Testing intraday strategy , but couldn't replicate thru formula.

Testing intraday strategy , but couldn't replicate thru formula.

Balaji
2015-05-10 01:25:12

I was trying to backtesting my strategy and but the software is not returning any results or summary. I don't know whether there is any error in the logic or syntax of the usage of the software.

Can you plz correct me ? Here is my strategy.

Buy Rules :
- Buy if the stock has earnings today.
- Stock is up 8% at the open
- Volume is more than 100K at the opening
- Third Bar in 5 mins is up more than 1st bar in 5 mins
- Price > 10
- Buy 4th bar

Sell Rules :
- Sell if the stock crosses less than (opening price - 10 cents)
- Sell if the stock crosses down 21 ema after 2 ticks in 5 mins chart

// Buy rules

Rule1 = GapUp() > 8;
Rule2 = open > 4;
Rule3 = volume > 100000;
Rule4 = Timeframe() == 5;
Rule5 = day() != ref(day(),3);
Rule6 = valuewhen(Rule5,high);

buy = (Rule1) && (Rule2) && (Rule3) && (Rule4) && (Rule6);

// Sell rules

Rule6 = (close) < (open - 0.25);
Rule7 = close < Sma(21);
sell = (Rule6) || (Rule7);

thanks.

QuantShare
2015-05-11 03:57:00

I strongly suggest you analyze your formula in a chart. You can plot each rule on a chart and see what is wrong and what is displaying 0.

For example, this line doesn't make sense and will always return 0 in your case:
Rule4 = Timeframe() == 5;

Since you are buying on the 4th bar, you can write:

- Third Bar in 5 mins is up more than 1st bar in 5 mins (assuming you are selecting 5-min as time frame for your system)

p = perf(close, 1);
Rule4 = p > ref(p, 3);

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