Naming Convention Definition

My trading strategies follow this Naming Convention:

[Direction]_Entry_TestPeriod_[Dataset]_Exit

where:

• Direction is either L for buying long or S for selling short.   Direction is optional and if missing defaults to L.
• Entry indicates the entry strategy used.
• TestPeriod is the abbreviated years of the test data.   The data runs from May to April.  So 0407 means May 1, 2004 to April 30, 2007.
• Dataset indicates the data vendor.   It is optional and defaults to CSI Data if not used.
• Exit indicates the exit strategy used.

If one of the above field’s parameters are varied during the test, the exact settings for the run are shown next to it.   If settings are not given, then the commonly used settings apply.

For example, L_All_9404_CSI_Timed_200day

• Trades Long (enters by buying stock)
• Enter always
• Spans the time period  May 1, 1994 – April 30, 2004
• Runs on CSI Data
• Exits on a specific time setting of 200 days

Another example, MACDH_0407_ATR3

• Trades Long (enters by buying stock)
• Enter when MACDH ticks up, settings 12, 26, 9
• Spans the time period  May 1, 2004 – April 30, 2007
• Runs on CSI Data
• Exits on a trailing ATR stop of 3

Updated 11/12/08.

Tags: ATR, backtesting, data, exit, indicator, long, macdh, stop, strategy, trading