Here I used Weighted Average to pullback market edge and uses days ago lowest to exit at the market. This could be a fine approach to stocks and other indices as well.
Below are the test results for the edge and the equity graph. You may further test, analyze and improve the edge using different filters and exits.
Here is the strategy logic. (Are you interested in code and workspace for Tradestation?)
- Today’s close should be lower than or equal to, 2 days ago weighted average of 15 days low, then buy a share at market IF there is no active trade.
- Exit: When today’s high is more than or equal to, 15 days ago lowest of 55 days, then exit at market