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SPX Fair Value Bands for ThinkorSwim

The SPX Fair Value Bands is based on the Net Liquidity formula from Max Anderson.

When the price of the SPX (S&P 500) is outside of the upper band, it means the market is currently overvalued. Conversely, when the SPX is below the lower band, prices are thought to be oversold.

  • SPX > Upper Band = Short
  • SPX < Lower Band = Long

SPX Fair Value Bands for ThinkorSwim

# amalia
# 10/03/2022
# thinkScript OneNote
def a = If(IsNaN(Close("WALCL:FRED")), a[1], Close("WALCL:FRED"));
def b = If(IsNaN(Close("WTREGEN:FRED")), b[1], Close("WTREGEN:FRED"));
def c = If(IsNaN(Close("RRPONTSYD:FRED")), c[1], Close("RRPONTSYD:FRED"));
def SPX = If(IsNaN(Close("SPX")), SPX[1], Close("SPX"));
def SPXFairValueNetLiq = (A - (b + c)*1000)/1000/1.1-1625;
def SPXFairValue = If(!IsNaN(Close), SPXFairValueNetLiq, Double.NaN);
# Added by Melvin C.
# 10/19/2022
plot upperBand = SPXFairValue + 350;
plot lowerBand = SPXFairValue - 150;

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