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Published 20 hours ago • verified publisher icon enzoampil

[FEATURE] Back test for Opening Range Breakout or Inside Bar or Time Range Breakout Day Trading Strategies

Open rahulmr opened this issue 4 years ago • 3 comments

Is your feature request related to a problem? Please describe. There are many price action strategies which is used by many traders but I found no such module to perform backtesting on it. Mostly back testing is done on 1 day time frame and also using all lagging indicators. It will be great to have such back testing methods.

Describe the solution you'd like 1 min data is available for many stocks which can be utilized to do back testing.

Describe alternatives you've considered Below 3-4 strategies could be helpful.

  1. Opening Range Breakout strategies e.g. First 15 min high / low breakout - SL - High / Low. Target in Percentage
  2. Time range breakout. This is different from opening range. Example if session starts at 9:15 in morning but one wants to apply this for time frame 10:15 to 11:15 and check high low breakout.
  3. NR4 and NR7 (Narrow Range Breakout) strategies.
  4. Inside Bar Breakout
  5. 2 Bars Inside 1 Bar - breakout

Additional context All these strategies are based on Price Action and are very simple but I see no coding available or back test and even for implementation.

rahulmr avatar Sep 16 '20 00:09 rahulmr

Hi @rahulmr , thanks for checking out fastquant!

Actually, 1 min level data should already be usable for backtest; although, we don't have data pipelines pulling data at this level of granularity. Happy to get contributions on this :smile:

For the proposed strategies, I think these are great and definitely doable to integrate on fastquant! Would you have reference links that describe each of them in more detail? E.g. when to buy, when to sell, and when to hold?

This should make it easier for our developers to contribute these strats. Also, do let me know if you want to contribute these as well! Very open to guiding you through the process :smile: All it takes is some understanding of the backtrader framework (which fastquant is built on top of).

enzoampil avatar Sep 16 '20 14:09 enzoampil

FYI 1 min data is available in crypto data already via get_crypto_data; just specify time_resolution ='1m'

jpdeleon avatar Sep 16 '20 15:09 jpdeleon

Ah yes thanks @jpdeleon ! So we have it for crypto but not for stocks :smile:

enzoampil avatar Sep 16 '20 15:09 enzoampil