TASC 2017-01 | Mean-Reversion Swing Trading (Calhoun)

Traders' Tip text

1. Wait for a 5-day close-to-close uptrend.
2. If the closing prices retrace 50% of the uptrend's distance (±1 percentage point) over the next 10 bars, a valid pullback has formed.
3. Look for the prices to rebound and buy on a stop 50 cents above the retracement price. If this condition hasn’t been met within 10 days, the setup is invalidated.
4. A second entry is made if first position has been established and the high price breaks through the 15-day highest high price.
   

1. Exit on a $1 stop loss from the retracement price.
2. Exit with a profit target at 2 times the retracement distance.
   

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

namespace WealthLab.Strategies
{
	public class MeanReversionSwingTrading : WealthScript
	{
		private StrategyParameter paramUptrendDays;
		private StrategyParameter paramReversionLasts;
		private StrategyParameter paramReversionExpiresAfter;
		private StrategyParameter paramSecondEntry;
		
		public MeanReversionSwingTrading()
		{
			paramUptrendDays = CreateParameter("Days in uptrend", 5, 2, 10, 1);
			paramReversionLasts = CreateParameter("Reversion lasts", 4, 2, 12, 2);
			paramReversionExpiresAfter = CreateParameter("Expires after", 10, 5, 20, 5);
			paramSecondEntry = CreateParameter("Second entry?", 1, 0, 1, 1);
		}
		
		protected override void Execute()
		{
			bool runup = false, reversion = false, pullback = false, secondEntry = paramSecondEntry.ValueInt == 1;
			int runupBar = -1, pBar = -1, reversionBar = -1, uptrendDays = paramUptrendDays.ValueInt;
			double runupStart = 0, runupHigh = 0, runupRange = 0, pivotPrice = 0, reversionThreshold = 1.0;
			
			Highest hi = Highest.Series(High,15);
			if( secondEntry )
				PlotSeries(PricePane, hi, Color.Blue, LineStyle.Dashed, 1);
			
			for(int bar = GetTradingLoopStartBar(15); bar < Bars.Count; bar++)
			{
				if( ActivePositions.Count > 0 )
				{					
					if(!SellAtStop(bar+1, Position.AllPositions, pivotPrice - 1.0, "$1 stop"))
						SellAtLimit(bar + 1, Position.AllPositions, pivotPrice + 2.0, "Profit Target");
				}
				
				if( ActivePositions.Count == 0 ) 	// First entry
				{
					if( !runup ) {
						if(CumUp.Series(Close,1)[bar] >= uptrendDays) {
							runup = true; runupBar = bar;
							runupStart = Low[bar-5]; runupHigh = High[runupBar];
							runupRange = runupHigh - runupStart;
							pivotPrice = runupStart + (runupRange / 2d);
							DrawLine(PricePane,runupBar,runupHigh,bar-5,runupStart,Color.Blue,LineStyle.Solid,2);
						}
					}
					if( !pullback ) {
						if( runup ) {
							if( bar >= runupBar + paramReversionExpiresAfter.ValueInt ) {
								runup = false;
								//AnnotateBar("Pullback timeout exceeded",bar,false,Color.Red);
							}
							else {
								double runupInPercent = runupRange / (double)runupStart * 100d;
								double closeToExact = (reversionThreshold / 100d);
								
								if( (Low[bar] <= (pivotPrice * 1.0+closeToExact)) &&
								(Low[bar] >= (pivotPrice * 1.0-closeToExact)) ) {
									pullback = true; pBar = bar;
									DrawLine(PricePane,runupBar,runupHigh,pBar,pivotPrice,Color.Red,LineStyle.Solid,2);
								}
							}
						}
					}
					
					// Buy at stop if price moves $0.50 the pivot price or above
					if( pullback ){
						double entryStop = pivotPrice + 0.50;
						if( BuyAtStop( bar + 1, entryStop, "1st" ) != null ) {
							DrawLine(PricePane,bar,entryStop,pBar,entryStop,Color.DarkGreen,LineStyle.Dotted,2);
							runup = false; pullback = false; 
							LastPosition.Tag = pivotPrice;
						}
						else
							// Invalidate entry if too many bars have passed since pullback
							if( bar >= pBar + paramReversionExpiresAfter.ValueInt ) {
							pullback = false;
							AnnotateBar("Rebound timeout exceeded",bar,true,Color.Orange);
						}						
					}
				}
				else
					//Second entry
					if( ActivePositions.Count == 1 && secondEntry )
						BuyAtStop(bar+1, hi[bar], "2nd");
			}
		}
	}
}