Description
The Major Bear Market Aware strategy provides simulated buy and sell signals in high-volatility bear market conditions. Developed by Markos Katsanos, this strategy examines market conditions based on a set of criteria that include historical and implied volatility, VIX readings, and values of such technical indicators as Average True Range (ATR) and Full Stochastic.
A simulated sell to close signal is added when all of the following is true:
- Over the last four weeks, the price has dropped by at least 6%.
- Both shorter-term and longer-term stochastic indicator values have risen over 85 in the last four weeks, and the longer-term stochastic is currently above or the same as the shorter-term one.
- The VIX has spiked more than 100% or ATR has risen by at least 200% in the last 15 weeks.
- The price is below its 20-week moving average.
- The volume is at least 180% of its 50-week moving average.
A simulated buy signal is added when all of the following is true:
- Over the last four weeks, the price has risen by at least 6%. The prior decline, however, is at least 15% (as calculated for the last 100 weeks).
- Both shorter-term and longer-term stochastic indicator values have fallen below 25 in the last four weeks and the longer-term stochastic is currently above or the same as the shorter-term one.
- The VIX has fallen by at least 30% or ATR has fallen by at least 60% in the last 15 weeks.
Note: The numbers mentioned in the signal descriptions are default and can be edited. The strategy is designed to be used on weekly charts; consider adjusting the numbers if you apply it to a non-weekly chart.
Input Parameters
Parameter | Description |
---|---|
atr length
|
The ATR length to be used in the calculations. |
stoch length1
|
The length of the faster stochastic. |
stoch length2
|
The length of the slower stochastic. |
atr pct chg buy
|
The minimum percent ATR drop (buy condition). |
atr pct chg sell
|
The minimum percent ATR increase (sell condition). |
vix pct chg buy
|
The minimum percent VIX drop (buy condition). |
vix pct chg sell
|
The minimum percent VIX increase (sell condition). |
price pct chg
|
The minimum percent price change (both buy and sell conditions). |
stoch oversold
|
The stochastic oversold level (buy condition). |
stoch overbought
|
The stochastic overbought level (sell condition). |