Major Crypto Relative Strength Portfolio System

Majors RSPS - Relative Strength Portfolio System for Major Cryptocurrencies
Overview

Majors RSPS (Relative Strength Portfolio System) is an advanced portfolio allocation indicator that combines relative strength analysis, trend consensus, and macro risk factors to dynamically allocate capital across major cryptocurrency assets. The system leverages the NormalizedIndicators Library to evaluate both absolute trends and relative performance, creating an adaptive portfolio that automatically adjusts exposure based on market conditions.
This indicator is designed for portfolio managers, asset allocators, and systematic traders who want a data-driven approach to cryptocurrency portfolio construction with automatic rebalancing signals.

🎯 Core Concept
What is RSPS?
RSPS (Relative Strength Portfolio System) evaluates each asset on two key dimensions:

Relative Strength: How is the asset performing compared to other major cryptocurrencies?
Absolute Trend: Is the asset itself in a bullish trend?

Assets that show both strong relative performance AND positive absolute trends receive higher allocations. Weak performers are automatically filtered out, with capital reallocated to cash or stronger assets.
Dual-Layer Architecture
Layer 1: Majors Portfolio (Orange Zone)

Evaluates 14 major cryptocurrency assets
Calculates relative strength against all other majors
Applies trend filters to ensure absolute momentum
Dynamically allocates capital based on comparative strength

Layer 2: Cash/Risk Position (Navy Zone)

Evaluates macro risk factors and market conditions
Determines optimal cash allocation
Acts as a risk-off mechanism during adverse conditions
Provides downside protection through dynamic cash holdings


📊 Tracked Assets
Major Cryptocurrencies (14 Assets)

BTC - Bitcoin (Benchmark L1)
ETH - Ethereum (Smart Contract L1)
SOL - Solana (High-Performance L1)
SUI - Sui (Move-Based L1)
TRX - Tron (Payment-Focused L1)
BNB - Binance Coin (Exchange L1)
XRP - Ripple (Payment Network)
FTM - Fantom (DeFi L1)
CELO - Celo (Mobile-First L1)
TAO - Bittensor (AI Network)
HYPE - Hyperliquid (DeFi Exchange)
HBAR - Hedera (Enterprise L1)
ADA - Cardano (Research-Driven L1)
THETA - Theta (Video Network)


🔧 How It Works
Step 1: Relative Strength Calculation
For each asset, the system calculates relative strength by:
RSPS Score = Average of:
- Asset/BTC trend consensus
- Asset/ETH trend consensus
- Asset/SOL trend consensus
- Asset/SUI trend consensus
- ... (all 14 pairs)
- Asset's absolute trend consensus
Key Logic:

Each pair is evaluated using the eth_4d_cal() calibration from NormalizedIndicators
If an asset's absolute trend is extremely weak (≤ 0.1), it receives a penalty score (-0.5)
Otherwise, it gets the average of all its relative strength comparisons

Step 2: Trend Filtering
Assets must pass a trend filter to receive allocation:
Trend Score = Average of:
- Asset/BTC trend (filtered for positivity)
- Asset/ETH trend (filtered for positivity)
- Asset's absolute trend (filtered for positivity)
Only positive values contribute to the trend score, ensuring bearish assets don't receive allocation.
Step 3: Portfolio Allocation
Capital is allocated proportionally based on filtered RSPS scores:
Asset Allocation % = (Asset's Filtered RSPS Score / Sum of All Filtered Scores) × Main Portfolio %
Example:

SOL filtered score: 0.6
BTC filtered score: 0.4
All others: 0
Total: 1.0
SOL receives: (0.6 / 1.0) × Main% = 60% of main portfolio
BTC receives: (0.4 / 1.0) × Main% = 40% of main portfolio

Step 4: Cash/Risk Allocation
The system evaluates macro conditions across 6 factors:

Inverse Major Crypto Trends (40% weight)

When BTC, ETH, SOL, SUI, DOGE, etc. trend down → Cash allocation increases
Evaluates total market cap trends (TOTAL, TOTAL2, OTHERS)


Stablecoin Dominance (10% weight)

USDC dominance vs. major crypto dominances
Higher stablecoin dominance → Higher cash allocation


MVRV Ratios (10% weight)

BTC and ETH Market Value to Realized Value
High MVRV (overvaluation) → Higher cash allocation


BTC/ETH Ratio (15% weight)

Relative performance between two market leaders
Indicates market phase (BTC dominance vs. alt season)


Active Address Ratios (5% weight)

USDC active addresses vs. BTC/ETH active addresses
Network activity comparison


Macro Indicators (15% weight)

Global currency circulation (USD, EUR, CNY, JPY)
Treasury yield curve (10Y-2Y)
High yield spreads
Central bank balance sheets and money supply



Cash Allocation Formula:
Cash % = (Sum of Risk Factors × 0.5) / (Risk Factors + Majors TPI)
When risk factors are elevated, cash allocation increases, reducing exposure to volatile assets.

📈 Visual Components
Orange Zone (Majors Portfolio)

Fill: Light orange area showing aggregate portfolio strength
Line: Average trend power index (TPI) of allocated assets
Baseline: 0 level (neutral)

Interpretation:

Above 0: Bullish allocation environment
Rising: Strengthening portfolio momentum
Falling: Weakening portfolio momentum
Below 0: No allocation (100% cash)

Navy Zone (Cash Position)

Fill: Navy blue area showing cash allocation strength
Line: Risk-adjusted cash allocation signal
Baseline: 0 level

Interpretation:

Higher navy zone: Elevated risk-off signal → More cash
Lower navy zone: Risk-on environment → Less cash
Zero: No cash allocation (100% invested)

Performance Line (Orange/Blue)

Orange: Main portfolio allocation dominant (risk-on mode)
Blue: Cash allocation dominant (risk-off mode)
Tracks: Cumulative portfolio returns with dynamic rebalancing

Allocation Table (Bottom Left)
Shows real-time portfolio composition:
ColumnDescriptionAssetCryptocurrency nameRSPS ValuePercentage allocation (of main portfolio)CashDollar amount (if enabled)
Color Coding:

Orange: Active allocation
Gray: Weak signal (borderline)
Blue: Cash position
Missing: No allocation (filtered out)


⚙️ Settings & Configuration
Required Setup
Chart Symbol

MUST USE: INDEX:BTCUSD or similar major crypto index
Recommended Timeframe: 1D (Daily) or 4D (4-Day)
Why: System needs price data for all 14 majors, BTC provides stable reference

Hide Chart Candles
For clean visualization:

Right-click on chart
Select "Hide Symbol" or set candle opacity to 0
This allows the indicator fills and table to be clearly visible

User Inputs
plot_table (Default: true)

Enable/disable the allocation table
Set to false if you only want the visual zones

use_cash (Default: false)

Enable portfolio dollar value calculations
Shows actual dollar allocations per asset

cash (Default: 100)

Total portfolio size in dollars/currency units
Used when use_cash is enabled
Example: Set to 10000 for a $10,000 portfolio


💡 Interpretation Guide
Entry Signals
Strong Allocation Signal:
✓ Orange zone elevated (> 0.3)
✓ Navy zone low (< 0.2)
✓ Performance line orange
✓ Multiple assets in allocation table
→ Action: Deploy capital to allocated assets per table percentages
Risk-Off Signal:
✓ Orange zone near zero
✓ Navy zone elevated (> 0.4)
✓ Performance line blue
✓ Few or no assets in table (high cash %)
→ Action: Reduce exposure, increase cash holdings
Rebalancing Triggers
Monitor the allocation table for changes:

New assets appearing: Add to portfolio
Assets disappearing: Remove from portfolio
Percentage changes: Rebalance existing positions
Cash % changes: Adjust overall exposure

Market Regime Detection
Risk-On (Bull Market):

Orange zone high and rising
Navy zone minimal
Many assets allocated (8-12)
High individual allocations (15-30% each)

Risk-Off (Bear Market):

Orange zone near zero or negative
Navy zone elevated
Few assets allocated (0-3)
Cash allocation dominant (70-100%)

Transition Phase:

Both zones moderate
Medium number of assets (4-7)
Balanced cash/asset allocation (40-60%)


🎯 Trading Strategies
Strategy 1: Pure RSPS Following
1. Check allocation table daily
2. Rebalance portfolio to match percentages
3. Follow cash allocation strictly
4. Review weekly, act on significant changes (>5%)
Best For: Systematic portfolio managers, passive allocators
Strategy 2: Threshold-Based
Entry Rules:
- Orange zone > 0.4 AND Navy zone < 0.3
- At least 5 assets in allocation table
- Total non-cash allocation > 60%

Exit Rules:
- Orange zone < 0.1 OR Navy zone > 0.5
- Fewer than 3 assets allocated
- Cash allocation > 70%
Best For: Active traders wanting clear rules
Strategy 3: Relative Strength Overlay
1. Use RSPS for broad allocation framework
2. Within allocated assets, overweight top 3 performers
3. Scale position sizes by RSPS score
4. Use individual asset charts for entry/exit timing
Best For: Discretionary traders with portfolio focus
Strategy 4: Risk-Adjusted Position Sizing
For each allocated asset:
Position Size = Base Position × (Asset's RSPS Score / Max RSPS Score) × (1 - Cash Allocation)

Example:
- $10,000 portfolio
- SOL RSPS: 0.6 (highest)
- BTC RSPS: 0.4
- Cash allocation: 30%

SOL Size = $10,000 × (0.6/0.6) × (1-0.30) = $7,000
BTC Size = $10,000 × (0.4/0.6) × (1-0.30) = $4,667
Cash = $10,000 × 0.30 = $3,000
Best For: Risk-conscious allocators

📊 Advanced Usage
Multi-Timeframe Confirmation
Use on multiple timeframes for robust signals:
1D Chart: Tactical allocation (daily rebalancing)
4D Chart: Strategic allocation (weekly review)
Strong Confirmation:
- Both timeframes show same top 3 assets
- Both show similar cash allocation levels
- Orange zones aligned on both

Weak/Conflicting:
- Different top performers
- Diverging cash allocations
→ Wait for alignment or use shorter timeframe
Sector Rotation Analysis
Group assets by type and watch rotation:
L1 Dominance: BTC, ETH, SOL, SUI, ADA high → Layer 1 season
Alt L1s: TRX, FTM, CELO rising → Alternative platform season
Specialized: TAO, THETA, HYPE strong → Niche narrative season
Payment/Stable: XRP, BNB allocation → Risk reduction phase
Divergence Trading
Bullish Divergence:

Navy zone declining (less risk-off)
Orange zone flat or slightly rising
Few assets still allocated but strengthening
→ Early accumulation signal

Bearish Divergence:

Orange zone declining
Navy zone rising
Asset count decreasing in table
→ Distribution/exit signal

Performance Tracking
The performance line (overlay) shows cumulative strategy returns:

Compare to BTC/ETH: Is RSPS outperforming?
Drawdown analysis: How deep are pullbacks?
Correlation: Does it track market or provide diversification?


🔬 Technical Details
Data Sources
Price Data:

COINEX: Primary exchange for alt data
CRYPTO: Alternative price feeds
INDEX: Aggregated index prices (recommended for BTC)

Macro Data:

Dominance metrics (SUI.D, BTC.D, etc.)
MVRV ratios (on-chain valuation)
Active addresses (network activity)
Global money supply and macro indicators

Calculation Methodology
RSPS Scoring:

For each asset, calculate 14 relative trends (vs. all others)
Calculate asset's absolute trend
Average all 15 values
Apply penalty filter for extremely weak trends (≤ 0.1)

Trend Consensus:

Uses eth_4d_cal() from NormalizedIndicators library
Combines 8 normalized indicators per measurement
Returns value from -1 (bearish) to +1 (bullish)

Performance Calculation:
Daily Return = Σ(Asset ROC × Asset Allocation)
Cumulative Performance = Previous Perf × (1 + Daily Return / 100)
Assumes perfect rebalancing and no slippage (theoretical performance).
Filtering Logic
filter() function:
pinescriptfilter(input) => input >= 0 ? input : 0
This zero-floor filter ensures:

Only positive trend values contribute to allocation
Bearish assets receive 0 weight
No short positions or inverse allocations

Anti-Manipulation Safeguards
Null Handling:

All values wrapped in nz() to handle missing data
Prevents calculation errors from data gaps

Normalization:

Allocations always sum to 100%
Prevents over/under-allocation

Conditional Logic:

Assets need positive values on multiple metrics
Single metric cannot drive allocation alone


⚠️ Important Considerations
Required Timeframes

1D (Daily): Recommended for most users
4D (4-Day): More stable, fewer rebalances
Other timeframes: Use at your own discretion, may require recalibration

Data Requirements

Needs INDEX:BTCUSD or equivalent major crypto symbol
All 14 tracked assets must have available data
Macro indicators require specific TradingView data feeds

Rebalancing Frequency

System provides daily allocation updates
Practical rebalancing: Weekly or on significant changes (>10%)
Consider transaction costs and tax implications

Performance Notes

Theoretical returns: No slippage, fees, or execution delays
Backtest carefully: Validate on your specific market conditions
Past performance: Does not guarantee future results

Risk Warnings

⚠️ High Concentration Risk: May allocate heavily to 1-3 assets
⚠️ Volatility: Crypto markets are inherently volatile
⚠️ Liquidity: Some allocated assets may have lower liquidity
⚠️ Correlation: All assets correlated to BTC/ETH to some degree
⚠️ System Risk: Relies on continued availability of data feeds

Not Financial Advice
This indicator is a tool for analysis and research. It does not constitute:

Investment advice
Portfolio management services
Trading recommendations
Guaranteed returns

Always perform your own due diligence and risk assessment.

🎓 Use Cases
For Portfolio Managers

Systematic allocation framework
Objective rebalancing signals
Risk-adjusted exposure management
Performance tracking vs. benchmarks

For Active Traders

Identify strongest assets to focus trading on
Gauge overall market regime (risk-on/off)
Time entry/exit for portfolio shifts
Complement technical analysis with allocation data

For Institutional Allocators

Quantitative portfolio construction
Multi-asset exposure optimization
Drawdown management through cash allocation
Compliance-friendly systematic approach

For Researchers

Study relative strength dynamics in crypto markets
Analyze correlation between majors
Test macro factor impact on crypto allocations
Develop derived strategies and signals


🔧 Setup Checklist
✅ Chart Configuration

Set chart to INDEX:BTCUSD
Set timeframe to 1D or 4D
Hide chart candles for clean visualization
Add indicator from library

✅ Indicator Settings

Enable plot_table (see allocation table)
Set use_cash if tracking dollar amounts
Input your portfolio size in cash parameter

✅ Monitoring Setup

Bookmark chart for daily review
Set alerts for major allocation changes (optional)
Create spreadsheet to track allocations (optional)
Establish rebalancing schedule (weekly recommended)

✅ Validation

Verify all 14 assets appear in table (when allocated)
Check that percentages sum to ~100%
Confirm performance line is tracking
Test cash allocation calculation if enabled


📋 Quick Reference
Signal Interpretation
ConditionOrange ZoneNavy ZoneActionStrong BullHigh (>0.4)Low (<0.2)Full allocationModerate BullMid (0.2-0.4)Low-MidStandard allocationNeutralLow (0.1-0.2)Mid (0.3-0.4)Balanced allocationModerate BearVery Low (<0.1)Mid-HighReduce exposureStrong BearZero/NegativeHigh (>0.5)High cash/exit
Rebalancing Thresholds
Change TypeThresholdActionIndividual asset±5%Consider rebalanceIndividual asset±10%Strongly rebalanceCash allocation±10%Adjust exposureAsset entry/exitAnyAdd/remove position
Color Legend

Orange: Main portfolio strength/allocation
Navy: Cash/risk-off allocation
Blue text: Cash position in table
Orange text: Active asset allocation
Gray text: Weak/borderline allocation
White: Headers and labels


🚀 Getting Started
Beginner Path

Add indicator to INDEX:BTCUSD daily chart
Hide candles for clarity
Enable plot_table to see allocations
Check table daily, note top 3-5 assets
Start with small allocation, observe behavior
Gradually increase allocation as you gain confidence

Intermediate Path

Set up on both 1D and 4D charts
Enable use_cash with your portfolio size
Create tracking spreadsheet
Implement weekly rebalancing schedule
Monitor divergences between timeframes
Compare performance to buy-and-hold BTC

Advanced Path

Modify code to add/remove tracked assets
Adjust relative strength calculation methodology
Customize cash allocation factors and weights
Integrate with portfolio management platform
Develop algorithmic rebalancing system
Create alerts for specific allocation conditions


📖 Additional Resources
Related Indicators

NormalizedIndicators Library: Core calculation engine
Individual asset trend indicators for deeper analysis
Macro indicator dashboards for cash allocation factors

Complementary Analysis

On-chain metrics (MVRV, active addresses, etc.)
Order book liquidity for execution planning
Correlation matrices for diversification analysis
Volatility indicators for position sizing

Learning Materials

Study relative strength portfolio theory
Research tactical asset allocation strategies
Understand crypto market cycles and phases
Learn about risk management in volatile assets


🎯 Key Takeaways
✅ Systematic allocation across 14 major cryptocurrencies
✅ Dual-layer approach: Asset selection + Cash management
✅ Relative strength focused: Invests in comparatively strong assets
✅ Trend filtering: Only allocates to assets in positive trends
✅ Dynamic rebalancing: Automatically adjusts to market conditions
✅ Risk-managed: Increases cash during adverse conditions
✅ Transparent methodology: Clear calculation logic
✅ Practical visualization: Easy-to-read table and zones
✅ Performance tracking: See cumulative strategy returns
✅ Highly customizable: Adjust assets, weights, and factors

📋 License
This code is subject to the Mozilla Public License 2.0 at mozilla.org/MPL/2.0/

Majors RSPS transforms complex multi-asset portfolio management into a systematic, data-driven process. By combining relative strength analysis with trend consensus and macro risk factors, it provides traders and portfolio managers with a robust framework for navigating cryptocurrency markets with discipline and objectivity.WiederholenClaude kann Fehler machen. Bitte überprüfen Sie die Antworten. Sonnet 4.5