One unique thing about Heikin Ashi is the calculation of open, close, high, and low
Heikin-Ashi Trading Strategy
1) Close price: Heikin-Ashi candle is the average of open, close, high and low price
2) Open price: Heikin-Ashi candle is the average of the open and close of the previous candle.
3) High price: the high price in a Heikin-Ashi candle is chosen from one of the high, open and close price of which has the highest value.
4) Low price: the high price in a Heikin-Ashi candle is chosen from one of the high, open and close price of which has the lowest value.
Investment Logic is as following:
When 4 consecutive bullish candlesticks formed (one candlestick = 1 day), we will long the position and exit in 2 days no matter what.
Investment Universe: The top 30 highest liquidity stocks based on trading volume, and stocks price larger than $5
Returns aren't that exciting after financial crisis, it has beta around 0.00 throughout the period; However, the results seemed reverse mirrored the s&p500 performance, how can i still achieve almost 0 beta in this case?. Please feel free to make any positive or negative comments about the model, e.g: whether it is overfitting, or whatsoever. It will be much appreciated!
Thank You
Best,
Felix
