TASC 2011-05 | Volume Zone Oscillator (Khalil, Steckler)

Traders' Tip text

WealthScript Code (C#)

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components; // Divergence Between Two DataSeries (Detect, Plot) 

namespace WealthLab.Strategies
{
	public class VZOStrategy : WealthScript
	{
		private StrategyParameter paramPeriod;
		
		public VZOStrategy()
		{
			paramPeriod = CreateParameter("VZO Period", 14, 2, 252, 2);
		}
		
		protected override void Execute()
		{
			int period = paramPeriod.ValueInt;
			DataSeries R = new DataSeries( Bars, "R" );
			DataSeries TV = EMA.Series( Volume, period, EMACalculation.Modern );
			DataSeries VZO = new DataSeries( Bars, "VZO" );
			ADX adx = ADX.Series( Bars,14 );
			EMA ema = EMA.Series( Close, 60, EMACalculation.Modern );
			
			for(int bar = period; bar < Bars.Count; bar++) {
				R[bar] = Math.Sign( Close[bar] - Close[bar-1] ) * Volume[bar];
			}
			DataSeries VP = EMA.Series( R, period, EMACalculation.Modern );
			
			for(int bar = period; bar < Bars.Count; bar++) {
				if( TV[bar] != 0 )
					VZO[bar] = 100 * VP[bar] / TV[bar];
			}
			
			ChartPane vzoPane = CreatePane( 30, true, true );
			PlotSeriesOscillator( vzoPane, VZO, 60, -60, Color.Red, Color.Blue, Color.Black, LineStyle.Solid, 1 );
			DrawHorzLine( vzoPane, 60, Color.DarkGreen, LineStyle.Dotted, 2 );
			DrawHorzLine( vzoPane, -60, Color.Red, LineStyle.Dotted, 2 );
			DrawHorzLine( vzoPane, 40, Color.DarkGreen, LineStyle.Solid, 1 );
			DrawHorzLine( vzoPane, -40, Color.Red, LineStyle.Solid, 1 );
			DrawHorzLine( vzoPane, 0, Color.DarkBlue, LineStyle.Solid, 1 );
			
			ChartPane divPane = CreatePane( 30, true, true );
			SeriesHelper sh = new SeriesHelper(this);
			DataSeries pd = sh.PlotPeakDivergence(3, PricePane, High, 4d, vzoPane, VZO, 4d);
			PlotSeries(divPane, pd, Color.Blue, LineStyle.Solid, 2);
			DataSeries td = sh.PlotTroughDivergence(3, PricePane, Low, 4d, vzoPane, VZO, 4d);
			PlotSeries(divPane, td, Color.Red, LineStyle.Solid, 2);
			
			ChartPane adxPane = CreatePane( 30, true, true );
			PlotSeries(adxPane, adx, Color.Purple, LineStyle.Histogram, 2);
			DrawHorzLine(adxPane, 18, Color.Red, LineStyle.Dashed, 2 );
			PlotSeries(PricePane, ema, Color.Blue, LineStyle.Solid, 1);
			
			int start = Math.Max(adx.FirstValidValue,period); 
			start = Math.Max( start, ema.FirstValidValue );
			
			for(int bar = start; bar < Bars.Count; bar++)
			{
				bool bull = adx[bar] > 18 && Close[bar] > ema[bar];
				bool bear = adx[bar] > 18 && Close[bar] < ema[bar];
				bool osc = adx[bar] < 18;
				
				if( bull ) SetBackgroundColor( bar, Color.FromArgb( 30, Color.Blue ) );
				if( bear ) SetBackgroundColor( bar, Color.FromArgb( 30, Color.Red ) );
				if( osc ) SetBackgroundColor( bar, Color.FromArgb( 30, Color.Green ) );

				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( p.PositionType == PositionType.Long ) {
						if( p.EntrySignal.ToLower().Contains("uptrend") ) {
							if( VZO[bar] > 60 && TurnDown( bar, VZO ) || 
								( Close[bar] < ema[bar] && VZO[bar] < 0 ) || 
								(pd[bar] <= -1.0 && VZO[bar] < 40.0) )
								SellAtMarket( bar+1, p, "trend sell" );
						}
						else if( p.EntrySignal.ToLower().Contains("buy nontrend") ) {
							if( VZO[bar] > 40.0 ) {
								if( adx[bar] > 18 )
									SellAtMarket( bar+1, p, "nontrend sell rule #1" );
							}
							else {
								if( VZO[bar] < -5 )
									SellAtMarket( bar+1, p, "nontrend sell rule #2" );
							}
						}
					}
					else {
						if( p.EntrySignal.ToLower().Contains("downtrend") ) {
							if( VZO[bar] < -60 && TurnUp( bar, VZO ) || 
								( Close[bar] > ema[bar] && VZO[bar] > 0 ) || 
								(td[bar] <= -1.0 && VZO[bar] > -40.0) )
								CoverAtMarket( bar+1, p, "trend cover" );
						}
						else if( p.EntrySignal.ToLower().Contains("short nontrend") ) {
							if( VZO[bar] < -40.0 ) {
								if( adx[bar] > 18 )
									CoverAtMarket( bar+1, p, "nontrend cover rule #1" );
							}
							else {
								if( VZO[bar] < -5 && CrossOver( bar, VZO, 15 ) )
									CoverAtMarket( bar+1, p, "nontrend cover rule #2" );
							}
						}
					}
				}
				else
				{
					bool buy = bull && ( CrossOver( bar, VZO, -40 ) || CrossOver( bar, VZO, 0 ) );
					bool shrt = bear && ( CrossUnder( bar, VZO, 40 ) || CrossUnder( bar, VZO, 0 ) );
					bool nt_buy = osc && (CrossOver( bar, VZO, -40 ) || CrossOver( bar, VZO, 15 ));
					bool nt_shrt = osc && (CrossUnder( bar, VZO, 40 ) || CrossUnder( bar, VZO, -5 ));
					
					if( buy ) {
						SetBarColor( bar, Color.Blue );
						BuyAtMarket( bar+1, "buy uptrend" );
					}
					else if( shrt ) {
						SetBarColor( bar, Color.Red );
						ShortAtMarket( bar+1, "short downtrend" );
					}
					else if( nt_buy ) {
						SetBarColor( bar, Color.Cyan );
						BuyAtMarket( bar+1, "buy nontrend" );
					}
					else if( nt_shrt ) {
						SetBarColor( bar, Color.Orange );
						ShortAtMarket( bar+1, "short nontrend" );
					}
				}
			}
		}
	}
}