# Daily Reversal

This strategy was inspired by a [post on r/algotrading](https://www.reddit.com/r/algotrading/comments/1f8v70e/backtest_results_for_a_simple_reversal_strategy/) by u/Russ_CW.

## Rules

1. The previous day must have a lower low and lower high than the day before that.
2. Enter a long position on the current day using a limit order placed at the high of the previous day.
    * If the current day gaps up and opens above the previous day's high, enter a long at the open.
3. Exit the position at the end of the day.

NinjaScript is unable to initiate or exit trades at the close of a bar.

It is also not possible to know in advance (at the close of the day) whether the following day will open above the previous high.

Therefore, this strategy incorporates a 1-minute data series in the following manner:

* Instead of exiting any open position at the end of the day, it is closed at the open of the final minute.
* If a long position is to be entered at the open due to a gap up, it is instead entered after one minute has elapsed.

## Parameters

**Position Size**: A fixed dollar amount to use when sizing each position in order to account for lower historical index values. (Default: 10000)

## Backtest Results

The backtest shared in the Reddit thread goes back to the beginning of 2000.

However, my data provider only has 1-minute data going back to 2007.

### SPX

![SPX Analysis](./backtest-results/spx_analysis.png)

![SPX Summary](./backtest-results/spx_summary.png)

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