Overnight In The S&P 500 – Oddis Bands (Amibroker And Tradestation Code)

The strategy in plain English:

1. Calculate a 50 day average of the (High minus Low). That is the “ATR”.
2. Calculate the high of the last 10 days.
3. Calculate the (C-L)/(H-L) ratio every day (IBS).
4. Calculate a band 2.5 times below the 10 day high using the average from point number 1 (ATR). Ie, subtracting number 1 (2.5 times) from number 2.
5. If SPY closes below the band in number 4, and point 3 has a lower value than 0.5, go long at the close and exit on tomorrow’s open.

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Amibroker code:

setOption(“holdminbars”,1);

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

range=MA((H-L),50);

OddisHigh=HHV(H,10);

OddisBand=OddisHigh – (range*3);

Buy= Close<OddisBand AND ibs<0.5;

buyPrice= C;

Sell= C>0;

sellPrice= O ;

Tradestation code:

{
Overnight In The S&P 500 - Oddis Bands (Strategy 52)
Calculate a 50 day average of the (High minus Low). That is the “ATR” or Range.
Calculate the high of the last 10 days.
Calculate the (C-L)/(H-L) ratio every day (IBS).
Calculate a band 2.5 times below the 10 day high using the average from point number 1 (ATR). Ie, subtracting number 1 (2.5 times) from number 2.
If SPY closes below the band in number 4, and point 3 has a lower value than 0.5, go long at the close and exit on tomorrow’s open.
}

Inputs:
	RangeLookback(50),
	RangleMultiple(2.5),
	OddisHighLookback(10),
	IbsTreshold(0.5);
	
Vars:
	Ibs(0),
	Rng(0),
	OddisHigh(0),
	OddisBand(0);

Ibs = (Close - Low) / (High - Low);
Rng = Average(High - Low, RangeLookback);
OddisHigh = Highest(High, OddisHighLookback);
OddisBand = OddisHigh - Rng * RangleMultiple;

if Close < OddisBand and Ibs < IbsTreshold Then
begin
	Buy this bar on close;
	Sell next bar on open;
end;

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.