OPEN-SOURCE SCRIPT
Market to NAV Premium Arbitrage Alpha Indicator
MARKET TO NAV PREMIUM ARBITRAGE ALPHA INDICATOR
A quantitative tool for identifying statistical mispricings between market capitalization and net asset value (NAV), designed specifically for arbitrage strategies and alpha generation in Bitcoin-holding companies like MicroStrategy (MSTR), companies or SPACS used mostly to hold crypto, Bitcoin ETFs, and other NAV-based instruments. Can probably be also used in certain spin-offs.
📊 KEY FEATURES:
✅ Real-time Premium/Discount Calculation
• Automatically retrieves market cap data from TradingView
• Calculates precise NAV based on underlying asset holdings
• Formula: (Market Cap - NAV) / NAV × 100
✅ Statistical Analysis Framework
• Historical percentile rankings (customizable lookback period)
• Standard deviation bands (2σ) for extreme value detection
• Smoothing options to reduce noise
✅ Multi-Source Market Cap Detection
• Priority system: TradingView data → Calculated → Manual override
• Automatic fallback mechanisms for data reliability
✅ Advanced NAV Modeling
• Basic NAV: Asset holdings + cash
• Adjusted NAV: Includes software business value, debt, preferred shares. If the company has a lot of this kind of intrinsic value, put it in the "cash" field
• Support for any underlying asset (BTC, ETH, etc.)
📈 TRADING APPLICATIONS:
🎯 Pairs Trading Signals
• Long/Short opportunities when premium reaches statistical extremes
• Mean reversion strategies based on historical ranges
• Risk-adjusted position sizing using percentile ranks
🎯 Arbitrage Detection
• Identifies when market pricing significantly deviates from fair value
• Quantifies the magnitude of mispricing for profit potential
• Historical context for timing entry/exit points
🔧 CONFIGURATION OPTIONS:
• Underlying Asset: Any symbol (default: COINBASE:BTCUSD) NEED MANUAL INPUT
• Asset Quantity: Precise holdings amount. NEED MANUAL INPUT
• Cash Holdings: Additional liquid assets. NEED MANUAL INPUT
• Market Cap Mode: Auto-detect, calculated, or manual
• Advanced Adjustments: Business value, debt, preferred shares
• Display Settings: Lookback period, smoothing, custom colors
🎯 PERFECT FOR:
• Quantitative traders focused on statistical arbitrage
• Institutional investors monitoring NAV-based instruments
• Bitcoin ETF and MSTR traders seeking alpha generation
• Risk managers tracking premium/discount exposures
• Academic researchers studying market efficiency (as you can see, markets are not efficient 😉)
🔗 CONNECT & SUPPORT:
Follow for updates and additional quantitative trading tools. Feedback and suggestions welcome!
A quantitative tool for identifying statistical mispricings between market capitalization and net asset value (NAV), designed specifically for arbitrage strategies and alpha generation in Bitcoin-holding companies like MicroStrategy (MSTR), companies or SPACS used mostly to hold crypto, Bitcoin ETFs, and other NAV-based instruments. Can probably be also used in certain spin-offs.
📊 KEY FEATURES:
✅ Real-time Premium/Discount Calculation
• Automatically retrieves market cap data from TradingView
• Calculates precise NAV based on underlying asset holdings
• Formula: (Market Cap - NAV) / NAV × 100
✅ Statistical Analysis Framework
• Historical percentile rankings (customizable lookback period)
• Standard deviation bands (2σ) for extreme value detection
• Smoothing options to reduce noise
✅ Multi-Source Market Cap Detection
• Priority system: TradingView data → Calculated → Manual override
• Automatic fallback mechanisms for data reliability
✅ Advanced NAV Modeling
• Basic NAV: Asset holdings + cash
• Adjusted NAV: Includes software business value, debt, preferred shares. If the company has a lot of this kind of intrinsic value, put it in the "cash" field
• Support for any underlying asset (BTC, ETH, etc.)
📈 TRADING APPLICATIONS:
🎯 Pairs Trading Signals
• Long/Short opportunities when premium reaches statistical extremes
• Mean reversion strategies based on historical ranges
• Risk-adjusted position sizing using percentile ranks
🎯 Arbitrage Detection
• Identifies when market pricing significantly deviates from fair value
• Quantifies the magnitude of mispricing for profit potential
• Historical context for timing entry/exit points
🔧 CONFIGURATION OPTIONS:
• Underlying Asset: Any symbol (default: COINBASE:BTCUSD) NEED MANUAL INPUT
• Asset Quantity: Precise holdings amount. NEED MANUAL INPUT
• Cash Holdings: Additional liquid assets. NEED MANUAL INPUT
• Market Cap Mode: Auto-detect, calculated, or manual
• Advanced Adjustments: Business value, debt, preferred shares
• Display Settings: Lookback period, smoothing, custom colors
🎯 PERFECT FOR:
• Quantitative traders focused on statistical arbitrage
• Institutional investors monitoring NAV-based instruments
• Bitcoin ETF and MSTR traders seeking alpha generation
• Risk managers tracking premium/discount exposures
• Academic researchers studying market efficiency (as you can see, markets are not efficient 😉)
🔗 CONNECT & SUPPORT:
Follow for updates and additional quantitative trading tools. Feedback and suggestions welcome!
Skrip sumber terbuka
Dalam semangat sebenar TradingView, pencipta skrip ini telah menjadikannya sumber terbuka supaya pedagang dapat menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupun anda boleh menggunakannya secara percuma, ingat bahawa menerbitkan semula kod ini adalah tertakluk kepada Peraturan Dalaman kami.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.
Skrip sumber terbuka
Dalam semangat sebenar TradingView, pencipta skrip ini telah menjadikannya sumber terbuka supaya pedagang dapat menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupun anda boleh menggunakannya secara percuma, ingat bahawa menerbitkan semula kod ini adalah tertakluk kepada Peraturan Dalaman kami.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.