Cobra's Crypto Market Screener is designed to provide a comprehensive overview of the top 40 cryptocurrencies by market capitalization in table/heatmap format. This indicator incorporates important metrics such as Beta, Alpha, Sharpe Ratio, Sortino Ratio, Omega Ratio, Z-score, and Average Daily Range (ADR). This table uses cell color coding similar to a heatmap, allowing you to quickly visually analyze and compare multiple cryptocurrencies.
The indicator also includes a shortened descriptive tooltip for each metric when you hover over the cell in question. For those interested, I will explain each in detail here.
Metric description:
1. Beta version: Measures the sensitivity of an asset's return to the overall market return. This indicates how much an asset's price is likely to fluctuate relative to a benchmark index. A beta of 1 indicates that the asset moves with the market, a beta greater than 1 indicates high volatility of the asset, and a beta less than 1 indicates low volatility.
2. Alpha: A measure of the excess return on an investment compared to its expected return, given the risk (denoted by beta). Evaluate the performance of your investments after adjusting for market risk. Positive alpha indicates better performance, negative alpha indicates worse performance.
3. Sharpe ratio: Measures the risk-adjusted return of an investment or portfolio. Evaluate the excess return earned per unit of risk taken. A higher Sharpe ratio reflects a higher return for each unit of volatility or risk, and therefore indicates better risk-adjusted performance.
4. Sortino ratio: It is a risk-adjusted metric similar to the Sharpe Ratio, but focuses only on downside risk. Considers the excess return per unit of downside volatility. The Sortino ratio highlights the risks associated with below-target returns and is particularly useful when evaluating investments with asymmetric risk profiles.
5. Omega ratio: Measures the ratio of cumulative average positive returns to cumulative average negative returns. Evaluate the reward-to-risk ratio by considering both ups and downs in performance. A higher omega ratio indicates higher reward relative to risk.
6. Z-score: A statistical measure that represents the number of standard deviations of data points from the mean of a dataset. In finance, Z-scores are often used to assess a company's financial health or risk. Quantifies the distance of a company's financial ratios from the average, providing insight into its relative position.
7. Average daily range: ADR represents the average range of price changes of an asset during a trading day. Measures the average difference between high and low prices over a specific period of time. Traders use ADR to measure the potential price range over which an asset can move during a typical trading session.
utility:
- Comprehensive overview: This indicator allows you to monitor up to 40 cryptocurrencies simultaneously and displays important indicators consolidated in one table.
- Efficient comparison: Heatmap-like cell coloring allows you to easily visually compare different cryptocurrencies, helping you identify their relative strengths and weaknesses.
- risk assessment: Indicators such as Beta, Alpha, Sharpe Ratio, Sortino Ratio, and Omega Ratio provide insight into the risks associated with each cryptocurrency and can aid in risk assessment and portfolio management decisions.
- Performance evaluation: Alpha, Sharpe ratio, and Sortino ratio provide a measure of a cryptocurrency's performance adjusted for risk. This helps assess investment performance across different assets over time.
- Market analysis: By considering the Z-score and average daily range (ADR), traders can assess the financial health and potential price volatility of a cryptocurrency, which helps in trade selection and risk management.
Features:
- Base period optimization, especially alpha and ADR
- source calculation
- Option to resize and position the table to fit the user's screen size.
- Tooltip
Important notes –
1. The cell coloring thresholds for Sharp, Sortino, and Omega ratios may be subjective. We have done our best to measure the median of each value to provide a more accurate coloring sentiment, but this may change in the future.
Median values are Sharp -1, Sortino – 1.5, Omega – 20.
2. Limitations – Some cryptocurrencies have short lifetimes, resulting in Z-score values of NaN. I tried to overcome this problem as much as possible, just like with other metrics. Furthermore, the duration of replay mode is limited to around the third quarter of 2021, and the top half split option will be used to preserve old encryption.
3. Beginner Pine enthusiasts are encouraged to skim through the script for examples of using key features such as arrays, user-defined functions, user-defined types, For loops, switches, and tables.
Four. The benchmark product for Beta and Alpha is BTC, but given the volatility of cryptocurrencies, we saw no reason to use SPY or any other asset.
