Read: Commodity futures Intraday Dual Thrust Strategy

1 the introduction

Dual Thrust is a day-trading system developed by Michael Chalek in the 1980s and has been rated as one of the most profitable strategies by Future Thruth magazine. Dual Thrust system is easy to use and widely applicable. With simple ideas and few parameters, it is widely used in stock, currency, precious metal, bond, energy and stock index futures markets with different parameters, stop-profit and stop-loss and position management to bring long-term and stable returns for investors.

2 Policy Introduction

In the Dual Thrust trading system, the definition of the trading range was key, and was the core and essence of the system. The Dual Thrust system uses Range = Max(HH-LC,HC-LL) to describe the oscillation Range. HH is the highest price of n-day High, LC is the lowest price of n-day Close, HC is the highest price of n-day Close, LL is the lowest price of n-day Low.

HHHH, HHHH, LHH, LHH, LHH (2), N day Close high HC, N day Low Low LL; BuyLine = Max(hH-lc, hC-ll) (4), BuyLine = Open + K1Range (5), SellLine = Open + K2Range

3 Strategy Design

(1), when the price up to break the track, if held short positions, first close, and then open more positions; If there is no position, open a long position directly; (2), when the price down through the track, if the holding of multiple positions, the first liquidation, and then open short positions; If there is no position, open a short position directly;

4 Performance Presentation

5 Source code instructions

Strategy source running platform for BotVS quantitative trading platform, the platform is designed for high-frequency trading, performance and security has stringent requirements. Support high-frequency trading strategies, various arbitrage strategies, as well as support multi-data, multi-variety, multi-cycle mixed strategy. The online platform integrates the complete process of strategy development, testing, optimization, simulation and firm trading. Support domestic futures and 25 global digital currency transactions.

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7 Special Tips

There are risks in the market and investment should be cautious. This strategy is for research and learning purposes only, and past performance is not indicative of the future.

The code implementation and feasibility analysis of the strategy