TASC 2009-11 | Seasonal System for Soybean Futures (Katsanos) Rev A

Revision A!

WealthScript Code (C#)

/* Seasonal Soybean Strategy per Katsanos article EL code */ 
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{

		StrategyParameter D1DXY;
		StrategyParameter D2SNL;
		StrategyParameter LRSDXYSELL;
		StrategyParameter LRSNLSELL;
		StrategyParameter MASELL;
		StrategyParameter MASNL;
		StrategyParameter MADXY;
		StrategyParameter chnlLength;
		
		public MyStrategy()
		{
			D1DXY = CreateParameter("DX LRSlope Period", 25, 10, 50, 1);
			D2SNL = CreateParameter("Snl LRSlope Period", 12, 5, 25, 1);
			LRSDXYSELL = CreateParameter("DX LRSlope", 0.3, 0.1, 0.8, 0.1);
			LRSNLSELL = CreateParameter("Snl LRSlope", -0.8, -1.2, -0.5, 0.1 );
			MASELL = CreateParameter("Soybean EMA Period", 15, 5, 25, 1);
			MASNL = CreateParameter("Snl EMA Period", 15, 5, 25, 1);
			MADXY = CreateParameter("DX MA Period", 50, 20, 100, 5);
			chnlLength = CreateParameter("Channel Period", 4, 2, 20, 2);
		}

		// ROC of LR Line divided by its period
		private double LRLineROCdivPeriod(int bar, DataSeries ds, int period)
		{
			int n = bar - period + 1;			
			double y1 = LinearRegLine(ds, n, bar, bar);
			double y2 = LinearRegLine(ds, n, bar, n);
			double per = period;
			return 100 * ( y1 / y2 - 1d ) / per;
		}
		
		protected override void Execute()
		{	
			HideVolume();
			int buyMonth = 9; int sellMonth = 6;
			
			// Access external data
			Bars dxy = GetExternalSymbol("DXY", true);
			Bars snl = GetExternalSymbol("SNL", true);
			// Create and plot indicators
			DataSeries channelHiPlus2 = (Highest.Series(Close >> 1, chnlLength.ValueInt) + 2d);
			DataSeries channelLoMinus2 = (Lowest.Series(Close >> 1, chnlLength.ValueInt) - 2d);
			PlotSeries(PricePane, channelHiPlus2, Color.Blue, LineStyle.Dashed, 1);
			PlotSeries(PricePane, channelLoMinus2, Color.Brown, LineStyle.Dashed, 1);
			
			DataSeries rs = EMA.Series(Close/snl.Close, 3, EMACalculation.Modern);
			DataSeries LRSNL = new DataSeries(Bars, "Seasonal Avg Change(" + D2SNL.ValueInt + ")");
			for (int bar = D2SNL.ValueInt; bar < Bars.Count; bar++)
				LRSNL[bar]  = LRLineROCdivPeriod(bar, rs, D2SNL.ValueInt);
			
			DataSeries LRSDXY = new DataSeries(Bars, "LRSDXY");
			for (int bar = D1DXY.ValueInt; bar < Bars.Count; bar++)
				LRSDXY[bar] = LRLineROCdivPeriod(bar, dxy.Close, D1DXY.ValueInt);
			
			ChartPane lrPane = CreatePane(40, true, true);			
			PlotSeries(lrPane, LRSNL, Color.Green, LineStyle.Solid, 2);
			PlotSeries(lrPane, LRSDXY, Color.Black, LineStyle.Solid, 2);
			
			DataSeries ema = EMA.Series(Close, MASELL.ValueInt, EMACalculation.Modern);
			PlotSeries(PricePane, ema, Color.Green, LineStyle.Solid, 1);
			
			DataSeries emaDXY = EMA.Series(dxy.Close, MADXY.ValueInt, EMACalculation.Modern);
			DataSeries emaSNL = EMA.Series(snl.Close, MASNL.ValueInt, EMACalculation.Modern);
						
			// Trading Strategy logic
			for(int bar = 2 * GetTradingLoopStartBar(50); bar < Bars.Count; bar++)
			{
				int month = Date[bar].Month;
				bool seasonalBuy = month < sellMonth || month > buyMonth;
				bool seasonalShort = month > sellMonth && month < buyMonth;
				
				bool buy = seasonalBuy 
					&& LRSDXY[bar] < LRSDXYSELL.Value 
					&& Close[bar] > channelHiPlus2[bar]
					&& LRSNL[bar] > LRSNLSELL.Value;
				
				bool sell = seasonalShort
					&& Close[bar] < channelLoMinus2[bar]
					&& LRSDXY[bar] > -LRSDXYSELL.Value
					&& LRSNL[bar] < -LRSNLSELL.Value;
				
				if (!IsLastPositionActive)
				{
					if (buy)
						BuyAtMarket(bar + 1);
					else if (sell)
						ShortAtMarket(bar + 1);
				}
				else 
				{
					Position p = LastPosition;
					if ( bar - p.EntryBar < 1 ) 
						continue;
					else if (p.PositionType == PositionType.Long)
					{
						if (sell)
						{
							ExitAtMarket(bar + 1, p, "Reverse");
							ShortAtMarket(bar + 1);
						}
						else if( Close[bar] < ema[bar] )
						{
							if ( LRSNL[bar] < LRSNLSELL.Value )
								ExitAtMarket(bar + 1, p, "L_exit RS");
							else if( emaDXY[bar] > emaDXY[bar - 1] && LRSDXY[bar] > LRSDXYSELL.Value )
								ExitAtMarket(bar + 1, p, "L_exit DXY");
						}
					}
					else 	// Position is short
					{
						if (buy)
						{
							ExitAtMarket(bar + 1, p, "Reverse");
							BuyAtMarket(bar + 1);
						}
						else if( Close[bar] > ema[bar] )
						{
							if ( LRSNL[bar] > -LRSNLSELL.Value )
								ExitAtMarket(bar + 1, p, "S_exit RS: " + LRSNL[bar].ToString("0.000###"));
							else if( emaDXY[bar] < emaDXY[bar - 1] && snl.Close[bar] > emaSNL[bar] )
								ExitAtMarket(bar + 1, p, "S_exit DXY");
						}
					}					
				}								
			}
		}
	}
}