Shared by
condasys
TURN is defined as MOMIdx score OPPOSITE sign of TRADE Direction.
BREAKOUT is defined as MOMIdx score abs(0-2) in same direction as TRADE direction.
CONTINUE is defined as MOMIdx score abs(>2) in same direction as TRADE Direction.
MOMIdx score = -3.4
Rebalance: 12Feb24, 16Feb24
Exit: Roll to ZCK4
Execution detail:
| Date/time | Symbol | Side | Price | Position |
|---|---|---|---|---|
| 2024-02-01 00:01:39 | ZCH4 | sell | $446.75 | short |
| 2024-02-05 09:29:23 | ZCH4 | buy | $441.75 | short |
| 2024-02-12 01:05:24 | ZCH4 | buy | $430.25 | short |
| 2024-02-16 08:38:27 | ZCH4 | buy | $417.25 | short |
| 2024-02-26 09:08:14 | ZCH4 | buy | $401.75 | 0 |
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