Hi Glitch, Would be interesting to see if the results would be even better when using a "buy at close". A study on EdgeRater in 2012 shows the difference between "buy at close" and "buy at open next day". http://hpetff.s3.amazonaws.com/High_Probability_ETF_Trading_For_All_2.6.pdf
Model - Connors RSI25
C# Coded Model
C# Coded Model Tips
These models are programmed in the C# language and utilize the Microsoft .NET framework. A Quantacula model is a C# class derived from the UserModelBase base class.
The Initialize method is called first. Override this method to instantiate indicators or other objects you will need during your model's processing.
The Execute method is called once for each bar of data in the history. Override this method to implement your model's trading logic. You are passed the current index into the historical data in the idx parameter.
Model Name
Connors RSI25
Description
You can use Markdown syntax in your description.
This is Larry Connors RSI25 system, with the SMA200 filter removed. The RSI25 system rules are taken from his post here:
https://www.linkedin.com/pulse/connors-research-traders-journal-volume-1-does-mean-still-connors/
- Buy one unit when closing price is greater than 200 day SMA (this condition was removed) and RSI4 is less than 25
- Buy a second unit when RSI4 is less than 20
- Sell all units when RSI4 is above 55
Discussions
Attachment
Hi Glitch,
Would be interesting to see if the results would be even better when using a "buy at close". A study on EdgeRater in 2012 shows the difference between "buy at close" and "buy at open next day".
http://hpetff.s3.amazonaws.com/High_Probability_ETF_Trading_For_All_2.6.pdf
Thinking about, Quantacula technically could do it now because we have an OrderType.FIxedPrice, which could be assigned the closing price. But then we'd need to issue the buy so it executes on the signal bar instead of being turned into a signal for the next bar … am thinking about this and how best to get it into the platform.
Thinking about, Quantacula technically could do it now because we have an **OrderType.FIxedPrice**, which could be assigned the closing price. But then we'd need to issue the buy so it executes **on** the signal bar instead of being turned into a signal for the **next bar** … am thinking about this and how best to get it into the platform.
Would be a great benefit to have that in QS, even if it's a payable extension. I never have tested the "buy at close" entry in my existing Ninja systems. But with the time I noticed that many professionals use the "buy at close" rather than the "buy next day at open" entry point. Would certainly be very helpful if one could test a trading-system from both sides. At least the Connors Systems an the Altucher Systems should work best with "buy at close"...
Would be a great benefit to have that in QS, even if it's a payable extension. I never have tested the "buy at close" entry in my existing Ninja systems. But with the time I noticed that many professionals use the "buy at close" rather than the "buy next day at open" entry point. Would certainly be very helpful if one could test a trading-system from both sides. At least the Connors Systems an the Altucher Systems should work best with "buy at close"...
Yes, going to add this to the short term to do list!
Yes, going to add this to the short term to do list!
Thanks
Thanks
Your Models
You will need to Sign In in order to save your Models.
When saving a Model, provide a short and descriptive name that summarizes its spirit.
Also, provide a brief description that explains the logic of your Model, and any other interesting background material you'd like to include.
When you're ready, please Publish your Model so other members of the Quantacula community can review and learn from it.
Remember, in the free membership, you can save only 3 non-published Models. Publish a Model to open up one of your free Model slots. Premium members can save an unlimited number of private Models.
Data Selection
Select this option to backtest the Model on a single symbol.
Select this option to backtest the Model on a portfilio of symbols.
Quantacula organizes groups of symbols into Universes.
Universe
This dynamic Universe eliminates the risk of Survivorship Bias
Upgrade to a premium membership to create your own custom Universes
Benchmark Symbol
The benchmark symbol is used to compare your backtest results against the overall market.
Typically a market index symbol such as SPY or QQQ is used.
Data Scale
Backtest Settings
Starting Capital
Margin Factor
Max Open Positions
Position Sizing
% of equity
Date Range
Settings Tips
The settings here control what data is used when you backtest your Model, as well as the position sizing. Settings information is saved when you save your Model.
Backtest
Equity Curve
Performance Metrics
| Summary | Model | Benchmark |
| Profit | ||
| Profit % | ||
| APR | ||
| Sharpe Ratio | ||
| Sortino Ratio | ||
| Exposure | ||
| Alpha α | N/A | |
| Beta β | N/A | |
| Profit Factor | ||
| Recovery Factor | ||
| Drawdown | Model | Benchmark |
| Maximum Drawdown | ||
| Maximum Drawdown % | ||
| Maximum Drawdown Date | ||
| Interest and Commission | Model | Benchmark |
| Commission Paid | ||
| Cash Interest Earned | ||
| Margin Interest Paid |
| Positions | Model | Benchmark |
| Number of Positions | ||
| Number of NSF Positions (not taken) | ||
| Win Rate | ||
| Average Profit | ||
| Average Profit % | ||
| Average Hold Time (Bars) | ||
| Winning Positions | Model | Benchmark |
| Number of Winners | ||
| Winning % | ||
| Winners Avg Profit | ||
| Winners Avg Profit % | ||
| Winners Avg Hold Time (Bars) | ||
| Losing Positions | Model | Benchmark |
| Number of Losers | ||
| Losing % | ||
| Losers Avg Loss | ||
| Losers Avg Loss % | ||
| Losers Avg Hold Time (Bars) |
Monthly Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
Open Positions
| Position | Symbol | Quantity | Entry Date | Entry Price | Last Price | Profit | Profit % |
Closed Positions
| Position | Symbol | Quantity | Entry Date | Entry Price | Exit Date | Exit Price | Profit | Profit % |
Trade Signals
In order to view next day Trade Signals, please upgrade to a Quantacula Premium Account.
Symbol:
