Trading System – Using Gaps To Return 24% p.a. And How To Code It In Amibroker

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Free Amibroker Course http://www.asxmarketwatch.com/2012/06/lets-learn-amibroker-how-to-make-a-watchlist/ with more free trading system ideas.

This video shows you how to code a Gap Trading system, where we are expecting price to continue upwards if price makes a gap up. The coding of this trading system is done in Amibroker.

The results over the last 13 years are good – returning approximately 24% per annum on average, with the maximum drawdown at around 23%.

We add an index filter and position sizing of 5 percent in each stock. Buys and sells were set to “Next day on open” to simulate a real End Of Day system scan and trade.

http://www.asxmarketwatch.com/

Comments

Tatiana A says:

Hi, Thank you for making these videos. Pls, could you show some more complicated code in Amibroker. Maybe some indicator with drawings. I am switching to Amibroker from Ninja. These is so amazing platform for testing portfolios. Really like your videos!! 🙂

DaveASXWatch says:

Absolutely – this video shows results with an Index filter (just a simple MA pointing up), but a sector filter may work as well. Best way to find out for sure though… is to test it 🙂

Jerry Kirkman says:

Can on tell if the traded gap ups are systematic ( Index gaps up) or idiosyncratic? If so is it more profitable and less trading to buy the index on systematic and buy individuals on idiosyncratic or possibly buy just idiosyncratic? Might cut down on the number of trades. Also could one add an sector filter to make sure each of the two hundred stocks are in an up trending sector as sector rotation might be a factor over the 13 year testing period. The sector filter may weed out trades JerryK

DaveASXWatch says:

Hey bigbillyz! True – it is far from perfect though and its faults. It makes a lot of trades, possibly too many for a retail Aussie trader. It also only really works well in a very strong up trending market, and the returns of the last two years have fallen off significantly. I haven't tried shorting the gaps – that could be interesting!

TheAspietunes says:

How does amibroker link to your brokerage account?

bigbillyz says:

Pretty awesome results there!
I wonder what the returns are like if you short sell gap downs

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