I have a set of data which includes the following:
1) Price
2) TImestamp
I will like to create a backtesting model for predicting future price movement. The formula will work based on this signal:
1) simulate entry every 1 second
2) when the price goes up by 0.1%, take profit
3) When the price goes down by 1%, take loss
4) able to count on an average moving 15 minutes: how many take profit vs take loss vs pending
5) simulate a buy or sell decision:
If take profit> take loss in last 15 mins then buy 1
If take loss > take profit in last 15 mins then sell 1
6) If buy, attempt to sell when the price is 0.1% lower or 1% higher
7) If sell, attempt to buy when the price is 0.1% lower or 1% higher
8) Calculate the profit loss of a time period using the above steps
About the recuiterMember since Oct 8, 2017 Li Wei
from Maharashtra, India