Asset Rotation System [InvestorUnknown]

Overview
This system creates a comprehensive trend "matrix" by analyzing the performance of six assets against both the US Dollar and each other. The objective is to identify and hold the asset that is currently outperforming all others, thereby focusing on maintaining an investment in the most "optimal" asset at any given time.

- - - Key Features - - -
1. Trend Classification:

• The system evaluates the trend for each of the six assets, both individually against USD and in pairs (assetX/assetY), to determine which asset is currently outperforming others.
  
• Utilizes five distinct trend indicators: RSI (50 crossover), CCI, SuperTrend, DMI, and Parabolic SAR.
  
• Users can customize the trend analysis by selecting all indicators or choosing a single one via the "Trend Classification Method" input setting.
  

2. Backtesting:

• Calculates an equity curve for each asset and for the system itself, which assumes holding only the asset deemed optimal at any time.
  
• Customizable start date for backtesting; by default, it begins either 5000 bars ago (the maximum in TradingView) or at the inception of the youngest asset included, whichever is shorter. If the youngest asset's history exceeds 5000 bars, the system uses 5000 bars to prevent errors.
  
• The equity curve is dynamically colored based on the asset held at each point, with this coloring also reflected on the chart via barcolor().
  
• Performance metrics like returns, standard deviation of returns, Sharpe, Sortino, and Omega ratios, along with maximum drawdown, are computed for each asset and the system's equity curve.
  

3 Alerts:

• Supports alerts for when a new, confirmed optimal asset is identified. However, due to TradingView limitations, the specific asset cannot be included in the alert message.
  

- - - Usage - - -
1. Select Assets/Tickers:

• Choose which assets or tickers you want to include in the rotation system. Ensure that all selected tickers are denominated in USD to maintain consistency in analysis.
  

2. Configure Trend Classification:

• Decide on the trend classification method from the available options (RSI, CCI, SuperTrend, DMI, or Parabolic SAR, All) and adjust the settings to your preferences. This customization allows you to tailor the system to different market conditions or your specific trading strategy.
  

3. Utilize Backtesting for Calibration:

• Use the backtesting results, including equity curves and performance metrics, to fine-tune your chosen trend indicators.
  
• Be cautious not to overemphasize performance maximization, as this can lead to overfitting. The goal is to achieve a robust system that performs well across various market conditions, rather than just optimizing for past data.
  

- - - Parameters - - -
Tickers:

• Asset 1: Select the symbol for the first asset.
  
• Asset 2: Select the symbol for the second asset.
  
• Asset 3: Select the symbol for the third asset.
  
• Asset 4: Select the symbol for the fourth asset.
  
• Asset 5: Select the symbol for the fifth asset.
  
• Asset 6: Select the symbol for the sixth asset.
  

General Settings:

• Trend Classification Method: Choose from RSI, CCI, SuperTrend, DMI, PSAR, or "All" to determine how trends are analyzed.
  
• Use Custom Starting Date for Backtest: Toggle to use a custom date for beginning the backtest.
  
• Custom Starting Date: Set the custom start date for backtesting.
  
• Plot Perf. Metrics Table: Option to display performance metrics in a table on the chart.
  

RSI (Relative Strength Index):

• RSI Source: Choose the price data source for RSI calculation.
  
• RSI Length: Set the period for the RSI calculation.
  

CCI (Commodity Channel Index):

• CCI Source: Select the price data source for CCI calculation.
  
• CCI Length: Determine the period for the CCI.
  

SuperTrend:

• SuperTrend Factor: Adjust the sensitivity of the SuperTrend indicator.
  
• SuperTrend Length: Set the period for the SuperTrend calculation.
  

DMI (Directional Movement Index):

• DMI Length: Define the period for DMI calculations.
  

Parabolic SAR:

• PSAR Start: Initial acceleration factor for the Parabolic SAR.
  
• PSAR Increment: Increment value for the acceleration factor.
  
• PSAR Max Value: Maximum value the acceleration factor can reach.
  

Notes/Recommendations:

• While this system is operational, it's important to recognize that it relies on "basic" indicators, which may not be ideal for generating trading signals on their own. I strongly suggest that users delve into the code to grasp the underlying logic of the system. Consider customizing it by integrating more sophisticated and higher-quality trend-following indicators to enhance its performance and reliability.
  

Disclaimer:

• This system's backtest results are historical and do not predict future performance. Use for educational purposes only; not investment advice.