Description
The GapMomentumSystem strategy is based on signals provided by the Gap Momentum indicator. The strategy adds signals by comparing the values of the signal line, which is created by averaging the ratio of accumulated gap prices over a specified period.
GapMomentumSystem adds simulated orders based on the following conditions:
- Simulated buy-to-open orders are added when the value of the signal line for the current bar is higher than the value for the previous bar.
- Simulated sell-to-close orders are added when the value of the signal line for the current bar is lower than the value for the previous bar.
Input Parameters
| Parameter | Description |
|---|---|
length
|
The length of the period used to accumulate gap prices. |
signal length
|
The length of the average used to calculate the signal line. |
full range
|
Defines whether the study is initialized using the first bar in the lookup period or the current bar. |
Further Reading
1. "Taking A Page From the On-Balance Volume – Gap Momentum" by Perry J. Kaufman. Technical Analysis of Stocks & Commodities, January 2024.
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.