Trading on ETF based on its component stocks

Author: giorgos

Creation Date: 12/8/2012 4:17 PM

Wealth Lab » Trading Strategies » Trading on ETF based on its component stocks

giorgos

12/8/2012 4:17 PM

Need some help with a strategy. I want to buy or short the DIA when the majority of the 30 stocks in its index are bullish or bearish. A stock is bullish if its OBV is above the OBV 20 day SMA and steady or rising and it’s bearish if it is below and falling.
Any suggestions help on how to go about it would be greatly appreciated.

Eugene

12/9/2012 1:39 AM

Since you didn't specify exit conditions, I reversed the entry conditions.

Run in single symbol mode on any stock in your Dow 30 (!) DataSet.

CODE:
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Since you didn't specify exit conditions, I reversed the entry conditions.

Run in [b]single symbol mode[/b] on any stock in your [u][b]Dow 30[/b][/u] (!) DataSet.
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using System.Collections;

namespace WealthLab.Strategies
{
	public class BullishStocksOBV : WealthScript
	{
		private StrategyParameter paramPeriod;
		private StrategyParameter paramPercent;
		
		public BullishStocksOBV()
		{
			paramPeriod = CreateParameter("Period", 20, 1, 100, 1);
			paramPercent = CreateParameter("Percent", 5, 1, 50, 1);
		}
		
		protected override void Execute()
		{
			int period = paramPeriod.ValueInt;
			double pct = paramPercent.Value;
			DataSeries Bullish = new DataSeries( Bars, String.Concat("Bullish stocks (",period,",",pct," )") );
			DataSeries Bearish = new DataSeries( Bars, String.Concat("Bearish stocks (",period,",",pct," )") );
			
			for(int ds = 0; ds < DataSetSymbols.Count; ds++)
			{
				//A stock is bullish if its OBV is above the OBV 20 day SMA and steady or rising and it’s bearish if it is below and falling.
				SetContext( DataSetSymbols[ds], true );
				OBV obv = OBV.Series( Bars );
				SMA sma = SMA.Series( obv,period );
				
				for(int bar = period; bar < Bars.Count; bar++)
					if( obv[bar] > sma[bar] && sma[bar] > sma[bar-1] )
						Bullish[bar]++;
					else
						if( obv[bar] < sma[bar] && sma[bar] < sma[bar-1] )
						Bearish[bar]++;
				RestoreContext();
			}
			
			Bullish /= DataSetSymbols.Count;
			Bearish /= DataSetSymbols.Count;

ChartPane apPane = CreatePane(20,true,true);
			PlotSeries( apPane, Bullish * 100, Color.Blue, LineStyle.Histogram,2 );
			PlotSeries( apPane, Bearish * 100, Color.Red, LineStyle.Histogram,2 );
			DrawHorzLine( apPane, 20, Color.Red, LineStyle.Dashed,2 );
			
			for(int bar = GetTradingLoopStartBar(period); bar < Bars.Count; bar++)
			{
				string txt = string.Concat( "Bullish %: ", (Bullish[bar]*100).ToString("N2"), ", " , "Bearish %: ", (Bearish[bar]*100).ToString("N2"));
				
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( p.PositionType == PositionType.Long && Bullish[bar] < Bearish[bar] )
						SellAtMarket( bar+1,p,txt );
					else
					if( p.PositionType == PositionType.Short && Bullish[bar] > Bearish[bar] )
						CoverAtMarket( bar+1,p,txt );
				}
				else
				{
					SetContext( "DIA", true );
					if( Bullish[bar] > Bearish[bar] )
					{
						BuyAtMarket( bar+1, txt );
					}
					else if( Bullish[bar] < Bearish[bar] )
					{
						ShortAtMarket( bar+1, txt);
					}
					RestoreContext();
				}
			}
		}
	}
}[/CODE]

Eugene

12/9/2012 3:07 AM

And here is a stop-and-reverse system based on your rules:

CODE:
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And here is a stop-and-reverse system based on your rules:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using System.Collections;

namespace WealthLab.Strategies
{
	public class BullBearStocksOBV_SAR : WealthScript
	{
		private StrategyParameter paramPeriod;
		private StrategyParameter paramPercent;
		
		public BullBearStocksOBV_SAR()
		{
			paramPeriod = CreateParameter("Period", 20, 1, 100, 1);
			paramPercent = CreateParameter("Percent", 5, 1, 50, 1);
		}
		
		protected override void Execute()
		{
			int period = paramPeriod.ValueInt;
			double pct = paramPercent.Value;
			DataSeries Bullish = new DataSeries( Bars, String.Concat("Bullish stocks (",period,",",pct," )") );
			DataSeries Bearish = new DataSeries( Bars, String.Concat("Bearish stocks (",period,",",pct," )") );
			
			for(int ds = 0; ds < DataSetSymbols.Count; ds++)
			{
				//A stock is bullish if its OBV is above the OBV 20 day SMA and steady or rising and it’s bearish if it is below and falling.
				SetContext( DataSetSymbols[ds], true );
				OBV obv = OBV.Series( Bars );
				SMA sma = SMA.Series( obv,period );
				
				for(int bar = period; bar < Bars.Count; bar++)
					if( obv[bar] > sma[bar] && sma[bar] > sma[bar-1] )
						Bullish[bar]++;
					else
						if( obv[bar] < sma[bar] && sma[bar] < sma[bar-1] )
						Bearish[bar]++;
				RestoreContext();
			}
			
			Bullish /= DataSetSymbols.Count;
			Bearish /= DataSetSymbols.Count;

ChartPane apPane = CreatePane(20,true,true);
			PlotSeries( apPane, Bullish * 100, Color.Blue, LineStyle.Histogram,2 );
			PlotSeries( apPane, Bearish * 100, Color.Red, LineStyle.Histogram,2 );
			DrawHorzLine( apPane, 20, Color.Red, LineStyle.Dashed,2 );
			
			for(int bar = GetTradingLoopStartBar(period); bar < Bars.Count; bar++)
			{
				bool bull = Bullish[bar] > Bearish[bar];
				bool bear = Bullish[bar] < Bearish[bar];
				string txt = string.Concat( "Bullish %: ", (Bullish[bar]*100).ToString("N2"), ", " , "Bearish %: ", (Bearish[bar]*100).ToString("N2"));
				
				// The first trade
				if (Positions.Count == 0){
					if ( bull ) 
					{
						SetContext( "DIA", true );
						BuyAtMarket( bar + 1,txt );
						RestoreContext();
					}
					else if( bear )
					{
						SetContext( "DIA", true );
						ShortAtMarket( bar + 1,txt );
						RestoreContext();
					}
				}
					// Subsequent trades
				else 
				{
					Position p = LastPosition;				
					if ( p.PositionType == PositionType.Long ) 
					{
						if ( bear ) 
						{
							SellAtMarket( bar + 1, p );
							SetContext( "DIA", true );
							ShortAtMarket( bar + 1, txt );
							RestoreContext();
						}
					}
					else if ( bull ) 
					{
						CoverAtMarket( bar + 1, p );
						SetContext( "DIA", true );
						BuyAtMarket( bar + 1, txt );
						RestoreContext();
					}
				}
			}
		}
	}
}[/CODE]

giorgos

12/10/2012 11:12 AM

This is great thanks. With a little tweaking picks up all major moves on the up and down and outperforms. Need to figure out some filtering for some of the noisy trades.