Gap Up Strategy - What am I missing ?

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Gap Up Strategy - What am I missing ?

posted Sep 25, 2018

Hi everyone,

I just thought I would share this algo with you guys and see if I can get some inputs from you. Basically, I know that this strategy has been discussed numerous times and is pretty popular but I wouldn't expect it to crash and burn in hell like that ....

So my question comes down to: What am I missing ?

Thanks in advance,

P.S. The comments are based on the Gap Down strategy by the way .... but I decided to reverse the whole thing to see if it worked better..

1 response

Davide Lionetti

Row 60, you have coded the opposite logic than the one you wanted. Replace the < with >.
Why do you multiply by 100 on row 62?

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.