Adding Regime Switching using Volatility Forecast to LDL2 strategy

Author: shardis89

Creation Date: 1/28/2012 10:37 PM

Wealth Lab » Trading Strategies » Adding Regime Switching using Volatility Forecast to LDL2 strategy

shardis89

1/28/2012 10:37 PM

I added some revamped LDL2 code to the regime switching for volatility code, but the second LDL2 strategy under the "Trend Following Mood" will not close out the position. All the trades under the "Market Reversion Mood" work fine and close appropriately; however as described the other will not. My attempt is to increase my overall performance utilizing this switching process by allowing the Limit Price and Hold days to be optimized for each "Market Mood". Could someone please point out what my code is missing to get the Trend Following Mood code to close out the trades. No matter what parameters are entered the position remains open.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		//Regime Switching System Using Volatility Forecast
		//http://quantumfinancier.wordpress.com/2010/08/27/regime-switching-system-using-volatility-forecast/
		StrategyParameter slider1;
		StrategyParameter slider2;
		StrategyParameter slider3;
		StrategyParameter slider4;
		StrategyParameter slider5;
		StrategyParameter slider6;
		StrategyParameter slider7;
		StrategyParameter slider8;
		public MyStrategy()
		{
			slider1 = CreateParameter("Limit Multiplier", 0.97553268253991, 0.93, 1, 0.01);
			slider2 = CreateParameter("Number of Bars", 14, 1, 50, 1);
			slider3 = CreateParameter("Profit Target", 5, 1, 50, 1);
			slider4 = CreateParameter("Stop Loss %", 1, 1, 25, 1);
			slider5 = CreateParameter("Limit Multiplier2", 0.979160998500416, 0.93, 1, 0.01);
			slider6 = CreateParameter("Number of Bars2", 15, 1, 50, 1);
			slider7 = CreateParameter("Profit Target2", 10, 1, 50, 1);
			slider8 = CreateParameter("Stop Loss %2", 16, 1, 25, 1);
		}
		protected override void Execute()
		{
			DataSeries SMAGreaterThan = SMA.Series(Volume,20);
			MACD macd = new MACD(Close, "MACD");
			DataSeries atr = ATR.Series(Bars,14);
			//Regime Switching System Using Volatility Forecast
			//DataSeries vlty = Volatility.Series( Bars, 14, 10 );
			DataSeries vlty = ATR.Series( Bars, 14 );
			//DataSeries vlty = Beta.Series( Bars, GetExternalSymbol("VIX",true), 200 );
			SMA sma = SMA.Series( vlty, 21 );
			PercentRank pvsma = PercentRank.Series( sma, 252 );
			ChartPane v = CreatePane( 30,true,true );
			PlotSeries( v, pvsma, Color.Red, WealthLab.LineStyle.Solid, 2 );
			DrawHorzLine( v, 0.5, Color.Purple, WealthLab.LineStyle.Dashed, 2 );
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				if( pvsma[bar] > 0.5 )
				{
					//Market reversion mood
					SetBackgroundColor( bar, Color.FromArgb( 30, Color.Red ) );
				
					if (IsLastPositionActive)
					{
						Position p = LastPosition;
						if (p.EntrySignal.Contains("rLimit Price"))
						{
							{
							double ProfitTgt = p.EntryPrice * ( 1 + slider3.Value/100.0d );
							SellAtLimit( bar + 1, p, ProfitTgt, "rProfit Target");
						}
							}
						if (p.EntrySignal.Contains("rLimit Price"))
						{
							if (LastActivePosition != null && LastActivePosition.Active)
								if (bar - LastActivePosition.EntryBar >= slider2.ValueInt)
								{
									SellAtMarket(bar + 1, p, "rHold Days");
								}
						}
						if (p.EntrySignal.Contains("rLimit Price"))
						{
							double Stop = p.EntryPrice * (1 - slider4.Value / 100.0d);
							SellAtStop(bar + 1, p, Stop, "rStop Loss");
						}

}
					else
				
					{
						if (Close[bar] * SMAGreaterThan[bar] > 1850)
					
						{
							if(	BuyAtLimit(bar + 1, ((Low[bar] + Close[bar] ) / 2 ) * slider1.Value, "rLimit Price")!= null) 
								LastPosition.Priority = -atr[bar];
					
					else
							
							{
								//Trend following mood
								SetBackgroundColor( bar, Color.FromArgb( 30, Color.Green ) );
								
								if (IsLastPositionActive)
								{
									Position p = LastPosition;
									if (p.EntrySignal.Contains("tLimit Price"))
									{
										{
										double ProfitTgt = p.EntryPrice * ( 1 + slider7.Value/100.0d );
										SellAtLimit( bar + 1, p, ProfitTgt, "tProfit Target");
									}
										}
									if (p.EntrySignal.Contains("tLimit Price"))
									{
										if (LastActivePosition != null && LastActivePosition.Active)
											if (bar - LastActivePosition.EntryBar >= slider6.ValueInt)
											{
												SellAtMarket(bar + 1, p, "tHold Days");
											}
									}
									if (p.EntrySignal.Contains("rLimit Price"))
									{
										double Stop = p.EntryPrice * (1 - slider8.Value / 100.0d);
										SellAtStop(bar + 1, p, Stop, "tStop Loss");
									}
								}
								else 
							
								{
									if (Close[bar] * SMAGreaterThan[bar] > 1850)
					
									{
										if(	BuyAtLimit(bar + 1, ((Low[bar] + Close[bar] ) / 2 ) * slider5.Value, "tLimit Price")!= null) 
											LastPosition.Priority = macd[bar]; 
									}
								}
							}
						}
					}
				}	
			}

[/CODE]

Eugene

1/29/2012 12:35 AM

Just in case someone wonders what the topic starter is talking about, here's the original idea:

Regime Switching System Using Volatility Forecast

shardis89

2/2/2012 9:54 PM

Someone take a pass at this please. Then afterwards download a list of zacks #1 ranked stocks with a price to sales ratio below the industry median or below 2 and run this on a 30 minute bar basis. I have had good results with this method. If you don't have a subscription to zacks then pull up the fidelity stock screener and set the parameters to pull those stocks trading within 80% of their high, are the lowest 20% in their industry for price to sales, and have a equity summary score greater than7.0. Oh forgot to mention that you should re-run the screens weekly and create a new dataset. Very good results on this as well with LDL2. If I can figure out this regime switch I bet that it gets even better.