TASC 2016-12 | Pair Trading With a Twist (D'Errico)

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 TASC201612 : WealthScript
	{
		StrategyParameter fastPeriod;
		StrategyParameter slowPeriod;
		StrategyParameter strategyMode;

		public TASC201612()
		{
			fastPeriod = CreateParameter("Fast Period", 4, 1, 100, 1);
			slowPeriod = CreateParameter("Slow Period", 40, 20, 300, 5);
			strategyMode = CreateParameter("Strategy Mode", 0, -1, 1, 1);
		}
		
		protected override void Execute()
		{
			// Enter your pair symbols here
			string stock1, stock2, longSymbol, shortSymbol;
			longSymbol = stock1 = Bars.Symbol;
			shortSymbol = stock2 = "SPY";

			int MAPeriod = fastPeriod.ValueInt, MAPeriod2 = slowPeriod.ValueInt, mode = strategyMode.ValueInt;
			
			// Compute DataSeries
			DataSeries close1, close2, open1, open2, high1, high2, low1, low2;
			SetContext( stock1, true );
			Bars bars1 = Bars;
			close1 = Close; open1 = Open; high1 = High; low1 = Low;
			SetContext( stock2, true );
			Bars bars2 = Bars;
			close2 = Close; open2 = Open; high2 = High; low2 = Low;
			RestoreContext();

			DataSeries Ratio = close1 / close2; Ratio.Description = "Ratio";
			DataSeries RatioO = open1 / open2; RatioO.Description = "RatioOpen";
			DataSeries RatioH = high1 / high2; RatioH.Description = "RatioHigh";
			DataSeries RatioL = low1 / low2; RatioL.Description = "RatioLow";			
			DataSeries RatioSMA = SMA.Series( Ratio, MAPeriod ); RatioSMA.Description = "Ratio Fast SMA";
			DataSeries RatioSMA2 = SMA.Series( Ratio, MAPeriod2 ); RatioSMA2.Description = "Ratio Slow SMA";

			// Graphics
			ChartPane RatioPane = CreatePane( 6000, true, true );
			ChartPane StocksPane = CreatePane( 2000, true, true );
			PlotSymbol(StocksPane,bars1,Color.Green,Color.Red);
			PlotSymbol(StocksPane,bars2,Color.Green,Color.Red);
			HideVolume();
			PlotSyntheticSymbol( RatioPane, "Price Ratio " + stock1 + "/" + stock2 + " as OHLC", RatioO, RatioH, RatioL, Ratio, new DataSeries("Bogus"), Color.Navy, Color.Salmon );
			PlotSeries( RatioPane, RatioSMA, Color.Gray, WealthLab.LineStyle.Solid, 2 );
			PlotSeries( RatioPane, RatioSMA2, Color.Salmon, WealthLab.LineStyle.Solid, 2 );

			for(int bar = MAPeriod; bar < Bars.Count; bar++)
			{
				// Trend following strategy
				if( mode == 1 )
				{
					if( IsLastPositionActive )
					{
						if (CrossUnder(bar, RatioSMA, RatioSMA2 ))
							ExitAtClose(bar, Position.AllPositions);
					}
					else
					{
						if( CrossOver(bar, RatioSMA, RatioSMA2 ) )
						{
							longSymbol = stock1;
							shortSymbol = stock2;
							SetContext( longSymbol, true );
							BuyAtClose( bar, "TF Buy " + shortSymbol );
							SetContext( shortSymbol, true );
							ShortAtClose( bar, "TF Short " + longSymbol );
						}
					}
				}
				else
					// Mean reverting strategy
					if( mode == -1 )
				{
					if( IsLastPositionActive )
					{
						if (Ratio[bar] > RatioSMA[bar])
							ExitAtClose(bar, Position.AllPositions);
					}
					else
					{
						if (Ratio[bar] < RatioSMA[bar])
						{
							longSymbol = stock1;
							shortSymbol = stock2;
							SetContext( longSymbol, true );
							BuyAtClose( bar, "MR Buy " + shortSymbol );
							SetContext( shortSymbol, true );
							ShortAtClose( bar, "MR Short " + longSymbol );
						}
					}
				}
				else // Trend pullback strategy
					if( mode == 0 )
				{
					if( IsLastPositionActive )
					{
						if( (RatioSMA[bar] < RatioSMA2[bar]) && (Ratio[bar] > RatioSMA[bar]) )
							ExitAtClose(bar, Position.AllPositions);
					}
					else
					{
						if( (RatioSMA[bar] > RatioSMA2[bar]) && (Ratio[bar] < RatioSMA[bar]) )
						{
							longSymbol = stock1;
							shortSymbol = stock2;
							SetContext( longSymbol, true );
							BuyAtClose( bar, "PB Buy " + shortSymbol );
							SetContext( shortSymbol, true );
							ShortAtClose( bar, "PB Short " + longSymbol );
						}
					}					
				}

				RestoreContext();
			}
		}
	}
}