Following is a backtest of a simple strategy (which has not performed well in 2005-2020, even though it's based on a profitable strategy, which is surprising).

The rules are:

Universe: SPY and IEF
Timeframe: Daily
Position size: 50%
Buy rules: After the market closes, buy on Market-On-Open order if the 3-day cumulative RSI(2) < 15.
    Use a stoploss with 2*ATR(1) below the open price (which is the same as fill price)
Sell rules: After the market closes, sell if RSI(2) > 70 using MOO order.

Needing almost 80 lines of code for this simple strategy seems a bit too much. Can the code be made more efficient/smaller?
Also: is there an easy way to 'attach' a stop order to a market order such that when the position gets closed,
    the stop order is automatically cancelled?

Author

Hsiao Shi

August 2020