Larry Connors High Probability ETF Trading

Author: jandrewnil

Creation Date: 12/21/2009 5:32 PM

Wealth Lab » Trading Strategies » Larry Connors High Probability ETF Trading

jandrewnil

12/21/2009 5:32 PM

I am new to C# and have not programed in years. Please review code and make suggestions to make it better. One question is how would you code the aggressive position (see comments in code).

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I am new to C# and have not programed in years.  Please review code and make suggestions to make it better.  One question is how would you code the aggressive position (see comments in code).

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

/*  Larry Connors High Probability ETF Trading
Rules
1. Above 200DMA
2. Below 5DMA
3. Lower Highs and Lows for Three (3) consequtive days
4. Buy at Close
5. Aggressive - Second Buy if prices closes lower than entry price while in position
6. Exit when closes above the 5DMA
Shorts rules revise of Long

namespace WealthLab.Strategies
{
	public class ThreeDayHighLow : WealthScript
	{
		protected override void Execute()
		{			  
			PadBars(3);
			
			SMA SMA200 = SMA.Series (Close, 200);
			SMA SMA5 = SMA.Series (Close, 5);
			
			PlotSeries (PricePane, SMA200, Color.Black, WealthLab.LineStyle.Solid, 2);
			PlotSeries (PricePane, SMA5, Color.Red, WealthLab.LineStyle.Solid, 2);
			
			for(int bar = 201; bar < Bars.Count; bar++)
			{ 
				if (IsLastPositionActive)
			
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains ("Short"))
					{
						if (Close[bar] < SMA5[bar])
						{
							CoverAtClose (bar, p, "Short - Below 5 SMA");
						}
					}
					if (p.EntrySignal.Contains ("Long"))
					{
						if (Close[bar] > SMA5[bar])
						{
							SellAtClose ( bar, LastPosition, "Long - Above 5 SMA");
						}
					}
				}
							
				else
				{
					//code your entry rules here
					if((Close[bar] < SMA200[bar])&
						(Close[bar] > SMA5[bar])&
						(High[bar] > High[bar-1])	&
						(Low[bar] > Low[bar-1]) &
						(High[bar-1] > High[bar-2]) &
						(Low[bar-1] > Low[bar-2]) &
						(High[bar-2] > High[bar-3]) &
						(Low[bar-2] > Low[bar-3]))
					{
						ShortAtClose(bar, "Short");
					}
					if((Close[bar] > SMA200[bar]) &
						(Close[bar] < SMA5[bar]) &
						(High[bar] < High[bar-1])	&
						(Low[bar] < Low[bar-1]) &
						(High[bar-1] < High[bar-2]) &
						(Low[bar-1] < Low[bar-2]) &
						(High[bar-2] < High[bar-3]) &
						(Low[bar-2] < Low[bar-3]))
					{
						BuyAtClose( bar, "Long" );
					}
				}
				
			}
	
		}	
	}
}
[/CODE]

Cone

12/21/2009 5:56 PM

1. You've used a lot of boolean "&". If you don't actually need all the conditions to be evaluated (you don't), use "&&".
2. Look up the CumUp and CumDown indicators to simplify. For example, your entry rules can be simplified to:

CODE:
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As for the agressiveness, that changes things more than you might think. The logic is written for a single Position and the entry and exit logic are mutually exclusive. When you start dealing with multiple positions, you shouldn't generally use "LastPosition" logic. Look up scripts that use ActivePositions.Count in the code, or, use the Strategy Builder with the Multi-Position option selected for exambples.