New "Breakout" Demonstration script now available
ptunney
Posts: 246
Go to the PUBLIC SCRIPTS > BASE WORKING STRATEGIES
This public strategy is an example for running a basic breakout strategy.
These strategies are designed to pursue stocks that are surging beyond their normal moving average, and therefore likely to continue increasing in value Our first strategy published here uses a threshold of the average highs from the previous 25 days and 1/3 of the stock ATR; the long signal is triggered at that point, while a short signal is triggered by going below the average low minus 1/3 of stock ATR. Stocks are then sold if they either drop below the average high or go above the average low, or at the end of the day. These are all variables to be experimented with to determine which are the most successful.
There are two versions.. one for CQ Lite and on for CQ Elite.
Keep an eye out here, we'll be posting more scripts there in the future.
Comments
This script was also published to Reddit and to GitHub.
One of the responses on Reddit was a link to this white paper:
http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1322.pdf
The github repository for this algo is at https://github.com/cloudquantai/breakout_strategy