Description
The Hybrid Seasonal System is a strategy based on the trading system designed by Markos Katsanos. In his trading system, Mr. Katsanos researches seasonal changes in the market as well as the changes in metrics such as average true range (ATR), volatility index (VIX), and volume flow indicator (VFI). Our version of the strategy adds simulated buy and sell orders based on threshold values of these metrics.
Input Parameters
|
Parameter |
Description |
|---|---|
atr length
|
The length to calculate the average true range (ATR) with. |
vfi length
|
The length to calculate the volume flow index with. |
atr pct chg
|
The maximum ATR percent change. |
vix pct chg
|
The maximum volatility index (VIX) percent change. |
vfi threshold
|
The volume flow indicator (VFI) threshold. |
Further Reading
1. "Stock Market Seasonality" by Markos Katsanos. Technical Analysis of Stocks & Commodities, April 2022.