Cobra’s CryptoMarket Visualizer – Indicator by EliCobra – TradingView

Cobra’s Crypto Market Screener is designed to provide a comprehensive overview of the top 40 market value cryptocurrencies in a table\heatmap format. This indicator contains essential metrics such as Beta, Alpha, Sharpe Ratio, Sortino Ratio, Omega Ratio, Z-Score and Average Daily Range (ADR). The table uses cell coloring that resembles a heat map, allowing for quick visual analysis and comparison of various cryptocurrencies.

The indicator also includes an abbreviated explanation utility of each measure when you hover over its respected cell. I’ll elaborate on each one here for anyone interested.

Metric Descriptions:

1. Beta: measures the sensitivity of an asset’s return to overall market returns. It indicates how much the asset’s price is likely to move relative to a benchmark index. A beta of 1 indicates that the asset moves in line with the market, while a beta greater than 1 implies that the asset is more volatile, and a beta less than 1 indicates lower volatility. 2. Alpha: is a measure of the excess return generated by an investment compared to its expected return, given its risk (as indicated by its beta). It assesses the performance of an investment after adjusting for market risk. Positive alpha indicates outperformance, while negative alpha indicates underperformance. 3. Sharpe ratio: measures the risk-adjusted return of an investment or portfolio. It evaluates the excess return earned per unit of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, as it reflects a higher return for each unit of volatility or risk. 4. Sortino ratio: is a risk-adjusted measure similar to the Sharpe ratio, but focuses only on downside risk. It takes into account the excess return per unit of downside volatility. The Sortino ratio highlights the risk associated with below-target returns and is particularly useful for assessing investments with asymmetric risk profiles. 5. Omega ratio: measures the ratio of the cumulative average positive returns to the cumulative average negative returns. It assesses the reward-to-risk ratio by considering both upside and downside performance. A higher Omega ratio indicates a higher reward relative to the risk taken. 6. Z-score: is a statistical measure that represents the number of standard deviations a data point is from the mean of a data set. In finance, the Z-score is commonly used to assess the financial health or risk of a company. It quantifies the distance of a company’s financial ratios from the average and provides insight into its relative position. 7. Average Daily Range: ADR represents the average range of price movement of an asset during a trading day. It measures the average difference between the high and low prices over a specific period of time. Traders use ADR to determine the potential price range within which an asset may fluctuate during a typical trading session.

Utility:

Comprehensive overview: The indicator makes it possible to monitor up to 40 cryptocurrencies simultaneously, providing a consolidated overview of essential statistics in a single table. Efficient comparison: The heatmap-like coloring of the cells enables easy visual comparison of different cryptocurrencies, helping to identify relative strengths and weaknesses. Risk Assessment: Metrics such as Beta, Alpha, Sharpe Ratio, Sortino Ratio and Omega Ratio provide insights into the risk associated with each cryptocurrency, aiding risk assessment and portfolio management decisions. Performance Evaluation: The Alpha, Sharpe ratio and Sortino ratio provide measures of a cryptocurrency’s performance adjusted for risk. It helps assess investment performance over time and across different assets. Market Analysis: By considering the Z-Score and Average Daily Range (ADR), traders can evaluate the financial health and potential price volatility of cryptocurrencies, helping with trade selection and risk management. Features: Reference period optimization, especially alpha and ADR Source calculation Table size and positioning options to fit the user’s screen size. Tool tips

Important Notes –

1. The Sharpe, Sortino and Omega ratios cell color threshold can be subjective, I did my best to determine the median value of each to provide more accurate color sentiment, this may change in the future.

The median values ​​are: Sharpe -1, Sortino – 1.5, Omega – 20.

2. Limitations – Some cryptos have a Z-score value of NaN due to their short lifetime, I have tried to overcome this problem as with the rest of the metrics as best I can. Additionally, this limits the time horizon for replay mode to somewhere around the third quarter of 2021 and that is with the use of the split option of the top half, to stick with the older cryptos.

3. For the novice Pine enthusiast, I recommend looking through the script as it serves as an excellent example of using key features, to name a few: Arrays, User Defined Functions, User Defined Types, For Loops, Switches and Tables.

4. Beta and Alpha’s benchmark instrument is BTC, due to crypto volatility I saw no reason to use SPY or any other asset for that matter.