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Fair Value Strategy - ekmll
This is a strategy using SPX's Fair Value derived from Net Liquidity.
The main difference between this one and calebsandfort's one is net liquidity values in this one are calculated in TradingView and doesn't need author's daily library updates to function.
Net Liquidity function is simply: Fed Balance Sheet - Treasury General Account - Reverse Repo Balance
Formula for calculating the fair value of and Index using Net Liquidity looks like this: (WALCL - WTREGEN - RRPONTSYD)/1000000000/scalar - subtractor
The Index Fair Value is then subtracted from the Index value which creates an oscillating diff value.
When diff is greater than the overbought threshold, Index is considered overbought and we go short/sell.
When diff is less than the oversold signal, Index is considered oversold and we cover/buy.
Parameters:
Index: SPX, NDX, RUT
Strategy: Short Only, Long Only, Long/Short
Inverse (bool): check if using an inverse ETF to go long instead of short.
Scalar (float)
Subtractor (int)
Overbought Threshold (int)
Oversold Threshold (int)
Start After Date: When the strategy should start trading
Close Date: Day to close open trades. I just like it to get complete results rather than the strategy ending with open trades.
I've optimized the parameters for SPX.
The main difference between this one and calebsandfort's one is net liquidity values in this one are calculated in TradingView and doesn't need author's daily library updates to function.
Net Liquidity function is simply: Fed Balance Sheet - Treasury General Account - Reverse Repo Balance
Formula for calculating the fair value of and Index using Net Liquidity looks like this: (WALCL - WTREGEN - RRPONTSYD)/1000000000/scalar - subtractor
The Index Fair Value is then subtracted from the Index value which creates an oscillating diff value.
When diff is greater than the overbought threshold, Index is considered overbought and we go short/sell.
When diff is less than the oversold signal, Index is considered oversold and we cover/buy.
Parameters:
Index: SPX, NDX, RUT
Strategy: Short Only, Long Only, Long/Short
Inverse (bool): check if using an inverse ETF to go long instead of short.
Scalar (float)
Subtractor (int)
Overbought Threshold (int)
Oversold Threshold (int)
Start After Date: When the strategy should start trading
Close Date: Day to close open trades. I just like it to get complete results rather than the strategy ending with open trades.
I've optimized the parameters for SPX.
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
免責事項
この情報および投稿は、TradingViewが提供または推奨する金融、投資、トレード、その他のアドバイスや推奨を意図するものではなく、それらを構成するものでもありません。詳細は利用規約をご覧ください。
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
免責事項
この情報および投稿は、TradingViewが提供または推奨する金融、投資、トレード、その他のアドバイスや推奨を意図するものではなく、それらを構成するものでもありません。詳細は利用規約をご覧ください。