I am requesting help on how to imlement the following in building blocks strategy
Trading universe comprised of following
(1) Trade only top 50% of stocks in sp500 index by dollar volume
(2) Trade only stocks which made atleast 10% in last 100 trading days
Entry Rules
(1) ATR% between 1%-40% of atr of last 10 days
(2)Stock down for two days in a row
(3) RSI3 <20
(4) > 1 in price
(5) Adx(7) > 30
(6) enter on limit next day 1% below yesterday close
(7) Rank stocks by ROC of last year
(8) No more than 10 positions at one time.
Exit Rules
(1) Intraday stoploss of two atr of last 10 days
(2) Intraday trailing stop of 2.5 atr of last 10 days
(3) Profit target of 4% intraday.
some of them I can do such as 3,4,5,6 of entry rules but not the rest and how do I build stocks universe.
Trading universe comprised of following
(1) Trade only top 50% of stocks in sp500 index by dollar volume
(2) Trade only stocks which made atleast 10% in last 100 trading days
Entry Rules
(1) ATR% between 1%-40% of atr of last 10 days
(2)Stock down for two days in a row
(3) RSI3 <20
(4) > 1 in price
(5) Adx(7) > 30
(6) enter on limit next day 1% below yesterday close
(7) Rank stocks by ROC of last year
(8) No more than 10 positions at one time.
Exit Rules
(1) Intraday stoploss of two atr of last 10 days
(2) Intraday trailing stop of 2.5 atr of last 10 days
(3) Profit target of 4% intraday.
some of them I can do such as 3,4,5,6 of entry rules but not the rest and how do I build stocks universe.
Rename
(1) Trade only top 50% of stocks in sp500 index by dollar volume
Let's talk about this later, but for a "one moment in time" Universe, you can use the Strategy Screener to create this list.
This is an entry rule too:
(2) Trade only stocks which made atleast 10% in last 100 trading days
Indicator Compare to Value. Use ROC(100) > 10 (Value)
Entry Rules
(1) ATR% between 1%-40% of atr of last 10 days
Indicator Compare to Value Use ATRP(10).
(2)Stock down for two days in a row
Indicator Compare to Value. Use ConsecDown(Close, 1) >= 2 (the Value)
(7) Rank stocks by ROC of last year
Apply the Transaction Weight block and use ROC(250) - for a Daily Scale.
(8) No more than 10 positions at one time.
See Strategy Settings > Max Open Positions
Exit Rules
Stack all these Sell blocks below the Buy at Market block.
(1) Intraday stoploss of two atr of last 10 days
Sell at ATR Limit or Stop block
(2) Intraday trailing stop of 2.5 atr of last 10 days
Another Sell at ATR Limit or Stop block
(3) Profit target of 4% intraday.
Sell at Profit Target block
Let's talk about this later, but for a "one moment in time" Universe, you can use the Strategy Screener to create this list.
This is an entry rule too:
(2) Trade only stocks which made atleast 10% in last 100 trading days
Indicator Compare to Value. Use ROC(100) > 10 (Value)
Entry Rules
(1) ATR% between 1%-40% of atr of last 10 days
Indicator Compare to Value Use ATRP(10).
(2)Stock down for two days in a row
Indicator Compare to Value. Use ConsecDown(Close, 1) >= 2 (the Value)
(7) Rank stocks by ROC of last year
Apply the Transaction Weight block and use ROC(250) - for a Daily Scale.
(8) No more than 10 positions at one time.
See Strategy Settings > Max Open Positions
Exit Rules
Stack all these Sell blocks below the Buy at Market block.
(1) Intraday stoploss of two atr of last 10 days
Sell at ATR Limit or Stop block
(2) Intraday trailing stop of 2.5 atr of last 10 days
Another Sell at ATR Limit or Stop block
(3) Profit target of 4% intraday.
Sell at Profit Target block
You could use the Symbol Ranking Block for the first rule. I guess dollar volume would by MathIndOpInd Close multiplied by Volume.
Thank you for your kind help
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