TASC 2010-12 | Trading Indexes with Hull MA (Gardner)

Modified on 2010/11/12 09:38 by Eugene — Categorized as: TASC Traders Tips

Traders' Tip text

Because Hull Moving Average has been a part of the free “Community Indicators” library, driven by the Wealth-Lab user community, applying it to charts and strategies is as easy as drag n' drop. To run this Wealth-Lab 6 code that implements Gardner's RSI/HMA system for trading indexes, install the indicator library (or update to the actual version using the Extension Manager tool) from the wealth-lab.com site, Extensions section.

Figure 1. A Wealth-Lab Developer 6.0 chart showing the system applied to Apple Inc. (AAPL, daily).

Plotted as a blue line on Figure 1, Hull Moving Average shows as a truly responsive one, providing timely short-term signals when it turns up. Depicted on the upper pane for comparison with the 9-day RSI of a 9-day HMA, the RSI of SMA with the same period (violet line) visibly lags its counterpart.

WealthScript Code (C#)


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 TradersTips201012 : WealthScript
	{
		private StrategyParameter paramPT;
		private StrategyParameter paramSL;
		
		public TradersTips201012()
		{
			paramPT = CreateParameter("Profit Target %",10,1,100,1);
			paramSL = CreateParameter("Stop Loss %",10,1,100,1);
		}
		
		protected override void Execute()
		{
			DataSeries ma = SMA.Series(Close, 50);
			HullMA hma4 = HullMA.Series(Close,4);
			DataSeries rsiHma = RSI.Series( HullMA.Series(Close,9), 9 );
			Color tp = Color.Transparent;
			LineStyle ls = LineStyle.Solid;

			ChartPane paneRsi = CreatePane(35,true,true);
			PlotSeries(PricePane,hma4,Color.Blue,LineStyle.Solid,1);
			PlotSeries(PricePane,SMA.Series(Close,50),Color.Blue,LineStyle.Solid,2);
			PlotSeriesOscillator( paneRsi, rsiHma, 50, 0, 
				Color.FromArgb( 50, Color.Red ), tp, Color.DarkGray, ls, 2);		
			PlotSeriesOscillator( paneRsi, rsiHma, 90, 0, 
				Color.FromArgb( 70, Color.Red ), tp, tp, ls, 2);
			PlotSeries(paneRsi,RSI.Series(SMA.Series(Close,9),9),Color.Violet,ls,2);
			DrawHorzLine( paneRsi, 90, Color.Blue, ls, 1 );
			DrawHorzLine( paneRsi, 50, Color.Red, ls, 1 );

			for(int bar = GetTradingLoopStartBar(60); bar < Bars.Count; bar++)
			{
				SetBackgroundColor( bar, Color.FromArgb( 10, Color.Cyan ) );
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					double Stop = p.EntryPrice * (1 - paramSL.Value / 100.0d);	
					double Target = p.EntryPrice * (1 + paramPT.Value / 100.0d);					
					bool hmaRsiOver90 = rsiHma[bar] > 90;

					if( hmaRsiOver90 )
						ExitAtMarket(bar + 1, p);
					else if( !ExitAtStop(bar + 1, p, Stop ) )
						ExitAtLimit(bar + 1, p, Target );
				}
				else
				{
					bool closeOverSMA = (Close[bar] > ma[bar]);
					bool hmaUpside = TurnUp(bar, hma4);
					bool hmaRsiBelow50 = rsiHma[bar] <= 50;
					bool closeOverOldClose = (Close[bar] > Close[bar-59]);
					
					if ( closeOverSMA && hmaUpside && 
						hmaRsiBelow50 && closeOverOldClose )
							if( BuyAtMarket(bar + 1) != null ) 
								LastPosition.Priority = -rsiHma[bar];
				}
			}
		}
	}
}