Gap Down Strategy In Stocks – Going Long (Amibroker And Tradestation Code)

The strategy in plain English:

The strategy works well on the S&P 500, but has few fills. To get more fills, test it on stocks, for example, S&P 100 components. Entry is done intraday.

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Amibroker code:

Buy= Ref(O,-1)<Ref(L,-2) AND Ref(V,-1)<Ref(MA(V,50),-2) AND L<O – ( Ref(range,-1)*0.75 ) AND Open<Ref(Close,-1);

buyPrice= O – ( Ref(range,-1)*0.75 );

Sell= C>MA(C,10) ;

sellPrice= Close ;

Tradestation code:

{
Gap Down Strategy In Stocks - Going Long (strategy 23_ENTRY)
It is not possible to combine next bar's open price and on close order in the same Strategy (Error #30215).
For this reason this strategy defines entry rule only. 
To backtest properly add the both 23_ENTRY and 23_EXIT strategies to the list and then run backtest.
}

Inputs:
	RangeLookback(25),
	VolumeLookback(50),
	Treshold(0.75);
	
Vars:
	Rang(0),
	VolumeAvg(0);

Rang = Average(H-L, RangeLookback);
VolumeAvg = Average(Volume, VolumeLookback);

if Open < Low[1] and Volume < VolumeAvg[1] and Open next bar < Close Then
	buy next bar at Open next bar - Rang * Treshold limit;

{
Gap Down Strategy In Stocks - Going Long (strategy 23_EXIT)
It is not possible to combine next bar's open price and on close order in the same Strategy (Error #30215).
For this reason this strategy defines exit rule only. 
To backtest properly add the both 23_ENTRY and 23_EXIT strategies to the list and then run backtest.
}

Inputs:
	Lookback(10);
	
if Close > Average(Close, Lookback) then
	sell this bar on close; 

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