Description
The Stiffness strategy is based on the eponymous technical indicator designed by Markos Katsanos. The indicator measures the trend strength based on how many times the price has closed above the 100-bar simple moving average during the lookup period, taking into account the volatility threshold. The strategy performs a check for uptrend by analyzing exponential moving average values. Uptrend is detected if the moving average value of a market index rises over the last two bars.
- A simulated buy-to-open order is added if uptrend is detected and the Stiffness indicator rises above the entry level (90 by default).
- A simulated sell-to-close order is added if the Stiffness indicator falls below the exit level (50 by default) or after a specified period finishes (84 bars by default).
Input Parameters
|
Parameter |
Description |
|---|---|
price
|
The price to be used in the calculation of the Stiffness indicator. |
length
|
The period to be analyzed by the Stiffness indicator. |
average length
|
The length of the simple moving average. |
exit length
|
The maximum holding period since the entry. |
num dev
|
The volatility threshold, measured in standard deviations. The price is only considered to be above the moving average if it is greater than the average by this value. |
entry stiffness level
|
The level of the Stiffness indicator at which the buy-to-open simulated order is added. |
exit stiffness level
|
The level of the Stiffness indicator at which the sell-to-close simulated order is added. |
market index
|
The market index to check for uptrend. |
Further Reading
1. "The Stiffness Indicator" by Markos Katsanos. Technical Analysis of Stocks & Commodities, November 2018.