Overnight In The S&P 500 H-L (Amibroker And Tradestation Code)

The strategy in plain English:

 

1. Calculate the average H-L range over the last 25 days (in percent).
2. If the ETF falls more than 1.5 times this average, enter at the close.
3. Exit at tomorrow’s close.

 

Amibroker code:

 

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

Buy= ( Ref(C,-1)-Close ) > (range*1.5);

buyPrice=Close;

Sell= C>0;

sellPrice= Close ;

 

 

Tradestation code:

 

Var:Rangeentry(0);

Rangeentry=average(range,25);

If c < (c[1]-1.5*Rangeentry)

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.