Gap Trading Strategies (How To Trade Gaps With Real And Quantified Examples)

The strategy in plain English:

This is a daytrading strategy and requires a bit more complicated code in Amibroker. Anyway, here is the strategy in plain English:

1. Today’s open must be lower than 0.15% but higher than 0.7%.
2. Today’s open must be higher than yesterday’s 25 day moving average of the last 25 days (on daily bars).
3. If 1 and 2 are correct, then buy today’s open.
4. Sell if the 5-minute bar’s close is above yesterday’s closing price, otherwise sell at 1500 Chicago time.

 

The article of the strategy can be found by click here.

Amibroker code:

Traded at 5-mute bars:

SetOption(“initialEquity”,100000);
SetPositionSize(99.75*leverage,spsPercentOfEquity);
setOption(“MaxOpenPositions”,1);
setOption(“holdminbars”,1);
SetTradeDelays( 0, 0, 0, 0 );

TimeFrameSet(inDaily);

AvgGap=MA( abs( (O-ref(C,-1))/Ref(C,-1) ),25);
Averages=MA(Close,25);

TimeFrameRestore();

AvgGap1=Ref(TimeFrameExpand(AvgGap,inDaily),-1);
Averages1=Ref(TimeFrameExpand(Averages,inDaily),-1);
dailyOpen = TimeFrameGetPrice(“O”, inDaily,0);
dailyPrevClose = TimeFrameGetPrice(“C”, inDaily, -1);
gapDiff = dailyOpen / dailyPrevClose – 1;

//************************Strategy************************************

Buy= gapdiff<-.0015 AND gapdiff>-0.007 AND TimeNum()==083000 AND Open>averages1 ;
BuyPrice=Open;
sell= TimeNum()>=145500 OR ( Close>TimeFrameGetPrice(“C”, inDaily, -1) ) ;
SellPrice=Close ;

 

Tradestation code:

Not done yet, coming soon

 

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