TASC 2018-10 | The Stiffness Indicator (Katsanos)

Traders' Tip text

• “Buy high” when Stiffness crosses above 90 and SPY's EMA is rising, OR
• “Buy pullback” - if the close price is above 100-day SMA, Stiffness is at or above 90, SPY's 100-day EMA is rising, and short-term RSI turns up from below 40.
• Sell when Stiffness crosses below 50, or
• Sell after 84 days in a Position
  

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

namespace WealthLab.Strategies
{
	// Dow 30 Y2K stocks included AA AXP BA C CAT CVX DIS GE GM GT HD HWP IBM INTC IP JNJ JPM KO KODK MCD MRK MSFT PG PM SHLD T UTX WMT XOM
	
	public class TASCNov2018 : WealthScript
	{
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		private StrategyParameter slider4;
		private StrategyParameter slider5;
		private StrategyParameter slider6;

		public TASCNov2018()
		{
			slider6 = CreateParameter("Pullback?",1,0,1,1);
			slider1 = CreateParameter("Stiffness MA",100,2,100,10);
			slider2 = CreateParameter("Stiffness Period",60,2,100,10);
			slider3 = CreateParameter("Stiffness Devs",0.2,0.1,3,0.2);
			slider4 = CreateParameter("Bars since",84,10,200,2);
			slider5 = CreateParameter("RSI Period",3,3,6,1);
		}
		
		protected override void Execute()
		{
			int maPeriod = slider1.ValueInt, stiffPeriod = slider2.ValueInt, 
				exitAfter = slider4.ValueInt, rsiPeriod = slider5.ValueInt;
			var devs = slider3.Value;
			var stiffness = Stiffness.Series(Close,maPeriod,stiffPeriod,devs);
			var rsi = RSI.Series(Close, rsiPeriod);
			bool useRsiTurnup = slider6.ValueInt == 1 ? true : false;

			var spy = GetExternalSeries("SPY", Close);
			var spyEma = EMAModern.Series(spy, maPeriod);

			for(int bar = GetTradingLoopStartBar( 100 ); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;

					if ( bar+1 - p.EntryBar >= exitAfter )	//Bars since entry ? 84 (four months)
						SellAtMarket( bar+1, p, "Timed" );
					if( CrossUnder( bar, stiffness, 50) )	//Stiffness(100,60) crosses under 50
						SellAtMarket( bar+1, p, "Stiffness < 50" );
				}
				else
				{
					if( !useRsiTurnup )
					{
						if( CrossOver(bar, stiffness, 90) )	//Stiffness crosses over 90
							if( spyEma[bar] > spyEma[bar - 1] ) //EMA (SPY,100) > EMA (SPY,100)
									BuyAtMarket( bar+1);
					}
					else						
					{
						if( Close[bar] > SMA.Series(Close, maPeriod)[bar] )
							if( stiffness[bar] >= 90 )	//Stiffness is bullish
								if( spyEma[bar] > spyEma[bar - 1] ) //EMA (SPY,100) > EMA (SPY,100)
									if( rsi[bar - 1] < 40 &&  TurnUp( bar, rsi) ) //RSI is oversold and turns up
										BuyAtMarket( bar+1, "RSI TurnUp");					
					}
				}
			}

			ChartPane paneSpy = CreatePane(30,true,true);
			PlotSeries( paneSpy,spy,Color.Black,LineStyle.Solid,2);
			PlotSeries( paneSpy,spyEma,Color.Blue,LineStyle.Solid,1);
			ChartPane paneStiffness = CreatePane(30,false,true);
			PlotSeries( paneStiffness,stiffness,Color.Orange,LineStyle.Histogram,2);
			PlotSeries( PricePane, SMA.Series(Close, maPeriod),Color.Blue,LineStyle.Solid,1);
			PlotSeries( PricePane, SMA.Series(Close, maPeriod) - (devs * StdDev.Series(Close, maPeriod, StdDevCalculation.Sample)),
				Color.Red,LineStyle.Solid,1);
			ChartPane paneRsi = CreatePane(30,false,true); HideVolume();
			PlotSeries( paneRsi,rsi,Color.Violet,LineStyle.Solid,2);
		}
	}
}