Recode Strategy as Stop-and-Reverse

Christos

#1

4/19/2011 7:22 AM

Can you please help me code the phollowing strategy on a stop and reverse scheme?

CODE:
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Can you please help me code the phollowing strategy on a stop and reverse scheme?

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		//Pushed indicator StrategyParameter statements
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		
		public MyStrategy()
		{

slider1 = CreateParameter("WidthU",1,1,1000,50);
			slider2 = CreateParameter("WidthL",1,1,1000,50);

}
		protected override void Execute()
		{
			
			DataSeries StopPrice = Highest.Series(High,1);
			DataSeries StopPriceL = Lowest.Series(Low,1);
			
			bool BTST = true;
			int BTSTdays = 0;
			if (BTST = true) {BTSTdays = -2;}
			
			for(int bar = 5; bar < Bars.Count + BTSTdays; bar++)
			{

if (!IsLastPositionActive && !DateRules.IsLastTradingDayOfQuarter(Bars.Date[bar+1]))
				{
					BuyAtStop(bar+1,StopPrice[bar]+slider1.Value);
				}
				if (IsLastPositionActive)
				{
					Position p = LastPosition;    					
					if (p.PositionType==PositionType.Long) {SellAtStop( bar+1, p,StopPriceL[bar]-slider2.Value);}
					
					if (BTST = true)
					{
						if (DateRules.IsLastTradingDayOfQuarter(Bars.Date[bar+2]))	{ExitAtClose(bar+1, p, "Roll");}
					}
				}
			}

PlotSeries(PricePane,StopPrice+slider1.Value,Color.FromArgb(255,255,0,22),LineStyle.Solid,1);
			PlotSeries(PricePane,StopPriceL-slider2.Value,Color.FromArgb(255,255,0,22),LineStyle.Solid,1);
			//ChartPane x_bar = CreatePane(40,true,true);HideVolume();
			//PlotSeries(x_bar,A,Color.FromArgb(255,255,0,22),LineStyle.Solid,1);
			
		}
	}
}
[/CODE]

Eugene

#2

4/19/2011 7:33 AM

Since the entry and exit are NOT symmetrical as there's an AtClose exit, the short side is missing altogether, are we supposed to guess/suggest/invent the rules? ;)

Christos

#3

4/19/2011 7:58 AM

Well, I am somewhat confused by your answer...

Could the answer to your question be that I want to exit AtClose on the same conditions both long and short trades?

So this would be a SAR strategy that would reset at the end of each quarter.

Am I missing something?

Eugene

#4

4/19/2011 9:58 AM

CODE:
Please log in to see this code.

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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;
using WealthLab.Rules;

namespace WealthLab.Strategies
{
	public class SARStrategy : WealthScript
	{
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		
		public SARStrategy()
		{
			slider1 = CreateParameter("WidthU",1,1,1000,50);
			slider2 = CreateParameter("WidthL",1,1,1000,50);
		}

protected override void Execute()
		{
			DataSeries StopPrice = Highest.Series(High,1);
			DataSeries StopPriceL = Lowest.Series(Low,1);
			
			PlotSeries(PricePane,StopPrice,Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,StopPriceL,Color.Green,LineStyle.Solid,2);

for(int bar = 1; bar < Bars.Count-1; bar++)
			{
				bool lastDay = DateRules.IsLastTradingDayOfQuarter(Bars.Date[bar+1]);
				
				// The first trade
				if (Positions.Count == 0){
					if ( !lastDay ) 
						BuyAtStop(bar+1,StopPrice[bar]+slider1.Value);
				}
					// Subsequent trades
				else 
				{
					Position p = LastPosition;
					
					if( IsLastPositionActive ) {
						
						// Reset
						if( lastDay ) {
							ExitAtClose(bar, p, "Roll");
						}
					
						double stop = (p.PositionType == PositionType.Long) ?
							StopPriceL[bar]-slider2.Value : StopPrice[bar]+slider1.Value;
					
						if ( p.PositionType == PositionType.Long ) 
						{
							if ( SellAtStop( bar+1, p, stop )  )
								ShortAtStop( bar+1, stop );
						}
						else
						{
							if ( CoverAtStop( bar+1, p, stop )  )
								BuyAtStop( bar+1, stop );
						}
					
					}
					else {
						// Entry following Reset
						if( LastPosition.ExitSignal.Contains("Roll") )
							BuyAtStop(bar+1,StopPrice[bar]+slider1.Value);
					}
				}				
			}
		}
	}
}[/CODE]

Christos

#5

4/20/2011 7:21 AM

Eugene - thanks a lot for the code!

I have added ShortAtStop in "entry following reset" and in "first trade" so as to let the system trade whichever comes first (did't want to lose some trades after reset) and I don't see any problem. What are your thoughts on this?

I also noticed that you deleted the if condition I had written for a backtest only mode vs an alert only mode. The reason I had that in place was that I was getting an "index out of range" error (when I had the loop ending at Bars.Count) since I had that end of quarter condition. Did you see any problem with that?

Eugene

#6

4/20/2011 10:22 AM

QUOTE:
I have added ShortAtStop in "entry following reset" and in "first trade" so as to let the system trade whichever comes first (did't want to lose some trades after reset) and I don't see any problem.

Sure, if the syntax is correct, it's OK to enter both orders there.

QUOTE:
The reason I had that in place was that I was getting an "index out of range" error (when I had the loop ending at Bars.Count) since I had that end of quarter condition. Did you see any problem with that?

No I don't. This way, the code unintentionally accesses the data at an invalid bar number, so what you and I did were ways to avoid violating the boundary.

akardar1

#7

6/26/2011 7:17 AM

Hi All,

I am also implementing a SAR system.

I am using this code snippet from Eugene's example:

QUOTE:

Position p = LastPosition;

if ( p.PositionType == PositionType.Long )
{
if(SellAtStop( bar+1, p, stop ))
ShortAtStop( bar+1, stop );
}
else
{
if(CoverAtStop( bar+1, p, stop ))
BuyAtStop( bar+1, stop );
}

One thing I have noticed is that the exits and entries are not taken on the same bar even though they are passed the same bar number and stop value.

Is this a design of the methods or am I missing something?

Thanks

Eugene

#8

6/26/2011 7:21 AM

The exits and entries ARE taken on the same bar at at the same price. If your experience is different, more details would help (as per this checklist: How to report a Problem?)