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ActiveTrader 2009-04 | The Impulse filter

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Modified on 2009/03/08 20:57 by Eugene Categorized as Active Trader Strategies

(10) » CIV (Cumulative Intraday Volume) » GetPositionSize » ActiveTrader 2009-04 | The Impulse filter

These strategies were featured in the April, 2009 issue of Active Trader magazine.

Strategy 1 rules (basic moving-average crossover system):¶

Cover short and go long the next day at the open when the 20-day SMA crosses above the 60-day SMA.
Exit long and go shortthe next day at the open when the 20-day SMA crosses below the 60-day SMA.

Strategy 2 rules (crossover system filtered by Impulse system on daily data):¶

This system executes the basic strategy's rules according to the Impulse system's filter state, which indicates whether long or short trades should be taken.

The Impulse system filter states are green (long) and red (short):

Green: : The 13-day EMA and 12-26-9 MACD histogram are both higher than yesterday's values.
Red: : The 13-day EMA and 12-26-9 MACD histogram are both lower than yesterday's values.

Buy next day at open when the 20-day SMA crosses above the 60-day SMA and the Impulse filter is green.
Sell short next day at open when the 20-day SMA crosses below the 60-day SMA and the Impulse filter is red.
Exit long next day at open when the 20-day SMA crosses below the 60-day SMA and the Impulse filter is not green.
Cover short next day at open when the 20-day SMA crosses above the 60-day SMA and the Impulse filter is not red.

Strategy 2 code:¶


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;

namespace WealthLab.Strategies
{
	public class ImpulseFilteredCrossOver : WealthScript
	{
		private StrategyParameter paramEMA;
		private StrategyParameter paramSwitch;
		
		public ImpulseFilteredCrossOver()
		{
			paramEMA = CreateParameter("EMA", 13, 6, 18, 1 );
			paramSwitch = CreateParameter("Filter Off/On", 1, 0, 1, 1 );
		}
		
		protected override void Execute()
		{
			EMACalculation modern = EMACalculation.Modern;
			bool ImpulseBuy, ImpulseShort;
			int perEma = paramEMA.ValueInt;
			int FilterOn = paramSwitch.ValueInt;

			DataSeries maFast = SMA.Series(Close, 20);
			DataSeries maSlow = SMA.Series(Close, 60);
			DataSeries ema = EMA.Series( Close, perEma, modern ); ema.Description = "EMA";
			//DataSeries macd = MACD.Series( Close ); macd.Description = "MACD";
			DataSeries macd = MACDEx_Histogram.Series( Bars, Close, 12, 26 ); macd.Description = "MACD-H";
			
			// Plotting
			PlotSeries(PricePane,maFast,Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,maSlow,Color.Green,LineStyle.Solid,2);
			PlotSeries( PricePane, ema, Color.DarkBlue, LineStyle.Solid, 2 );
			ChartPane PaneMACD = CreatePane( 30, false, true );
			PlotSeries( PaneMACD, macd, Color.Purple, LineStyle.Histogram, 2 );
			SetBarColors( Color.Silver, Color.Silver );
			HideVolume();
			
			for(int bar = maSlow.FirstValidValue+1; bar < Bars.Count; bar++)
			{
				// Reset Impulse on each bar
				ImpulseShort = false;
				ImpulseBuy = false;

				// Define Impulse condition
				ImpulseBuy =  ( ema[bar] > ema[bar-1] ) & ( macd[bar] > macd[bar-1] );
				ImpulseShort = ( ema[bar] < ema[bar-1] ) & ( macd[bar] < macd[bar-1] );
				
				if( ImpulseBuy ) SetBarColor( bar, Color.Green );
				if( ImpulseShort ) SetBarColor( bar,Color.Red );

				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( LastPosition.PositionType == PositionType.Long )	// Long exit
					{
						if( FilterOn == 1 )
						{
							if( CrossUnder(bar, maFast, maSlow) & !ImpulseBuy )
								SellAtMarket(bar + 1, p);
						}
						else
							if (CrossUnder(bar, maFast, maSlow))
								SellAtMarket(bar + 1, p);
					}
					else 													// Short exit
					{
						if( FilterOn == 1 )
						{
							if( CrossOver(bar, maFast, maSlow) & !ImpulseShort )
								CoverAtMarket(bar + 1, p);
						}
						else 
							if (CrossOver(bar, maFast, maSlow))
								CoverAtMarket(bar + 1, p);					
					}
				}
				else
				{
					if (CrossOver(bar, maFast, maSlow))						// Long entry
					{
						if( FilterOn == 1 ) 	// Impulse filter enabled
						{
							if( ImpulseBuy )
								if( BuyAtMarket(bar + 1) != null )
									LastPosition.Priority = RSI.Series( Close, 7 )[bar];
						} 
						else 			// Impulse filter disabled
						{
								if( BuyAtMarket(bar + 1) != null )
									LastPosition.Priority = RSI.Series( Close, 7 )[bar];
						} 
					}
					else if (CrossUnder(bar, maFast, maSlow))				// Short entry
					{
						if( FilterOn == 1 )	// Impulse filter enabled
						{
							if( ImpulseShort )
								if( ShortAtMarket(bar + 1) != null )
									LastPosition.Priority = -RSI.Series( Close, 7 )[bar];
						} 
						else 			// Impulse filter disabled
						{
							if( ShortAtMarket(bar + 1) != null )
								LastPosition.Priority = -RSI.Series( Close, 7 )[bar];
						} 
					}					
				}
			}
		}
	}
}

Strategy 3 rules (crossover system filtered by Impulse system on weekly data):¶

Impulse filter states:

Green: : The 13-week EMA and 12-26-9 MACD histogram are both higher than last week's values.
Red: : The 13-week EMA and 12-26-9 MACD histogram are both lower than last week's values.

Buy at open next day when the 20-day SMA crosses above the 60-day SMA and the weekly Impulse filter is green.
Sell short at open next day when the 20-day SMA crosses below the 60-day SMA and the weekly Impulse filter is red.
Exit long at open next day when the 20-day SMA crosses below the 60-day SMA and the Impulse filter is not green.
Cover short position at open next day when the 20-day SMA crosses above the 60-day SMA and the Impulse filter is not red.

Strategy 3 code:¶