CMO with Profit Target - Wealth Lab Forum

CMO with Profit Target

Author: robz75

Creation Date: 9/5/2013 3:30 PM

Wealth Lab » Trading Strategies » CMO with Profit Target

robz75

9/5/2013 3:30 PM

two questions:

1. I am trying to add a stoploss paramter to the CMO profit target strategy and then optimize using the new Stoploss parameter. Have little programming knowledge so it is tough for me. I tried to push the stoploss parameter from the chart but do not see that option. Any other stop loss ideas would be helpful as well.

I do understand that adding a stoploss will decrease profits.

2. I would like to be able to pull in data to wealthlab using the dow emini futures contract (YM) as well. Any ideas on how to do this?

Thank you for your help

Eugene

9/5/2013 3:54 PM

QUOTE:
I am trying to add a stoploss paramter to the CMO profit target strategy and then optimize using the new Stoploss parameter.

Something like this?

CODE:
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[quote]I am trying to add a stoploss paramter to the CMO profit target strategy and then optimize using the new Stoploss parameter. [/quote]
Something like this?

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

namespace WealthLab.Strategies
{
    public class CMOSignalsWithProfitTarget : WealthScript
    {

StrategyParameter oversold;
		StrategyParameter overbought;
		StrategyParameter cmoPeriod;
		StrategyParameter profitTarget;
		StrategyParameter stopLoss;

public CMOSignalsWithProfitTarget()
        {
			oversold = CreateParameter("Oversold", -50, -70, -40, 10);
			overbought = CreateParameter("Overbought", 50, 40, 70, 10);
			cmoPeriod = CreateParameter("CMO Period", 20, 5, 10, 1);
			profitTarget = CreateParameter("Profit Target", 10, 5, 10, 1);
			stopLoss = CreateParameter("Stop Loss", 5, 5, 10, 1);
        }

protected override void Execute()
        {
            int lastBarBought = 0;
            PlotStops();

//Get parameter values
            int period = cmoPeriod.ValueInt;
			double target = profitTarget.Value / 100.0d + 1.0d;
			double stop = 1.0d - stopLoss.Value / 100.0d;
            int oversoldLevel = oversold.ValueInt;
            int overboughtLevel = overbought.ValueInt;

//Create and plot CMO indicator
            CMO cmo = CMO.Series(Close, period);
            ChartPane cmoPane = CreatePane(40, true, true);
            PlotSeriesOscillator(cmoPane, cmo, overboughtLevel, oversoldLevel, Color.Green, Color.Red, Color.CadetBlue, LineStyle.Solid, 1);

//Trading system loop
            for (int bar = period + 1; bar < Bars.Count; bar++)
            {
                //Buy when CMO crosses above oversold level
                if (CrossOver(bar, cmo, oversoldLevel))
                    if (LastActivePosition == null || LastActivePosition.EntryBar > Bars.Close[bar])
                        if (bar >= lastBarBought + 9)
                        {
                            BuyAtMarket(bar + 1, "CMO Oversold");
                            lastBarBought = bar + 1;
                        }
                //Exit rules
                foreach(Position pos in Positions)
                    if (pos.Active)
                    {
                        if (CrossOver(bar, cmo, overboughtLevel))
                            SellAtMarket(bar + 1, pos, "CMO Overbought");
							else if (!SellAtStop(bar + 1, pos, pos.EntryPrice * stop, "Stop loss"))
	                        	SellAtLimit(bar + 1, pos, pos.EntryPrice * target, "Profit target");
                    }                
            }
        }
    }
}[/code]

robz75

9/6/2013 4:45 PM

Eugene thx! You are the the man but i am sure you already know that! Net profit and draw down were not affected any where near as much as I thought. Any other systems that are simalr to CMO that you would recommend? Any ideas on how to load dow emini futures data to the Wealthlab platform?

Eugene

9/7/2013 2:17 AM

Thanks Rob.

QUOTE:
Any ideas on how to load dow emini futures data to the Wealthlab platform?

Just as usual: from the list of available extensions, switch to Providers, and maybe you find one that fits. Not sure about free ones there, but IQFeed (paid subscription required) should do.

robz75

12/9/2013 1:17 PM

Eugene, I am looking to add a timed bars exit (close position after certain number of bars) to the CMO strategy. Any chance you could add the code to strategy in this forum like you did with the stop loss? Also I see that you guys added WFO to Wealthlab which is great. Using the wfo on the CMO strategy does not seem to hold up but when I blind walk forward the back testing results they seem to hold fairly well. Blind walk forward meaning I run a back test for let’s say 7 months from Jan to July of this year, then change the date range to August - Dec and look at the results. Your thoughts on the wfo and blind walk forward would be appreciated.

Thanks!

Eugene

12/9/2013 1:59 PM

QUOTE:
Eugene, I am looking to add a timed bars exit (close position after certain number of bars) to the CMO strategy. Any chance you could add the code to strategy in this forum like you did with the stop loss?

Here you go:

CODE:
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[quote]Eugene, I am looking to add a timed bars exit (close position after certain number of bars) to the CMO strategy. Any chance you could add the code to strategy in this forum like you did with the stop loss?[/quote]

Here you go:

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

namespace WealthLab.Strategies
{
	public class CMOSignalsWithProfitTarget : WealthScript
	{

StrategyParameter oversold;
		StrategyParameter overbought;
		StrategyParameter cmoPeriod;
		StrategyParameter profitTarget;
		StrategyParameter stopLoss;
		StrategyParameter paramExitDays;

public CMOSignalsWithProfitTarget()
		{
			oversold = CreateParameter("Oversold", -50, -70, -40, 10);
			overbought = CreateParameter("Overbought", 50, 40, 70, 10);
			cmoPeriod = CreateParameter("CMO Period", 20, 5, 10, 1);
			profitTarget = CreateParameter("Profit Target", 10, 5, 10, 1);
			stopLoss = CreateParameter("Stop Loss", 5, 5, 10, 1);
			paramExitDays = CreateParameter("Exit after", 20, 1, 50, 1);
		}

protected override void Execute()
		{
			int lastBarBought = 0;
			PlotStops();

//Get parameter values
			int period = cmoPeriod.ValueInt;
			double target = profitTarget.Value / 100.0d + 1.0d;
			double stop = 1.0d - stopLoss.Value / 100.0d;
			int oversoldLevel = oversold.ValueInt;
			int overboughtLevel = overbought.ValueInt;
			int days = paramExitDays.ValueInt;

//Create and plot CMO indicator
			CMO cmo = CMO.Series(Close, period);
			ChartPane cmoPane = CreatePane(40, true, true);
			PlotSeriesOscillator(cmoPane, cmo, overboughtLevel, oversoldLevel, Color.Green, Color.Red, Color.CadetBlue, LineStyle.Solid, 1);

//Trading system loop
			for (int bar = period + 1; bar < Bars.Count; bar++)
			{
				//Buy when CMO crosses above oversold level
				if (CrossOver(bar, cmo, oversoldLevel))
					if (LastActivePosition == null || LastActivePosition.EntryBar > Bars.Close[bar])
						if (bar >= lastBarBought + 9)
						{
							BuyAtMarket(bar + 1, "CMO Oversold");
							lastBarBought = bar + 1;
						}
				//Exit rules
				foreach(Position pos in Positions)
					if (pos.Active)
					{
						if ( bar+1 - pos.EntryBar >= days )
							SellAtMarket( bar+1, pos, "Timed" ); 
						else
							if (CrossOver(bar, cmo, overboughtLevel))
								SellAtMarket(bar + 1, pos, "CMO Overbought");
							else if (!SellAtStop(bar + 1, pos, pos.EntryPrice * stop, "Stop loss"))
								SellAtLimit(bar + 1, pos, pos.EntryPrice * target, "Profit target");
					}                
			}
		}
	}
}[/code]

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