Stock Open Gap Strategy

• 11/22/2021 at 10:43 PM #182083
  Amin1233

  Hi anyone knows how to code a strategy to

  If the open volume (volume of the first 1 min bar) is higher than the average open volumes (volume of the first 1 min bars ) of the past 10 days then

   

  if it opens 2% higher than past 10 days highest , buy at the market . If stock opens 2% lower than the lowest of the past 10 days sell short at market.

  Thanks

  

  Amin1233

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  11/23/2021 at 5:41 PM #182135
  robertogozzi

  I can convert the screener I wrote at https://www.prorealcode.com/topic/stock-gap-screener/#post-182120, if it’s what you wanted.

   

  

  robertogozzi

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  11/23/2021 at 11:27 PM #182170
  Amin1233

  Thanks for reply. The problem is the volume, if we say volume > average (10) volume. If it is comparing the whole day volume. It will not show the gap stock in the screener probably until the end of the trading day where the volume reach to the above average of past 10 days.

  

  Amin1233

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  11/24/2021 at 1:11 AM #182171
  robertogozzi

  For strategies it is possible to average only the first minute for each of the last 10 days, as they support 200K units, which provides roughly 6 months of data history.

  I will code it asap.

   

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  Amin1233

  

  robertogozzi

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  11/24/2021 at 2:25 AM #182172
  Amin1233

  For Screener , if it is 246 bar only , is it possible to compare the volume of the first 20 minutes bar of the last 10 days?

  

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  12/01/2021 at 11:06 AM #182580
  robertogozzi

  You can test this one (on 1-minute TF):

  DEFPARAM CumulateOrders = False DEFPARAM PreLoadBars = 10000 // Timeframe(1 minute,default) CheckTime = 090000 //First minute N = 10 //10 days LotSize = 100 //100 shares Timeframe(Daily,UpdateOnClose) LL = lowest[N](low) HH = highest[N](high) // Timeframe(Daily,Default) c1 = 0 c2 = 0 c1 = open >= (HH[1] * 1.02) //previous high + 2% c2 = open <= (LL[1] * 0.98) //previous Low - 2% // Timeframe(1 minute,UpdateOnClose) t = 0 VL = 0 IF BarIndex <=1 THEN FOR j = 1 TO N $VL1[j] = 0 NEXT ENDIF IF OpenTime = CheckTime THEN Tally = 0 FOR j = N DOWNTO 2 Tally = Tally + $VL1[j] $VL1[j] = $VL1[j - 1] NEXT $VL1[1] = volume Tally = Tally + volume FirstMINUTE = Tally / N ENDIF // Timeframe(1 minute,default) c3 = 0 IF (BarIndex >= (N * 1440)) AND (OpenTime = CheckTime) THEN c3 = volume > FirstMINUTE IF c3 THEN IF c1 AND Not OnMarket THEN BUY LotSize CONTRACT AT Market ENDIF IF c2 AND Not OnMarket THEN SELLSHORT LotSize CONTRACT AT Market ENDIF SET TARGET pPROFIT 300 SET STOP pLOSS 100 ENDIF ENDIF

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  DEFPARAM CumulateOrders = False DEFPARAM PreLoadBars    = 10000 // Timeframe(1 minute,default) CheckTime = 090000     //First minute N         = 10         //10  days LotSize   = 100        //100 shares Timeframe(Daily,UpdateOnClose) LL = lowest[N](low) HH = highest[N](high) // Timeframe(Daily,Default) c1 = 0 c2 = 0 c1 = open >= (HH[1] * 1.02)   //previous high + 2% c2 = open <= (LL[1] * 0.98)   //previous Low  - 2% // Timeframe(1 minute,UpdateOnClose) t         = 0 VL        = 0 IF BarIndex <=1 THEN    FOR j = 1 TO N       $VL1[j] = 0    NEXT ENDIF IF OpenTime = CheckTime THEN    Tally = 0    FOR j = N DOWNTO 2       Tally   = Tally + $VL1[j]       $VL1[j] = $VL1[j - 1]    NEXT    $VL1[1] = volume    Tally   = Tally + volume    FirstMINUTE = Tally / N ENDIF // Timeframe(1 minute,default) c3 = 0 IF (BarIndex >= (N * 1440)) AND (OpenTime = CheckTime) THEN    c3 = volume > FirstMINUTE    IF c3 THEN       IF c1 AND Not OnMarket THEN          BUY LotSize CONTRACT AT Market       ENDIF       IF c2 AND Not OnMarket THEN          SELLSHORT LotSize CONTRACT AT Market       ENDIF       SET TARGET pPROFIT 300       SET STOP   pLOSS   100    ENDIF ENDIF

  

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