HybridSeasonalSystem

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.

Backtesting is the evaluation of a particular trading strategy using historical data. Results presented are hypothetical, and there is no guarantee that the same strategy implemented today would produce similar results.

Technical analysis is not recommended as a sole means of investment research.

For educational purposes only. Not a recommendation of a specific security or investment strategy.