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Backtesting With Multiple Tickers That Change Daily
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Backtesting With Multiple Tickers That Change Daily

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Trading Apprentice
NY, NY
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Emini ES
 
Posts: 12 since Apr 2015
Thanks: 6 given, 1 received

Backtesting With Multiple Tickers That Change Daily

Hi, I'd like to test a strategy that makes trades on small cap stocks that have a big gap up or down from the prior day close to the next day's open.

Step 1: scan all stocks that are less than $7 and sort them by Open Gap %.
Step 2: Get the 5 with the largest absolute value change.
Step 3: For each of these 5 stocks, get the high and low of the first 15 min bar.
Step 4: Go long if the stock breaks above the high or go short if the stock breaks below the low

That's the gist of it. Can this be done in EasyLanguage? If need be, I can define the universe of stocks beforehand but I'd really prefer EasyLanguage to be able to run the scan each historical day in the backtest.

The reason I ask, is everything I've done and every example I've seen in EL uses only one underlying security.

Thank you.

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