Adding Market Direction Filter to a Strategy

Adding Market Direction Filter to a Strategy

chris
2016-08-15 08:49:04

Hi Folks,

I'm new to using quantshare and I'm trying to figure out how to add a filter for overall market direction to a trading strategy.

Essentially, I only want the strategy to take long entries when the S&P is trading above it's 50 period ma and short when the opposite is true.

Any assistance would be very helpful.

Thanks in advance!

QuantShare
2016-08-16 05:23:30

Hi Chris,

You can access an external symbol using GetSeries function.
Example:

spy1 = getseries("spy", close);
buy = spy1 > sma(spy1, 50);
short = spy1 < sma(spy1, 50);

Check this for more info on how to create trading systems:
http://www.quantshare.com/sa-582-the-ultimate-guide-to-create-trading-systems-in-quantshare

chris
2016-08-16 09:33:50

Thanks! Appreciate the link!

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