Sell in May, Buy in October in Rules

Author: Macrophage

Creation Date: 4/11/2014 1:34 PM

Wealth Lab » Trading Strategies » Sell in May, Buy in October in Rules

Macrophage

4/11/2014 1:34 PM

Hello,
I am new to Wealth-Lab and I am trying to build a simple strategy from rules. I do not have programming experience at the moment.

I want to test buying (SPY) when the MACD crosses above its 9-day EMA. I want to sell the following year after April 20, whenever the MACD crosses below its EMA.
When I use the rules to build this strategy, I will get multiple entries and exits in November (and beyond). If I add additional sell conditions (i.e. sell after April 20 and before October 16), all my positions remain open (no sells).
I have pasted the code below (containing just two sell and two buy conditions). Can someone please tell me how to get around this?

CODE:
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Hello,
I am new to Wealth-Lab and I am trying to build a simple strategy from rules. I do not have programming experience at the moment.

I want to test buying (SPY) when the MACD crosses above its 9-day EMA. I want to sell the following year after April 20, whenever the MACD crosses below its EMA.
When I use the rules to build this strategy, I will get multiple entries and exits in November (and beyond). If I add additional sell conditions (i.e. sell after April 20 and before October 16), all my positions remain open (no sells).
I have pasted the code below (containing just two sell and two buy conditions). Can someone please tell me how to get around this?

[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
	{
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		public MyStrategy()
		{
			slider1 = CreateParameter("Lookback Period",10,1,20,2);
			slider2 = CreateParameter("Lookback Period",1,1,20,2);
		}

protected override void Execute()
		{
			DataSeries macd = MACD.Series(Close);
			      DataSeries signal = EMA.Series(macd, 9, EMACalculation.Modern);
			      DataSeries hist = macd - signal;
			DataSeries macd_2 = MACD.Series(Close);
			      DataSeries signal_3 = EMA.Series(macd_2, 9, EMACalculation.Modern);
			      DataSeries hist_4 = macd_2 - signal_3;

ChartPane paneMACD = CreatePane(75,true,true);
			PlotSeries(paneMACD,macd,Color.Maroon,LineStyle.Solid,2);
			      PlotSeries(paneMACD,signal,Color.Black,LineStyle.Solid,1);
			      PlotSeries(paneMACD, hist, Color.Black, LineStyle.Histogram, 2);
			PlotSeries(paneMACD,macd_2,Color.Maroon,LineStyle.Solid,2);
			      PlotSeries(paneMACD,signal_3,Color.Black,LineStyle.Solid,1);
			      PlotSeries(paneMACD, hist_4, Color.Black, LineStyle.Histogram, 2);

for(int bar = GetTradingLoopStartBar(10); bar < Bars.Count; bar++)
			{
					DateTime date = new DateTime(Bars.Date[bar].Year, 10, 15);
					if (Bars.Date[bar] > date)
					{
						int cntMultiCondition1 = 0;
						int saveBar1 = bar;
						for(int i = slider1.ValueInt; i > 0; --i)
						{
							if (CrossOver(bar, macd, signal))
							{
								cntMultiCondition1++;
								break;
							}
							bar--;
						}
						bar = saveBar1;
						if (cntMultiCondition1 >= 1)
						{
							BuyAtClose(bar, "Group1|");
						}
					}
				
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					if (p.Active)
						{
					if (p.EntrySignal.Contains("Group1|"))
					{
						DateTime date_1 = new DateTime(Bars.Date[bar].Year, 4, 19);
						if (Bars.Date[bar] > date_1)
						{
							int cntMultiCondition2 = 0;
							int saveBar2 = bar;
							for(int i = slider2.ValueInt; i > 0; --i)
							{
								if (CrossUnder(bar, macd_2, signal_3))
								{
									cntMultiCondition2++;
									break;
								}
								bar--;
							}
							bar = saveBar2;
							if (cntMultiCondition2 >= 1)
							{
								SellAtClose(bar, p, "Group1");
							}
						}
					}

}
				}
			}
		}
	}
}[/code]

Eugene

4/11/2014 2:43 PM

Welcome to the forums Evan.

You can get multiple entries in the Rule Wizard when allowing multiple open positions (at the bottom), and using a Multi-Condition Group on top of that (this is what your code shows). This is presumably causing the strategy to misbehave.

To test "Sell in May and go away", there's a ready-made Strategy called >>> April_October that you can download straight from within WLP (be sure to follow Instructions for Script Download). If we add your additional rules and exclude the short trades, here's how it may look like:

CODE:
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Welcome to the forums Evan.

You can get multiple entries in the Rule Wizard when allowing multiple open positions (at the bottom), and using a Multi-Condition Group on top of that (this is what your code shows). This is presumably causing the strategy to misbehave.

To test "Sell in May and go away", there's a ready-made Strategy called >>> [link=http://www.wealth-lab.com/Strategy/Details/16]April_October[/link] that you can download straight from within WLP (be sure to follow [i]Instructions for Script Download[/i]). If we add your additional rules and exclude the short trades, here's how it may look like:

[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()
		{
			DataSeries macd = MACD.Series(Close);
			DataSeries signal = EMA.Series(macd, 9, EMACalculation.Modern);
			DataSeries hist = macd - signal;
			
			ChartPane paneMACD = CreatePane(25,true,true);
			PlotSeries(paneMACD,macd,Color.Maroon,LineStyle.Solid,2);
			PlotSeries(paneMACD,signal,Color.Black,LineStyle.Solid,1);
			PlotSeries(paneMACD, hist, Color.Black, LineStyle.Histogram, 2);
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				DateTime date = Date[bar].Date;
				
				if (IsLastPositionActive)
				{
					// sell the following year after April 20, whenever the MACD crosses below its EMA.
					if (CrossUnder(bar, macd, signal))
						if( ( date.Month == 4 ) & ( date.Day >= 20 ) )
							SellAtClose(bar,LastPosition,"Sell after Apr 20");
				}
				else
				{
					// buy when the MACD crosses above its 9-day EMA.
					if (CrossOver(bar, macd, signal))
						if( ( date.Month == 10 ) & ( date.Day >= 15 ) )
							BuyAtClose(bar,"Buy after Oct 15");
				}
			}
		}
	}
}[/code]

Macrophage

4/11/2014 4:38 PM

Thank you Eugene, that was useful. I noticed that the trades will not execute if the MACD has already crossed the EMA trigger prior to the dates I specified. I will try fiddling around with the code a little bit to see if I can figure this stuff out. I presume I'll have to insert some "ORs". Thanks again.