Description
GandalfProjectResearchSystem is a trading strategy developed by Domenico D'Errico and Giovanni Trombetta. This strategy uses such data as candle average price (ohlc4), median price, and mid-body value to spot the points of price weakness to add entry signals. Sell signals are added after a certain time or price condition is met.
A simulated buy to open order is added if either all of the following is true:
- The previous ohlc4 is less than the previous median price.
- The median price from 2 bars ago is less than or equal to the previous ohlc4.
- The median price from 2 bars ago is less than or equal to the ohlc4 from 3 bars ago.
OR if all of the following is true:
- The previous ohlc4 is less than the median price from 3 bars ago.
- The current mid-body price is less than the median price from 2 bars ago.
- The previous mid-body price is less than the mid-body price from 2 bars ago.
A sell to close simulated order is added if any of the following is true:
- A specified exit number of bars elapses after an entry.
- A specified gain-exit number of bars elapses after an entry while the close price is greater than the entry price.
- Close price is less than the entry price and either of the additional conditions is true.
An additional condition is either all of the following:
- The previous ohlc4 is less than the previous mid-body price.
- The median price from 2 bars ago equals to the mid-body price from 3 bars ago.
- The previous mid-body price is less than or equal to the mid-body price from 4 bars ago.
OR if all of the following:
- The ohlc4 from 2 bars ago is less than the current mid-body price.
- The median price from 4 bars ago is less than the ohlc4 from 3 bars ago.
- The previous mid-body price is less than the previous ohlc4.
Input Parameters
Parameter | Description |
---|---|
exit length
|
Defines the general exit time condition. |
exit gain length
|
Defines the exit time condition if the price grows after the entry. |
Further Reading
1. "System Development Using Artificial Intelligence" by Domenico D'Errico and Giovanni Trombetta, PhD. Technical Analysis of Stocks & Commodities, August 2017.