The TDSequentialStrategy is a trading strategy that uses several technical analysis (TA) indicators to generate buy and sell signals for backtesting. Here is a breakdown of what the strategy does:
populate_indicators function:
Adds TA indicators to the given DataFrame, such as "exceed_high" and "exceed_low."
Calculates a sequence of buy and sell signals based on the closing prices of the DataFrame. Assigns a cumulative count to each buy and sell signal within a sequence.
populate_buy_trend function:
Populates the "buy" column in the DataFrame based on the TA indicators and sequence of buy signals.
Sets the value to 1 if the closing price exceeds the low and the sequence count is greater than 8.
populate_sell_trend function:
Populates the "sell" column in the DataFrame based on the TA indicators and sequence of sell signals. Sets the value to 1 if the closing price exceeds the high or the sequence count is greater than 8. The strategy aims to identify potential buying opportunities when the closing price exceeds a certain threshold and specific conditions are met. Similarly, it identifies potential selling opportunities based on the closing price exceeding another threshold or meeting certain conditions. These buy and sell signals can be used to test the effectiveness of the strategy in backtesting different trading scenarios.