Valuation Model ETH [MarktQuant]

27 mars

The "ETH Valuation Model" is a targeted tool for Ethereum (ETH) valuation, blending 12 key metrics into a composite z-score to pinpoint overbought or oversold conditions. It covers price, MVRV, SOPR, Sharpe, Sortino, Omega, Risk Index, Active Addresses, Supply Profitability, RSI, VDD, and VWAP, offering a robust snapshot of ETH’s market state. With a customizable table, candlestick coloring, plotted z-scores, background highlights, and DCA signals, it’s built for Ethereum traders seeking actionable insights.

Key Features
Z-Score Framework: Normalizes 12 ETH metrics over a user defined lookback, with user toggle options.
Average Z-Score: Combines active metrics into a smoothed signal .

Visuals

• Table with gradient z-score cells.
  
• Candlestick colors shifting from cyan to yellow and yellow to red .
  
• Plottable z-scores with distinct gradients.
  
• Green/red background for SDCA zones, plus diamond markers (green below, orange above).
  
• Valuation Tiers: Seven levels from "Strongly Undervalued" (≤ -2) to "Strongly Overvalued" (< 2).
  
• DCA Triggers: Oversold at -1.5, overbought at 1.7 (adjustable by the user).
  

Inputs

• Backtest: Enable filter and set start date.
  
• Length: 365 days for z-scores.
  
• SDCA: Out (1.7), In (-1.5).
  
• Extras: Bar colors, background highlights, labels, symbols, table position.
  
• Include: Toggle 13 metrics.
  
• Plots: Show z-scores and average.
  
• EMA: Smoothing length (1).
  

Calculations

• Z-scores measure deviations from the mean.
  
• Metrics like Risk (Delta Cap), and VDD add depth.
  
• Average z-score adjusts for active metrics, skipping unavailable data.
  

Usage
Apply to ETHUSD charts for valuation cues via table, plots, or DCA signals.
Best to use on daily timeframes.

26 sept.

Notes de version

Removed the MVRV Z-Score due to the unavailability of the MVRV data vendor.
Replaced with the Delta EMA Z-Score.
The Delta EMA is calculated by measuring the difference between the asset's price and its exponential moving average (EMA).