OPEN-SOURCE SCRIPT
Gap Reversion Strategy
Today I am releasing to the community an original short-term, high-probability gap trading strategy, backed by a 20 year backtest. This strategy capitalizes on the mean reverting behavior of equity ETFs, which is largely driven by fear in the market. The strategy buys into that fear at a level that has historically mean reverted within ~5 days. Larry Connors has published useful research and variations of strategies based on this behavior that I would recommend any quantitative trader read.
What it does:
This strategy, for 1 day charts on equity ETFs, looks for an overnight gap down when the RSI is also in/near an oversold position. Then, it places a limit order further below the opening of the gapped-down day. It then exits the position based on a higher RSI level. The limit buy order is cancelled if the price doesn't reach your limit price that day. So, the larger you make the gap and limit %, the less signals you will have.
Features:
Disclaimer: This is not financial advice. Open-source scripts I publish in the community are largely meant to spark ideas that can be used as building blocks for part of a more robust trade management strategy. If you would like to implement a version of any script, I would recommend making significant additions/modifications to the strategy & risk management functions. If you don’t know how to program in Pine, then hire a Pine-coder. We can help!
What it does:
This strategy, for 1 day charts on equity ETFs, looks for an overnight gap down when the RSI is also in/near an oversold position. Then, it places a limit order further below the opening of the gapped-down day. It then exits the position based on a higher RSI level. The limit buy order is cancelled if the price doesn't reach your limit price that day. So, the larger you make the gap and limit %, the less signals you will have.
Features:
- Inputs to allow the adjustment of the limit order %, the gap %, and the RSI entry/exit levels.
- An option to have the limit order be based on a % of ATR instead of a % of asset price.
- An optional filter that can turn-off trades when the VIX is unusually high.
- A built in stop.
- Built in alerts.
Disclaimer: This is not financial advice. Open-source scripts I publish in the community are largely meant to spark ideas that can be used as building blocks for part of a more robust trade management strategy. If you would like to implement a version of any script, I would recommend making significant additions/modifications to the strategy & risk management functions. If you don’t know how to program in Pine, then hire a Pine-coder. We can help!
オープンソーススクリプト
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オープンソーススクリプト
TradingViewの精神に則り、この作者はスクリプトのソースコードを公開しているので、その内容を理解し検証することができます。作者に感謝です！無料でお使いいただけますが、このコードを投稿に再利用する際にはハウスルールに従うものとします。
免責事項
これらの情報および投稿は、TradingViewが提供または保証する金融、投資、取引、またはその他の種類のアドバイスや推奨を意図したものではなく、またそのようなものでもありません。詳しくは利用規約をご覧ください。