WealthScript Techniques | Creating a Stop-And-Reverse (SAR) system

Modified on 2011/05/30 05:16 by Eugene — Categorized as: Knowledge Base

The problem

Let's imagine that you are trying to create a simple Strategy based on fast/slow moving averages crossing.
On crossunder, it must sell long position and turn short.
On crossover, short must be covered and a new long position established.

Example code

It's a very basic question frequently asked by WealthScript rookies, and there's only one trick to learn: the very first trade should be processed individually by making a check for Positions.Count equal to zero.


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

namespace WealthLab.Strategies
{
	public class SARStrategy : WealthScript
	{
		protected override void Execute()
		{
			
			DataSeries maFast = SMA.Series(Close, 50);
			DataSeries maSlow = SMA.Series(Close, 200);

			PlotSeries(PricePane,maFast,Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,maSlow,Color.Green,LineStyle.Solid,2);

			for(int bar = 201; bar < Bars.Count; bar++)
			{
				
				// Detect crossover/crossunder and store state in a variable
				bool maXo = CrossOver(bar, maFast, maSlow);
				bool maXu = CrossUnder(bar, maFast, maSlow);
					
				// The first trade
				if (Positions.Count == 0){
					if ( maXo ) 
						BuyAtMarket( bar + 1 );
					else if( maXu )
						ShortAtMarket( bar + 1 );
				}
				// Subsequent trades
				else 
				{
					Position p = LastPosition;				
					if ( p.PositionType == PositionType.Long ) 
					{
						if ( maXu ) 
						{
							SellAtMarket( bar + 1, p );
							ShortAtMarket( bar + 1 );
						}
					}
					else if ( maXo ) 
					{
						CoverAtMarket( bar + 1, p );
						BuyAtMarket( bar + 1 );
					}
				}				
			}
		}
	}
}

Another example

Our previous example featured CrossOvers/CrossUnders and AtMarket orders. Here's how to create a SAR strategy working with AtStop orders breaching 100-bar High and Low prices:

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

namespace WealthLab.Strategies
{
	public class SARStrategy : WealthScript
	{
		protected override void Execute()
		{			
			DataSeries HH = Highest.Series(High, 100);
			DataSeries LL = Lowest.Series(Low, 100);

			PlotSeries(PricePane,HH,Color.Blue,LineStyle.Solid,1);
			PlotSeries(PricePane,LL,Color.Red,LineStyle.Solid,1);

			for(int bar = GetTradingLoopStartBar(100); bar < Bars.Count; bar++)
			{
				// The first trade
				if (Positions.Count == 0){
					if ( BuyAtStop( bar + 1, HHbar ) == null )
						ShortAtStop( bar + 1, LLbar );
				}
					// Subsequent trades
				else 
				{
					Position p = LastPosition;				
					if ( p.PositionType == PositionType.Long ) {
						if ( SellAtStop( bar + 1, p, LLbar ) )
							ShortAtStop( bar + 1, LLbar );
					}
					else {					
						if (CoverAtStop( bar + 1, p, HHbar ) )
							BuyAtStop( bar + 1, HHbar );
					}
				}				
			}
		}
	}
}