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 = 3.2
rebalance: 16Feb24
exit: roll to CTK4
Execution detail:
| Date/time | Symbol | Side | Price | Position |
|---|---|---|---|---|
| 2024-02-01 00:14:52 | CTH4 | buy | $85.31 | long |
| 2024-02-09 04:31:13 | CTH4 | buy | $89.12 | long |
| 2024-02-15 08:16:21 | CTH4 | buy | $93.39 | long |
| 2024-02-16 08:29:12 | CTH4 | sell | $95.04 | long |
| 2024-02-20 08:56:01 | CTH4 | sell | $92.29 | 0 |
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