Fair Value Strategy - ekmll by ekmll
By ekmll
Performance Metrics
- Author: ekmll
- Symbol: SP:SPX
- Timeframe: 1 day
- Net P&L: +1,623,943.94 USD (+164.05%)
- Win Rate: 94.7%
- Profit Factor: 64.954
- Max Drawdown: 260,864.37 USD (9.75%)
- Total Trades: 19
- Sharpe Ratio: 1.035
Description
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 BalanceFormula for calculating the fair value of and Index using Net Liquidity looks like this: (WALCL - WTREGEN - RRPONTSYD)/1000000000/scalar - subtractorThe 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, RUTStrategy: Short Only, Long Only, Long/ShortInverse (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 tradingClose 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.