QuantNetX

Market Pairs Analysis

Market Pairs Analysis: Compare relative performance between different assets. Select two symbols to create a trading pair ratio chart (e.g., BTC/Gold, SP500/NASDAQ). The chart shows the ratio of the first asset divided by the second asset over time. The page automatically uses the longest available historical data (monthly data for SP500 since 1935, Gold since 1935, Oil since 1961).

Power Law Models: Two models are used depending on the asset:
• Exponential Model: R(t) = R(0) · exp(μ·t), where μ is the exponential growth rate (annualized). Used for most traditional assets.
• Bitcoin Power Law: R(t) = R(0) · exp(a·log(t-t₀)+b), where t₀ is the origin time, and a, b are fitted parameters capturing the logarithmic growth dynamics specific to Bitcoin's adoption curve.
The dashed orange line shows the fitted trend with ±1σ parallel bands.

Risk Color Coding: The price markers are colored based on deviation from the power law trend. Green = undervalued (below trend), Blue = fair value (near trend), Orange/Red = overvalued (above trend). See the color scale legend on the chart for exact σ values.

Risk Matrix - Current Valuation of All Pairs

Asset Network Graph

Nodes colored by average risk (same as "Average Risk by Asset"). Arrows point from undervalued to overvalued assets. Node proximity indicates similar risk patterns across all pairs.

Average Risk by Asset

Growth & Risk-Adjusted Returns

Sharpe Ratio: Measures risk-adjusted return using total volatility. Higher is better. Note: Bitcoin CAGR (~55.6%) excluded from left chart to maintain readable scale.

Risk-Return Trade-off

Annualized return vs annualized volatility. Color indicates Sortino ratio (darker green = better risk-adjusted returns).

Note: Assets have different historical timeframes. S&P 500 and Gold have data since 1935, Oil since 1961, Bitcoin since 2014. Ratios computed over different periods may not be directly comparable.

Return Distribution

Histogram showing probability distribution of weekly returns. All returns normalized to 7-day periods for comparability across assets with different data frequencies.