Aroon up/down SAR strategy - Wealth Lab Forum

Aroon up/down SAR strategy

Author: slin68

Creation Date: 5/21/2010 10:59 PM

Wealth Lab » Technical Indicators » Aroon up/down SAR strategy

slin68

5/21/2010 10:59 PM

I created the following script based on Aroon Up and Down indicators. When I tested it using 80% equality margin 2:1 on C, it only had 3 trades and the rest of trades not included due to insufficient simulated captical. Then Can someone tell me why?

CODE:
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This is the result of 80% equality with 2:1 margin. My question is why the second short was covered, but not the first one. After cover short on the second, it seems IsLastPositionActive returns false. So the first short never get covered. Is there way to check if there is still position open?

Position Symbol Quantity Entry Date Entry Price Exit Date Exit Price Profit % Profit $ Bars Held Profit per Bar Entry Name Exit Name MAE % MFE %
Short C 74 1/26/2007 53.93 Open Open 91.34 $3,645.38 812 $4.49 Aroon buy short at open -3.20 98.00
Short C 83 3/1/2007 49.75 4/11/2007 52.41 -5.73 ($236.78) 29 ($8.16) Aroon buy short at open Aroon cover short at open -5.74 3.22
Long C 74 4/11/2007 52.41 Open Open -91.51 ($3,548.90) 761 ($4.66) Aroon long at open -98.36 5.78

if I change margin to 1, only the first row showed in the Trades, although there were plenty of opportunities to cover it based on the criteria. Can someone help?

Thanks

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[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 aroonUp = AroonUp.Series(Close, 14);
			DataSeries aroonDown = AroonDown.Series(Close, 14);
			ChartPane aroonPane = CreatePane(40, true, true);
			
			PlotSeries(aroonPane, aroonUp, Color.Red, LineStyle.Solid, 2);
			PlotSeries(aroonPane, aroonDown, Color.Blue, LineStyle.Solid, 2);
			
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//long and close short when the 14-period AroonUp is 100 and the 14-period AroonDown is 0
					if ( AroonUp.Value(bar, Close, 14) == 100 && AroonDown.Value(bar, Close, 14) == 0)
					{
						CoverAtMarket( bar + 1, LastActivePosition, "Aroon cover short at open" );
						BuyAtMarket( bar + 1, "Aroon long at open" );
					}
					
					//close long and enter short when the 14-period AroonUp is 0 and the 14-period AroonDown is 100
					if (AroonUp.Value(bar, Close, 14) == 0 && AroonDown.Value(bar, Close, 14) == 100)
					{
						SellAtMarket( bar + 1, LastActivePosition, "Aroon sell at open" );
						ShortAtMarket( bar + 1, "Aroon buy short at open" );
					}
					
				}
				else
				{
					if (AroonUp.Value(bar, Close, 14) == 100 && AroonDown.Value(bar, Close, 14) == 0)
					{
						BuyAtMarket( bar + 1, "Aroon long at open" );
					}
					
					if (AroonUp.Value(bar, Close, 14) == 0 && AroonDown.Value(bar, Close, 14) == 100)
					{
						ShortAtMarket( bar + 1, "Aroon buy short at open" );
					}
				}
			}
		}
	}
}[/CODE]

Position	Symbol	Quantity	Entry Date	Entry Price	Exit Date	Exit Price	Profit %	Profit $	Bars Held	Profit per Bar	Entry Name	Exit Name	MAE %	MFE %	
Short	C	74	1/26/2007	53.93	Open	Open	91.34	$3,645.38	812	$4.49	Aroon buy short at open		-3.20	98.00
Short	C	83	3/1/2007	49.75	4/11/2007	52.41	-5.73	($236.78)	29	($8.16)	Aroon buy short at open	Aroon cover short at open	-5.74	3.22
Long	C	74	4/11/2007	52.41	Open	Open	-91.51	($3,548.90)	761	($4.66)	Aroon long at open		-98.36	5.78

if I change margin to 1, only the first row showed in the Trades, although there were plenty of opportunities to cover it based on the criteria. Can someone help?

Thanks

Eugene

5/22/2010 3:03 AM

See this Wiki link for a code pattern of stop-and-reverse system to follow:

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

Here's your fixed code:

CODE:
Please log in to see this code.

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See this Wiki link for a code pattern of stop-and-reverse system to follow:

[LINK=http://www2.wealth-lab.com/WL5WIKI/kbSAR.ashx]WealthScript Techniques | Creating a Stop-And-Reverse (SAR) system[/LINK]

Here's your fixed code:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class SARStrategy : WealthScript
	{
		protected override void Execute()
		{
			DataSeries aroonUp = AroonUp.Series(Close, 14);
			DataSeries aroonDown = AroonDown.Series(Close, 14);
			ChartPane aroonPane = CreatePane(40, true, true);
			
			PlotSeries(aroonPane, aroonUp, Color.Red, LineStyle.Solid, 2);
			PlotSeries(aroonPane, aroonDown, Color.Blue, LineStyle.Solid, 2);

for(int bar = GetTradingLoopStartBar(14); bar < Bars.Count; bar++)
			{
				//long and close short when the 14-period AroonUp is 100 and the 14-period AroonDown is 0
				bool Long = (aroonUp[bar] == 100) && (aroonDown[bar] == 0);
				//close long and enter short when the 14-period AroonUp is 0 and the 14-period AroonDown is 100
				bool Short = (aroonUp[bar] == 0) && (aroonDown[bar] >= 100);					
				// The first trade
				if (Positions.Count == 0){
					if ( Long ) 
						BuyAtMarket( bar + 1, "Aroon long at open" );
					else if( Short )
						ShortAtMarket( bar + 1, "Aroon short at open" );
				}
					// Subsequent trades
				else 
				{
					Position p = LastPosition;				
					if ( p.PositionType == PositionType.Long ) 
					{
						if ( Short ) 
						{
							SellAtMarket( bar + 1, p, "Aroon sell at open" );
							ShortAtMarket( bar + 1, "Aroon short at open" );
						}
					}
					else if ( Long ) 
					{
						CoverAtMarket( bar + 1, p, "Aroon cover short at open" );
						BuyAtMarket( bar + 1, "Aroon long at open" );
					}
				}				
			}
		}
	}
}[/CODE]

slin68

5/22/2010 2:13 PM

Thank you so much for quick response! That helps. I'm new to Wealth-Lab. I'd like to learn the coding techniques such as the link you provided, but I'm still not sure how to get these references quickly. Is there a central wiki page that I can look for answers? The help manual in Wealth-Lab is helpful, but not like the one you provided. Also, no indicator reference. If you can point me some links, that'll be great. Thanks,

Eugene

5/22/2010 2:24 PM

* On this web site, go to Support > Knowledge Base > Wealth-Lab Wiki (indicator reference, KB, and lots more)
* WealthScript Programming Guide (Help menu)
* The QuickRef (Help menu)