Buy if price fell by Y% from the previous open position

Author: ashish.mascot

Creation Date: 7/3/2011 12:01 AM

Wealth Lab » Trading Strategies » Buy if price fell by Y% from the previous open position

ashish.mascot

7/3/2011 12:01 AM

Dear Community members can any one help me to code below strategy:

Buy Rule:
1. Multiple open positions are allowed
2. Buy if price fell by Y% from the pervious open position any total number of open positions is not greate than z.

Sell Rule:
1. Sell if open position reach the profit target a% or position is 30 bars old

Thanks in advance :)

Eugene

7/3/2011 1:17 AM

Hi Ashish,

You could do it in Rule wizard entirely but one key element is missing: the buy condition. How do you enter the first open position?

ashish.mascot

7/3/2011 9:23 AM

Hi Eugene,

Thanks for your response

Below is the updated strategy (Added first buy conndition as well).

Buy Rule:
1. Buy the first bar at close.
2. Buy if price fell by Y% from the pervious open position and total number of open positions is not greate than z.
3. Multiple open positions are allowed

Sell Rule:
1. Sell if open position reach the profit target a% or position is 30 bars old.

Thanks and Regards,
Ashish

Eugene

7/3/2011 10:04 AM

Here you go.

If all positions are closed, strategy makes a reentry at the next day's close.

CODE:
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Here you go.

If all positions are closed, strategy makes a reentry at the next day's close.

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

namespace WealthLab.Strategies
{
	public class ashish_mascot_20110703 : WealthScript
	{
		private StrategyParameter paramOpenPos;
		private StrategyParameter paramDecline;
		private StrategyParameter paramRise;
		private StrategyParameter paramBars;
		
		public ashish_mascot_20110703()
		{
			paramOpenPos = CreateParameter("Max. positions", 3, 1, 50, 1);
			paramDecline = CreateParameter("Decline %", 5, 1, 50, 1);
			paramRise = CreateParameter("Rise %", 5, 5, 50, 5);
			paramBars = CreateParameter("Time-based", 30, 1, 100, 1);
		}

protected override void Execute()
		{
			int bars = paramBars.ValueInt;
			int maxOpen = paramOpenPos.ValueInt;
			double decline = paramDecline.Value;
			double rise = paramRise.Value;
			
			for (int bar = 1; bar < Bars.Count; bar++)
			{
				if( Positions.Count == 0 )
					BuyAtClose(bar, "First");
				else
				{
					double nextEntry = 
						IsLastPositionActive ? LastPosition.EntryPrice * (1 - decline / 100.0d) : 0;
					
					if( ActivePositions.Count < maxOpen )
					{
						if( nextEntry > 0 )
							BuyAtLimit(bar + 1, nextEntry, String.Concat( "Decline ", decline.ToString("N2") ));
						else 
							BuyAtClose(bar+1, "Reentry");
					}
				}
				
				if( ActivePositions.Count > 0 )
				{
					for (int p = ActivePositions.Count - 1; p > -1; p-- )
					{
						Position pos = ActivePositions[p];
						if ( bar+1 - pos.EntryBar >= bars )
							SellAtMarket( bar+1, pos, "Timed" ); 
						else
							SellAtLimit( bar+1, pos, pos.EntryPrice * (1 + rise / 100.0d), "Rise " + rise.ToString("N2") );
					}					
				}				
			}
		}        
	}
}[/CODE]

ashish.mascot

7/3/2011 11:10 AM

Hi Eugene,

Thanks a lot for the code. Its working 90% as per my specification. I make a small change in my sell rule. Can you please help me with the code.

Sell Rule:
1. Sell if open position reach the profit target a% or Latest Open position is 30 bars old.

It will be great if you tell me the Entry and Exit conditions you use in "Rule wizard".