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[PLUS] Modified Whiplash Trading Strategy with Buy & Sell Signals: Python

by CryptoDataDownload



Strategy Description
Outlined in the book "Street Smarts: High Probability Short-Term Trading Strategies" by Laurence A. Connors and Linda Bradford Raschke, Whiplash is a fairly simple strategy that tries to take advantage of intraday market movement following a big gap. Typically there is a gap in the morning followed by a reversal in the afternoon, and the expectation is that the price action reversal continues into the next day. But because cryptocurrency markets do not ever close, and instead trade 24/7, we will modify the strategy slightly. Instead of an overall "Gap", the strategy is modified so that it must take out the previous days' high or low extreme and then follow remaining rules.

Strategy Rules and Conditions
  • Market must trade lower (or higher) than previous days' low (or high)
  • The closing price must be higher than the Opening price
  • Price must close in the top 50% of the days' trading range
  • Buy signal at the close of day where the above conditions are met
  • Signals are meant for one day forward and trailing stops to protect gains is recommended for the strategy


    • The Code
    The code loads the data from CryptoDataDownload from any exchange and mimics logic for loading data into Pandas DataFrames found in other examples. We then create several columns that represent the Boolean logic outlined in the above strategy rules. If all conditions are True for a given signal, then a "signal" is produced. The full data history and new columns are saved in a CSV file for you called 'whiplash_strategy.csv' once it completes. Every line of code is commented. Less than 50 lines of code TOTAL

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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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