Improved Gap strategy

AI & Machine learning
1

Course Name: Day Trading Strategies for Beginners, Section No: 6, Unit No: 17, Unit type: Notebook

 

Could you please explain this in more detail. I am unable to comprehend the improved gap strategy

2

Hey Manikandan,



In the original gap up strategy, we simply took long positions when the opening price was higher than the previous day's closing price, and short positions when the opening price was lower than the previous day's closing price.



But in the improved strategy we are taking positions based on the relationship between the daily returns and the standard deviation of returns.



Basically, in the improved strategy we are taking long positions when returns exceed a certain threshold above the standard deviation because this indicates upwards momentum. On the other hand, we are taking short positions when returns fall below a certain threshold below the standard deviation because this indicates downwards momentum.



Hope this helps!



Thanks

Rushda

3

Thank you for the response. Is there a coder who can help with the code?

 

4

Hi Manikandan,



The code for both: Gap strategy and the Improved Gap strategy can be found in the course. 



While implementing the strategy, if you are stuck along the way at any point, feel free to write back on this thread.



Thanks

Rushda