43 lines
1.6 KiB
Markdown
43 lines
1.6 KiB
Markdown
# Daily Reversal
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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.
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## Rules
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1. The previous day must have a lower low and lower high than the day before that.
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2. Enter a long position on the current day using a limit order placed at the high of the previous day.
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* If the current day gaps up and opens above the previous day's high, enter a long at the open.
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3. Exit the position at the end of the day.
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NinjaScript is unable to initiate or exit trades at the close of a bar.
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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.
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Therefore, this strategy incorporates a 1-minute data series in the following manner:
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* Instead of exiting any open position at the end of the day, it is closed at the open of the final minute.
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* 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.
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## Parameters
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**Position Size**: A fixed dollar amount to use when sizing each position in order to account for lower historical index values. (Default: 10000)
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## Backtest Results
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The backtest shared in the Reddit thread goes back to the beginning of 2000.
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However, my data provider only has 1-minute data going back to 2007.
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### SPX
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### SPY
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