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Scanner/backtest question


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Roddog
Birmingham Alabama USA
 
Posts: 1 since Jun 2018
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First post, been lurking for a few weeks.
Old school guy here looking for a quick and dirty way to do a scan and backtest.
Example of what I知 looking for,
How many times has XYZ stock been down 4 days in row for the last xx years (the longer the better)?
What was % return of XYZ stock the following day after being down 4 days in a row? % return 3 days after being down 4 days?

This is a rough example of what I am looking for but inputs would change to maybe down 3 days etc etc,,

Being a tad on the older side and not wanting to learn python at this stage does anyone know how to flesh this out ?


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  #2 (permalink)
 bchip 
Torino, Italy
 
Experience: Advanced
Platform: TradeStation
Trading: ES,YM,CL,GC
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Roddog View Post
First post, been lurking for a few weeks.
Old school guy here looking for a quick and dirty way to do a scan and backtest.
Example of what I知 looking for,
How many times has XYZ stock been down 4 days in row for the last xx years (the longer the better)?
What was % return of XYZ stock the following day after being down 4 days in a row? % return 3 days after being down 4 days?

This is a rough example of what I am looking for but inputs would change to maybe down 3 days etc etc,,

Being a tad on the older side and not wanting to learn python at this stage does anyone know how to flesh this out ?

To do some analysis like this would either be done in excel or in python these days.

Another alternative is dependant on which broker you are with
Tradestation, Metastocks, Metatrader all have their own engine you can test with.
There's also Amibroker which is seperate.

Example of the code would be as simple as
if Close[0] < Open[0] and Close[1] < Open[1] and Close[2] < Open[2] and Close[3] < Open[3] then
buy 1 contracts next bar at market;


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