Rank: Advanced Member
Groups: Moderators, Registered, Registered Users, Subscribers
Joined: 10/8/2010(UTC)
Posts: 1,960
Thanks: 92 times
Was thanked: 155 time(s) in 150 post(s)
|
Note: .VIX is not available with DataLink. You can replace any .VIX references in the formulas below with VXc1 as needed. Markos Katsanos’ article, “Stock Market Seasonality”, explained a method for trading the market with a hybrid seasonal system. His system employs the VFI indicator Mr. Katsanos introduced in 2004. The formulas below include the code for the VFI. You must create that indicator first and name it “VFI” and then create the system test. VFI Indicator:
name: VFI
formula:
Code:VFIPeriod := 130;
Coef:= 0.2;
VCoef:= 2.5;
inter:= Log( Typical() ) - Log( Ref( Typical(), -1 ) );
Vinter:= Stdev(inter, 30 );
Cutoff:= Coef * Vinter * CLOSE;
Vave := Ref( Mov( V, VFIPeriod, S ), -1 );
Vmax := Vave * Vcoef;
Vc := Min( V, Vmax );
MF := Typical() - Ref( Typical(), -1 );
VCP := If( MF > Cutoff, VC, If( MF < -Cutoff, -VC, 0 ) );
VFIa := Sum( VCP , VFIPeriod )/Vave;
If(BarsSince(Cum(1)>268)>=0, Mov( VFIa, 3, E),0);
Seasonal Hybrid System:
Buy Order:
Code:vix:= security("ONLINE:.VIX", C);
VFI:= Fml("VFI");
{Optimizations}
sellmonth:= opt1; {5 - 8, step 1}
vixupmax:= opt2; {50 or 60}
crit:= opt3; {15 or 20}
k:= opt4; {1.3 - 1.7, step 0.2)}
{system calculations}
vixdn:= (vix/ref(hhv(vix,25),-1)-1)*100;
vixup:= (vix/ref(llv(vix,25),-1)-1)*100;
atrdn:= (atr(15)/ref(hhv(atr(15),25),-1)-1)*100;
atrup:= (atr(15)/ref(llv(atr(15),25),-1)-1)*100;
{buy signal}
volcond:= (vixup < vixupmax OR atrup< k*vixupmax) and vfi>crit;
(month() >= 10 or month()<sellmonth) and ref(volcond, -1);
Sell Order:
Code:vix:= security("ONLINE:.VIX", C);
VFI:= Fml("VFI");
{Optimizations}
sellmonth:= opt1; {5 - 8, step 1}
vixupmax:= opt2; {50 or 60}
crit:= opt3; {15 or 20}
k:= opt4; {1.3 - 1.7, step 0.2)}
{system calculations}
vixdn:= (vix/ref(hhv(vix,25),-1)-1)*100;
vixup:= (vix/ref(llv(vix,25),-1)-1)*100;
atrdn:= (atr(15)/ref(hhv(atr(15),25),-1)-1)*100;
atrup:= (atr(15)/ref(llv(atr(15),25),-1)-1)*100;
{sell signal}
sellseason:= Month() = sellmonth;
sellvol:= vixup> 2*vixupmax;
sellmf:= cross(crit, vfi) and mov(vfi,10,s)<Ref(mov(vfi,10,s),-1);
sellseason or ref(sellvol or sellmf, -1);
Optimization Variables:
OPT1:
Description: Sell Month
Minimum: 5
Maximum: 8
Step: 1 OPT2:
Description: Vix Up Max
Minimum: 50
Maximum: 60
Step: 10 OPT3:
Description: VFI Sell
Minimum: 15
Maximum: 20
Step: 5 OPT4:
Description: ATR VIX Ratio
Minimum: 1.3
Maximum: 1.7
Step: 0.2
Edited by user Thursday, November 10, 2022 7:45:22 PM(UTC)
| Reason: Not specified
|
