Testing for gaps in pairs trading / external symbol

Author: wmrgrove

Creation Date: 4/23/2018 7:26 PM

Wealth Lab » WealthScript (.NET) » Testing for gaps in pairs trading / external symbol

wmrgrove

4/23/2018 7:26 PM

My questions is related to back-testing for gaps, in both stocks of a Pairs Trading Strategy?

The code below I believe functions properly but I suspect a more elegant or simple method may exist? Here i am filtering all gaps over 3% in either the Pair "Mate symbol" or the "External symbol" on the entry bar and the prior bar.

Any help is appreciated;

CODE:
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Many thanks to Eugene and "superticker" contributor on this forum for all the help to date!!

Eugene

4/23/2018 8:19 PM

Bill, you could create a simple method that returns a boolean, passing it a Bars object to operate on (e.g. external or the primary Bars) depending on context.

wmrgrove

4/23/2018 9:23 PM

Eugene, could you give me a little more of an example please?

Eugene

4/24/2018 6:45 AM

Something like this (on-the-fly coding, untested) - place on top of (or after) your protected override void Execute():

CODE:
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Consequently, you call it like this:

CODE:
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For the external symbol, substitute "Bars" with your "external":

CODE:
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I hope this is very much clear now.

P.S. If not for the gap percent you could check for isGap on a given bar (found in C.Components): Bar Patterns. Its another limitation is lack of support for external symbol.