Gabriel's Holy Grail Ratio

16 Feb

🚀 Overview:
Gabriel’s Holy Grail Ratio is a sophisticated risk-adjusted performance metric that integrates Sharpe, Sortino, Omega Ratios, and Value at Risk (VaR) to optimize portfolio growth and position sizing dynamically.

This indicator is designed to help traders make data-driven decisions based on risk-to-reward probabilities, leverage optimization, and confidence level adjustments.

🔍 Key Features:
✅ Modern Portfolio Theory (MPT) Based → Uses Sharpe, Sortino, Omega Ratios & VaR to calculate Gabriel's Kelly Criterion.
✅ Multi-Timeframe (MTF) Support → Calculates intra-bar risk for more accurate trade signals.
✅ Dynamic Confidence Level (90%, 95%, 99%) → Adjusts trade expectations based on risk appetite.
✅ Kelly Criterion + Gabriel’s Risk Optimization → Calculates optimal bet size & leverage factor.
✅ Risk-to-Reward Ratio Calculation → Determines the best R:R for every bar as well as wheater the provided R:R is Oversold, Fair-Valued or in a Overbought condition use Ehler's cycle Analysis and Hidden Market Rhythms.
✅ Institutional-Grade Volatility Modeling → Uses EMWA, Variance-Covariance, and Fisher Transforms.
✅ Position Sizing & Leverage Estimation → Suggests an optimal z-scored leverage factor for options & futures.

16 Feb

Catatan Rilis

I just updated the table cells, one of them got a bit better.

16 Feb

Catatan Rilis

I updated the colors and chart image for better resolution.

16 Feb

Catatan Rilis

I updated the VaR descriptions, and I made sure all the code functioned optimally, and I added Vix hedging to the levearge function in order to maximize gains and minimize losses. Also, I took the add to add some tooltips; hover over the table for them and treat them as a railroad guide. It's not the best guide, but it gives you a bit of an idea of how it is. Also, someone asked me in private what the colors mean. Red is bearish, and blue is bullish, and the line is the Extreme Risk Scenario, so anything above it is risky, and anything below it is typically considered controlled risk. If the Holy Grail Ratio is below, it means risk is off for now, and if it is under it from a previously new time high position, then it foretells a large market selloff. Good Luck, and I will remake this indicator if it doesn't improve your entries, position sizing, and risk leverage management as it certainly did for me.

17 Feb

Catatan Rilis

I updated the Risk-to-Reward Ratio to be optimized by a VIX volatility factor as well. The VIX simplified formula is based on the Asset settings so it can be used under any Market, Forex, Crypto, etc. and still work well.

3 Mar

Catatan Rilis

I fixed a normalization from 0 to 100 that I forgot to write in code. It was bugging the display of the Sharpe Ratio a bit, causing it to go below 0 sometimes and produce na values.

4 Mar

Catatan Rilis

Massive Update:
I added the following to this indicator:

• Ulcer Index – Evaluates deep and prolonged drawdowns.
  
• Pain Ratio – A specialized risk-reward ratio that factors in drawdowns.
  
• Gain Ratio – Determines if positive returns outweigh total return variability.
  
• Directional Movement Index (DMI) based on Gabriel’s Gain-Pain True Range formula.
  
• ADX Filtering to differentiate between strong and weak trends.
  
• Colored DMI Triangles for clear bullish/bearish trend visualization.
  
• Alerts for DMI Trend Reversals (Bullish & Bearish).
  

🔹 Identifying Trend Strength & Market Phases

Strong Trends: When ADX crosses the Key Level, confirming an uptrend/downtrend. Where Red means that the Pain is higher than the Gain and the vice-versa for Green Signals with Gain being more valued than the Pain.
Weak Trends: If ADX is below Weak Threshold, avoid trading.

4 Mar

Catatan Rilis

I updated the Chart to match the new DMI update. I had turn it off under the settings.

6 Mar

Catatan Rilis

I did complete the massive update; I couldn't finish it all last night, and I left some for today. I did a backtest on SPY, AAPL, WMT, EUR/USD, BTC, and DODGE, and it seems to be working fine. If you encounter any bugs, please report them to me, as I have close to 700 lines of code to check if they are all functioning well. If you desire any new feautures or have any new ideas of an indicator or smoothing you would like to have added then let me know.

6 Mar

Catatan Rilis

I updated the tooltips to match the latest version.

6 Mar

Catatan Rilis

More tooltips; I might clean them up later as they take too much screen for the phone.

6 Mar

Catatan Rilis

I added new features and had some ideas for future improvements.

9 Mar

Catatan Rilis

I made sure everything inside worked well, and I discovered a way to improve Ehler's Mesa Auto-Correlation Detection for the VIX Fix formula, and I will finish that in the upcoming days.

11 Mar

Catatan Rilis

I updated the code to function better and I added Inputs for the MESA so everyone can customize as they like. Similarly, for the VIX I added tooltips and I clean out a bit of code that's been slowing down the loading time.