Signal generation for this strategy

AI & Machine learning
1

Course Name: Quantitative Trading Strategies and Models, Section: 2, Unit: 13, Unit type: Notebook



Hello, for this trend strategy we use the following conditions:

  • Buy: close > EMA, close > PSAR, slowK > slowD, slowK < 80.
  • Sell: close < EMA, close < PSAR, slowK < slowD, slowK > 20.



    However in the notebook we're going long (1) or short (-1) ONLY when there's a bullish/bearish crossover of CLOSE and EMA (yesterday above/below AND today below/above).







    Doing this will mean we're trading only for one period, as in the next period we won't have any bullish/bearish crossover and the signal column will be like this:



    If we delete this condition, having a bullish/bearish crossover from below/above we're going to allow the strategy works defined as we said in the previous lessons:





    Am I right? Thanks in advance.
2

Hey Daniel, 



We will check this and get back to you

3

Hey Daniel,



It seems you're right. We will be reviewing the strategy and making the necessary changes.



Thanks

Rushda

4

Thanks for check it!