Hello there:
I have an idea of atraind strategy, but I don't know how to backtest it…
Those of you who have an idea of momentum trading strategies, might know that there are some news that affect the market… I wonder what if …
We spot a stock with recent earnings… it could be one that reported earnings before market open ( or the previous day after the market close…) …
This stock is downtrending ( 2 % or less with respect of the previous day)…
The stock has absolutely low volume (relative volume under 0,5), with all that I mean it is an earnings loser… that has the effect of making buyers run away from this stock…
The idea that I have is to short sell this stock… and hold that short position for a day or two…
How can I back test this.strategy…??
Hello Ghery,
All of your trading conditions are pretty straight forward and you can structure the signals generated like you do for any other technical analysis based trading strategy and backtest it.
However, the only challenging task is to get the dates of the earnings history of all the stocks in the backtest period.
For this data, please check this resource with earnings dates of 8,600 companies going back to 1994 and the data is updated every day at 6 am EST.
Hope this helps!
Thank you very much… It seems to be an overwhelming task…