Combining Long and Short trading within one strategy

Author: lookingbackon

Creation Date: 5/10/2011 11:41 AM

Wealth Lab » Trading Strategies » Combining Long and Short trading within one strategy

lookingbackon

5/10/2011 11:41 AM

Hello,
I try to combine a long and short trading of fast SMA(close) cross over/under slow SMA(close) within one strategy. But unfortunately, the combined strategy only generate one side trading signals e.g. only short position. Could you pls help to adjust the strategy code so that the Long postion can be generated following with short position was covered.
The draft code is as following:

CODE:
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Thanks for your help.

Barry

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namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		protected override void Execute()
		{
			DataSeries maFast = SMA.Series(Close, 20);
			DataSeries maSlow = SMA.Series(Close, 60);
			DataSeries maFast_1 = SMA.Series(Close, 20);
			DataSeries maSlow_2 = SMA.Series(Close, 60);
			DataSeries maFast_3 = SMA.Series(Close, 20);
			DataSeries maSlow_4 = SMA.Series(Close, 60);
			DataSeries maFast_5 = SMA.Series(Close, 20);
			DataSeries maSlow_6 = SMA.Series(Close, 60);

PlotSeries(PricePane,SMA.Series(Close,20),Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,60),Color.Green,LineStyle.Solid,2);

for(int bar = GetTradingLoopStartBar(61); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group2|"))
					{
						if (CrossOver(bar, maFast_5, maSlow_6))
						{
							CoverAtMarket(bar + 1, p, "Group2");
						}
					}
					if (p.EntrySignal.Contains("Group1|"))
					{
						if (CrossUnder(bar, maFast_1, maSlow_2))
						{
							SellAtMarket(bar + 1, p, "Group1");
						}
					}

}
				else
				{
					if (CrossUnder(bar, maFast_3, maSlow_4))
					{
						ShortAtMarket(bar + 1, "Group2|");
					}
					if (CrossOver(bar, maFast, maSlow))
					{
						BuyAtMarket(bar + 1, "Group1|");
					}

}
			}
		}
	}
}[/CODE]
Thanks for your help.

Barry

Eugene

5/10/2011 12:06 PM

This will help:

WealthScript Techniques | Creating a Stop-And-Reverse (SAR) system

And the code implements a moving average crossover system for long/short trades.