C# Strategy Designer
TASC Oct 2022 (Enhanced Version)
Published by Springroll on 1/9/2023
This is an experiment with a system I "stole" from TASC Oct. 2022. Using the WL code presented there, I extended it with a long term market filter to reduce drawdowns during market meltdowns in 2015, 2016, 2018, 2020 and 2022. The system can be used in an aggressive mode, which provides higher profits, but also slightly expands drawdowns. The idea behind the aggressive mode would be to use it when the markets are in a clear bull mode (which could be incorporated in a next step). I have tested the system with TQQQ or QLD. QLD is less volatile and therefore has a slightly higher Sharpe Ratio. TQQQ achieves higher profits and higher drawdowns, but still shines with good metrics data.
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Moving Average Crossover
Oscillator Oversold
Channel Breakout
3x2 System
C# Strategy Tips

• Strategies are coded in the C# language and utilize the Microsoft .NET framework.

• Your Strategy is a .NET class derived from the UserStrategyBase base class.

• Override Initialize to perform one-time tasks like creating indicators.

• Override Execute, which is called once for every bar of data being processed, to implement your trading rules.

• Check the Online WealthLab Framework Reference for documentation on classes and methods.