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
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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
Q Merlin posted on 11/11/2018, and edited on 11/11/2018
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
Q Glitch posted on 11/11/2018
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.
Q Merlin posted on 11/11/2018, and edited on 11/11/2018
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"...
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