Overnight In The S&P 500 – 5 Day Low (Amibroker And Tradestation Code)

The strategy in plain English:

 

1. SPY closes lower than the previous day’s 5 day low.
2. Close is above the 200-day moving average.
3. (c-l)/(h-l) (IBS) gives a ratio lower than 0.4.
4. Go long at the close, exit at tomorrow’s open.

 

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Amibroker code:

 

setOption(“holdminbars”,1);

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

Buy= C<Ref(LLV(L,5),-1) AND ibs<0.4 AND Close>MA(C,200);

buyPrice= Close;

Sell= C>0; // to force exit next day

sellPrice= Open ;

 

 

Tradestation code:

 

If c < lowest(l,5)[1]
and c > average(c,200)
and IFF((H-L)<>0,((C-L))/(H-L),1) <= 0.4
then buy this bar at close;
Sell next bar at open;

 

 

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.