40 Day Channel Breakout w/ Trend Filter

Author: AALMOHSEN

Creation Date: 4/29/2014 5:43 AM

Wealth Lab » Trading Strategies » 40 Day Channel Breakout w/ Trend Filter

AALMOHSEN

4/29/2014 5:43 AM

Hi,

Please find the code below, i built this code using the wizard. it enter Long when price is above 40 day high with a trend filter. What i dont understand why the use of ROC in the data series. is there a way to use a more basic code for this strategy? im not a programmer.

Your comments on this code is highly appreciated. Thanks in advance.

CODE:
Please log in to see this code.

Size:

Color:

Hi,

Please find the code below, i built this code using the wizard.  it enter Long when price is above 40 day high with a trend filter.  What i dont understand why the use of ROC in the data series. is there a way to use a more basic code for this strategy?  im not a programmer.

Your comments on this code is highly appreciated.  Thanks in advance.

[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 maFast = SMA.Series(Close, 20);
			DataSeries maSlow = SMA.Series(Close, 40);
			DataSeries maFast_2 = SMA.Series(Close, 20);
			DataSeries maSlow_3 = SMA.Series(Close, 40);
			DataSeries H40 = Highest.Series(High, 40);
			DataSeries L40 = Lowest.Series(Low, 40);

PlotStops();
			PlotSeries(PricePane,SMA.Series(Close,20),Color.Red,LineStyle.Solid,1);
			PlotSeries(PricePane,SMA.Series(Close,40),Color.Green,LineStyle.Solid,1);
			PlotSeries(PricePane,H50>>1,Color.Blue,LineStyle.Solid,2);
			PlotSeries(PricePane,L50>>1,Color.Black,LineStyle.Solid,2);

for(int bar = GetTradingLoopStartBar(101); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))//this tests if this is a buy or sell signal
					{
						SellAtTrailingStop( bar+1, p, p.HighestHighAsOfBar(bar) - 3*ATR.Value( bar, Bars, 14 ), "Group1" );//EXIT Long Entry
					}
					if (p.EntrySignal.Contains("Group2|"))
					{
						CoverAtTrailingStop( bar+1, p, p.LowestLowAsOfBar(bar) + 3*ATR.Value( bar, Bars, 14 ), "Group2" );  //EXIT Short Entry
					}

}
				else
				{
					if (ROC.GetSeriesValue(bar,Close)>=Highest.Value(bar,Close,40)) //Enter Long
					{
						if (maFast[bar]>maSlow[bar])
						{
							BuyAtMarket(bar + 1, "Group1|");
						}
					}
					if (ROC.GetSeriesValue(bar,Close)<=Lowest.Value(bar,Close,40))  //Enter Short
					{
						if (maFast_2[bar]>maSlow_3[bar]);
						{
							ShortAtMarket(bar + 1, "Group2|");
						}
					}

}
			}
		}
	}
}[/code]

Eugene

4/29/2014 12:04 PM

Hi Abdulla,

QUOTE:
What i dont understand why the use of ROC in the data series.

Not only you. ;) Furthermore, it does not always behave as one'd expect it to: "Price crosses below price from previous day" does not always work. Consequently, this ROC.GetSeriesValue piece is going to be replaced with more straightforward code in an upcoming update.

Here's a streamlined version of your code:

CODE:
Please log in to see this code.

Size:

Color:

Hi Abdulla,

[quote]What i dont understand why the use of ROC in the data series. [/quote]
Not only you. ;) Furthermore, it does not always behave as one'd expect it to: [link=http://www.wealth-lab.com/Forum/Posts/-quot-Price-crosses-below-price-from-previous-day-quot-does-not-always-work-33963/Page/1#179119]"Price crosses below price from previous day" does not always work[/link]. Consequently, this ROC.GetSeriesValue piece is going to be replaced with more straightforward code in an upcoming update.

Here's a streamlined version of your code:

[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 maFast = SMA.Series(Close, 20);
			DataSeries maSlow = SMA.Series(Close, 40);
			DataSeries H40 = Highest.Series(High, 40);			
			DataSeries L40 = Lowest.Series(Low, 40);
			ATR atr = ATR.Series(Bars,14);
			LineStyle ls = LineStyle.Solid;

PlotStops();
			PlotSeries(PricePane,maFast,Color.Red,ls,1);
			PlotSeries(PricePane,maSlow,Color.Green,ls,1);
			PlotSeries(PricePane,H40>>1,Color.Blue,ls,2);
			PlotSeries(PricePane,L40>>1,Color.Black,ls,2);

for(int bar = GetTradingLoopStartBar(41); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( p.PositionType == PositionType.Long )
						SellAtTrailingStop( bar+1, p, p.HighestHighAsOfBar(bar) - 3*atr[bar] );
					else
						CoverAtTrailingStop( bar+1, p, p.LowestLowAsOfBar(bar) + 3*atr[bar] );
				}
				else
				{
					if (Close[bar] >= H40[bar] && maFast[bar]>maSlow[bar])
						BuyAtMarket(bar + 1, "Long");
					
					if (Close[bar] <= L40[bar] && maFast[bar]>maSlow[bar])
						ShortAtMarket(bar + 1, "Short");
				}
			}
		}
	}
}[/code]