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Trading System based on the Previous Week SPY Return

by Patrick Fonce, 1172 days ago
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This strategy enters a position in the S&P 500 Index (SPY or ^GSPC) when previous week return is negative (Return is calculated based on Monday open price and Friday close price), the trade is closed at the end of the week on Friday. No stop rules are defined.

The trading system formula calculates the previous week time-series using the "TimeframeApply" and "TimeframeDecompress" functions.
The sell rule consists of comparing the day of the week (dayofweek() function) to 5 (Friday).

The order types were modified using the "SetSimTiming" function.
Buy Order: Buy at tomorrow open price
Sell Order: Sell at today close price

You can reference return two weeks ago by using the "ref" function and calling it just before decompressing the data. Decompressing a time-series calculated in a different time frame aligns or synchronizes this time-series with the current time frame.
pweek = ref(pweek, 1);


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Type: Trading System

Object ID: 1030


Country:
United States

Market: Stock Market

Style:
Technical Analysis

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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.