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Hey all,
Since I'm fairly new here, and to the algotrading field in general, I've decided to start by coding some simple strategies to get myself warmed up. This is my attempt at implementing the strategy originally described here.
I'm sure that there are many things I could improve, and even things that I might not have completely understood from the description of the strategy itself. Any feedback would be welcome, and maybe this simple project could help other newbies get started as well.
Best,
Tomer
Tomer Borenstein
Paul Howell
Nicholas Stein
Chris DePalma
Will Tucker
Adam
Dime
I've really enjoyed exploring your script Tomer. it's approachable in its simplicity and sound logic from a portfolio manager's perspective. I'm just learning how the coding is done. In this section of the code, is it returning the price % change from the number of actual days ago or the number of trading days (price bars)?
} public decimal getReturn(){ decimal start = prices[0]; decimal end = prices[prices.Count - 1]; return (end-start)/start; }Michael Handschuh
@dime - in the code provided, the momentum indicators are updated at the beginning of each day using the closing value from the first bar of the day. So the return provided via getReturn will be based on trading days, not calendar days.
Tomer Borenstein
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