TASC 2015-07 | The Slow Relative Strength Index (Apirine)

Traders' Tip text

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

namespace WealthLab.Strategies
{
	/*
		SRSI divergence:
		Price sets a lowest low but the indicator fails to confirm the new low and turns up
	*/
	
	public class SRSI_Divergence : WealthScript
	{
		private StrategyParameter paramHighest;
		private StrategyParameter paramPeriod;
		private StrategyParameter paramPeriodWMA;
		private StrategyParameter paramThresholdForTrend;
		private StrategyParameter paramExitDays;
		
		public SRSI_Divergence()
		{
			paramPeriod = CreateParameter("SRSI period", 6, 1, 100, 1);
			paramPeriodWMA = CreateParameter("WilderMA period", 14, 1, 100, 1);
			paramThresholdForTrend = CreateParameter("ADX Threshold", 30, 10, 50, 10);
			paramHighest = CreateParameter("Highest high of", 20, 5, 50, 1);
			paramExitDays = CreateParameter("Exit after", 20, 1, 50, 1);
		}
		
		protected override void Execute()
		{
			bool peak = false; int peakBar = -1;
			int high = paramHighest.ValueInt;
			bool trough = false; int troughBar = -1;
			int low = paramHighest.ValueInt;
			int period = paramPeriod.ValueInt;
			int periodWMA = paramPeriodWMA.ValueInt;
			int days = paramExitDays.ValueInt;
			int thresholdForTrend = paramThresholdForTrend.ValueInt;
			
			ADX adx = ADX.Series(Bars,periodWMA);			
			SRSI srsi = SRSI.Series( Close, period, periodWMA );
			Lowest indicatorLowest = Lowest.Series( srsi, low );
			Lowest hLow = Lowest.Series( Low, low );
			
			HideVolume(); LineStyle solid = LineStyle.Solid;
			ChartPane srsiPane = CreatePane( 50, false, true );
			PlotSeries( srsiPane, srsi, Color.Green, solid, 2 );
			ChartPane adxPane = CreatePane( 25, true, true );
			PlotSeries( adxPane, adx, Color.Red, solid, 2 );
			DrawHorzLine(adxPane,thresholdForTrend,Color.Blue,LineStyle.Dashed,1);

			for(int bar = GetTradingLoopStartBar(period); bar < Bars.Count; bar++)
			{
				if (!IsLastPositionActive)
				{
					/* 1st peak: both price and indicator */
					
					if( peak == false )
					{
						if( ( High[bar-1] == Highest.Series( High, high )[bar-1] )
							& ( srsi[bar-1] == Highest.Series( srsi, high )[bar-1] )
							& TurnDown( bar, High ) & TurnDown( bar, srsi ) )							
						{
							peak = true; peakBar = bar-1;
						}
					}
					
					if( peak == true )
					{
						if( ( High[bar] != Highest.Series( High, high )[bar] )
							& ( srsi[bar] == Highest.Series( srsi, high )[bar] ) )
							peak = false;					
					}

					/* 2nd peak: price high not confirmed by the indicator */

					if( peak == true )
					{
						if( ( High[bar-1] == Highest.Series( High, high )[bar-1] )
							& ( High[bar-1] >= High[peakBar] )
							& ( srsi[bar-1] != Highest.Series( srsi, high )[bar-1] )
							& ( srsi[bar-1] < srsi[peakBar] ) &
							TurnDown( bar, High ) & TurnDown( bar, srsi ) )
						{
							peak = false;
							
							/* Don't fade a strong trend */
							
							if( adx[bar] < thresholdForTrend )
								ShortAtMarket( bar+1 );
						
							/* Highlight divergence */
						
							for (int b = peakBar; b <= bar; b++)
								SetPaneBackgroundColor( srsiPane, b, Color.FromArgb( 30, Color.LightCoral ) );
							
							DrawLine( PricePane, peakBar, High[peakBar], bar-1, High[bar-1], Color.Red, solid, 2 );
							DrawLine( srsiPane, peakBar, srsi[peakBar], bar-1, srsi[bar-1], Color.Blue, solid, 2 );
						}
					}

					/* 1st trough: both price and indicator */
					
					if( trough == false )
					{
						if( ( Low[bar-1] == Lowest.Series( Low, low )[bar-1] )
							& ( srsi[bar-1] == Lowest.Series( srsi, low )[bar-1] )
							& TurnUp( bar, Low ) & TurnUp( bar, srsi ) )							
						{
							trough = true; troughBar = bar-1;
						}
					}
					
					if( trough == true )
					{
						if( ( Low[bar] != Lowest.Series( Low, low )[bar] )
							& ( srsi[bar] == Lowest.Series( srsi, low )[bar] ) )
							trough = false;					
					}

					/* 2nd trough: price low not confirmed by the indicator */

					if( trough == true )
					{
						if( ( Low[bar-1] == Lowest.Series( Low, low )[bar-1] )
							& ( Low[bar-1] <= Low[troughBar] )
							& ( srsi[bar-1] != Lowest.Series( srsi, low )[bar-1] )
							& ( srsi[bar-1] > srsi[troughBar] ) &
							TurnUp( bar, Low ) & TurnUp( bar, srsi ) )
						{
							trough = false;
							
							/* Don't fade a strong trend */
							
							if( adx[bar] < thresholdForTrend )
								BuyAtMarket( bar+1 );
						
							/* Highlight divergence */
						
							for (int b = troughBar; b <= bar; b++)
								SetPaneBackgroundColor( srsiPane, b,
									Color.FromArgb( 30, Color.LightGreen ) );
							
							DrawLine( PricePane, troughBar, Low[troughBar],
								bar-1, Low[bar-1], Color.Blue, solid, 2 );
							DrawLine( srsiPane, troughBar, srsi[troughBar],
								bar-1, srsi[bar-1], Color.Red, solid, 2 );
						}
					}
				} else
				{
					/* Exit after N days */
					
					Position p = LastPosition;
					if ( bar+1 - p.EntryBar >= days )
						ExitAtMarket( bar+1, p, "Timed" );
				}
			}
		}
	}
}