GandalfProjectResearchSystem

Description

GandalfProjectResearchSystem is a trading strategy developed by Domenico D'Errico and Giovanni Trombetta. This strategy uses such data as candle average price (ohlc4), median price, and mid-body value to spot the points of price weakness to add entry signals. Sell signals are added after a certain time or price condition is met.

A simulated buy to open order is added if either all of the following is true:

  • The previous ohlc4 is less than the previous median price.
  • The median price from 2 bars ago is less than or equal to the previous ohlc4.
  • The median price from 2 bars ago is less than or equal to the ohlc4 from 3 bars ago.

OR if all of the following is true:

  • The previous ohlc4 is less than the median price from 3 bars ago.
  • The current mid-body price is less than the median price from 2 bars ago.
  • The previous mid-body price is less than the mid-body price from 2 bars ago.

A sell to close simulated order is added if any of the following is true:

  • A specified exit number of bars elapses after an entry.
  • A specified gain-exit number of bars elapses after an entry while the close price is greater than the entry price.
  • Close price is less than the entry price and either of the additional conditions is true.

An additional condition is either all of the following:

  • The previous ohlc4 is less than the previous mid-body price.
  • The median price from 2 bars ago equals to the mid-body price from 3 bars ago.
  • The previous mid-body price is less than or equal to the mid-body price from 4 bars ago.

OR if all of the following:

  • The ohlc4 from 2 bars ago is less than the current mid-body price.
  • The median price from 4 bars ago is less than the ohlc4 from 3 bars ago.
  • The previous mid-body price is less than the previous ohlc4.

Input Parameters

Parameter Description
exit length Defines the general exit time condition.
exit gain length Defines the exit time condition if the price grows after the entry.

Further Reading

1. "System Development Using Artificial Intelligence" by Domenico D'Errico and Giovanni Trombetta, PhD. Technical Analysis of Stocks & Commodities, August 2017.

Backtesting is the evaluation of a particular trading strategy using historical data. Results presented are hypothetical, and there is no guarantee that the same strategy implemented today would produce similar results.

Technical analysis is not recommended as a sole means of investment research.

For educational purposes only. Not a recommendation of a specific security or investment strategy.

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