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[...] named series for symbols in legacy CFTC format: Open Interest, Noncommercial Long, Noncommercial Short, Noncommercial Spreads, Commercial Long, Commercial Short, Total Long
Total Shorts, Nonreportable Positions Long, Nonreportable Positions Short Here's an example of plotting them all at once: using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators; namespace WealthLab.Strategies
{
public class MyStrategy : WealthScript
{
Random [...]
[...] Example Let’s say you have a cross-over SMA strategy and want to optimize the number of days for the short and long SMA’s for the highest Net Profit using the default Number of Steps after Highest Value = 5. Your Strategy Parameters might look like this: Parameter Default Start Stop Step Short SMA 30 20 90 10 Long SMA 90 90 200 10
The first run will, by definition, result in a new highest Net Profit, so the optimizer will set the stops at Short SMA = 70 (20 + 5 * 10) and Long SMA = 140 (90 + 5 * 10). Let’s [...]
[...] data file contains trade executions in the "one trade (roundtrip) per line" format like shown below: Short;QQQQ;25-06-2009;36;25-06-2009;35.5;2000
Long;AAPL;12-05-2009;124;26-05-2009;130.4
TradeFileImportMode.SimTradeFile2
TradeFileImportMode.SimTradeFile2 (a.k.a. Robert Sucher version ) supports a different format of trade history data, "one trade per line": AAPL;12-05-2009;Buy;124
AAPL;26-05-2009;Sell;130.4
QQQQ;25-06-2009;Short;36
QQQQ;25-06-2009;Cover;35.5 As you see, each trade component - long, short, [...]
[...] realizes that the system was not properly diversified, and the reason for its huge losses was going short 30 different equity futures contracts all around the same time. Finding this risk concentration unacceptable, he goes back to redesign the system to avoid such behavior. You see a big drawdown day. By clicking on the equity curve, it's easy to visually select the date and quickly see what happened and how the portfolio looked before and after.
Time navigation
There are 3 ways to navigate in time: Pick any date from the Date Picker, or type it directly Drag [...]
[...] Commodities magazine by Michael Poulos (see TASC, January 1992 and September 1992). Interpretation Short Term RWI uses minperiod = 2 and maxperiod = 7
Long Term RWI uses minperiod = 8 and maxperiod = 64 Long Term RWI of Lows above 1 indicates a sustainable down trend Long Term RWI of Highs above 1 indicates a sustainable up trend Short Term RWI of Lows peaking above 1 indicates a price peak Short Term RWI of Highs peaking above 1 indicates a price trough Enter long [...]
[...] stocks only)
Nasdaq fundamental items The Nasdaq U.S. provider supports two available items: short interest and dividends . The short interest data is available on a bi-weekly basis for NASDAQ stocks only (not for NYSE and AMEX stocks) and contains fields SettlementDate , Interest and DaysToCover . Provider returns extended dividend data going back to 2000 (for NASDAQ stocks; for others from 2013 only): date, dividend type, cash amount, declaration, record and payable dates. Each dividend item comes with these extra details attached: [...]
[...] constructed as a N-period EMA of the net advances over declines. There are three components of it: short term (usually 3-day), medium term (20-day), and long term (200-day). Each of these is used to look at short-term, medium-term, and long-term trends in market breadth, respectively. Note: the Close "price" of the index that you built contains the Haurlan Index while the O+H+L and Volume are meaningless (used internally). For more on interpretation please visit: Understanding Haurlan Index Indicator , Colby - The Encyclopedia of Technical [...]
[...] being optimal. The system was very trigger-happy, had a considerable drawdown and was losing on the short side. How can the situation be improved? As suggests its author, the periods of moving averages can be optimized. It might seem like a natural move but we'll approach it from a different angle. Instead, let's leave the parameters as is and add a couple of trade filters which will be simple enough to be in line with the logical and straightforward nature of this swing-trading system: The first filter confirms the overall direction of the market’s trend by taking [...]
[...] the system into trend following mode, with entries and exits made via channel breakout. If permitted, short trades are done in the same manner in a downtrend -- yet with a shorter lookback period for the channel. An absense of trend directs the system to take cyclic trades: buying small dips and selling at the high of the channel. Here are the rules: Buy at stop next day when price breaks through the highest price of 20 days and thereÆs an uptrend detected Short at stop next day when price breaks below the lowest price of 10 days and thereÆs [...]
[...] namespace WealthLab.Strategies
{
public class MyStrategy : WealthScript
{
StrategyParameter _short;
StrategyParameter _long;
StrategyParameter _sig; public MyStrategy()
{
_short = CreateParameter( "Short Period" , 12, 5, 50, 2);
_long = CreateParameter( "Long Period" , 26, 20, 100, 2);
_sig = CreateParameter( "Signal Period" , 9, 2, 40, 1);
} protected [...]
[...] SI, and GC (shown) electronic sessions. Figure 1. The light gray and blue boxes highlight the short and long setups, respectively.
While testing the code, we noticed that short trade triggers (the last bar in the pattern) whose Close was below the Low of the previous bar had a better success rate than if the Close were simply lower than the previous Close. Just toggle the “Modified Short” parameter to test both versions of the Strategy. Although the modification made practically no difference for SI, it [...]
Traders' Tip text Swing trading implies short-term trades lasting for days - like the "zero line bounce" continuation pattern. In the absense of an exit strategy, we didn't find our backtest results exceptional. So for this Traders' Tip we decided to fall back on a different strategy. Its rules are pretty simple: buy when the Activator , DMI and SMI are all in alignment and sell when it's no longer true. Strategy rules: Buy tomorrow at open when today's close is above the HiLo and both the DMI and SMI are greater than 0 Sell tomorrow at open when today's close [...]
[...] move the stop up every period, regardless of whether the price has moved. It moves down if you are short.
Interpretation The Parabolic SAR trading system uses the Parabolic level as a Stop and Reverse point. This stop is calculated for the next period. When the stop is hit, this signals to close the trade and take a new trade in the opposite direction. The system is typically always in the market. When price movement trades in a narrow trading range, the Parabolic SAR will whipsaw. The Parabolic is trend following indicator, it is useless in the absence of a trend. [...]
[...] maintains 4 collections of information pertaining to the backtest: Results for all trades (long and short) Results for long trades only Results for short trades only Buy and Hold benchmark results Each set of results is exposed via a SystemResults object reference. public SystemResults Results This property returns the SystemResults object that contains the results for all trades (long and short). public SystemResults ResultsLong This property returns the SystemResults object that contains the results for [...]
SMA — 1.3%
[...] trigger trading signals. When prices cross above the SMA go long, when they cross below the SMA go short. SMA Crossing SMA is another common trading signal. When a short period [...]
[...] sample trading system will follow a counter-trend, mean reversion approach, fading strong moves over a short-term horizon. To spot outlier values in the price, we calculate standard deviation of the MTR. The setup is in place when the current MTR reading exceeds the average MTR by 3 standard deviations of MTR or greater. An entry is triggered when: Buy next bar at market if today's close price has declined. Short next bar at market if today's close price has increased. A position is exited with a simple trailing channel exit: Exit long [...]
ROC — 1.0%
[...] markets, go long after ROC falls below the oversold line then rises back above it. In ranging markets, go short after ROC rises above the overbought line the falls back below it. In ranging markets, go long on bullish divergences if ROC's first trough is in the oversold zone. In ranging markets, go short on bearish divergences if ROC's first peak is in the overbought zone. In an up trend confirmed by a trend-following indicator, go long when ROC turns up from below the center line. Exit using the trend following indicator. Divergences of ROC and [...]
[...] data series as a peak or a trough. Generally it does not matter how you initialize the method, but for short series in which the first assumption is important, you can control that. PeakTroughMode Enumeration that determines if the reversalAmount parameter is measured in percentage or points. singleSeries The second overload for ZigZag() allows you to specify a single series on which the ZigZag is calculated. In the other method, the ZigZag is formed between ws.Bars.High and ws.Bars.Low. reversalAmount The amount of price reversal in percentage or points per [...]
[...] CoverAtMarket ( bar+1, p, "trend cover" );
}
else if ( p.EntrySignal.ToLower().Contains( "short nontrend" ) ) {
if ( VZO[bar] < -40.0 ) {
if ( adx[bar] > 18 )
CoverAtMarket ( bar+1, p, "nontrend cover rule #1" );
}
else {
if ( VZO[bar] < -5 && CrossOver ( bar, VZO, 15 ) )
CoverAtMarket ( bar+1, p, "nontrend cover rule #2" );
}
}
}
}
else
{
bool buy = bull && ( CrossOver ( bar, VZO, -40 ) || CrossOver ( bar, VZO, 0 ) );
bool shrt [...]
[...] the range of -1 to +1. As an illustration of its application, Mr. Ehlers suggests a straightforward short-term, counter-trend system: Cover short position and go long when Universal Oscillator [...]
[...] the price significantly — yet author's system would repeatedly signal an "RSI Swing High" and sold short an established uptrend. A possible way to alleviate this, for example, might be to ignore successful RSI swings in the same direction. That's why various adaptive RSI thresholds have been introduced by several technical analysts. A well-known idea of dynamic RSI zones which could be found in David Sepiashvili's "The Self-Adjusting RSI" (TASC Feb 2006 issue) provides a solution to this problem by creating thresholds that change depending on the standard deviation [...]
[...] shorts) achieved since the position was opened. It works like shown on Figure 2 : Figure 2. Sample short trade: the stock's 14-period SZO crosses below the +7 threshold. By extending the backtest range to most-recent 10 years, we examined how efficient were SZO signals on the same Dow 30 portfolio on a longer history. With 5% equity allocated to a position, some signals had to be skipped. Our preference is to err on the side of caution, so the trades with the most percentage gain were excluded, suggesting a conservative outcome. After subtracting trading costs (commissions [...]
[...] Turnover, Asset Turnover (Average) * Book Value Per Share * Cap Ex as a % of Sales, Cap Spending, Cash & Short-Term Investments, Cash Conversion Cycle, COGS, Current Ratio * Days Inventory, Days Sales Outstanding, Debt/Equity, Dividends * Earnings Per Share, EBT Margin, EPS % * Financial Leverage, Financial Leverage (Average), Fixed Assets Turnover, Free Cash Flow, Free Cash Flow Growth % YOY, Free Cash Flow/Net Income, Free Cash Flow/Sales %, Free Cash Flow Per Share * Gross Margin, Gross Margin % * Intangibles, Interest Coverage, Inventory, Inventory Turnover * Long-Term [...]
[...] indicator falls below the oversold line then rises back above the oversold line. In ranging markets, go short when indicator rises above the overbought line the falls back below the overbought line. In ranging markets, go long on bullish divergences, if the indicator's first trough is in the oversold zone. In ranging markets, go short on bearish divergences, if the indicator's first peak is in the overbought zone. An uptrend can be confirmed using a trend following indicator. Go long when the momentum indicator turns up from below the center [...]
[...] size the position may not exceed, and the ability to treat the "max tail loss" differently for long or short trades. If you believe that for short positions, the risk of price going in the opposite direction is represented by the positive price changes only (and vice versa for longs), enable this option. Otherwise, the PosSizer will be looking for the absolute value of daily changes regardless of the position type. Note: for a reason, with the option [...]
Traders' Tip text The Wealth-Lab Strategy code for the short-term pattern scanner by Perry J. Kaufman is [...]
[...] CoverAtMarket ( bar+1, p, "trend cover" );
}
else if ( p.EntrySignal.ToLower().Contains( "short nontrend" ) ) {
if ( PZO[bar] < -40.0 ) {
if ( adx[bar] > 18 )
CoverAtMarket ( bar+1, p, "nontrend cover rule #1" );
}
else {
if ( PZO[bar] < -5 && CrossOver ( bar, PZO, 15 ) )
CoverAtMarket ( bar+1, p, "nontrend cover rule #2" );
}
}
}
}
else
{
bool buy = bull && ( CrossOver ( bar, PZO, -40 ) || CrossOver ( bar, PZO, 0 ) );
bool shrt [...]
[...] "TF Buy " + shortSymbol );
SetContext ( shortSymbol, true );
ShortAtClose ( bar, "TF Short " + longSymbol );
}
}
}
else
// Mean reverting strategy
if ( mode == -1 )
{
if ( IsLastPositionActive )
{
if (Ratio[bar] > RatioSMA[bar])
ExitAtClose (bar, Position.AllPositions);
}
else
{
if (Ratio[bar] < RatioSMA[bar])
{
longSymbol = stock1;
shortSymbol = stock2;
SetContext ( longSymbol, true );
BuyAtClose ( bar, "MR Buy " + shortSymbol [...]
[...] applied selectively (only long side or both sides): Buy on the filter crossing above its -RMS line Short on the filter crossing below its RMS line Exit long when the filter either crosses below its RMS or crosses below -RMS (which signifies a false entry signal) Cover short when the filter either crosses above its -RMS or crosses above RMS (which signifies a false entry signal)
Figure 1 : A Wealth-Lab 6 chart illustrating entries made by the enclosed system based on the SuperPassband filter.
Our tests suggest that the new nearly-zero [...]
[...] trend condition rule and a volume confirmation rule seeking to identify and hold a rising stock for a short period of time, we would rather classify it [...]