When The S&P 500 Closes Near The Bottom of Its Range But Still Positive For The Day (Amibroker And Tradestation Code)

The strategy in plain English:

1. (c-l)/(h-l) (the IBS) must be lower than 0.1.
2. Today’s close must be higher than yesterday’s.
3. If the above conditions are met, then enter on the close.
4. Exit on the close after 3 days or when the close is higher than yesterday’s high.

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Amibroker code:

setOption(“holdminbars”,1);

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

Buy= C>Ref(C,-1) AND ibs<0.1;
buyPrice= Close;
Sell= C>Ref(H,-1);
sellPrice= Close ;

You might also try this extra exit:

ApplyStop(stopTypeNBar,stopModeBars,3,1);

Tradestation code:

{
When The S&P 500 Closes Near The Bottom of Its Range But Still Positive For The Day (Strategy 50)
(c-l)/(h-l) (the IBS) must be lower than 0.1.
Today’s close must be higher than yesterday’s.
If the above conditions are met, then enter on the close.
Exit on the close after 3 days or when the close is higher than yesterday's high.
}

Inputs:
    BuyTreshold(0.1),
    MaxHoldBars(3);
	
Vars:
    ibs(0);

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

if ibs < BuyTreshold and Close > Close[1] Then
	Buy this bar on close;
	
if (BarsSinceEntry(0) > 0 and Close > High[1]) or BarsSinceEntry(0) >= MaxHoldBars Then
	Sell this bar on close;

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.