I wrote this strategy hoping to start some discussion on value trading vs. day trading and also to give a different option to people with little time available.

I adapted a buy-and-hold strategy based on the price index 6 months with an long-only-entry. When the close of the day crosses above 144% to the price registered 6 months ago we go long and we hold the stock for 1 year (apron 254 bars).

As I said it’s an adaptation made for automatic trading!! With Italian stocks the results are very good but might be MUCH better if you used Price to book (P/B) and  Earning yields (EY) to confirm the entry. Running this strategy manually with the use of P/B and EY12 months, and using a portfolio, returned an average of 55% a year in the last 10 years (Only one year I didn’t beat the market).

Blue sky!!!

// General parameters
DEFPARAM CumulateOrders = False
thr=44 // entry threshold
ref=close[130]*(1+thr/100) // price entry level
ex=254 // number of bars in the trade

// conditions to enter long
c1 = (close CROSSES OVER ref)


IF c1 THEN
BUY 20000 CASH AT MARKET
ENDIF

barontrade=barindex-tradeindex

// exit long position
IF barontrade=ex THEN
SELL AT MARKET
ENDIF