Larry Connors High Probability ETF Trading RSI 10/6 & RSI 90/94 Strategy

Author: jandrewnil

Creation Date: 12/23/2009 1:22 PM

Wealth Lab » Trading Strategies » Larry Connors High Probability ETF Trading RSI 10/6 & RSI 90/94 Strategy

jandrewnil

12/23/2009 1:22 PM

Please review and make suggestion and comments. In particular my approach to second entries embedded in the exit logic.

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Please review and make suggestion and comments.  In particular my approach to second entries embedded in the exit logic.
[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
/*
Larry Connors High Probability ETF Trading
RSI 10/6 & RSI 90/94 Strategy

Long Rules:
1. Above 200 DSMA
2. 2 RSI < 10
3. Buy at close
4. Second unit 2d RSI < 6
5. Exit > 5DSMA

Short Rules:
1. Below 200DSMA
2. 2 dRSI > 90
3. Short on close
4. 2 d RSI > 94 enter additional position
5. Exit < 5 DSMA
*/

namespace WealthLab.Strategies
{
	public class RSI10_6RSI90_94 : WealthScript
	{
		protected override void Execute()
		{
			PadBars (3);
			
			SMA SMA200 = SMA.Series (Close, 200);
			SMA SMA5 = SMA.Series (Close, 5);
			
			RSI RSI2 = RSI.Series (Close, 2);
			
			ChartPane RSI2Pane = CreatePane(25, false, false);
			PlotSeries(RSI2Pane, RSI2, Color.Blue, WealthLab.LineStyle.Solid, 2);
			PlotSeries(PricePane, SMA200, Color.Black, WealthLab.LineStyle.Solid, 2);
			PlotSeries(PricePane, SMA5, Color.Red, WealthLab.LineStyle.Solid, 2);
			                                                                     			
			for(int bar = GetTradingLoopStartBar (201); bar < Bars.Count; bar++)
			{
				if (Close[bar] < SMA200[bar])
				{
					if (RSI2[bar] > 90)
					{
						ShortAtClose (bar, "Short");	
					}
				}
				if (Close[bar] > SMA200[bar])
				{
					if (RSI2[bar] < 10)
					{
						BuyAtClose (bar, "Long");	
					}
				}
				for (int actpos = ActivePositions.Count -1; actpos >= 0; actpos--)
				{
					Position p = ActivePositions [actpos];
					if (p.Active)
					{
						if(p.EntrySignal.Contains ("Short"))
						{
							if (Close[bar] < SMA5[bar])
							{
								CoverAtClose(bar,p, "Cover - < 5DSMA");	
							}
							if ((RSI2[bar] > 94)&&
								(Close[bar] < SMA200[bar])&&
								(ActivePositions.Count < 2))
							{
								ShortAtClose (bar, "Short");
							}
						}
						if(p.EntrySignal.Contains ("Long"))
						{
							if (Close[bar] > SMA5[bar])
							{
								SellAtClose(bar, p, "Exit - >5DSMA");
							}
							if ((RSI2[bar] < 6)&&
								(Close[bar] > SMA200[bar])&&
								(ActivePositions.Count < 2))
							{
								BuyAtClose (bar, "Long");
							}
						}
					}
				}
				
			}
		}
	}
}
[/CODE]