Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Help with a strategy I put together over a 6 month period of testing above 70% result
I have a strategy i tested by hand for 6 months on a daily basis with raw data from wsj and i would like to find some help from someone that wouldn't mind speaking to me or reviewing some of the documents of research i did.
My ultimate goal would be to figure out a way to set it up as a screener or backtest it on history of futures but i am not sure if it is possible!
My fear is someone telling me that my strategy or formula already has a name.
In short my formula:
I found that on certain futures contracts a gap of x between the close and open translates to either a trend in the same direction or opposite. The x depends which direction.
Please please i would love to get some feedback on this asap! Open to everything! Thanks
Can you help answer these questions from other members on NexusFi?
Unfortunately, that is not precise enough for a formula. Something precise enough would be: On XYZ future, when today's open is more than 20 ticks but less than 50 ticks above yesterday's close, price will fill the gap in 70% of all occurrences. When today's open is greater than 50 ticks above yesterday's close price does NOT fill the gap in 70% of all occurrences.
You would now have a hypothesis which you could backtest.
To backtest you will need intraday data and some kind of program. Excel might work but could be cumbersome. A trading platform that provides a programming language for backtesting would be your best bet. Amibroker, Tradestation, SierraCharts all come to mind. What platform do you have?
To understand why the gap has occurred is a good factor i haven't added to my formula which would be the fundamentals.
I ran into a problem which is kind of obvious. The open and close i would use from the futures market would come from the daily wall street journal OLHC. So was i using NY OPen Close data. My understanding is that technically the futures market doesnt close so are these gaps i really found or not????
Specifically depending on the currency index or commodity and the parameter i set some tended and some filled the gap but i justified a pattern good enough to determine that regardless of the action it was consistent enough during to futures contract months March 2016 June 2016 to call them good. I plan to gather some data for this years March 2017 and June 2017 wsj or rather ny open and close data so i can check this years data with these parameters i had set! Any idea where i can find this data? Links?
I guess i will try and put together a similar hypothesis asap and hit you back with it. I have td ameritrade so i have access to thinkorswim to use. I also downloaded ninjatrader 8 and metatrader not sure which can help me best with this stuff