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Build a trading system - 01/05/2018 09:13 EDT

I'd like to set up and backtest (with the help of a programmer with access to good software - I have a bloomberg terminal and can download a lot of data for backtesting, but don't have trading analytics software that allows for easy backtesting - I'd like to go back about 20 years daily if possible) a couple of the methods outlined in the book 30-minute stock trader by Laurens Bensdorp, starting with "mean reversion long" which looks for stocks with large sell-offs, typically 2-3 day trades.

Screening criteria: US stocks, min volume of last 50 trading days above 500K shares, min price of $1.00 per share, min dollar volume of $2.5M over same 50 day time period. Fixed fractional risk of 2% (higher volatility = smaller position), max 10 position.

Entry criteria: close of stock previous trading day must be above 150 day MA. 7 day average directional index (ADX) must be above 45. Average true range (ATR) of last 10 days must be above 4% of last closing price. 3 day RSI must be below 30. Rank orders with lowest 3 day RSI. Place order pre-market with limit 4% below previous day's close. No stop loss on first day.

Exit criteria: Exit on following day at open under one of these conditions: 1) the stop loss (after close on day of order, -2.5X ten day ATR), 2) profit target of 3% or more with exit, or 3) if 4 days pass with no signal, sell on market close.

Skills: Excel, Metatrader, PHP, Software Architecture, Statistics

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Project ID: #16848881

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satishtl

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