MajorBearMarketAwareStrat

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

Further Reading