TASC 2016-03 | ADX Breakouts (Calhoun)

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Traders' Tip text

The WealthScript code for Wealth-Lab for Ken Calhoun's intraday technique called "ADX Breakouts" is presented. Through interactive “sliders” on the bottom left of the screen you can tune this system by modifying the parameters like trailing stop size, thresold for entry etc.

Figure 1 illustrates The two example trades in JAH (Jarden Corp) in December 2015.

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

namespace WealthLab.Strategies
{
	public class TASC201603 : WealthScript
	{
		private StrategyParameter paramTrailing;
		private StrategyParameter paramThreshold;
		private StrategyParameter paramRange;
		private StrategyParameter paramADX;

		public TASC201603()
		{
			paramADX = CreateParameter("ADX above", 40, 30, 90, 10);
			paramRange = CreateParameter("15-day range, $", 5, 1, 10, 1);
			paramThreshold = CreateParameter("Cents above", 0.50, 0, 1.0, 0.1);
			paramTrailing = CreateParameter("Trailing stop $", 2, 1, 10, 1);
		}
		
		protected override void Execute()
		{
			if( !Bars.IsIntraday )
			{
				DrawLabel(PricePane, "Requires intraday data");
				Abort();
			}
			else
			{
				SetScaleDaily();
				DataSeries FifteenDayHigh = Highest.Series(High,15);
				DataSeries FifteenDayLow = Lowest.Series(Low,15);
				DataSeries FifteenDayRange = FifteenDayHigh - FifteenDayLow;
				RestoreScale();
				FifteenDayHigh = Synchronize(FifteenDayHigh);
				FifteenDayRange = Synchronize(FifteenDayRange);
				FifteenDayRange.Description = "The fifteen day range";				
				var intradayADX = ADX.Series(Bars,14);
				intradayADX.Description = "Intraday ADX (14)";
				
				PlotSeries(PricePane,FifteenDayHigh,Color.Blue,LineStyle.Solid,1);
				ChartPane rangePane = CreatePane(30,true,true);
				PlotSeries(rangePane,FifteenDayRange,Color.Violet,LineStyle.Solid,1);
				ChartPane adxPane = CreatePane(30,false,true);
				PlotSeries(adxPane,intradayADX,Color.Red,LineStyle.Solid,1);
				DrawHorzLine(adxPane,40,Color.Green,LineStyle.Dashed,1);
				
				for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
				{
					if (IsLastPositionActive)
					{
						Position p = LastPosition;
						double amount = p.MFEAsOfBar(bar) / p.Shares + p.EntryPrice - paramTrailing.Value;
						SellAtTrailingStop(bar + 1, p, amount, "$2 Trailing");
					}
					else
					{
						if( (Closebar > 20.0) && (Closebar < 70.0) )
							if(FifteenDayRangebar > paramRange.Value)
								if(intradayADXbar > paramADX.ValueInt)
									BuyAtStop(bar+1, FifteenDayHighbar + paramThreshold.Value);
					}
				}
			}
		}
	}
}

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