TASC 2017-07 | Trading The Nikkei (Katsanos)

Traders' Tip text

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		
		public MyStrategy()
		{
			slider1 = CreateParameter("Regression Period",50,2,300,20);
			slider2 = CreateParameter("Div.Mom. Period",50,2,300,20);
			slider3 = CreateParameter("ROC Period",3,2,300,20);
		}
		
		protected override void Execute()
		{
			var fxy = GetExternalSymbol("FXY",true);
			var spy = GetExternalSymbol("SPY",true);			
			var rd = RegressionDivergence.Series(Bars,fxy,spy,slider1.ValueInt,slider2.ValueInt,slider3.ValueInt);
			
			int STD = 25, OB = 90,//STOCHASIC
			D1 = 3, //ROC DAYS
			D2 = 25, //MA LR DAYS
			DIVDAYS = 50,// REGRESSION DAYS
			IMDAYS = 50;// DIVERGENCE MOMENTUM DAYS
			double CR3CR = 0.8; //CORRELATION WITH SEC3
			int DIVCRIT = 75, LAG = 3; // DIVERGENCE CRITICAL
			double STP = 1.5; // STOP LOSS %
			int EXIT = 11; // TIME EXIT DAYS
			var ls = LineStyle.Solid;
			
			var OS=100-OB;
			var DIVSHORT = 100-DIVCRIT;
			var STOC=(SMA.Series(Close-Lowest.Series(Low,STD),3)*100)/(SMA.Series(Highest.Series(High,STD)-Lowest.Series(Low,STD),3));
			//STOC = StochK.Series(Bars,3);
			var MA1=SMA.Series(Close,D2);
			var LR=100*LinearRegSlope.Series(Close,D2);

			var RS1 =(Close/(Close>>D1)-1)*100;
			var RS2 =(fxy.Close/(fxy.Close>>D1)-1)*100;
			var RS3 =(spy.Close/(spy.Close>>D1)-1)*100;
			var CR2 = Correlation.Series(RS1,RS2,DIVDAYS);
			var CR3 = Correlation.Series(RS1,RS3,DIVDAYS);
			
			//var pop = StdDevCalculation.Population;
			//var b2=CR2*StdDev.Series(RS1,DIVDAYS,pop)/(StdDev.Series(RS2,DIVDAYS,pop)+0.001);
			//var a2=SMA.Series(RS1,DIVDAYS)-b2*SMA.Series(RS2,DIVDAYS);
			//var PRED2=b2*RS2+a2;
			//var DIV2=PRED2-RS1;
			//var IM2=(SMA.Series(DIV2 - Lowest.Series(DIV2,IMDAYS), 2) * 100)/(SMA.Series(Highest.Series(DIV2, IMDAYS) - Lowest.Series(DIV2, IMDAYS),2)+0.01);

			ChartPane rdPane = CreatePane(40,true,true);
			PlotSeries(rdPane,rd,Color.FromArgb(255,255,0,0),LineStyle.Solid,1);
			DrawHorzLine(rdPane,DIVSHORT,Color.Brown,ls,1);
			DrawHorzLine(rdPane,DIVCRIT,Color.CadetBlue,ls,1);
			
			for(int bar = GetTradingLoopStartBar(60); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					int barssinceentry = bar+1 - p.EntryBar;

					if( barssinceentry>= EXIT )
						ExitAtClose(bar,Position.AllPositions,"TIME");
					else
						if( p.PositionType == PositionType.Long )
					{
						if( barssinceentry>3 && Close[bar]<Close[bar-barssinceentry]*(1.0-STP/100d) && STOC[bar]>OS)
							SellAtMarket(bar+1,p,"STOP");

						if( barssinceentry>7 && Close[bar]<Highest.Series(Close,barssinceentry)[bar]*(1.0-STP/100d) )
							SellAtMarket(bar+1,p,"TRAIL");
					}
					else
					{
						if( barssinceentry>3 && Close[bar]>Close[bar-barssinceentry]*(1.0+STP/100d) && STOC[bar]<OB)
							CoverAtMarket(bar+1,p,"INITIAL STOP");

						if( barssinceentry>7 && Close[bar]>Lowest.Series(Close,barssinceentry)[bar]*(1.0+STP/100d) )
							CoverAtMarket(bar+1,p,"TRAIL COVER");					
					}
				}
				else
				{
					if( (rd[bar-LAG]>DIVCRIT) && (rd[bar]<rd[bar-LAG]) && (rd[bar]>DIVSHORT) &&
						(CR3[bar]<CR3CR) && (LR[bar]>=LR[bar-1] || Close[bar]>MA1[bar]) )
						BuyAtClose(bar,"DIVJPY");

					if( (rd[bar-LAG]<DIVSHORT) && (rd[bar]>rd[bar-LAG]) && (rd[bar]<DIVCRIT) &&
						(CR3[bar]<CR3CR) && (LR[bar]<=LR[bar-1] || Close[bar]<MA1[bar]) )
						ShortAtClose(bar,"NDIVJPY");
				}
			}			
		}
	}
}