baum's 'My Version of CMOModified With StochRS

Author: dizzydeane

Creation Date: 9/1/2008 3:32 AM

Wealth Lab » Trading Strategies » baum's 'My Version of CMOModified With StochRS

dizzydeane

9/1/2008 3:32 AM

As an example, could someone convert the following WL4 code to WL5? It was written by a German named baum on July 28, 2004. Thanx.

CODE:
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Here it goes. Note the following differences:

1. The order of stops - moved the trailing stop to the bottom of the list because market orders should have preference over stops (for more information and an example, see WealthScript Programming Guide, Programming Trading Strategies > Peeking).

It can and will affect backtesting results.

2. ActivePositions: a great time saver. Wealth-Lab will loop through only active positions because native support for such collection exists in WL .NET.

CODE:
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Size:

Color:

Here it goes. Note the following differences:

1. The order of stops - moved the trailing stop to the bottom of the list because market orders should have preference over stops (for more information and an example, see WealthScript Programming Guide, [i]Programming Trading Strategies > Peeking[/i]).

It can and will affect backtesting results.

2. [i]ActivePositions[/i]: a great time saver. Wealth-Lab will loop through only active positions because native support for such collection exists in WL .NET.

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

namespace WealthLab.Strategies
{
	public class baumStochRSIMod : WealthScript
	{
		private StrategyParameter timeBasedExit;
		
		public baumStochRSIMod()
		{
			timeBasedExit = CreateParameter("Time-based exit", 15, 2, 50, 1);
		}
		
		protected override void Execute()
		{
			int timedExit = timeBasedExit.ValueInt;
			WealthLab.LineStyle ls = LineStyle.Solid; WealthLab.LineStyle ld = LineStyle.Dotted;
			
			DataSeries StochRSISer = StochRSI.Series( Close, 14 );
			ChartPane StochRSIPane = CreatePane( 30, true, true );
			PlotSeries( StochRSIPane, StochRSISer, Color.Maroon, ls, 2 );
			DrawHorzLine( StochRSIPane, 70, Color.Silver, ld, 1 );
			DrawHorzLine( StochRSIPane, 30, Color.Silver, ld, 1 );

// Plot 20 day CMO in new chart pane
			CMO cmo20 = CMO.Series( Close, 20 );
			ChartPane nPane = CreatePane( 30, true, false );
			PlotSeries( nPane, cmo20, Color.Blue, ls, 1 );
			SetPaneMinMax( nPane, -60, 60 );
			DrawHorzLine( nPane, 0, Color.Black, ls, 1 );
			DrawHorzLine( nPane, 50, Color.Black, ls, 1 );
			DrawHorzLine( nPane, -50, Color.Black, ls, 1 );
			
			for(int bar = 20*3; bar < Bars.Count; bar++)
			{
				for (int p = ActivePositions.Count - 1; p > -1; p-- )
				{
					Position pos = ActivePositions[p];
					if( ( cmo20[bar] > 20 ) &
						StochRSI.Series( Close, 2 )[bar] > 90 )
							SellAtMarket(bar + 1, pos, "exit");
					else
					if (bar + 1 - pos.EntryBar >= timedExit)
					{
						SellAtMarket(bar + 1, pos, "Exit after " + timedExit.ToString() + " bars");
					}
					else
						SellAtAutoTrailingStop( bar, pos, 10, ( 100 - 70 ) );
				}
				
				if( ( StochRSI.Series( Close, 14 )[bar] == 0 ) &
					( cmo20[bar] < -28 ) )
						BuyAtMarket( bar + 1 );

}
		}
	}
}
[/CODE]

dizzydeane

9/2/2008 4:26 PM

Wow, thanx, Eugene. Amazing. You took only 9 minutes from WL4 to WL5 including receipt, rewrite & posting. It's amazing how close the 2 codes are. Thanx again.