Backtesting strategy appears to be valid but needs refining


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*I apologize I have very little knowledge regarding coding, so this is a total hack job with various studies/strategies spliced together.

I've been watching market internals very closely in developing my intraday futures trading. I have become obsessed with the relationships between the TICK, ADD, Market Breathe and /VX as it relates to the price action of /ES. Recently I stumbled on a study by Mobius in the Onedrive where he identifies divergences between $ADSPD and /ES, this seems to provide a leading signal for sudden price action as the divergence rights itself.

In playing with this I applied it against the other "internals" to see if there's anything there, well there is!

Here is my chart:

I altered the study as well as incorporated it into a strategy. The /VX divergences seemed to be the most actionable divergence signal, as written the backtest report is pretty crazy.

If someone could help me optimize the order execution code and limiting orders to RTH to help get realistic backtesting I'd really appreciate it! Also any thoughts on how to code entries to capture the $ADSPD impulses would be great! Thanks in advance!
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Wow, this looks extremely interesting! Unfortunately, I'm too uneducated in coding to help w any of that :/.

Could you explain the strategy a little bit more, specifically the indicators and the premise of a leading signal?



This certainly looks interesting; however, in your backtesting strategy, the buy order starts with the open of the candle. This needs to be replaced with the close of the candle for confirmation. When changing it to close, the P/L is a bit different.


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