The Coppock Indicator is a long-term price momentum oscillator which is used primarily to pinpoint major bottoms in the stock market. Crosses above the zero line indicate buying pressure, crosses below the center (zero) line indicate selling pressure.
This script generates a long entry signal when the Coppock value crosses over a signal line, and/or generates a short entry signal when the value crosses under a signal line.
Also it generates a long exit signal when the Coppock value crosses under a signal line, and/or generates a short exit signal when the value crosses over a signal line.
Signals can be filtered out by volatility, volume or both. To minimize repainting use higher percentage values of Time Threshold parameter.
I have a question backtesting subroutine. The trade price is at the open. But is that the open on the bar after the completion of the previous bar when the signal was generated, or the open on the bar that the signal is generated? If the latter(which it appears to be), I think the results are off because you have to wait to the completion of the bar to know for sure the signal will be generated. So this is buying at the open with the hindsight that the signal was actually generated at the close- which I wish I could do! So it seems that the bidask variable needs to be either at the close or delayed to the open of the following day.
capissimo
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@pleasantCardin94082, thx for your remark. I'll look into that. Once again, the performance calculation is a rough (quick and dirty) estimate to compare different settings and strategies on the spot. Ple mind that.
pleasantCardin94082
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@capissimo, Understood. But still might be a more useful tool using a theoretically achievable entry price. Thanks for all of the great work you are posting!
I think there is an error in the trade count. When a trade is opened, the trade variable counts the number of bars instead of simply adding 1. I have tested it and after the first successful trade, which would suppose a win rate of 100%, a winrate of 10% appears, since the operation takes 10 periods to close.