SPX Fair Value Strategy Ultimate

2022년 10월 26일

This is a strategy using the SPX Fair Value derived from Net Liquidity.

Net Liquidity function is simply: Fed Balance Sheet - Treasury General Account - Reverse Repo Balance

Formula for calculating the fair value of SPX using Net Liquidity looks like this: net_liquidity/1000000000/1.1 -1625

The SPX Fair Value is then subtracted from the SPX value which creates an oscillating diff value.

When diff is greater than 350, SPX is considered overbought and we go short/sell.

When diff is less than -150, SPX is considered oversold and we cover/buy.

The net liquidity values I calculate outside of TradingView. If you'd like the strategy to work for future dates, you'll need to update them.

Paremeters:

Strategy: Short Only, Long Only, Long/Short

Inverse (bool): check if using an inverse ETF to go long instead of short.

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.

2022년 11월 22일

릴리즈 노트

Updating script to use my Net Liquidity Library. Now all you need to do is update the library version when I publish a new version of it