Fair Value Strategy - ekmll

2023년 3월 16일

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.