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 = 3.0
rebalance: 16Feb24, 19Feb24
Exit: Roll to JTIM4
Adjustment = sz x JPYUSD x 10000 = sz x 66
Execution detail:
| Date/time | Symbol | Side | Price | Position |
|---|---|---|---|---|
| 2024-02-01 00:11:49 | JTIH4 | buy | $2534.000 | long |
| 2024-02-16 08:31:25 | JTIH4 | sell | $2630.500 | long |
| 2024-02-19 08:03:18 | JTIH4 | sell | $2627.000 | long |
| 2024-03-01 07:22:22 | JTIH4 | sell | $2707.000 | long |
| 2024-03-04 07:21:26 | JTIH4 | sell | $2720.700 | 0 |
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