Number of stocks above their moving average for N periods

RainManRam

#1

11/16/2009 12:10 PM

I'm just starting out with WealthLab and am having a hard time getting started. I'd like to be able to create a strategy based on multiple symbols, for example the Dow 30. The idea being to look at what the individual components are doing and then trade the DIA.

Can someone point me in the right direction or point me at an example of to do something like this?

Thanks,
Ray

Eugene

#2

11/16/2009 12:51 PM

Ray,

Welcome aboard. Is this going to be a rule-based or code-based strategy? Can you decipher what "the individual components are doing"?

RainManRam

#3

11/16/2009 1:04 PM

At this point I'm assuming code based since I think the complexity will be more than the drag and drop rules can handle (can I create new drag and drop rules?). I'll take either as an example though since you can convert the rules to code. I can write code so even a conversion of a rule based example to code would shed some light on it for me.

Thanks!
Ray

Eugene

#4

11/16/2009 1:43 PM

There are numerous examples, but the phrase above isn't clear. The other components used as a custom index? Or something else?

RainManRam

#5

11/16/2009 2:19 PM

Perhaps a simplified concrete example might help. Let's say I want to open a DIA position if 20 of the 30 dow components are above their 20 period moving average and have been so for 2 periods.

Eugene

#6

11/16/2009 2:51 PM

Here's the example. However, note: you need to put DIA inside the Dow 30 dataset. Setting the context to a symbol in another dataset to create trades isn't supported, because we still miss the WatchList methods of the old WL4. But don't worry, DIA won't be included when calculating the number of stocks above the moving average:

CODE:
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Here's the example. However, note: you need to put DIA inside the Dow 30 dataset. Setting the context to a symbol in another dataset to create trades isn't supported, because we still miss the WatchList methods of the old WL4. But don't worry, DIA won't be included when calculating the number of stocks above the moving average:
[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 AboveMA : WealthScript
	{
		private StrategyParameter paramPeriod;
		
		public AboveMA()
		{
			paramPeriod = CreateParameter("MA Period", 20, 10, 100, 5);
		}
		
		protected override void Execute()
		{
			int period = paramPeriod.ValueInt;
			DataSeries OverMA = new DataSeries( Bars, String.Concat("Number above MA (",period," )") );
			
			for(int ds = 0; ds < DataSetSymbols.Count; ds++)
			{
				SetContext( DataSetSymbols[ds], true );
				if( Bars.Symbol == "DIA" )
					continue;
				for(int bar = period; bar < Bars.Count; bar++)
					if( Bars.Close[bar] > SMA.Series( Bars.Close,period )[bar] )
						OverMA[bar]++;
				RestoreContext();
			}

ChartPane omaPane = CreatePane(20,true,true);
			PlotSeries( omaPane, OverMA, Color.Blue, LineStyle.Histogram,2 );
			DrawHorzLine( omaPane, 20, Color.Red, LineStyle.Dashed,2 );
			
			/* Let's say I want to open a DIA position if 20 of the 30 dow components are above their 
			20 period moving average and have been so for 2 periods. */
			
			for(int bar = period; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					if( ( OverMA[bar] > 20 ) & ( OverMA[bar-1] > 20 ) )
					{
						SetContext( "DIA", true );	
						BuyAtMarket( bar+1 );
						RestoreContext();
					}
				}
			}
		}
	}
}[/CODE]