Simple Long Short SMA CrossOver

Author: stevecle

Creation Date: 8/15/2011 9:59 PM

Wealth Lab » Trading Strategies » Simple Long Short SMA CrossOver

stevecle

8/15/2011 9:59 PM

How can I adapt the existing SMA Crossover Code (Strategy = "Moving Average Crossover Long") to ALSO go short when the fast sma crosses the slow sma (and cover the short when the opposite occurs). In other words, a stock will always be either long or short. Many Thanks!

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How can I adapt the existing SMA Crossover Code (Strategy = "Moving Average Crossover Long") to ALSO go short when the fast sma crosses the slow sma (and cover the short when the opposite occurs).  In other words, a stock will always be either long or short.  Many Thanks!

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

namespace WealthLabCompile
{
  class MovingAverageCrossover : WealthScript
  {
    //Create parameters
    private StrategyParameter slowPeriod;
    private StrategyParameter fastPeriod;

public MovingAverageCrossover()
    {
        fastPeriod = CreateParameter("Fast Period", 20, 1, 100, 1);
        slowPeriod = CreateParameter("Slow Period", 50, 20, 300, 5);      
    }

protected override void Execute()
    {
        //Obtain periods from parameters
        int fastPer = fastPeriod.ValueInt;
        int slowPer = slowPeriod.ValueInt;
      
        SMA smaFast = SMA.Series(Close, fastPer);
        SMA smaSlow = SMA.Series(Close, slowPer);

PlotSeries(PricePane, smaFast, Color.Green, LineStyle.Solid, 2);
        PlotSeries(PricePane, smaSlow, Color.Red, LineStyle.Solid, 2);

for (int bar = Math.Max(fastPer, slowPer); bar < Bars.Count; bar++)
        {
            if (IsLastPositionActive)
            {          
              if (CrossUnder(bar, smaFast, smaSlow))
                SellAtMarket(bar + 1, LastPosition);
            }
            else
            {
              if (CrossOver(bar, smaFast, smaSlow))
                BuyAtMarket(bar + 1);
            }
        }
    }
  }
}[/CODE]

Eugene

8/16/2011 12:36 AM

This is called a stop-and-reverse (SAR, always in market) system and is illustrated in this Wealth-Lab Wiki Knowledge Base article:

WealthScript Techniques | Creating a Stop-And-Reverse (SAR) system