TASC 2021-01 | A Fresh Look At Short-Term Patterns (Kaufman)

RSS

Traders' Tip text

The Wealth-Lab Strategy code for the short-term pattern scanner by Perry J. Kaufman is presented below. With 'parameter sliders' at the bottom left of your Wealth-Lab workspace, included Strategy demonstrates how to switch between the patterns interactively when viewing a chart. Dragging the 'Pattern' slider to the left or to the right will change between the six choices and make the chart update with backtested trades.

Figure 1. Sample entries on a Daily chart of QLD. Data provided by Yahoo! Finance.

For example, Figure 1 illustrates a bearish and two bullish key reversal trades created on the next open following the pattern and exiting 3 days after. Through another parameter slider you can control exits after N bars in a trade.

To avoid copy/paste, hitting Ctrl-O and choosing “Download…” in Wealth-Lab gets you the downloadable Strategy under the “Chart patterns” folder.

WealthScript Code (C#)

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

namespace WealthLab.Strategies
{
	public class TASCJan2021 : WealthScript
	{
		private StrategyParameter paramPattern;
		private StrategyParameter paramExitDays;

		public TASCJan2021()
		{
			paramPattern = CreateParameter("Pattern", 1, 1, 6, 1);
			paramExitDays = CreateParameter("Exit after", 3, 1, 10, 1);
		}

		protected override void Execute()
		{
			var _pattern = paramPattern.ValueInt;
			var _exitAfter = paramExitDays.ValueInt;
			int atrPeriod = 20, maPeriod = 80;
			double tick = Bars.SymbolInfo.Tick;
			var atr = ATR.Series(Bars, atrPeriod);
			var trendFilter = SMA.Series(Close, maPeriod);
			
			for(int bar = GetTradingLoopStartBar(Math.Max(atrPeriod,maPeriod)); bar < Bars.Count; bar++)
			{
				//key reversal
				bool keyRevBear = Highbar > Highbar - 1 && Lowbar < Lowbar - 1 && Closebar < Lowbar - 1;
				bool keyRevBull = Highbar > Highbar - 1 && Lowbar < Lowbar - 1 && Closebar > Highbar - 1;

				//island reversal
				bool islRevBear = Lowbar > Highbar - 1 && Closebar < Openbar;
				bool islRevBull = Highbar < Lowbar - 1 && Closebar > Openbar;

				//outside day
				bool outsideBull = this.isOutsideBar(bar) && Closebar > Lowbar + ( 0.75 * (Highbar - Lowbar));
				bool outsideBear = this.isOutsideBar(bar) && Closebar < Lowbar + ( 0.25 * (Highbar - Lowbar));

				//wide range day
				var ratio = TrueRange.Series(Bars)bar / atrbar;
				bool isWRBBull = outsideBull && (ratio > 1.5);
				bool isWRBBear = outsideBear && (ratio > 1.5);

				//3-day compression
				bool compression = CumDown.Series(TrueRange.Series(Bars), 1)bar >= 3;

				//gap open
				bool isGapUp = (this.isGap(bar) == CommonSignalsEx.GapType.FullUp) && (Openbar > Closebar + 0.5 * atrbar);
				bool isGapDown = (this.isGap(bar) == CommonSignalsEx.GapType.FullDown) && (Openbar < Closebar + 0.5 * atrbar);

				//trend filter
				bool isBullish = Closebar > trendFilterbar;
				bool isBearish = Closebar < trendFilterbar;
				
				if (IsLastPositionActive)
				{
					/* Exit after N days */
					Position p = LastPosition;
					if (bar + 1 - p.EntryBar >= _exitAfter)
						ExitAtMarket(bar + 1, p, string.Format("After {0}", _exitAfter));
				}
				else
				{
					switch (_pattern)
					{	
						case 1: 
							if( keyRevBear && isBearish) ShortAtMarket(bar + 1, "KeyRevBear"); 
							if( keyRevBull && isBullish) BuyAtMarket(bar + 1, "KeyRevBull"); 
							break;
						case 2:
							if (islRevBear && isBearish) ShortAtMarket(bar + 1, "IslRevBear");
							if (islRevBull && isBullish) BuyAtMarket(bar + 1, "IslRevBull");
							break;
						case 3:
							if (outsideBear && isBearish) ShortAtMarket(bar + 1, "OutsideBear");
							if (outsideBull && isBullish) BuyAtMarket(bar + 1, "OutsideBull");
							break;
						case 4:
							if (isWRBBear && isBearish) ShortAtMarket(bar + 1, "WRBBear");
							if (isWRBBull && isBullish) BuyAtMarket(bar + 1, "WRBBull");
							break;
						case 5:
							if (compression)
							{
								if(BuyAtStop(bar+1, Highest.Series(High,3)bar, "CompressionBull") ==null)
									ShortAtStop(bar + 1, Lowest.Series(Low, 3)bar, "CompressionBear");
							}
							break;													
						case 6:
							if (isGapUp && isBullish) BuyAtClose(bar, "GapUp");
							if (isGapDown && isBearish) ShortAtClose(bar, "GapDown");
							break;						
						default: break;
					}
				}
			}
		}
	}
}

Gene Geren (Eugene)
Wealth-Lab team