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Trading Strategy based on the Number of Buy Signals

by QuantShare, 3200 days ago
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Based on the number of buy signals, this money management script calculates its 10-Bar moving average and compares it to the 50-Bar moving average. If the former moving average is lower than 0.4 times the latter moving average, then trading is halted during the next 30 trading bars.

The number of buy signals refers to the number of times there was a buy signal in a specific bar. This number is higher than the actual trades because the portfolio is limited in the number of positions it can take at the same time.

In order to calculate the moving average, I have created a list (buySignals) and added to it the new number of buy signals each time the OnEndPeriod event is called (on each new bar). Within this event, I have also created a time-series metric called "Buy Signals Average", which is the 10-Bar simple moving average of the number of buy signals.

This money management script is simply an example to show you how to use trading signals (not actual trades) in a trading strategy and create rules based on them.

To get the raw number of buy signals, go to: Number of Buy Signals Over Time in a Simulation.


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Type: Advanced Money Management

Object ID: 921


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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.