Bull Market Trading Strategy (Amibroker And Tradestation Code)

The article can be found here.

The strategy in plain English:

1. The close must be above the 200-day average.
2. The 5-day RSI indicator of the 5-day Rate of Change indicator must be below 20.
3. If 1 and 2 are true, then buy the close.
4. We sell at the close when the 5-day RSI is above 50.

Amibroker code:

Buy= Close>MA(C,200) AND RSIa(ROC(Close,5),5)<20;
buyPrice=Close;
Sell= RSI(5)>40 ;
sellPrice=Close ;

Tradestation code:

{
Strategy 126 - Bull market trading strategy
The close must be above the 200-day average.
The 5-day RSI indicator of the 5-day Rate of Change indicator must be below 20.
If 1 and 2 are true, then buy the close.
We sell at the close when the 5-day RSI is above 50.
}

Inputs:
	RegimeLookback(200),
	RocLookback(5),
	RsiLookback(5),
	BuyTreshold(20),
	SellTreshold(40);
	
if Close > Average(Close, RegimeLookback) and RSI(RateOfChange(Close, RocLookback), RsiLookback) < BuyTreshold Then
	buy this bar on close;

if Barssinceentry(0) > 0 and RSI(Close, RsiLookback) > SellTreshold Then
	sell this bar on close;