TASC 2016-03 | ADX Breakouts (Calhoun)

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 TASC201603 : WealthScript
	{
		private StrategyParameter paramTrailing;
		private StrategyParameter paramThreshold;
		private StrategyParameter paramRange;
		private StrategyParameter paramADX;

		public TASC201603()
		{
			paramADX = CreateParameter("ADX above", 40, 30, 90, 10);
			paramRange = CreateParameter("15-day range, $", 5, 1, 10, 1);
			paramThreshold = CreateParameter("Cents above", 0.50, 0, 1.0, 0.1);
			paramTrailing = CreateParameter("Trailing stop $", 2, 1, 10, 1);
		}
		
		protected override void Execute()
		{
			if( !Bars.IsIntraday )
			{
				DrawLabel(PricePane, "Requires intraday data");
				Abort();
			}
			else
			{
				SetScaleDaily();
				DataSeries FifteenDayHigh = Highest.Series(High,15);
				DataSeries FifteenDayLow = Lowest.Series(Low,15);
				DataSeries FifteenDayRange = FifteenDayHigh - FifteenDayLow;
				RestoreScale();
				FifteenDayHigh = Synchronize(FifteenDayHigh);
				FifteenDayRange = Synchronize(FifteenDayRange);
				FifteenDayRange.Description = "The fifteen day range";				
				var intradayADX = ADX.Series(Bars,14);
				intradayADX.Description = "Intraday ADX (14)";
				
				PlotSeries(PricePane,FifteenDayHigh,Color.Blue,LineStyle.Solid,1);
				ChartPane rangePane = CreatePane(30,true,true);
				PlotSeries(rangePane,FifteenDayRange,Color.Violet,LineStyle.Solid,1);
				ChartPane adxPane = CreatePane(30,false,true);
				PlotSeries(adxPane,intradayADX,Color.Red,LineStyle.Solid,1);
				DrawHorzLine(adxPane,40,Color.Green,LineStyle.Dashed,1);
				
				for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
				{
					if (IsLastPositionActive)
					{
						Position p = LastPosition;
						double amount = p.MFEAsOfBar(bar) / p.Shares + p.EntryPrice - paramTrailing.Value;
						SellAtTrailingStop(bar + 1, p, amount, "$2 Trailing");
					}
					else
					{
						if( (Close[bar] > 20.0) && (Close[bar] < 70.0) )
							if(FifteenDayRange[bar] > paramRange.Value)
								if(intradayADX[bar] > paramADX.ValueInt)
									BuyAtStop(bar+1, FifteenDayHigh[bar] + paramThreshold.Value);
					}
				}
			}
		}
	}
}