aggregated Z-score, the indicator suggests potential trading actions:

Accumulate Aggressively: When the market is strongly undervalued (<= -1.3), it suggests aggressively accumulating positions.

Accumulate: When the market is moderately undervalued (< -0.65), it suggests accumulating positions.

Do Nothing: When the market is fairly valued, slightly undervalued, or slightly overvalued (-0.5 to 1.2), it suggests holding existing positions without taking new actions.

Distribute: When the market is moderately overvalued (< 2), it suggests distributing or selling positions.

Distribute Aggressively: When the market is strongly overvalued (>= 2), it suggests aggressively distributing or selling positions.


Flexibility:

This indicator is applicable across various assets and timeframes, making it a versatile tool for traders and analysts aiming to gain comprehensive insights into market valuations.