Swap Engine - Pair Rotation (Z-Score) [AGPro Series]Swap Engine - Pair Rotation (Z-Score)
🔷 OVERVIEW
Swap Engine - Pair Rotation (Z-Score) transforms the log-ratio between two correlated crypto assets into a disciplined tier ladder decision framework. Rather than signalling single-asset direction, the engine measures how stretched one pair has become relative to its rolling mean and proposes rotation between the two assets when the spread reaches statistically meaningful extremes. Every decision is evaluated on confirmed Engine TF bar close, keeping suggestions non-repainting under the configured execution model.
🟣 UNIQUE EDGE
Unlike single-symbol mean-reversion or trend indicators, this engine treats the ratio itself as the tradable variable and pairs it with a full operational stack: a tiered exposure ladder (T0 to T3), an Integrity Gate that blocks entries when the pair relationship deteriorates, a Trend Regime filter that respects persistent one-sided moves, and a confirm-first execution model that converts raw signals into auditable decisions. A dedicated Signal Quality score (Q 0-100) and Integrity Score (IN 0-100) make every suggestion inspectable, not a black box.
🟢 METHODOLOGY
The engine fetches the closing price of Pair A and Pair B on the chosen Engine TF, computes the log-ratio L = ln(A / B), then derives a rolling z-score using user-defined lookback length. Entry thresholds (Z1, Z2, Z3) define the three tiers of exposure; exit thresholds (hysteresis) define when each tier is scaled back. A cost filter requires the expected mean-reversion edge to exceed a configurable multiple of estimated roundtrip cost before any entry is allowed. The Integrity Gate continuously validates rolling return correlation, ratio drift, and spread-volatility expansion, halting new entries when the pair relationship degrades.
🟡 SIGNALS & ALERTS
Each signal renders as a clearly tagged label on chart showing the action type (ENTRY / EXIT), source tier, target tier, direction (A->B or B->A), z-score snapshot, delta %, and Reason Code. Alerts are provided for: entry and exit events per direction, pending lifecycle (created, confirmed, skipped, expired), trend regime activation edges, duplicate suppression, and configuration warnings. All alerts fire on Engine TF bar close to remain consistent with the visible suggestions.
⚙️ KEY INPUTS
Pair A / Pair B: the two assets to rotate between (same quote currency recommended).
Engine TF: timeframe used for all ratio, z-score, and decision logic (240 / 4H default).
Lookback: bars used for rolling mean and standard deviation.
Entry Z1/Z2/Z3, Exit Z1/Z2/Z3: tiered thresholds for scaling in and out.
Tier Sizing (T1 / T2 / T3 %): rotation size per tier as a percentage of the active pool.
Trade Profile: preset gate behavior (Conservative, Balanced, Aggressive, Volatile Alt, High-Cost, Custom).
Integrity Gate: correlation, drift, and volatility expansion filter with configurable minimum score.
Execution Model: ASSUME (auto-advance), CONFIRM (pending + manual commit), or SIGNAL_ONLY (display only).
🔵 HOW TO USE
Start on the default BTCUSDT vs ETHUSDT pair on 4H Engine TF with the Balanced profile. Keep the chart timeframe equal to or lower than the Engine TF (the script warns otherwise). Watch the status panel for the current tier, direction, confidence strip (Q / IN / PH), and next action preview. In CONFIRM mode, a PENDING card appears when a signal fires; increase CONFIRM +1 to commit the rotation state, or SKIP +1 to discard. Use the Trade Profile dropdown to tighten or loosen effective gates without changing your base inputs.
🟠 LIMITATIONS & TRANSPARENCY
This is an indicator, not a strategy; no orders are placed and no backtest statistics are produced. Signals reflect statistical extremes in the pair's log-ratio and do not guarantee mean reversion. Performance depends heavily on pair selection - assets with persistent trends, broken correlation, or structural regime changes can cause extended adverse periods. The Integrity Gate mitigates but does not eliminate this risk. Costs, slippage, tax, and execution details are the user's responsibility; the Min Edge x filter is an estimate, not a realized-cost guarantee. Always validate on your own pair, timeframe, and account conditions before relying on any suggestion.
🔴 RISK DISCLOSURE
Trading and rotating between crypto assets involves substantial risk, including loss of capital. Past or simulated behavior of the ratio does not guarantee future results. This tool is shared for educational and analytical purposes only and does not constitute financial, investment, or trading advice. Users are solely responsible for their own decisions and should consult a qualified professional before committing capital.
Indicador Pine Script®
