SellatMarket and SellatStop in the same script

Author: topcat77

Creation Date: 2/16/2009 6:58 PM

Wealth Lab » Trading Strategies » SellatMarket and SellatStop in the same script

topcat77

2/16/2009 6:58 PM

This momentum strategy exits once any one of a set of technical objectives
have been met. All of these exits are SellatMarket.

I would like to install an additional defensive exit condition which is to create a stop-at-entry-price after a trigger point gain has been achieved
(for example, if the price gains 2% from entry-price then establish a stop at entry-price). I have used the trailing-stop function for this before; however this would be a SellatStop exit.

I do not know how to script two sets of exits - one SellatLimit, the other Sellat TrailingStop - to work together

Help or direction would be v useful

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This momentum strategy exits once any one of a set of technical objectives
have been met. All of these exits are SellatMarket.

I would like to install an additional defensive exit condition which is to create a stop-at-entry-price after a trigger point gain has been achieved 
(for example, if the price gains 2% from entry-price then establish a stop at entry-price). I have used the trailing-stop function for this before; however this would be a SellatStop exit.

I do not know how to script two sets of exits - one SellatLimit, the other Sellat TrailingStop - to work together

Help or direction would be v useful

[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 maFast = EMAModern.Series(Close, 5);
			DataSeries maSlow = EMAModern.Series(Close, 15);
			DataSeries RSISeries = RSI.Series(Close, 14);
			DataSeries ma = EMAModern.Series(Close, 15);
			DataSeries diplus = DIPlus.Series(Bars,14);
			DataSeries diminus = DIMinus.Series(Bars,14);
			
			DataSeries BBUp = BBandUpper.Series( Close, 20, 2 );
			DataSeries BBL = BBandLower.Series (Close, 20, 2);

PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries (PricePane, BBL, Color.Blue, LineStyle.Solid, 2);

PlotSeries(PricePane,EMAModern.Series(Close,5),Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,EMAModern.Series(Close,15),Color.Green,LineStyle.Solid,2);
			ChartPane paneRSI = CreatePane(75,true,true);
			PlotSeries(paneRSI, RSISeries, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 75, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane,EMAModern.Series(Close,15),Color.Blue,LineStyle.Solid,2);
			ChartPane paneADX = CreatePane(75,true,true);
			PlotSeries(paneADX,diplus,Color.Purple,LineStyle.Solid,3);
			PlotSeries(paneADX,diminus,Color.Pink,LineStyle.Solid,3);

for(int bar = 16; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						if	 ((CrossOver(bar, RSISeries, 74))
							||
							((Close[bar]<ma[bar])&(Close[bar-1]<ma[bar-1]))
							||
							(diplus[bar]>=39)
							||
							(diminus[bar]<9))
						{	
							SellAtMarket(bar + 1, p, "Group1");
						}
					}
				}
						
				else
			
				{
					if (CrossOver(bar, maFast, maSlow))
					//signal counts
					if (maFast[bar]- maSlow[bar]>= .02)	
					
					//signal counts
					
					if ((Close[bar]- maSlow[bar])/(BBUp[bar]-maSlow[bar])<.7)
			
						
						
						
					{
						BuyAtMarket(bar + 1, "Group1|");
					}

}
			}
		}
	}
}[/CODE]

Eugene

2/17/2009 4:28 AM

CODE:
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Note that it's incorrect to start the main loop at bar #16: even Bollinger Bands period is 20 bars, and the RSI is an 'unstable' indicator. Therefore the trading loop here starts at three times RSI lookback period:
[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 maFast = EMAModern.Series(Close, 5);
			DataSeries maSlow = EMAModern.Series(Close, 15);
			DataSeries rsi  = RSI.Series(Close, 14);
			DataSeries diplus = DIPlus.Series(Bars,14);
			DataSeries diminus = DIMinus.Series(Bars,14);			
			DataSeries BBUp = BBandUpper.Series( Close, 20, 2 );
			DataSeries BBL = BBandLower.Series (Close, 20, 2);

for(int bar = rsi.FirstValidValue*3; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					bool sellSetup = (CrossOver(bar, rsi, 74)) ||
						((Close[bar]<maSlow[bar])&(Close[bar-1]<maSlow[bar-1])) ||
						(diplus[bar]>=39) || (diminus[bar]<9);					
					
					if (p.PositionType == PositionType.Long)
					{
						if( sellSetup )
							SellAtMarket(bar + 1, p, "Sell Setup"); 
						// for example, if the price gains 2% from entry-price then establish a stop at entry-price
						else if( p.NetProfitAsOfBarPercent(bar) >= 2 )
							SellAtStop(bar + 1, p, p.EntryPrice, "Breakeven");
					}
				}						
				else			
				{
					if( (CrossOver(bar, maFast, maSlow)) & (maFast[bar]- maSlow[bar]>= 0.02) &
						((Close[bar]- maSlow[bar])/(BBUp[bar]-maSlow[bar])<0.7) )
							BuyAtMarket(bar + 1);
				}
			}
			
			PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries (PricePane, BBL, Color.Blue, LineStyle.Solid, 2);
			PlotSeries(PricePane,EMAModern.Series(Close,5),Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,EMAModern.Series(Close,15),Color.Green,LineStyle.Solid,2);
			ChartPane paneRSI = CreatePane(75,true,true);
			PlotSeries(paneRSI, rsi, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 75, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane,EMAModern.Series(Close,15),Color.Blue,LineStyle.Solid,2);
			ChartPane paneADX = CreatePane(75,true,true);
			PlotSeries(paneADX,diplus,Color.Purple,LineStyle.Solid,3);
			PlotSeries(paneADX,diminus,Color.Pink,LineStyle.Solid,3);
		}
	}
}[/CODE]

topcat77

2/18/2009 8:45 PM

V helpful (and elegant)
Thank you

topcat77

2/23/2009 4:09 PM

Eugene

Looking at this in action it seems that NetProfitAsOfBarPercent uses
an observation at the close of a bar to trigger the Breakeven Stop.
I have searched in Wiki and in Advanced Searches (two entries) to find how it
may be possible for the function to use bar-highs instead - that is to use the
MFE for the position(so, for example, if NetProfitAsOfBarPercent occurred at the High for a bar
but not at its close, this would trigger the b/e stop)

The compiler does not like my (simple) attempts eg to go
NetProfitAsOfBarPercent(Close[bar]). What would be the right way to go about this?