Multi-Time Frame Trading Strategy with Bollinger Bands

Author: NoelG80

Creation Date: 12/10/2014 7:33 AM

Wealth Lab » Trading Strategies » Multi-Time Frame Trading Strategy with Bollinger Bands

NoelG80

12/10/2014 7:33 AM

Hi,

i would like to create a trading strategy in Wealth Lab and have unfortunately no idea, how to code it.

The Setup is as follows:

The time-frames should be daily and weekly. In both time-frames the bollinger bands with 20 periods and a Standard Deviation of 2.0 are the indicators chosen. In addition the Simple Moving Average with 20 periods is also used as an indicator in both time-frames.

The Strategy should now trade as follows:

BUY when the Price is BELOW the lower Bollinger Band on DAILY Basis AND the Price is ABOVE the SMA 20 on WEEKLY Basis.

SELL when the Price is ABOVE the upper Bollinger Band on DAILY Basis AND the Price is BELOW the SMA 20 on WEEKLY basis.

Is it possible to code such a strategy?

If you have any further questions, please do not hesitate to ask and many thanks in advance for your help.

Greetings,

Steffen

Cone

12/10/2014 9:13 AM

Sure it's possible, piece of cake. There's even a pretty good example for you in the WealthScript Programming Guide > Multi-Time Frame Analysis > Daily/Weekly

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Sure it's possible, piece of cake. There's even a pretty good example for you in the WealthScript Programming Guide > Multi-Time Frame Analysis > Daily/Weekly

[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()
		{
 /*
 BUY when the Price is BELOW the lower Bollinger Band on DAILY Basis AND the Price is ABOVE the SMA 20 on WEEKLY Basis.
 SELL when the Price is ABOVE the upper Bollinger Band on DAILY Basis AND the Price is BELOW the SMA 20 on WEEKLY basis. 
 */         
			if( Bars.Scale != BarScale.Daily ) return;
   
			int weeklyperiod = 20;
			SetScaleWeekly();
			DataSeries WeeklySMA = SMA.Series( Bars.Close, weeklyperiod );
			RestoreScale();
			WeeklySMA = Synchronize( WeeklySMA );
			WeeklySMA.Description = "Weekly MACD";
	
			DataSeries bbL = BBandLower.Series(Close, 20, 2.0);
			DataSeries bbU = BBandUpper.Series(Close, 20, 2.0);
 
			for(int bar = weeklyperiod * 5; bar < Bars.Count; bar++)
			{
				double price = Close[bar];
		
				if (IsLastPositionActive)
				{
					if( price > bbU[bar] && price < WeeklySMA[bar] )
						SellAtMarket( bar+1, LastPosition, "Weekly MACD xu 0" );
				}
				else
				{
					if( price < bbL[bar] && price > WeeklySMA[bar] )
						BuyAtMarket( bar+1, "Daily MACD xo 0" );
				}
			}
  
			PlotSeries( PricePane, WeeklySMA, Color.Blue, WealthLab.LineStyle.Solid, 2 );
			PlotSeriesDualFillBand(PricePane, bbU, bbL, Color.FromArgb(30, Color.Gray), Color.Transparent, Color.Black, LineStyle.Solid, 1);
		}

}
}[/code]

NoelG80

12/10/2014 9:50 AM

Thanks Cone for the very fast and superb help. This really helps me out.

As I forgot something, i got one last question:

How can I code exit parameters like e.g. a Profit Target of 20 % and a Stop Loss at 10 % in both of the strategies?

I tried it out with the examples on the Programming Guide, but I can't make it working.

Thanks again in advance. I appreciate your help very much.

Greetings,

Steffen

Eugene

12/10/2014 9:56 AM

QUOTE:
How can I code exit parameters like e.g. a Profit Target of 20 % and a Stop Loss at 10 % in both of the strategies?

Here's how:

CODE:
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[quote]How can I code exit parameters like e.g. a Profit Target of 20 % and a Stop Loss at 10 % in both of the strategies? [/quote]

Here's how:

[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
	{
		private StrategyParameter paramSL;
		private StrategyParameter paramPT;
	
		public MyStrategy()
		{
			paramSL = CreateParameter("Stop Loss %", 10, 1, 50, 1);
			paramPT = CreateParameter("Profit Target %", 20, 2, 100, 1);
		}
		
		protected override void Execute()
		{
 /*
 BUY when the Price is BELOW the lower Bollinger Band on DAILY Basis AND the Price is ABOVE the SMA 20 on WEEKLY Basis.
 SELL when the Price is ABOVE the upper Bollinger Band on DAILY Basis AND the Price is BELOW the SMA 20 on WEEKLY basis. 
 */         
			if( Bars.Scale != BarScale.Daily ) return;
   
			double SL = paramSL.Value, PT = paramPT.Value;
			int weeklyperiod = 20;
			SetScaleWeekly();
			DataSeries WeeklySMA = SMA.Series( Bars.Close, weeklyperiod );
			RestoreScale();
			WeeklySMA = Synchronize( WeeklySMA );
			WeeklySMA.Description = "Weekly MACD";
   
			DataSeries bbL = BBandLower.Series(Close, 20, 2.0);
			DataSeries bbU = BBandUpper.Series(Close, 20, 2.0);
 
			for(int bar = weeklyperiod * 5; bar < Bars.Count; bar++)
			{
				double price = Close[bar];
      
				if (IsLastPositionActive)
				{
					Position p = LastPosition;					
					double Stop = p.EntryPrice * (1 - SL / 100.0d);
					double Target = p.EntryPrice * (1 + PT / 100.0d);
					
					if( price > bbU[bar] && price < WeeklySMA[bar] )
						SellAtMarket( bar+1, p, "Weekly MACD xu 0" );
					else
						if( !SellAtStop(bar + 1, p, Stop, "Stop Loss") )
							SellAtLimit(bar + 1, p, Target, "Profit Target");
					
					
				}
				else
				{
					if( price < bbL[bar] && price > WeeklySMA[bar] )
						BuyAtMarket( bar+1, "Daily MACD xo 0" );
				}
			}
  
			PlotSeries( PricePane, WeeklySMA, Color.Blue, WealthLab.LineStyle.Solid, 2 );
			PlotSeriesDualFillBand(PricePane, bbU, bbL, Color.FromArgb(30, Color.Gray), Color.Transparent, Color.Black, LineStyle.Solid, 1);
		}

}
}[/code]