How to create a crossover strategy?

Author: dougm

Creation Date: 8/19/2010 6:54 AM

Wealth Lab » Trading Strategies » How to create a crossover strategy?

dougm

8/19/2010 6:54 AM

Thanks in advance for any advice...I'm trying to set up the following, but haven't figured out how to do it: I want to set up a very simple cross-over strategy that will buy when a fast (5 minute) SMA crosses a slow, but I only want it to execute contingent upon a cross-over of a different scale (60 minute). Anyone know how to set that up?

Eugene

8/19/2010 7:13 AM

Assuming that you'd like to use the opposite crossunder to invalidate the setup, here's a quick mockup:

CODE:
Please log in to see this code.

References:

WealthScript Programming Guide > Multi-Time Frame Analysis
Wealth-Lab Wiki > Tutorial: Setups, Triggers, Delays, and Timeouts

Size:

Color:

Assuming that you'd like to use the opposite crossunder to invalidate the setup, here's a quick mockup:
[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()
		{
			if( !Bars.IsIntraday ) return;
			
			SMA sma5_5 = SMA.Series( Close,5 );
			SMA sma20_5 = SMA.Series( Close,20 );
			
			SetScaleCompressed( 60 );
			DataSeries sma5_60 = SMA.Series( Close,5 );
			DataSeries sma20_60 = SMA.Series( Close,20 );
			RestoreScale();
			sma5_60 = Synchronize( sma5_60 );
			sma20_60 = Synchronize( sma20_60 );
			
			PlotSeries( PricePane, sma5_5, Color.Red, LineStyle.Solid, 1 );
			PlotSeries( PricePane, sma20_5, Color.DarkRed, LineStyle.Dashed, 1 );
			PlotSeries( PricePane, sma5_60, Color.Blue, LineStyle.Solid, 1 );
			PlotSeries( PricePane, sma20_60, Color.DarkBlue, LineStyle.Dashed, 1 );
			
			bool xover_60 = false; int xo_bar_60 = 0;
			
			for(int bar = GetTradingLoopStartBar(20); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					if( !xover_60 )
					{
						if( CrossOver( bar, sma5_60, sma20_60 ) )
						{
							xover_60 = true;
							xo_bar_60 = bar;
							SetBackgroundColor( bar, Color.FromArgb( 50, Color.Blue ) );
						}
					}
					
					if( xover_60 )
					{
						if( CrossOver( bar, sma5_5, sma20_5 ) )
						{
							SetBackgroundColor( bar, Color.FromArgb( 50, Color.Red ) );
							if( BuyAtMarket( bar+1 ) != null )
								xover_60 = false;
						}
						else
							if(CrossUnder( bar, sma5_60, sma20_60 ))
						{
							xover_60 = false;
						}
					
						}
				}
			}
		}
	}
}[/CODE]
References:

WealthScript Programming Guide > Multi-Time Frame Analysis
Wealth-Lab Wiki > [LINK=http://www2.wealth-lab.com/WL5WIKI/kbSetupsTriggersDelaysTimeouts.ashx]Tutorial: Setups, Triggers, Delays, and Timeouts[/LINK]