MA filter: how to take the crossover bar?

Author: Stigell

Creation Date: 6/11/2016 1:30 AM

Wealth Lab » WealthScript (.NET) » MA filter: how to take the crossover bar?

Stigell

6/11/2016 1:30 AM

Hello

I would like to add a very simple filter to the normal fast/slow MA system.

How do I take the High of the crossover Bar and keep it as entry point as long as the fast MA stays above the slow MA?

In tradestation it is something like this...

If Fast crosses above Slow Then EntryLevel=High;
If Fast > Slow then Buy ("long") next bar at BuyStop Stop:

Kind regards

S

Eugene

6/11/2016 6:21 AM

Hi,
There's a Position.EntryPrice property that lets you refer to the entry price directly. Check out the QuickRef (F11 key or F1 in the Editor) for its description and sample usage.

If you wish to keep an arbitary value then you can save it into a variable of applicable type (double, integer etc.) Here's how to refer to the crossover bar, for example:

CODE:
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Taking the built-in "Moving Average Crossover" for example, here's how it might look like:

CODE:
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Size:

Color:

Hi,
There's a Position.[b]EntryPrice[/b] property that lets you refer to the entry price directly. Check out the QuickRef (F11 key or F1 in the Editor) for its description and sample usage.

If you wish to keep an arbitary value then you can save it into a variable of applicable type (double, integer etc.) Here's how to refer to the crossover bar, for example:
[code]int xoBar = -1; double xoHigh = 0;
...

if( CrossOver(bar, fastMA, slowMA))
   {
   if( BuyAtMarket(bar+1) != null )
   {
      xoBar = bar; xoHigh = High[xoBar];
   }
}[/code]

Taking the built-in "Moving Average Crossover" for example, here's how it might look like:

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

namespace WealthLabCompile
{
	class MovingAverageCrossover2 : WealthScript
	{
		//Create parameters
		private StrategyParameter slowPeriod;
		private StrategyParameter fastPeriod;

public MovingAverageCrossover2()
		{
			fastPeriod = CreateParameter("Fast Period", 20, 1, 100, 1);
			slowPeriod = CreateParameter("Slow Period", 50, 20, 300, 5);      
		}

protected override void Execute()
		{
			//Obtain periods from parameters
			int fastPer = fastPeriod.ValueInt;
			int slowPer = slowPeriod.ValueInt;
      
			SMA smaFast = SMA.Series(Close, fastPer);
			SMA smaSlow = SMA.Series(Close, slowPer);

PlotSeries(PricePane, smaFast, Color.Green, LineStyle.Solid, 2);
			PlotSeries(PricePane, smaSlow, Color.Red, LineStyle.Solid, 2);
			
			// define variables to hold your values
			int xoBar = -1; double xoHigh = 0;

for (int bar = Math.Max(fastPer, slowPer); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					// self-descriptive
					double actualEntryPrice = LastPosition.EntryPrice;
					// your entry price and crossover level
					AnnotateBar((actualEntryPrice + "\t" + xoHigh).ToString(),bar,true,Color.Blue);
					
					if (CrossUnder(bar, smaFast, smaSlow))
						SellAtMarket(bar + 1, LastPosition);
				}
				else
				{
					if (CrossOver(bar, smaFast, smaSlow))
						// used to ensure that the Position has been actually taken
						// and not skipped due to position sizing constraints
						if( BuyAtMarket(bar + 1) != null )
						{
							// save your arbitrary values
							xoBar = bar; xoHigh = High[xoBar];
						}
				}
			}
		}
	}
}[/code]

Wealth Lab » WealthScript (.NET) » MA filter: how to take the crossover bar?