Local minimum price in Index Reversal Strategy Notebook

Quant Trading Strategies & Ideas
1

Position Sizing in Trading, Section No: 5, Unit No: 1, Unit type: Notebook

The text in the flow diagram "below the minimum price of the last 10 days" does not agree with the code and the description : "is at its ten-day period minimum". The code gives a signal when the current price is the low on more than one day on the last ten days.

The flow chart version does not give a signal on 2009-05-15. Which is the correct?

2

Hi Antonios,



In the code, we are calculating the 10-day trailing minimum price, which also considers the current data point, which is correct. So basically, a local minimum day is a day when the price of SPY two minutes before close is at its ten-day period minimum. To avoid confusion, we will make the changes to the flowchart. 



Hope this helps!