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TASC 2010-02 | The 350 Swing Trade (Star)

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Traders' Tip text

We created and plotted the 350 Swing indicator per the specifications of the article, though the details of applying it in a strategy required a bit of artistic license. Concentrating on the swing indicator during upward trends determined by a 3-pole 50-Period Gaussian (more responsive than an EMA), we used the 350 Alerts as a setup for both the entries and exits. An entry is triggered when price reaches the highest high of the previous 2 bars after an SMARSI(3) below 20, whereas the exit occurs at the close of the bar on which the low reaches the lowest low of the previous 2 bars. This trigger strategy often entered and exited a prospective trade 1 bar earlier than waiting for the indicator to cross the 20/80 levels in the opposite direction. To protect against unforeseen disasters, we implemented a 5% stop loss. While the Donchian channels weren’t used in the trading strategy, they’re plotted for reference.


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Figure 1. This swing strategy works well to capture the meaty part of swings, but can leave you out of the most profitable trades in strong trends.


WealthScript Code (C#)

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

namespace WealthLab.Strategies { public class Swing350 : WealthScript { private StrategyParameter rsiPer; private StrategyParameter smaPer; private StrategyParameter donchPer; private StrategyParameter gaussPer; public Swing350() { gaussPer = CreateParameter("Gaussian Period",50,10,100,5); donchPer = CreateParameter("Donchian Period",13,8,21,1); rsiPer = CreateParameter("RSI Period",3,2,21,1); smaPer = CreateParameter("SMA(RSI)Period",3,2,21,1); } protected override void Execute() { bool longSetup = false; bool sellSetup = false; Font font = new Font("Wingdings", 8, FontStyle.Bold); string diamond = Convert.ToChar(0x0077).ToString(); // Create and Plot Indicators DataSeries gauss = Gaussian.Series(Close, gaussPer.ValueInt, 3); // 3 poles DataSeries rsi = RSI.Series(Close, rsiPer.ValueInt); DataSeries smaRsi = SMA.Series(rsi, smaPer.ValueInt); DataSeries upper = Highest.Series(High, donchPer.ValueInt); DataSeries lower = Lowest.Series(Low,donchPer.ValueInt); DataSeries mid = (upper + lower) / 2d; mid.Description = "Mid Donchian"; ChartPane paneRSI = CreatePane(40,true,true); PlotSeries(paneRSI, rsi,Color.FromArgb(128,0,128,0), LineStyle.Solid, 1); PlotSeriesOscillator(paneRSI, smaRsi,80,20,Color.FromArgb(63,0,0,255),Color.FromArgb(63,255,0,0),Color.FromArgb(255,0,0,128),LineStyle.Solid, 1); DrawHorzLine(paneRSI, 50, Color.Pink, WealthLab.LineStyle.Dashed, 2); PlotSeries(PricePane,gauss,Color.Gray,LineStyle.Solid,1); PlotSeries(PricePane,upper,Color.Red,LineStyle.Dashed,1); PlotSeries(PricePane,lower,Color.Green,LineStyle.Dashed,1); PlotSeries(PricePane,mid,Color.Blue,LineStyle.Solid,1); PlotStops(); for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++) { bool trendBullish = gauss[bar] - gauss[bar - gaussPer.ValueInt / 2] > 0 && gauss[bar] > gauss[bar - 2]; if (trendBullish) SetBackgroundColor(bar, Color.Azure); // Color bars. OHLC Bar chart recommended! if (smaRsi[bar] < 50) SetBarColor(bar, Color.Red); else if (smaRsi[bar] >= 50) SetBarColor(bar, Color.Green); // Draw the Alert diamonds if (smaRsi[bar] > 80) { AnnotateBar(diamond, bar, true, Color.Red, Color.Transparent, font); sellSetup = true; } else if (smaRsi[bar] < 20) { AnnotateBar(diamond, bar, false, Color.Green, Color.Transparent, font); longSetup = true; } if (IsLastPositionActive) { longSetup = false; Position p = LastPosition; if (Close[bar] < p.RiskStopLevel) SellAtClose(bar, p, "Stop"); else if (sellSetup) { if (Low[bar] < Lowest.Series(Low, 2)[bar - 1]) SellAtClose(bar, p, "Swing"); } } else if (trendBullish) { sellSetup = false; RiskStopLevel = Highest.Series(High, 2)[bar - 1] * 0.95; if (longSetup ) BuyAtStop(bar + 1, Highest.Series(High, 2)[bar - 1]); } } } } }

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