TASC 2013-01 | The DMI Stochastic (Star)

Traders' Tip text

• Entry rules
  

1. Pullback entry:
   1. Buy at open next bar if the DMI Oscillator is above 0 and the DMI Stochastic crosses above 10.
   2. Short at open next bar if the DMI Oscillator is below 0 and the DMI Stochastic crosses below 90.
2. Countertrend entry:
   1. Short at open next bar if the DMI Oscillator crosses under -20.
   2. Buy at open next bar if the DMI Oscillator crosses above 20.
      

• Exit rules
  

1. Fixed bars: exit at open next bar when the specified number of days has been reached.
2. Profitable and Losing closes (profitable close is a close in the direction of a trade, vice versa for losing close):
   1. Exit at open next bar after reaching the specified number of profitable closes.
   2. Exit at open next bar after reaching the specified number of losing closes.
      

WealthScript Code (C#)

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

namespace WealthLab.Strategies
{
	public class Star201301 : WealthScript
	{
		private StrategyParameter paramEntryType;
		private StrategyParameter paramExitType;
		private StrategyParameter paramFixedBars;
		private StrategyParameter paramProfitableClosesTrend;
		private StrategyParameter paramProfitableClosesCT;
		private StrategyParameter paramLosingCloses;
		
		public Star201301()
		{
			paramEntryType = CreateParameter("Entry type", 0, 0, 2, 1);
			paramExitType = CreateParameter("Exit style", 0, 0, 1, 1);
			paramFixedBars = CreateParameter("Fixed bars", 5, 1, 30, 1);
			paramProfitableClosesTrend = CreateParameter("Prft closes (trend)", 10, 1, 15, 1);
			paramProfitableClosesCT = CreateParameter("Prft closes (CT)", 5, 1, 15, 1);
			paramLosingCloses = CreateParameter("Losing closes", 3, 1, 15, 1);
		}
		
		protected override void Execute()
		{
			int EntryType = paramEntryType.ValueInt == 0 ? 0 : paramEntryType.ValueInt == 1 ? 1 : 2;
			int pBars = 0; int lBars = 0;
			int FixedBars = paramFixedBars.ValueInt;							// Exit after N fixed bars
			int ProfitableClosesTrend = paramProfitableClosesTrend.ValueInt; 	// Number of profitable closes, trend mode
			int ProfitableClosesCounter = paramProfitableClosesCT.ValueInt;		// Number of profitable closes, counter-trend mode
			int LosingCloses = paramLosingCloses.ValueInt;						// Number of losing closes
			
			DIPlus dmp = DIPlus.Series( Bars,10 ); 								// DMI Oscillator
			DIMinus dmm = DIMinus.Series( Bars,10 );
			DataSeries dmo = dmp - dmm;
			dmo.Description = "DMI Oscillator";
			ChartPane dmoPane = CreatePane( 30,true,true );
			PlotSeries( dmoPane, dmo, Color.Red, LineStyle.Histogram, 3 );

			DataSeries dmiStoch = new DataSeries( dmo, "DMI Stochastic" );		// DMI Stochastic - direct calculation
			Highest hDmo = Highest.Series( dmo, 10 );
			Lowest lDmo = Lowest.Series( dmo, 10 );
			dmiStoch = 100 * ( dmo - lDmo ) / ( hDmo - lDmo );
			dmiStoch = SMA.Series( dmiStoch, 3 );
			dmiStoch.Description = "DMI Stochastic #1";
			ChartPane dmsPane = CreatePane( 30,true,true );
			PlotSeries( dmsPane, dmiStoch, Color.Red, LineStyle.Solid, 2 );
			
			Bars dmiBars = new Bars("DMI Bars (" + Bars.Symbol+")",Bars.Scale,Bars.BarInterval);
			for(int bar = 0; bar < Bars.Count; bar++)
			{
				dmiBars.Add( Bars.Date[bar], dmo[bar], dmo[bar], dmo[bar], dmo[bar], 0 );
			}
			
			dmiBars = Synchronize( dmiBars );									// DMI Stochastic - version #2
			DataSeries dmiStoch2 = StochD.Series( dmiBars, 10, 3 );
			dmiStoch2.Description = "DMI Stochastic #2";
			ChartPane dmsPane2 = CreatePane( 30,true,true );
			PlotSeries( dmsPane2, dmiStoch2, Color.Green, LineStyle.Solid, 2 );
			DrawHorzLine( dmsPane2, 10, Color.Blue, LineStyle.Dashed, 1 );
			DrawHorzLine( dmsPane2, 90, Color.Red, LineStyle.Dashed, 1 );
			HideVolume();
			
			for(int bar = GetTradingLoopStartBar(10); bar < Bars.Count; bar++)
			{
				SetBarColor( bar, dmo[bar] > 0 ? Color.DarkBlue : Color.Red );
				
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					
					if( paramExitType.ValueInt == 0 ) 							// Fixed bars
					{	
						if ( bar+1 - p.EntryBar >= FixedBars )
							ExitAtMarket( bar+1, p, "Timed" ); 
					}
					else
					{															// Profitable/losing closes
						if( p.PositionType == PositionType.Long )
						{
							if( Bars.Close[bar] > p.EntryPrice )
								pBars++;
							else
								if( Bars.Close[bar] < p.EntryPrice )
									lBars++;
						}
						else
						{
							if( Bars.Close[bar] < p.EntryPrice )
								pBars++;
							else
								if( Bars.Close[bar] > p.EntryPrice )
									lBars++;
						}
						
						if( p.EntrySignal == "Pullback" )
						{
							if( pBars >= ProfitableClosesTrend )
								ExitAtMarket( bar+1, p, "Profitable Closes.Pullback" );
						} 
						else
							if( p.EntrySignal == "Countertrend" )
						{
							if( pBars >= ProfitableClosesCounter )
								ExitAtMarket( bar+1, p, "Profitable Closes.CounterTrend" );
						}
						
						if( lBars >= LosingCloses )
							ExitAtMarket( bar+1, p, "Losing Closes" );
					} 
				}
				else
				{
					Position p = null;
					
					// Pullback entries

					if( EntryType == 0 || EntryType == 1 )
					{					
						if( dmo[bar] > 0 && CrossOver( bar, dmiStoch2, 10 ) )
							p = BuyAtMarket( bar+1, "Pullback" );
						if( dmo[bar] < 0 && CrossUnder( bar, dmiStoch2, 90 ) )
							p = ShortAtMarket( bar+1, "Pullback" );
					}
					
					// Countertrend entries
					
					if( EntryType == 0 || EntryType == 2 )
					{
						if( p == null )
						{
							if( CrossUnder( bar, dmo, 20 ) )
								p = ShortAtMarket( bar+1, "Countertrend" );
							else
								if( CrossOver( bar, dmo, -20 ) )
								p = BuyAtMarket( bar+1, "Countertrend" );
						}
					}
					
					if( p != null ) 
					{
						pBars = 0; lBars = 0;
					}
				}
			}
		}
	}
}