Stop and reverse strategy based on SMA crossover/crossunder

caseyjay_48

#1

10/25/2008 8:23 PM

First Post for new member!
Trying to make simple strategy based on fast/slow SMA crossover on crossunder
On crossunder, I want to sell my long and begin a short
On crossunder, I want to cover my short and begin a long

My code(below) will not trade past beginning the short, even though running them separately will get all of the crosses.

Any help would be appreciated (or a ref if this has already been solved)

CODE:
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Eugene

#2

10/26/2008 12:58 AM

Welcome to the forums.

Here is your stop and reverse system:

CODE:
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Can you elaborate on those on-tomorrow's-close orders?

caseyjay_48

#3

10/26/2008 12:19 PM

Thanks for the example Eugene!
Obviously you already had thought about this.
The particular entry and exit criteria that I had in my post were just made up to be simple, so I wouldn't get confused when someone like yourself offered some help. The main thing I was looking for was the code logic of the reversal from "bear" to a "bull" conditions involving a long and short posistion.
When I detect "bear" conditions, then I would sell my long and then go short.
When I detect "bull" conditions, then I would cover my short and then go long.
"Bull" and "bear" being mutually exclusive.

My criteria to detect "bull" or "bear" conditions are more complex than shown.

I haven't go a chance yet to incorporate your code suggestions, but I will report on their success.
Tnx Again!!

Eugene

#4

10/26/2008 12:34 PM

QUOTE:
My criteria to detect "bull" or "bear" conditions are more complex than shown.

Anticipating this, the dummy conditions were moved into a pair of boolean variables (maXo, maXu) to easily swap with different ideas.

gbullr

#5

10/2/2015 7:39 PM

Eugene or Cone.

Would you mind adding a cooledoff thing to the above code.

I am having a hell of a time doing it.

Thanks.

Eugene

#6

10/3/2015 2:25 AM

Well, let's see how you're doing it and we'll explain what's wrong in there. Show us what you've come up with.

gbullr

#7

10/4/2015 5:44 PM

For example.

In the code below there are trade on 9/11 and 9/12 so there does no appear to be a delay.

I am trading this fred download: BAMLHYH0A0HYM2TRIV

Thanks again.

CODE:
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For example.

In the code below there are trade on 9/11 and 9/12 so there does no appear to be a delay.

I am trading this fred download: BAMLHYH0A0HYM2TRIV

Thanks again.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	public class CooledOffDemo : WealthScript
	{
		
		StrategyParameter delayEntry;
		StrategyParameter sPer;		
		StrategyParameter lPer;	
		
		
		public CooledOffDemo()
		{
			delayEntry = CreateParameter("dEntry",1,1,5,1);
			sPer = CreateParameter("sPer",5,5,50,1);
			lPer = CreateParameter("lPer",40,40,400,20);
			
		}

protected override void Execute()
		{   
		
			
			
				Bars extOas = GetExternalSymbol("FRED(Daily)","BAMLH0A0HYM2EY", true); 
			//	Bars extTr = GetExternalSymbol("FRED(Daily)","BAMLHYH0A0HYM2TRIV", true); 
		
			DataSeries oasAvg = SMA.Series(extOas.Close,sPer.ValueInt);
			DataSeries oasAvgL = SMA.Series(extOas.Close,lPer.ValueInt);
			
			DataSeries maxOas = new DataSeries(Bars,"maxoas"); // I finally understood the point of this!! 
			
			for (int bar = 1; bar < Bars.Count; bar++)  
			{
								
				if ( oasAvg[bar] > oasAvgL[bar])
				
					maxOas[bar] = oasAvg[bar];
				
				else
					maxOas[bar] = oasAvgL[bar];
			}
			
		
			//DataSeries rocBond = ROC.Series(extBond.Close,bondPer.ValueInt);
			
			ChartPane pane1 = CreatePane(75,true,true);
			//ChartPane pane2 = CreatePane(25,true,true);
			
			
			PlotSymbol(pane1,extOas,Color.Blue,Color.Orange);
			PlotSeries(pane1,oasAvg,Color.Blue,LineStyle.Solid,2);
			PlotSeries(pane1,oasAvgL,Color.Orange,LineStyle.Solid,2);
			PlotSeries(pane1,maxOas,Color.Purple,LineStyle.Solid,2);
			
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				
				//bool maXo = CrossOver(bar,extOas.Close,maxOas[bar-1]);
				//bool maXu = CrossUnder(bar,extOas.Close,maxOas[bar-1]);
			
				bool maXo = CrossOver(bar,oasAvg,maxOas[bar-1]);
				bool maXu = CrossUnder(bar,oasAvg,maxOas[bar-1]);
			 
				PositionHelper ph = new PositionHelper(this);
				
				// The first trade
				if (Positions.Count == 0){
					if ( ph.CooledOff (bar,delayEntry.ValueInt) &&  maXo ) 
						ShortAtMarket( bar+1 );
					else if( ph.CooledOff (bar,delayEntry.ValueInt) &&  maXu )
						BuyAtMarket( bar+1  );
				}
					// Subsequent trades
				else 
				{
					Position p = LastPosition;				
					if ( ph.CooledOff (bar,delayEntry.ValueInt) && p.PositionType == PositionType.Long ) 
					{
						if ( maXo ) 
						{
							SellAtMarket( bar+1 , p );
							ShortAtMarket( bar+1 );
						}
					}
					else if ( ph.CooledOff (bar,delayEntry.ValueInt) && maXu ) 
					{
						CoverAtMarket( bar+1 , p );
						BuyAtMarket( bar+1  );
					}
				}
			}
		}
	}
}[/code]

Eugene

#8

10/4/2015 6:23 PM

The way you applied CooledOff is that it affected exits. Here's the corrected revision fixing another error and making something more streamlined:

CODE:
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Color:

The way you applied CooledOff is that it affected exits. Here's the corrected revision fixing another error and making something more streamlined:

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

namespace WealthLab.Strategies
{
	public class CooledOffSAR : WealthScript
	{
		StrategyParameter delayEntry;
		StrategyParameter sPer;      
		StrategyParameter lPer;   
      
		public CooledOffSAR()
		{
			delayEntry = CreateParameter("dEntry",1,1,5,1);
			sPer = CreateParameter("sPer",5,5,50,1);
			lPer = CreateParameter("lPer",40,40,400,20);
		}

protected override void Execute()
		{   
			Bars extOas = GetExternalSymbol("FRED(Daily)","BAMLH0A0HYM2EY", true); 
			DataSeries oasAvg = SMA.Series(extOas.Close,sPer.ValueInt);
			DataSeries oasAvgL = SMA.Series(extOas.Close,lPer.ValueInt);
         
			DataSeries maxOas = new DataSeries(Bars,"maxoas"); // I finally understood the point of this!! 
         
			for (int bar = 1; bar < Bars.Count; bar++)  
			{
				maxOas[bar] = ( oasAvg[bar] > oasAvgL[bar]) ? oasAvg[bar] : oasAvgL[bar];
			}
      
			ChartPane pane1 = CreatePane(75,true,true);
			PlotSymbol(pane1,extOas,Color.Blue,Color.Orange);
			PlotSeries(pane1,oasAvg,Color.Blue,LineStyle.Solid,2);
			PlotSeries(pane1,oasAvgL,Color.Orange,LineStyle.Solid,2);
			PlotSeries(pane1,maxOas,Color.Purple,LineStyle.Solid,2);
         
			for(int bar = GetTradingLoopStartBar(Math.Max(lPer.ValueInt,sPer.ValueInt)); bar < Bars.Count; bar++)
			{
				bool maXo = CrossOver(bar,oasAvg,maxOas[bar-1]);
				bool maXu = CrossUnder(bar,oasAvg,maxOas[bar-1]);
          
				// The first trade
				if (Positions.Count == 0){
					if ( maXo ) 
						ShortAtMarket( bar+1 );
					else if( maXu )
						BuyAtMarket( bar+1  );
				}
					// Subsequent trades
				else 
				{
					Position p = LastPosition;            
					if ( p.PositionType == PositionType.Long ) 
					{
						if ( maXo ) 
						{
							SellAtMarket( bar+1 , p );
							if( this.CooledOff (bar,delayEntry.ValueInt) )
								ShortAtMarket( bar+1 );
						}
					}
					else if ( maXu )
					{
						CoverAtMarket( bar+1 , p );
						if( this.CooledOff (bar,delayEntry.ValueInt) )
							BuyAtMarket( bar+1  );
					}
				}
			}
		}
	}
}[/code]