Big Moves On Mondays (Amibroker And Tradestation code)

The strategy in plain English:

 

1. Calculate a 25 day average of (h-l).
2. Today is Monday.
3. Close today must be at least lower than (from Friday) 0.25 of average in number 1.
4. (c-l)/(h-l), the IBS, must be lower than 0.3.
5. If conditions in 2, 3, and 4 are met, go long at the close.
6. Exit on Fridays close.

 

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Amibroker code:

 

ibs=(C-L)/(H-L) ;

range=MA((H-L),25);

 

Buy= DayOfWeek()==1 AND (Ref(C,-1) – Close) >range*0.25 AND ibs<0.3;

buyPrice=Close;

Sell= DayOfWeek()==5;

sellPrice=Close ;

 

 

Tradestation code:

 

If close < close[1] – 0.25*average(range,25)
and dayofweek(date)=1
and IFF((H-L)<>0,((C-L))/(H-L),1)< 0.3
then buy this bar at close;
If dayofweek(date)=5 then sell this bar at close;

 

Disclosure: We are not financial advisors. Please do your own due diligence and investment research or consult a financial professional. All articles are our opinions – they are not suggestions to buy or sell any securities.