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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.
Oscillators

开源脚本

本着真正的TradingView精神,此脚本的作者已将其开源,以便交易者可以理解和验证它。向作者致敬!您可以免费使用它,但在出版物中重复使用此代码受网站规则约束。 您可以收藏它以在图表上使用。

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