ActiveTrader 2011-05 | Inverse ETF switching system

Eugene

#1

4/7/2011 7:04 AM

Code for ActiveTrader 2011-05 | Inverse ETF switching system published.

We recommend downloading it directly using the convenient "Strategy Download" feature (found in Wealth-Lab's "Open Strategy" dialog).

thyname

#2

4/7/2011 12:41 PM

Eugene, I just downloaded the strategy from the Fidelity WLP Extensions and then as you instructed above. I assume I have to create a data set with the inverse ETFs to use this, correct?

Also which pre-built strategy on the library would you suggest for a breakout system?

Thanks!

Eugene

#3

4/7/2011 1:13 PM

Yes, create a new DataSet with these 8 symbols (DIA DOG QQQ PSQ QLD QID SPY SH) and update it.

Note that the code is not updated for the QQQQ ticker change so you need to replace QQQQ to QQQ in the code and save/compile.

thyname

#4

4/7/2011 1:45 PM

Hi Eugen, I just created the DataSet and replaced the QQQQ with QQQ in the code (I found three instances I had to do this). It worked fine and strategy did not produce any errors.

Would I chose Scale to "Daily"? Does it work on 30 min chart and scale?

Eugene

#5

4/7/2011 5:06 PM

Although its AtClose exit orders do not make great sense intraday, the strategy can be run on any scale. After all, we just give you food for thought i.e. for your own experiments.

mgreco19

#6

3/30/2020 4:39 PM

Hi,

I'm trying to code something similar to the ETF Inverse switching system but can't seem to figure it out after trying to go through the code and looking at the code from a similar post on an inverse strategy that uses trailing stops. I'd like to be able to have conditions to enter and exit DIA and when exiting to open a position in DOG.

Thanks!

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Hi,

I'm trying to code something similar to the ETF Inverse switching system but can't seem to figure it out after trying to go through the code and looking at the code from a similar post on an inverse strategy that uses trailing stops. I'd like to be able to have conditions to enter and exit DIA and when exiting to open a position in DOG.

Thanks!

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		protected override void Execute()
		{
			DataSeries RSISeries = RSI.Series(Close, 15);
			DataSeries RSISeries_1 = RSI.Series(Close, 15);
			Bars external = GetExternalSymbol(".vix", true);

ChartPane paneRSI = CreatePane(75,true,true);
			PlotSeries(paneRSI, RSISeries, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 50, Color.Green, LineStyle.Solid, 1);
			PlotSeries(paneRSI, RSISeries_1, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 70, Color.Green, LineStyle.Solid, 1);
			ChartPane pane2 = CreatePane(75,true,true);
			PlotSymbol(pane2, GetExternalSymbol(".vix", true), Color.Black, Color.Black);

for(int bar = GetTradingLoopStartBar(16); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						bool cond1 = false;
						if (RSISeries_1[bar] > 70)
						{
							cond1 = true;
						}
						bool cond2 = false;
						if (external.Close[bar] > 20)
						{
							cond2 = true;
						}
						if (cond1 || cond2)
						{
							SellAtMarket(bar + 1, p, "Group1");
						}
					}

}
				else
				{
					if (RSISeries[bar] > 50)
					{
						BuyAtMarket(bar + 1, "Group1|");
					}

}
			}
		}
	}
}[/code]

Eugene

#7

3/30/2020 4:53 PM

Hi,

What "something similar" are you trying to code? Where can we find its exact and detailed rules?

mgreco19

#8

3/30/2020 5:33 PM

The "something similar" is to enter a position in an ETF like DIA when RSI > 50 and exit DIA when RSI > 70 or .vix >20 and enter its inverse, DOG, the next day so when no position in DIA is open. Hope that clarifies.

Eugene

#9

3/30/2020 5:54 PM

And when should your system exit the inverse ETF (DOG)?

mgreco19

#10

3/30/2020 6:00 PM

When the conditions to enter DIA exist again

Eugene

#11

3/30/2020 6:32 PM

I didn't look too closely so all troubleshooting and editing is on you. ;)

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I didn't look too closely so all troubleshooting and editing is on you. ;)
[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class ETFRotation : WealthScript
	{
		// trade arrows for the inverse ETF
		string UpArrowGreen = Convert.ToChar(0xe9).ToString();
		string DnArrowRed = Convert.ToChar(0xea).ToString();

public static string pair(string symbol)
		{
			// Define primary/inverse ETF pairs
			IDictionary<string, string> sym = new Dictionary<string, string>();
			sym.Add("DIA", "DOG");

string result = string.Empty;
			if (sym.ContainsKey(symbol))
				result = sym[symbol];
			else
			{
				foreach (KeyValuePair<string, string> pair in sym)
					if (symbol.Equals(pair.Value)) return pair.Key;
			}

return result;
		}

public Position buy(bool primary, int bar, ChartPane pane, string signalName)
		{
			string symbol = Bars.Symbol;

Position p = null;

if (primary)
			{
				SetContext(symbol, true);
				p = BuyAtMarket(bar, signalName);
				RestoreContext();
			}
			else
			{
				try
				{
					SetContext(pair(symbol), true);
					p = BuyAtMarket(bar, signalName);
					AnnotateChart(pane, UpArrowGreen, bar, p.EntryPrice,
					   Color.Blue, Color.Transparent, new Font("Wingdings", 10, FontStyle.Bold));
					RestoreContext();
				}
				catch
				{
					PrintDebug("No data");
				}
			}

return p;
		}

private StrategyParameter paramType;

protected override void Execute()
		{
			Bars external = GetExternalSymbol(".VIX", true);
			
			ChartPane invPane = CreatePane(100, false, true);
			string clickedSym = Bars.Symbol;
			string sym = clickedSym;
			string invETF = pair(clickedSym);
			PlotStops(); HideVolume();

for (int bar = Bars.FirstActualBar + 1; bar < Bars.Count; bar++)
			{
				bool enterPrimarySymbol = RSI.Series(Close, 14)[bar] > 50;
				bool exitPrimarySymbol = RSI.Series(Close, 14)[bar] > 70 || external.Close[bar] > 20;

if (IsLastPositionActive)
				{
					Position p = LastPosition;
					string currPosSym = p.Bars.Symbol;

// Primary ETF symbol detection
					bool primary = (currPosSym == "DIA");

// Highlight inverse ETF trades
					if (currPosSym != clickedSym)
					{
						SetPaneBackgroundColor(invPane, bar, Color.FromArgb(20, Color.Blue));
					}

// Exit current symbol
					//enter a position in an ETF like DIA when RSI > 50 and exit DIA when RSI > 70 or .vix >20 
					if (exitPrimarySymbol && primary)
					{
						SellAtMarket(bar + 1, p, "Exit primary");
						
						if (p.Bars.Symbol != clickedSym)
							AnnotateChart(invPane, DnArrowRed, bar + 1, p.ExitPrice, Color.Red,
							   Color.Transparent, new Font("Wingdings", 10, FontStyle.Bold));

// New entry for paired symbol
						if (primary)
							buy(false, bar + 1, invPane, "inverse");
						else
							buy(true, bar + 1, invPane, "primary");
					}

if (enterPrimarySymbol && !primary)
					{ 
						SellAtMarket(bar + 1, p, "Exit inverse");
					}
				}
				else
				{
					sym = Bars.Symbol;
					invETF = pair(sym);
					bool primary = (sym == "DIA");

// Initial entry made on the primary symbol of each pair
					if (primary && enterPrimarySymbol)
						buy(true, bar, invPane, "Primary");
				}
			}

// Plot inverse symbol on its own pane
			PlotSymbol(invPane, GetExternalSymbol(invETF, true), Color.Green, Color.Red);
			ClearExternalSymbols();
		}
	}
}[/code]