TASC 2016-04 | Trading Gap Reversals (Calhoun)

Traders' Tip text

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

namespace WealthLab.Strategies
{
	public class TradingGapReversals : WealthScript
	{
		private StrategyParameter gapPct;
		private StrategyParameter buyStp;
		private StrategyParameter sellStp;

		public TradingGapReversals()
		{
			gapPct = CreateParameter("Gap %", 10, 1, 30, 1);
			buyStp = CreateParameter("Buy stop", 0.50, 0.10, 1.0, 0.1);
			sellStp = CreateParameter("Sell stop", 0.40, 0.10, 1.0, 0.1);
		}

		protected override void Execute()
		{
			DataSeries trigger = Bars.Close * (1 - gapPct.Value / 100) >> 1;
			int cnt = 0;
			
			for (int bar = 1; bar < Bars.Count; bar++)
			{
				if( Date[bar].Date > Date[bar-1].Date )
					cnt++;
			
				Position p = LastPosition;
				
				if (IsLastPositionActive)
				{
					double amount = p.MFEAsOfBar(bar) / p.Shares + p.EntryPrice - sellStp.Value;
					if(!SellAtStop(bar+1, p, p.EntryPrice - sellStp.Value, "Initial"))
						if(!SellAtTrailingStop(bar+1, p, amount, "Trailing"))
							SellAtLimit(bar+1, p, p.AutoProfitLevel, "Gap closed");
				}
				else if (p == null || !p.Active && p.EntryBar < (bar - Bars.IntradayBarNumber(bar)))
				{
					if( cnt > 0 )
					{
						int firstBarToday = bar - Bars.IntradayBarNumber(bar);
						int lastBarYesterday = firstBarToday - 1;
						bool priceFilter = (Close[firstBarToday] >= 20) && (Close[firstBarToday] <= 70);
						bool gap = (Open[firstBarToday] <= trigger[lastBarYesterday]);
					
						if( priceFilter && gap && Bars.IntradayBarNumber(bar) > 0 )
						{
							if( BuyAtStop(bar + 1, Low[firstBarToday] + buyStp.Value ) != null )
								LastPosition.AutoProfitLevel = Close[lastBarYesterday];
						}
					}
				}
			}
		}
	}
}