Need help with mean reversion strategy looking at close 80 days ago

[alfred]

I have a simple strategy (written in C code) but I have been unable to find existing tS code that does the same thing. I also wasted many hours with chatGPT trying to get it converted properly (too many debugging errors in ToS and a comedy of errors in the chat transcripts). I would like to (learn how to ) create and backtest this strategy and I want to stay on ToS so I am looking for help to make this simple strategy work on ToS platform.

If the close in SPY is less than the close of 80 periods ago (stocks in downtrend), I am looking for a mean reversion trade.
I buy SPY when the 6-day EMA crosses below the 5-day SMA.
I sell SPY and buy TLT when the EMA crosses above the SMA.
If the close in SPY is higher than the close of 80 periods ago, I am looking for a mean reversion trade. The "fast" EMA will be somewhere near the current SPY price.
No sell signal can be generated until the "fast" EMA is below the 80-period price of SPY; that's when the trend is considered over, and the mean reversion trades begin.

I have a couple versions of chatGPT-produced code that will compile(?) but they would keep me perpetually in a trade, either SPY or TLT, never in a neutral state.

Is it okay to post the C code here to ask for help converting to thinkScript and making it backtest-ready?

 

[halcyonguy]

I have a simple strategy (written in C code) but I have been unable to find existing tS code that does the same thing. I also wasted many hours with chatGPT trying to get it converted properly (too many debugging errors in ToS and a comedy of errors in the chat transcripts). I would like to (learn how to ) create and backtest this strategy and I want to stay on ToS so I am looking for help to make this simple strategy work on ToS platform.

If the close in SPY is less than the close of 80 periods ago (stocks in downtrend), I am looking for a mean reversion trade.
I buy SPY when the 6-day EMA crosses below the 5-day SMA.
I sell SPY and buy TLT when the EMA crosses above the SMA.
If the close in SPY is higher than the close of 80 periods ago, I am looking for a mean reversion trade. The "fast" EMA will be somewhere near the current SPY price.
No sell signal can be generated until the "fast" EMA is below the 80-period price of SPY; that's when the trend is considered over, and the mean reversion trades begin.

I have a couple versions of chatGPT-produced code that will compile(?) but they would keep me perpetually in a trade, either SPY or TLT, never in a neutral state.

Is it okay to post the C code here to ask for help converting to thinkScript and making it backtest-ready?

hello and welcome

post C code ? sure
just post it in a code window,
in a new post header,
click on </>, to open a code window.
then paste the code in it.
option - can pick a language to format it and color it as c, or whatever you want.


----------------------------


i tried to rewrite your rules. take a look and edit them.
you need to be a lot more specific when listing out the rules for a study to follow.

i don't understand why you described the 2nd half so differently than the first.
it should be the opposite of the first half?

ema near ? what is near 1% , 10% , 0.0001 % , $0.01 ??
fast ema? in the first half, you mention specific ema's. in the 2nd, you changed the description. don't do that. stay consistent.

you keep mentioning 'mean reversion' , but that has no meaning to me. it doesn't tell me what price parameter to look at, or what to do. so leave it out and just say what has to happen.

you mention 2 averages , but don't say what are the stocks supplying the data to them?
.."I buy SPY when the 6-day EMA crosses below the 5-day SMA."..
ema of what?
sma of what?
spy or tlt or some other stock?


# SPY is in downtrend
# if close(SPY) < close(spy)[80]
# buy SPY when 6-day EMA crosses below the 5-day SMA.
# sell SPY and buy TLT when the EMA crosses above the SMA.


# SPY is in uptrend
# if close(SPY) > close(spy)[80]
# The "fast" EMA will be somewhere near the current SPY price.
# No sell signal can be generated until the "fast" EMA is below the 80-period price of SPY, that's when the trend is considered over, and the mean reversion trades begin.

 

[alfred]

Thanks for the reply. Here is the C code which should tell you much better than I can put into words what I am interested in trying out in ToS.

#Price of SPY 80 days/periods ago
var V3 = LOOKBACK(p.AdjustedLow, periods: 80);
#variable se0 is assigned that number
var se0 = v3;
#v0 is 5-period SMA "slow"
var v0 = SMA(p.AdjustedOpen, periods: 5);
#v2 is 6-period EMA, smoothing of 3 "fast"
var v2 = EMA(p.AdjustedClose, periods: 6, smoothing: 3);
#v1 = v2
var v1 = v2;
#6-period EMA is cmpared to SPY price 80 days/periods ago; the smaller of the two values becomes v1
#if v1 > v0, time to "sell" SPY and get into TLT
v1 = Math.Min(v1, se0);
return v0 < v1;