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Hi all,
I am trying to backtest the Volume spread analysis.
For Shorting the security, i have used the following logic:
1. Look for an upthurst candle, then look for the next candle should be a.) Low bar with high volume or b.) A Low bar with small spread and low volume. The code is as follows:
Ref(Close,-2)> Ref(Close,-3) and
(Ref(High,-1)-Ref(Low,-1)) > 1.0*(Ref(High,-2)-Ref(Low,-2)) and
Ref(Close,-1)<Ref(Close,-2) and
Ref(Volume,-1) > Ref(Mov(Volume,OPT2,S),-1)
and
(
(High-Low)<(Ref(High,-1)-Ref(Low,-1)) and
Volume < Mov(Volume,OPT2,S) and close<(High+Low)/2 and close < ref(C,-1)
OR
(Close<Ref(C,-1) and Volume>Mov(Volume,OPT2,S))
)
and
Mov(Close,OPT4,E)>Close
---
For short covering i have simply used the logic when the prices are coming down with huge volume buy back.
Close < Ref(Close,-1) and Volume > Mov(Volume,OPT2,S) and
Ref(Close,-1) < Ref(Close,-2) and Ref(Volume,-1) > Ref(Mov(Volume,OPT2,S) ,-1) and
Ref(Close,-2) < Ref(Close,-3) and Ref(Volume,-2) > Ref(Mov(Volume,OPT2,S) ,-2)
OR
Close > Mov(Close,OPT4,S)
Coming to problem:
Some of the signals are excellent exactly where they intend to be where in some of the signal, i get the exit very next day whether the condition is met or not.
Can someone help me ?
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