Strategy is tested on top 20 liquid ETFs.
01.01.2004– 05.10.2010 - daily data
Lap occurs if open today is between close and high of yesterday. Laps has positive bias. Winrate and profit factor is good. no money management is used. strategy exists after 10 days.
if lap pattern occurs go long
if Close > 200 day SMA and 10 day sma > 10 day sma yesterday buy stop at the high of today.
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