Universal Valuation ~ GForge

🎯 Universal Valuation - GForge

Overview:
The Universal Valuation indicator is a sophisticated technical analysis tool that combines 14 different technical indicators into a single, normalized composite Z-score. This revolutionary approach provides traders and investors with a comprehensive view of an asset's relative valuation state, helping identify potential overvalued and undervalued conditions across any market, any timeframe.

🌟 Key Features:

• Multi-Indicator Fusion: Combines RSI, CCI, Bollinger Bands, Price Analysis, Chande Momentum, Disparity Index, Hurst Exponent, IMI, TEMA, VWAP, Intraday Momentum, and advanced Risk Ratios (Sharpe, Sortino, Omega)
  
• Universal Compatibility: Works seamlessly across stocks, forex, crypto, commodities, indices, and any tradeable asset
  
• Multi-Timeframe Support: Optimized for all timeframes from 1-minute scalping to monthly long-term analysis
  
• Professional Visualization: 9 stunning color themes with gradient effects and customizable styling
  
• Comprehensive Dashboard: Real-time table displaying individual indicator scores and overall valuation phase
  
• Smart Alert System: Built-in notifications for extreme valuation conditions
  
• Z-Score Normalization: All indicators standardized for consistent comparison and interpretation
  

🔬 Technical Methodology:

The indicator employs advanced statistical normalization using Z-scores to transform disparate technical indicators into a unified measurement system. This revolutionary approach solves the fundamental problem of combining indicators with different scales and ranges.

1H MNT



Z-Score Normalization Process:

1. Raw Calculation: Each indicator is first calculated using its traditional formula (RSI 0-100, CCI unlimited range, etc.)
   
2. Statistical Analysis: For each indicator, the system calculates a rolling mean and standard deviation over a customizable lookback period
   
3. Z-Score Conversion: Current reading is converted using: Z = (Current Value - Rolling Mean) / Rolling Standard Deviation
   
4. Standardization: All Z-scores are clamped between -5 and +5 to prevent extreme outliers from dominating the composite
   
5. Democratic Weighting: Each normalized indicator contributes equally to the final composite score
   
6. Composite Calculation: Final score = Sum of all active Z-scores / Number of active indicators
   

Why Z-Scores Make It Universal:

Z-scores transform any indicator reading into "how many standard deviations away from normal this reading is." This means:
• An RSI of 85 on a volatile crypto might have the same Z-score as an RSI of 75 on a stable stock
• A CCI reading of +200 in a trending market might be less extreme than +100 in a ranging market
• Price movements are automatically adjusted for each asset's historical volatility
• Different timeframes are automatically normalized for their typical volatility patterns

This mathematical approach ensures the indicator adapts to any asset's unique characteristics and market conditions.

📊 Detailed Component Analysis:

Technical Indicators:

RSI (Relative Strength Index):
Calculates momentum by comparing recent gains to recent losses over a customizable period (default 21). Values above 70 traditionally indicate overbought conditions, while values below 30 suggest oversold conditions. The Universal Valuation converts these raw RSI values into Z-scores, providing a normalized view of how extreme current RSI readings are compared to historical patterns.

CCI (Commodity Channel Index):
Measures the current price level relative to an average price level over a given period (default 30). CCI compares the typical price (high+low+close)/3 to its simple moving average and divides by the mean absolute deviation. Values above +100 or below -100 indicate price extremes. Our Z-score normalization helps identify when CCI readings are statistically significant.

Bollinger Bands Position:
Calculates where the current price sits within the Bollinger Bands envelope. A value of +1 means price is at the upper band, -1 at the lower band, and 0 at the middle (SMA). This component measures price deviation from the mean in standard deviation units, making it naturally statistical. The Z-score normalization reveals when band position readings are historically extreme.

Price Z-Score:
Direct statistical measurement of how far the current price deviates from its historical mean in standard deviation units. This is the purest form of valuation measurement, showing whether an asset is trading at statistically significant levels relative to its historical price range.

Momentum Indicators:

Chande Momentum Oscillator (CMO):
Unlike RSI, CMO uses the sum of gains and losses rather than averages, making it more sensitive to recent price changes. It calculates (sum of gains - sum of losses) / (sum of gains + sum of losses) × 100. Values range from -100 to +100. The Z-score normalization helps identify when momentum readings are unusually extreme.

Disparity Index:
Measures the percentage difference between current price and its simple moving average: (Price - SMA) / SMA × 100. This shows how far price has deviated from its average, with positive values indicating price above average and negative values below. Z-score normalization reveals when these deviations are statistically significant.

Intraday Momentum Index (IMI):
Similar to RSI but uses intraday price movements instead of closing prices. It compares gains and losses within each session (close vs open) rather than session-to-session changes. This captures intraday sentiment and momentum that closing-based indicators might miss. Particularly useful for detecting intraday reversal patterns.

Intraday Momentum:
Simple but effective measurement of daily price movement: (Close - Open) / Open × 100. This shows the percentage gain or loss within each trading session. When Z-score normalized, it reveals when intraday movements are historically extreme, often indicating climax buying or selling conditions.

Advanced Indicators:

TEMA (Triple Exponential Moving Average):
A sophisticated moving average that applies exponential smoothing three times to reduce lag while maintaining responsiveness. TEMA = 3×EMA₁ - 3×EMA₂ + EMA₃, where each EMA is applied to the previous result. The Z-score of TEMA helps identify when price has moved significantly away from this responsive trend line.

VWAP (Volume Weighted Average Price):
Calculates the average price weighted by volume, giving more importance to prices where more volume occurred. VWAP = Σ(Price × Volume) / Σ(Volume). This represents the "fair value" based on actual trading activity. Z-score normalization shows when current VWAP is statistically extreme relative to historical VWAP levels.

Hurst Exponent:
Advanced mathematical concept measuring market efficiency and trend persistence. Values near 0.5 indicate random walk (efficient market), above 0.5 suggest trending behavior, and below 0.5 indicate mean-reverting markets. The indicator converts this to an oscillator: (Hurst - 0.5) × 100, then applies Z-score normalization to identify extreme efficiency/inefficiency periods.

Risk Ratios:

Sharpe Ratio:
Classic risk-adjusted return measure: (Return - Risk-free Rate) / Standard Deviation of Returns. Higher values indicate better risk-adjusted performance. The Z-score normalization reveals when current risk-adjusted returns are historically high or low, helping identify periods of exceptional or poor risk-adjusted performance.

Sortino Ratio:
Improvement over Sharpe ratio that only penalizes downside volatility: (Return - Risk-free Rate) / Downside Deviation. This gives a more accurate picture of risk-adjusted returns since upside volatility isn't necessarily bad. Z-score normalization helps identify when downside risk-adjusted returns reach extreme levels.

Omega Ratio:
Sophisticated risk measure that considers the probability-weighted ratio of gains versus losses above a threshold: Σ(Gains above threshold) / Σ(Losses below threshold). Values above 1.0 indicate positive expected returns above the threshold. Z-score normalization reveals when probability-weighted risk/reward ratios reach historically significant levels.

🎨 Valuation Phases:

The composite Z-score translates into clear valuation phases:

• 🔵 Extremely Undervalued: Z-Score ≤ -2.0 (Rare buying opportunities)
  
• 🟦 Strongly Undervalued: Z-Score ≤ -1.3 (Strong buying signals)
  
• 🟨 Moderately Undervalued: Z-Score ≤ -0.65 (Potential value plays)
  
• ⚪ Fairly Valued: Z-Score -0.65 to 0.5 (Neutral territory)
  
• 🟨 Slightly Overvalued: Z-Score 0.5 to 1.2 (Caution advised)
  
• 🟧 Moderately Overvalued: Z-Score 1.2 to 2.0 (Consider profit-taking)
  
• 🔴 Strongly Overvalued: Z-Score > 2.0 (High risk, potential sell signals)
  

12H GOLD


🌍 Universal Application:

Why "Universal"?

1. Timeframe Independent: Statistical normalization adapts to any timeframe's volatility characteristics
   
2. Market Neutral: Works across different market conditions (trending, ranging, volatile, calm)
   
3. Configurable Components: Enable/disable specific indicators based on asset type and market conditions
   
4. Adaptive Parameters: All lookback periods are customizable for different trading styles
   

💡 Optimal Use Cases:

• Swing Trading: Identify intermediate-term reversal points
  
• Position Trading: Long-term value assessment for portfolio allocation
  
• Day Trading: Intraday extreme condition alerts
  
• Risk Management: Position sizing based on valuation extremes
  
• Multi-Asset Analysis: Compare relative value across different instruments
  
• Market Timing: Entry and exit point optimization
  

⚙️ Customization Options:

• Component Selection: Enable/disable any of the 14 indicators
  
• Lookback Periods: Adjust Z-score calculation periods for each component
  
• Visual Themes: 9 professional color schemes plus custom colors
  
• Alert Thresholds: Configurable extreme condition notifications
  
• Dashboard Display: Toggle individual component visibility
  
• Background Highlighting: Visual emphasis for extreme conditions
  

🎯 Interpretation Guide:

For Long Positions:
• Look for Z-scores below -1.3 for entry opportunities
• Consider profit-taking when Z-scores exceed +1.2
• Use extreme readings (< -2.0) for high-conviction entries

For Short Positions:
• Look for Z-scores above +2.0 for entry opportunities
• Cover positions when Z-scores fall below +0.5
• Avoid shorting during extreme undervaluation (< -1.3)

For Risk Management:
• Reduce position sizes during overvalued conditions
• Increase allocation during undervalued periods
• Use neutral zones (±0.5) for position adjustments

🔔 Alert System:

Built-in alerts notify you when:

• Composite score enters/exits strong overvalued territory (±2.0)
  
• Composite score enters/exits strong undervalued territory (±1.3)
  
• Extreme conditions are reached (±2.5 for overvalued, -2.0 for undervalued)
  
• Neutral crossovers occur (useful for trend changes)
  

📈 Performance Optimization:

The indicator includes several performance optimizations:

• Efficient calculation methods to minimize processing load
  
• Clamped Z-scores to prevent extreme outliers
  
• Optimized table rendering for smooth operation
  

🎨 Visual Elements:

• Main Plot: Composite Z-score line with dynamic gradient coloring
  
• Zone Fills: Visual bands showing valuation regions
  
• Reference Lines: Key threshold levels clearly marked
  
• Background Highlighting: Extreme condition emphasis
  
• Dashboard Table: Comprehensive component breakdown
  
• Bar Coloring: Optional candlestick coloring based on valuation
  

🔧 Technical Requirements:

• Requires sufficient historical data for accurate Z-score calculations
  
• Recommended minimum: 300+ bars for optimal performance
  
• Works on all TradingView subscription levels
  

📚 Educational Value:

This indicator serves as an excellent educational tool for:

• Understanding statistical normalization in trading
  
• Learning how multiple indicators can be combined effectively
  
• Studying market valuation concepts across different assets
  
• Developing a systematic approach to market analysis
  

⚠️ Important Notes:

• The indicator works best with sufficient historical data
  
• Consider market context and fundamental factors alongside technical signals
  
• Backtest thoroughly before implementing in live trading
  
• Adjust parameters based on specific asset characteristics and trading timeframe
  
• Use in conjunction with other analysis methods for best results
  

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⚠️ DISCLAIMER:

This indicator is provided for educational and informational purposes only and should not be considered as financial advice, investment advice, trading advice, or any other type of advice.

The Universal Valuation indicator is a technical analysis tool that provides statistical information about price movements and market conditions. It does not guarantee profits or predict future market movements with certainty.

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Developed with precision for the TradingView community ~ GForge