Inter Cycle Valuation | QuantumResearch

3 Apr

Introducing Inter Cycle Valuation by QuantumResearch
A Multi-Factor Adaptive Z-Score System for Market Valuation & Reversal Potential

🧠 Overview

The Inter Cycle Valuation System is a sophisticated multi-factor indicator designed to evaluate the market’s cyclical valuation zones using a blend of momentum, volatility, mean-reversion, and risk-based metrics. It delivers a unified Z-Score—ranging from extremely oversold to overheated conditions—empowering traders to identify high-probability market turning points.

Rather than relying on a single indicator, Inter Cycle blends over 15 diverse Z-score factors, including RSI, ROC, VWAP deviation, Repulse, PGO, and statistical ratios like Sharpe, Sortino, and Omega. This multi-dimensional view allows traders to assess market extremes with greater confidence.

🧩 1. Key Features

📌 Multi-Factor Z-Score System
Inter Cycle integrates 16+ unique indicators into a single composite score. Each input is normalized via a Z-score to ensure balance and reduce bias, helping prevent outlier distortion.

⚙️ Indicator Diversity

Momentum: RSI, ROC, Chande Momentum, Repulse
Mean Reversion: VWAP deviation, Median rank, PGO
Volatility: BB% positioning, Intraday Momentum Index
Risk Ratios: Sharpe, Sortino, Omega
Fractal Geometry: Crosby Ratio

📈 Visually Intuitive Output

Gradient-based area plot for valuation intensity
Optional background heatmap for oversold/overbought zones
Table displaying real-time Z-score values for each component
Dynamic market suggestions: Accumulate, Do Nothing, or Distribute

📊 On-Chart Dashboard
The valuation dashboard displays key stats like Z-price, Z-rsi, Z-mfi, Z-roc, Z-crosby, and more—allowing for real-time interpretation without leaving the chart.

🔍 2. How It Works

1️⃣ Z-Score Normalization
Each indicator is transformed into a Z-score to standardize the values. This ensures that one factor does not dominate due to its scale or volatility.

2️⃣ Multi-Factor Aggregation

All Z-scores are averaged into a single score—called the "Inter Cycle Score"—giving you a reliable snapshot of market positioning.

3️⃣ Actionable Thresholds

🟩 Below -1.6 → “Accumulate Aggressively”
🟨 Between -1.5 and -0.65 → “Accumulate”
⚪ Between -0.5 and +0.5 → “Do Nothing”
🟧 Above +1.2 → “Distribute”
🟥 Above +1.55 → “Distribute Aggressively”
The system prints these labels automatically in real time.

📌 3. Valuation Zones

📉 Strongly Undervalued (< -1.6) → Prime accumulation
📉 Moderately Undervalued (-1.5 to -0.65) → Cautious entries
⚖️ Neutral/Fair (-0.5 to +0.5) → Wait-and-see
📈 Moderately Overheated (+1.2 to +1.55) → Begin reducing risk
🔥 Strongly Overheated (> +1.55) → Take profits, reduce exposure
This structure helps traders and investors clearly interpret current market cycles and position accordingly.

🔁 4. Use Cases & Applications

🔁 Cycle-Based Market Rotation
Great for timing market rotations by spotting macro tops and bottoms. Use the valuation dashboard to rotate capital across assets at optimal phases.

📈 Mean Reversion Entry Triggers
Z-Score combinations such as VWAP deviation + RSI + ROC help pinpoint high-probability mean reversion setups.

📉 Risk-Based Trend Exhaustion
With integrated Sharpe, Sortino, and Omega ratios, you can identify unsustainable moves fueled by low-quality momentum.

💼 Swing Trading & Portfolio Rebalancing
The Inter Cycle score can be used as a filter for swing setups or to rebalance holdings when conditions become extreme.

✅ Conclusion
Inter Cycle Valuation by QuantumResearch is a precision tool for any trader or investor seeking structured insights into market cycles. With its blend of valuation, risk, momentum, and reversion components—standardized via Z-scores—it offers a high-level framework to identify when markets are overheated or undervalued.

Who Should Use It?

✅ Swing Traders & Medium-Term Investors
✅ Portfolio Managers looking for capital rotation signals
✅ Quant Traders and Stat Arb enthusiasts
✅ Macro Traders monitoring cyclical inflection zones

⚠️ Disclaimer
The content provided by this indicator is for educational and informational purposes only. Nothing herein constitutes financial or investment advice. Trading and investing involve risk, including the potential loss of capital. Always backtest and apply risk management suited to your strategy.

Nota Keluaran

Add the possibility to remove volume indicator in the final calculation when the chart does not support volume.