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[PLUS] Filtered ADX Gapper Trading Strategy Code & Signals: Python

by CryptoDataDownload



Strategy Description
According to the way it is described in the book "Street Smarts: High Probability Short-Term Trading Strategies" by Laurence A. Connors and Linda Bradford Raschke, this strategy is a retracement pattern that provides a good entry into a trending market. The strategy uses two technical indicators: ADX and +DI/-DI. The Average Directional Index (ADX) and the Positive/Negative Directional Indicators (+DI/-DI) are used to measure the strength and direction of a market trend. ADX measures the strength of the trend, regardless of the direction. And the directional indicators, as they name may imply, are used to determine the direction of the trend.

Strategy Rules and Conditions
  • Todays' opening price must gap below previous days' low for buys and gap above yesterdays' high for sells
  • Buy order is placed at or slightly above previous day low
  • ADX must be greater than 30
  • For buy signal, the +DI must be greater than the -DI (+DI > -DI = BUY )
  • For sell signal, the -DI must be greater than the +DI (-DI > +DI = SELL )
  • The 12 period ADX is used & 28 period +DI/-DI

    The Code
    This strategy will use Bitcoin historical data from Binance as an example for how to implement. We have left all of the additional columns in the code: both technical indicators and the final signals. This strategy is dependent for gaps in price from one period to another. In cryptocurrency, the market trades 24 hours a day and 7 days a week, so in theory there should never really be "gaps" and strong liquidity in Bitcoin markets keep it this way. We have included an extra column called "Gap_size" that calculates the absolute difference in close-> open price day over day. It would make sense to include a trigger on this condition to ensure a minimum gap size. However, other ALT markets or lower market caps may experience more price gaps. We use the technical analysis library talib to add ADX and DI+ / DI- indicators to our Pandas DataFrame. Logic is then added to use these columns to produce a "Buy Signal" or "Sell Signal", and the results are saved to a csv filed called "ADX_gapper_strategy.csv". Every line of code is commented; feel free to modify to fit your purpose

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    Notice: Information contained herein is not and should not be construed as an offer, solicitation, or recommendation to buy or sell securities. The information has been obtained from sources we believe to be reliable; however no guarantee is made or implied with respect to its accuracy, timeliness, or completeness. Author does not own the any crypto currency discussed. The information and content are subject to change without notice. CryptoDataDownload and its affiliates do not provide investment, tax, legal or accounting advice.

    This material has been prepared for informational purposes only and is the opinion of the author, and is not intended to provide, and should not be relied on for, investment, tax, legal, accounting advice. You should consult your own investment, tax, legal and accounting advisors before engaging in any transaction. All content published by CryptoDataDownload is not an endorsement whatsoever. CryptoDataDownload was not compensated to submit this article. Please also visit our Privacy policy; disclaimer; and terms and conditions page for further information.

    THE PERFORMANCE OF TRADING SYSTEMS IS BASED ON THE USE OF COMPUTERIZED SYSTEM LOGIC. IT IS HYPOTHETICAL. PLEASE NOTE THE FOLLOWING DISCLAIMER. CFTC RULE 4.41: HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. U.S. GOVERNMENT REQUIRED DISCLAIMER: COMMODITY FUTURES TRADING COMMISSION. FUTURES AND OPTIONS TRADING HAS LARGE POTENTIAL REWARDS, BUT ALSO LARGE POTENTIAL RISK. YOU MUST BE AWARE OF THE RISKS AND BE WILLING TO ACCEPT THEM IN ORDER TO INVEST IN THE FUTURES AND OPTIONS MARKETS. DON’T TRADE WITH MONEY YOU CAN’T AFFORD TO LOSE. THIS IS NEITHER A SOLICITATION NOR AN OFFER TO BUY/SELL FUTURES OR OPTIONS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED ON THIS WEBSITE. THE PAST PERFORMANCE OF ANY TRADING SYSTEM OR METHODOLOGY IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
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    Step into the full potential of your cryptocurrency research and market analysis with CryptoDataDownload. Access free historical data in CSV format, unlock unusual option activity signals, explore Plus+ Python code examples (where every line of code is commented), and tap premium aggregated file resources and bespoke data sets. Trusted by academics worldwide, we offer comprehensive data to empower traders, researchers, and enthusiasts alike.

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