Strategy – Stock Weekly BB Breakout

Description

Trades  stocks on weekly bars for stocks breaking out above the weekly Bollinger Band.

If you have ideas you want to have tested, add them to the comments below.
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David B

Cesar, on Exits, will we be trading on next day Open, as with the Entries?

Cesar A

I cleared up the rules above. Tell me if it is clera now.

Diego

Very good results

Cesar A

They are better than I expected

Andre B

Ranking is “from lowest to highest 100-day historical volatility”, but what I see in your Amibroker exploration code is this:

HV100 = StDev(log(C/Ref(C,-1)),100)*(252^.5)*100;
PositionScore = Hv100; 

Questions:
1.) Why do you use log(C/Ref(C,-1)) instead of just 

StDev((C-Ref(C,-1))/Ref(C,-1),100)

First of all StDev of returns should be sufficient. Annualisation (which is a multiplication by a static component at the end) should not impact the ranking.

2.) As AmiBroker internally prefers PositionScores with higher score, the code will actually give preference to higher volatility, which is confusing as the rule text says “from lowest to highest”.

Cesar A

This “from lowest to highest 100-day historical volatility” is a typo above. it has been corrected to be from “highest to lowest.” The backtesting was done with “highest to lowest”

Yes, I could have used your simplified formula. It is equivalent for ranking. I am frequently using historical volatility in my strategies and simply used that formula.

MatzBanni

Hi Cesar, any chance to get the trade list for one of the configurations for this one in order to compare it to my results? Thanks!

Cesar A

Sure. I sent you email

Hagen K

Hi, great video. I like simple strategies.
I always find the Excel spreadsheets interesting. Maybe a silly question but is there a tutorial somewhere on how you create them? That would be awesome.

Cesar A

Sorry but there isn’t. The custom metrics are added in AmiBroker CBT. Then I hide all the columns I am not interested in

Hagen K

Okay, that’s too bad. Nevertheless, thank you for the answer.