Here's a bare-bones oscillator indicator intended for use on stock indices.
It is based on this article https://www.businessinsider.com/stock-trading-strategy-quant-fund-manager-competition-champion-sp500-return-2024-9 that describes Ivan Scherman's method.
Usage:
Daily timeframes
Stock indices (but may be of use on some other instruments)
3 down candles = look to go long at own discretion, as signalled by indicator
Exit on a close above a shorter moving average - or limit order.
Some enhancements have been added in particular looking at the quality of the last candle in the group - wick and body observation for momentum reversal assessment.
Comments in the code.
The signal frequency is quite low. Tuning doesn't seem too critical - across instruments and historical data. The default parameters were found for SPX500 on recent history.
I've included screenshots for my own strategy back-test - it requires appropriate money/risk management (I used quite a wide stop based on recent volatility). I may upload the strategy at a later date... more work needed.
Steve
3down.lua- version 1.0
- (5.15 KiB) Downloaded 56 times
- SPX500 daily
- back-test chart and equity curve
- back-test result - order size=1
- back-test - same config for 2010-2011 data
