Back Testing code on stocks with 30 days RSI oversold

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  • 11/20/2018 at 10:42 AM #85286 quote
    Olirussell11
    Participant
    New

    To whom it may concern

     

    I would like to back test using following parameters

    I would like to Buy when the following three paramters are meet

    • 30 day RSI is below 30
    • If a share trades 30 % above three month average volume
    • If a share is down by more than 3%

    Please If any one could help

    Regards

    Oliver

    11/20/2018 at 11:42 AM #85300 quote
    robertogozzi
    Moderator
    Master

    If a share is down by more than 3%, compared to…?

    11/20/2018 at 12:11 PM #85305 quote
    Olirussell11
    Participant
    New

    Hi Robert,

    just If the share is down 3% on any given day

    11/20/2018 at 12:34 PM #85308 quote
    robertogozzi
    Moderator
    Master

    There you go (for the Daily TF):

    c1 = volume > Average[60,0](volume) //3 months is about 60 trading days
c2 = Rsi[30](close) < 30
c3 = close < (close[1] * 0.97)
IF c1 AND c2 AND c3 AND not OnMarket THEN
   BUY 1 SHARE AT MARKET
ENDIF
    11/20/2018 at 12:36 PM #85310 quote
    Olirussell11
    Participant
    New

    Thank you so much Robert!!

    11/20/2018 at 12:48 PM #85312 quote
    Olirussell11
    Participant
    New

    Hi Robert,

     

    My back test is coming up with no results but when i back test on my Reuters manually I get multiple entry points! I just would like to confirm following

    That we would buy a stock when the following 3 criteria happen

    1- Share below 30 on 30 Day RSI

    2- Volume traded is 1.3 X 3 month Average Volume on any given day

    3 – Share is down by more than 3 %

    Thank you once again for all your help!

    11/20/2018 at 1:39 PM #85319 quote
    robertogozzi
    Moderator
    Master

    Replace line 1 with

    c1 = volume >= (Average[60,0](volume) * 1.3) //3 months is about 60 trading days

    but this will make it more difficult to get results!

    On what instruments are you testing it?

    11/21/2018 at 1:39 AM #85370 quote
    robertogozzi
    Moderator
    Master

    It works as from attached pic. Very few trades, though.

    I made a screener out of your strategy, test it on your preferred watchlist:

    c1 = volume > Average[60,0](volume)
c2 = Rsi[30](close) < 30
c3 = close < (close[1] * 0.97)
x  = c1 AND c2 AND c3
SCREENER[x]
    x-12.jpg x-12.jpg
    11/21/2018 at 8:30 AM #85377 quote
    Olirussell11
    Participant
    New

    Hi Roberto,

     

    Thank you so much!!

     

    Ill try it today have a great day!

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Back Testing code on stocks with 30 days RSI oversold


ProOrder: Automated Strategies & Backtesting

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Olirussell11 @olirussell11 Participant
Summary

This topic contains 8 replies,
has 2 voices, and was last updated by Olirussell11
7 years, 3 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 11/20/2018
Status: Active
Attachments: 1 files
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