Backtest Gap up short strategy

Modifiable code template for backtesting gap-up short strategy for NIFTY 200 stocks.

Principle of the Strategy

• Gaps are spaces on a chart that emerge when the price of the financial instrument significantly changes with little or no trading in-between.
• Gaps occur unexpectedly as the perceived value of the investment changes, due to underlying fundamental or technical factors.
• Gaps are classified as breakaway, exhaustion, common, or continuation, based on when they occur in a price pattern and what they signal.

The principle we use here is, when a stock gaps up 2% or more from the previous day's close, then we assume that the traders will take profit and exit the trade causing the prices to drop and we make a profit had we have shorted that particular stock.

Required Libraries

• pandas

• numpy

• tvdatafeed

  Check the reference for installation and further usage of tvdatafeed : https://github.com/StreamAlpha/tvdatafeed

• talib