Buy on Drop / Sell on Recover
Author: rmpwealth
Creation Date: 8/15/2017 6:15 PM
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rmpwealth

#1
I would like to back test a very simple strategy using the Drag and Drop feature, but, embarrassingly, cannot seem to find the Conditions command(s) to accomplish it. Will you please help?

The strategy is this: Buy when Price falls 8% below the most recent High. Sell when Price recovers. In addition, I also would like to be able to utilize the Optimize feature to refine the percent-drop criteria.

Thank you for your help.
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Cone

#2
"Sell when Price recovers" is essentially a buy & hold strategy. What do you do if and when the price does not recover (ever)?
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Eugene

#3
Here's your "Buy on Drop / Sell on Recover" idea, developed and refined:

ActiveTrader 2012-03 | Big Move, Pullback and Continutation system
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rmpwealth

#4
Hi, guys. Thank you very much for the prompt response.

Cone: What if "recover" is defined to be 8% above Purchase Price. You are correct that a "recovery price" cannot always be guaranteed to be reached in all cases, but an 8% rise from Purchase Price should be attainable in most situations. On the other hand, it probably also is true that in a constantly rising market there probably would not be many, if any, 8% price drops as Entry points. That is why I want to test and optimize. Does setting the Sell Price at 8% over Purchase Price help in creating a simulation?

Eugene: Thank you for suggesting the Buy on Drop Strategy. I downloaded and ran the Strategy, but it did not generate any trades. My Data Parameters were:
Scale = Daily
Date Range = 12/28/2008 - Present
Pos Size = $10,000
Symbol = SPY

I left the Strategy Parameters unchanged from the defaults.

The Strategy appeared to have downloaded OK; the Compile process indicated to be successful; but when I click on Run the Strategy, no trades are generated. Any idea what I have done wrong?
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Eugene

#5
QUOTE:
I left the Strategy Parameters unchanged from the defaults.

Try tweaking the parameters until a satisfying result is produced. Every symbol has its own volatility and default settings might not be applicable to SPY. As you could see in the strategy description:
QUOTE:
1. Wait for a 9-percent (or larger) close-to-close move over the past 12 bars.

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rmpwealth

#6
Thanks, Eugene. I tried a few altered parameters, and still was unsuccessful. Then I Optimized the strategy, and the optimization did result in combinations of parameters that did in fact work (i.e. -- did generate trades). So the code itself does work. Unfortunately, it did not produce good results for SPY -- less than B&H :-(

The problem with SPY may be that SPY has been on a relatively unchanged upward trend for some time. I'll try the strategy on a Symbol that has been more volatile.

Thanks again for the help.