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This strategy does have a simple entry condition which is based on a 20-day period High and Low. When it comes to the exit I use Directional Movement Strength (DMI plus & minus) to find out the end of a positive or negative trend and to make the right decision.

You can further test this, exit idea with different entries to get much better results than the below.


Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

  1. When today’s low is more than or equal to 20 days ago high,
    we buy next bar at the market.
  2. If today’s high lower than or equal to 20 days ago low,
    then sell short next bar at the market.
  3. When upward movement strength of 90 days more than downward movement strength of 55 days,
    then exit at market.
  4. If the above condition false, then buy to cover at the market.