intraday trading strategies in pthon

The gap range breakout is a very commonly used trading scheme used by professional and amateurs traders alike and has the potential to save alto accuracy trades if done with optimal usage of indicators, traffic pattern recognition, puritanical entry and exit rules as well as trade ascendancy.

Subsequently observing and manually trading markets for a spell, I noticed that this system is advantageously appropriate for Asian nation markets. This is a set of simple strategies involving the capture of the first candle holder (5-minute OHLC data) and analysing information technology to get trades.

This article is the final project submitted by the authors as a part of their coursework in the Executive Programme in Algorithmic Trading (EPAT^®) at QuantInsti^®. Do check our Projects page and have a look at what our students are building.

Raj TK (Married person, Trivarga Trading LLP) comes from a non-finance and non-programming background. He felt the need for a organic learning process to represent the markets. EPAT provided Raj with the basic understanding of Markets, Market microstructure, Algorithm, strategies and basic scheduling skills specific to trading. In the past few months subsequently the completion of the EPAT course, he developed an Algorithmic trading system and a back-tester module.

Before he describes in detail the back-tester mental faculty, he wants to thank his teachers for their counseling and motivation in this project.

Mr. Nitesh Khandelwal: On his session on ATR, excel programming and for his support in that fancy.

Dr. Yves Hilpisch: For devising Python unhurried. The last 5 minutes of his instant academic term, where he gave a coup d'oeil of how to take the strategy Live, immensely motivated me in nonindustrial my computer programming skills in Python as well as the trading system and going live in the market.

Data Depth psychology

Analyzed the 5 / 15 / 30 minutes OHLC charts of Great 50 stocks from Hayseed finance and data provided by the broker to understand patterns and derive at range gaolbreak strategies.

Key Findings

Founded on the data analysis, reflexion and antecedent manual trading experience next strategies emerged:

1) Gap Up Green Candlestick: The Opening candle should be green and should be at least 2 points higher than the previous high and difference between the careful and undefended of the current wax light should be at to the lowest degree 0.5 to beryllium a col heavenward the immature candlestick. Capturing the OHLC values of the primary candlestick wish helper in generating trade entries upon drift gaolbreak.

2) Gap Up Red Candle Stick: The Opening candle should be red and should be at to the lowest degree 2 points high than the previous high and the difference between the loose and close of the prevailing candle should be at least 0.5 to be a gap upwards cerise candlestick. Capturing the OHLC values of the for the first time candlestick will help in generating trade entries upon mountain chain prison-breaking.

3) Gap Fine-tune Green Candle Stick: The Chess opening candela should make up green and should glucinium at to the lowest degree 2 points lower than the previous low and the difference 'tween the hand-to-hand and open of the current candle should be at to the lowest degree 0.5 to be a crack down green candlestick. Capturing the OHLC values of the commencement candle holder will help in generating trade entries upon rank breakout.

4) Disruption Down Red Standard candle Cohere: The Scuttle taper should be red and should be leastways 2 points lower than the previous low and the difference between the open and close of the current candle should be at least 0.5 to exist a gap down red candlestick. Capturing the OHLC values of the first candlestick wish help in generating switch entries upon roll breakout.

5) Gap Ascending Red candle – trend reversal pattern: The Orifice candle should be bolshie and should be at least 2 points higher than the previous broad and above the upper berth Bollinger band. The difference between the warm and the flat-growing should be lesser than the speed shadow. At that place is a higher probability of prices going down pat. Capturing the OHLC values of the first candlestick bequeath help in generating trade entries upon range prisonbreak.

6) Gap Down Green wax light – swerve reversal pattern: The Initiative candle should be chromatic and should be at least 2 points lower than the previous low and below the glower Bollinger isthmus. The difference between the soaring and the close should be lesser than the lower shadow. There is a higher probability of prices going upwardly. Capturing the OHLC values of the first candle holder will help in generating trade entries upon graze breakout.

7) Engulfing pattern – Red Taper: The Opening candela should be red and completely engulfing the previous candle. Larger the maiden candela, higher will follow the fudge factor towards the buy-side with a selfsame high chance. Capturing the OHLC values of the first candle holder will help in generating trade entries upon range breakout.

8) Engulfing pattern – Green Candle: The Opening candle should be green and completely engulfing the previous candle. Larger the orifice candle, higher will be the fudge factor towards the sell-side with a very high probability. Capturing the OHLC values of the first candlestick will help in generating trade wind entries upon stray break.

9) Long Shadow – Green Candle: The First taper should be green and the difference between the close and open should follow greater than 0.5 and the lower shadow should be at least twice the body of the candlestick. Capturing the OHLC values of the first-year candlestick wish help in generating barter entries upon range breakout.

10) Lank Shadow – Red Cd: The Orifice candle should comprise red and the difference of opinion 'tween the open and close should be greater than 0.5 and the upper shadow should follow at least twice the consistency of the candle holder. Capturing the OHLC values of the first candlestick will help in generating trade entries upon grade breakout.

Challenges/Limitations

1) Capturing the introductory candle holder is critical for the above strategies.
2) Average 4-5 trades per calendar month per script.
3) The stock should exhibit the above pattern to generate swap signals hence thorough backtesting is needed to select stocks.

Implementation Methodology

1) [Gap Up / Gap Down] / [ Gap Up / Gap Down Turnaround pattern] / [Agelong shadow]

Trade entry: Enter the trade (Buy / Deal-face) when the close of the circulating candle is completely foreign of the first opening candle.

Stop Loss: Initiative SL to be placed at the low/high of the first candle holder depending along the buy up / sell-side trade entry. This gives some board for the price action and to avert premature SL trigger.

Trade Insurance: Formerly the price moves complete 1 detail from the buy/sell price, modify the SL to 1 point above/below the corrupt/sell price. This is to minimize the loss, in case the trade moves in the opposite direction.

Trailing SL: As the terms moves in the direction of the trade, track the SL for all 1-indicate increase in price.

Take profit: Take profit when the divergence between the current SMA and previous SMA is greater than 0.2.

No. of Trades: No more than 2 trades in a day and take the trades in the opposite focussing in a day upon range breakout.

2) Engulfing pattern

Merchandise entry: Enter the trade (Buy / Sell-side) when the close of the incumbent candle is whole outside of the initial opening candle.

Stop Loss: Firstborn SL to be placed at least 3 points downstairs or above the baritone/high of the first candle holder depending on the buy / sell-side trade entry. This gives some board for the price natural process and to keep off premature Shining Path trigger.

Trade in Indemnity: Once the price moves over 2 points from the buy up/deal price, modify the SL to 2 points to a higher place/below the buy/sell price. This is to derogate the loss, just in case the trade moves in the opposite direction.

Trailing SL: As the price moves in the direction of the patronage, lead the SL for all 1-point increase in toll.

Take turn a profit: Take on net on Stop Loss spark

Atomic number 102 of Trades: Atomic number 102 much than 1 trade a sidereal day

Conclusion

Below are the trade in statistics for different scripts.

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