Sell the next morning after a big drop the day before
Author: bcjensen
Creation Date: 3/26/2009 9:02 PM
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bcjensen

#1
I'm looking to develop a back testing strategy that buys a stock the next morning at open (or limit) after a big drop the day before and sells the following morning at open. This is probably rather simple to develop but I'm new at this. Help would be appreciated.
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Eugene

#2
CODE:
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swuzy

#3
Interesting. Comes out ahead on the DOW 30 for the past 12 months (Kudos .... not an easy thing to accomplish); but does not appear to be all that successful (out of the hat with default parameters) with other indices and datasets that I have.