UVXY-Short-at-close-of-first-5-min-bar-if-Close-SMA-5-on-Daily

2023-12-04T00:59:15Z - 2023-12-04T00:59:15Z ago

UVXY Short at close of first 5-min bar if Close > SMA(5) on Daily

Hi,

I don't have currently WL with an intraday data, so can someone who has it, can u please build it and show the results.

Rules:

Go short at the close of the first 5min candle, if UVXY trades above its 5-Period SMA on a Daily timeframe, exit and the session close, stop-loss 10%.

Allocate 50% of the equity per trade, my starting was $2000.

I have this strategy on Amibroker

I want to double check, whether I am actually on something or I my code peaks into future.

Thanks

#Strategy

271

Solved

1 Replies

Bookmark

Notify

Sort

MohammadRashid8

2023-12-04T02:06:35Z - 2023-12-04T02:06:35Z ago

Here is a rough 5-minute interval strategy with the rules you want. Backtested since 1/1/2016 with 1M start since UVXY split adjusted is very high.
APR: 11% Drawdown -55%
win Rate: 59%

I wouldn't trade this strategy.

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript1 
{
    public class MyStrategy : UserStrategyBase
    {
      TimeSeries daily;
      TimeSeries sma5;
        public override void Initialize(BarHistory bars)
        {
         daily = TimeSeriesCompressor.ToDaily(bars.Close);
         sma5 = new SMA(daily, 5);
         sma5 = TimeSeriesSynchronizer.Synchronize(sma5, bars);
         daily = TimeSeriesSynchronizer.Synchronize(daily, bars);
        }

        //execute the strategy rules here, this is executed once for each bar in the backtest history
        public override void Execute(BarHistory bars, int bar)
        {
         int barTime = bars.DateTimes[bar].Hour * 100 + bars.DateTimes[bar].Minute;
         
            if (LastOpenPosition == null || !LastOpenPosition.IsOpen)
            {
            if(barTime == 0935 && daily[bar] > sma5[bar])
            {
               Transaction transaction = PlaceTrade(bars, TransactionType.Short, OrderType.Market);
               transaction.Quantity = (int)(0.5 * CurrentEquity / bars.Close[bar]);
            }
            }
         if(LastOpenPosition != null && LastOpenPosition.IsOpen)
         {
            double gain = LastOpenPosition.ProfitPctAsOf(bar);

            if(gain < -10.0 || barTime >= 1555)
            {
               ClosePosition(LastOpenPosition, OrderType.Market);
            }
         }

        }

        //declare private variables below

    }
}

Best Answer

Bookmark

Notify

Sort