Add short side to QQQQ Crash strategy

Author: samsarasota1

Creation Date: 8/30/2009 12:07 PM

Wealth Lab » Trading Strategies » Add short side to QQQQ Crash strategy

samsarasota1

8/30/2009 12:07 PM

not being a programmer at all but
QQQCrash seems to work for me on the buy side

Sure would like to add to the sell side
ARSI greater than 60 as an additional criteria.

Thanks anybody.

Sam

Eugene

8/30/2009 12:29 PM

Sam, next time please select a meaningful topic name like "Add short side to QQQQ Crash strategy", OK?

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Sam, next time please select a meaningful topic name like "Add short side to QQQQ Crash strategy", OK?
[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using WealthLab;
using WealthLab.Indicators;
using System.Drawing;
using TASCIndicators;

namespace WealthLabCompile
{
	public class ShortingQQQQCrash : WealthScript
	{
		//Create parameters
		private StrategyParameter bbPeriod;
		private StrategyParameter bbStdDev;
		private StrategyParameter exitDays;

public ShortingQQQQCrash()
		{
			bbPeriod = CreateParameter("Bollinger Period", 10, 6, 20, 2);      
			bbStdDev = CreateParameter("Std Dev", 1.5, 1, 3, 0.25);
			exitDays = CreateParameter("Timed Exit", 20, 1, 30, 1);        
		}

protected override void Execute()
		{
			//Obtain parameters values
			int bbPer = bbPeriod.ValueInt;
			double bbSD = bbStdDev.Value;
			int timedExit = exitDays.ValueInt;
       
			ARSI arsi = ARSI.Series( Close,14 );
			BBandLower bbL = BBandLower.Series( Close, bbPer, bbSD );
			BBandUpper bbU = BBandUpper.Series( Close, bbPer, bbSD );
			PlotSeriesFillBand(PricePane, bbL, bbU, Color.Silver, 
				Color.Transparent, LineStyle.Solid, 2);
       
			for (int bar = bbPer; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position Pos = LastPosition;
					if (bar + 1 - Pos.EntryBar >= timedExit)
					{
						ExitAtMarket(bar + 1, Pos, "Time-based");
					}
					else 
					{
						if ( Pos.PositionType == PositionType.Long )
						{
							if(Close[bar] > Pos.EntryPrice)
								SellAtMarket(bar + 1, Pos);
						}
						else
						{
							if(Close[bar] < Pos.EntryPrice)
								CoverAtMarket(bar + 1, Pos);
						}
					}
				}
				else
				{
					if (Close[bar] < bbL[bar])
						BuyAtMarket(bar + 1);
					else 
						if( (Close[bar] > bbU[bar]) & ( arsi[bar] > 60 ) )
							ShortAtMarket(bar + 1);
				}
			}
		}
	}
}

[/CODE]

Wealth Lab » Trading Strategies » Add short side to QQQQ Crash strategy