Volume Reversal Strategy

AI & Machine learning
1

Hi,



Within the volume reversal strategy notebook, there's big chunk of text explaining the core strategy, but I find it confusing. (Cell 13 - 14)



"Next, we will check if the entry signal is same as the existing position. If it is so, then we will update the exit criterion depending on the position. For example, if you are already long then your c_signal would be 1, hence it will be incremented by 1. If you are short then your c_signal is -1 and your exit will be reduced by 1."



The bold texts, what does "it" refer to? c_signal or exit column? According to the next line of text, "it" would refer to exit, but could someone from Quantinsti confirm this? I'd like to point out that, a tutorial notebook such as this one, should make it very clear which is which, given there's no real-time online feedback system in place.



Also, when you talk about exit signal, when do you exactly exit? when exit = 0? Again, please clarify.



Thanks

2

Hi Yang,



Regarding your doubt, 



"Next, we will check if the entry signal is same as the existing position. If it is so, then we will update the exit criterion depending on the position. For example, if you are already long then your c_signal would be 1, hence it will be incremented by 1. If you are short then your c_signal is -1 and your exit will be reduced by 1 "



The first 'it' is just talking about the entry signal being same as existing position.



Understand the 'exit' to make things more clear.



You will 'exit' if:


  1. The 'exit' is greater than 5 (in case of long) or less than -5 (in case of short)
  2. Once 'exit' is greater than 5 or less than -5, we will update the 'exit' as 0, and exit the trade at the end of 5th day.
  3. A counter signal is generated (i.e. if the entry signal is not same as the existing position).



    Further, we will upload the tutorial notebook as well.



    Hope this helps.

     
3

Apparently, the code adds/reduces 1 from ‘exit’ and compares ‘exit’ with 5/-5; not ‘c_signal’. Otherwise, when you calculate strategy returns, it would not make sense to do MarketReturn * c_signal.

4

Hey Yang, Yes it is the ‘exit’ not ‘c_signal’. I had started writing about exit (the three points) but the column I mentioned was ‘c_signal’ :stuck_out_tongue: Thanks for pointing it out. I have rectified the previous answer (y).