TASC 2016-01 | Simplify It (Rich, Rich)

Modified on 2015/11/30 13:54 by Eugene — Categorized as: TASC Traders Tips

Traders' Tip text

This WealthScript Strategy combines trend detection ideas outlined in the article "Simplify It" from November 2015 issue of Stocks & Commodities. Users have the means to experiment which method of determining overall market direction works better: the one that relies on the external symbol's (SPY) movement by John Rich, or the one that uses a combination of multiple moving averages (James Rich). The system's C# code for Wealth-Lab can be found below.

Figure 1 illustrates the application of the system's rules on the Daily chart of HUM.

The method of screening for entries is so simple that it doesn't require programming. For every Wealth-Lab user, it should be pretty trivial to drag and drop the conditions in a Rule-based system.

Figure 2 helps to build the system using drag & drop rules and conditions

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

namespace WealthLab.Strategies
{
	public class SimplifyIt : WealthScript
	{
		private StrategyParameter paramTrendRule;

		public SimplifyIt()
		{
			paramTrendRule = CreateParameter("SPY for trend", 1, 0, 1, 1);
		}
		
		protected override void Execute()
		{
			bool useSpyForTrend = paramTrendRule.ValueInt == 1;
			Bars spy = GetExternalSymbol("SPY",true);
			SMA spySma = SMA.Series(spy.Close,50);
			SMA sma20 = SMA.Series(Close,20);
			SMA sma50 = SMA.Series(Close,50);
			SMA sma200 = SMA.Series(Close,200);
			SMA smaHi = SMA.Series(High,8);
			SMA smaLo = SMA.Series(Low,8);
			
			//PlotSeries(PricePane,sma20,Color.Orange,WealthLab.LineStyle.Solid,1);
			PlotSeries(PricePane,sma50,Color.Red,WealthLab.LineStyle.Solid,1);
			//PlotSeries(PricePane,sma200,Color.Blue,WealthLab.LineStyle.Solid,1);
			PlotSeriesFillBand(PricePane, smaHi, smaLo, Color.Green, Color.Transparent, LineStyle.Solid, 1);

			if( useSpyForTrend )
			{
				ChartPane spyPane = CreatePane(30,true,true);
				PlotSymbol(spyPane,spy,Color.Blue,Color.Red);
				PlotSeries(spyPane,spySma,Color.Blue,WealthLab.LineStyle.Solid,1);
			}
			
			for(int bar = GetTradingLoopStartBar(200); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( p.PositionType == PositionType.Long )
					{
						if( Closebar < smaLobar - Bars.SymbolInfo.Tick )
							SellAtMarket(bar+1, p );
					}
					else
					{
						if( Closebar > smaHibar + Bars.SymbolInfo.Tick )
							CoverAtMarket(bar+1, p );
					}
				}
				else
				{
					bool uptrend = 							// John's / James' method
						( useSpyForTrend && (spy.Closebar > spySmabar && spySmabar > spySmabar-1 && Closebar > sma50bar)) ||
						(  sma20bar > sma50bar&& sma50bar > sma200bar);
					bool downtrend = 						// John's / James' method
						( useSpyForTrend && (spy.Closebar < spySmabar && spySmabar < spySmabar-1 && Closebar < sma50bar)) ||
						( sma20bar < sma50bar && sma50bar < sma200bar);
					
					if( uptrend )							// market trend is up
					{						
						if( SMA.Series(Volume,50)bar > 1000000 )			// the volume criterion							
							if( Closebar > smaHibar )	// the second step
								BuyAtMarket(bar + 1);
					}
					else if( downtrend )					// market trend is down
					{						
						if( SMA.Series(Volume,50)bar > 1000000 )			// the volume criterion							
							if( Closebar < smaLobar )	// the second step
								ShortAtMarket(bar + 1);
					}
				}
			}
		}
	}
}

Eugene
Wealth-Lab team
www.wealth-lab.com