Twilight Strategy 24
After a little polish, we get this Twilight Strategy functioning in the forward test. It has a net profit of 36k and a 1.5 profit factor on one NQ contract in the backtest.
Today, we will convert another ATS Twilight Strategy to our custom NinjaScript (NS) framework and see if we can get it operating in a simulated forward test. For those of you who don’t know, the ATS Twilight Strategies are a group of strategies created by Celan Bryan of Automated Trade Strategies. These strategies had good performance in the backtest but, for some reason, never fired a trade (or fired very few) in the forward test. The following link will take you to the original ATS post for Strategy 24.
The structure for this post will be different (and briefer) than the previous strategy posts. Since the framework has been updated to use various models to control the behavior of the strategy, there is no need to overload the post with repetitive code. Instead, I will provide the code for the new Signal Model. This new signal class can be plugged into the strategy template and any variation of profit, stop, execution, or risk model.
Disclaimer: the following post is an organized representation of my research and project notes. It doesn’t represent any type of advice, financial or otherwise. Its purpose is to be informative and educational. Backtest results are based on historical data, not real-time data. There is no guarantee that these hypothetical results will continue in the future. Day trading is extremely risky, and I do not suggest running any of these strategies live.
This post is for paid subscribers. Paid subscribers will have access to the private GitHub where all the Hunt Gather Code and strategies live. It is continuously being worked on and will expand as we explore the world of automated trade systems.