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# TASC 2014-06 | Slope Divergence: Capitalizing On Uncertainty (Kaufman)

This WealthScript Strategy implements the simplified version of Perry J. Kaufman's triple-divergence trading system from June 2014 issue. Users have the control to turn the system into long-only, as well as to configure its sensitivity by triggering a trading signal after one, two or three divergences on the same bar.

Figure 1 illustrates the application of the system's rules on the Daily chart of QQQ. The lower pane shows the 5-, 8-, and 13-day linear regression slope of the recent close price.

```using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;namespace WealthLab.Strategies
{
enum Side { Buy = 1, Sell = -1, NA = 0 }

public class TASC201406_Kaufman : WealthScript
{
Side SingleDivergence( int bar, int period, int momperiod,
DataSeries ps, DataSeries ms, out bool trendup, out bool trenddn, out int p, out int m )
{
trendup = (ps[bar] > 0 && ms[bar] > 0);
trenddn = (ps[bar] < 0 && ms[bar] < 0);
p = ps[bar] >= 0 ? 1 : ps[bar] < 0 ? -1 : 0;
m = ms[bar] >= 0 ? 1 : ms[bar] < 0 ? -1 : 0;

return ( ps[bar] > 0 && ms[bar] < 0 ) ? Side.Buy :
( ps[bar] < 0 && ms[bar] > 0 ) ? Side.Sell : Side.NA;
}		void Colorize( int bar, Side side )
{
SetBackgroundColor( bar, Color.FromArgb(30, side == Side.Buy ? Color.Green : Color.Red ) );
}

private StrategyParameter paramNumDiv;
private StrategyParameter paramLongOnly;

public TASC201406_Kaufman()
{
paramNumDiv = CreateParameter("Divergences", 1, 1, 3, 1);
paramLongOnly = CreateParameter("Long Only", 0, 0, 1, 1);
}

protected override void Execute()
{
int momperiod = 10, entrynumber = paramNumDiv.ValueInt,
dvgperiod1 = 5, dvgperiod2 = 8, dvgperiod3 = 13, maxdivergences = 3;
bool longonly = (paramLongOnly.ValueInt == 0 ? false : true);
LinearRegSlope lsp1 = LinearRegSlope.Series( Close,dvgperiod1 );
LinearRegSlope lsp2 = LinearRegSlope.Series( Close,dvgperiod2 );
LinearRegSlope lsp3 = LinearRegSlope.Series( Close,dvgperiod3 );
StochK fastK = StochK.Series(Bars,momperiod);
LinearRegSlope lsm1 = LinearRegSlope.Series( fastK,dvgperiod1 );
LinearRegSlope lsm2 = LinearRegSlope.Series( fastK,dvgperiod2 );
LinearRegSlope lsm3 = LinearRegSlope.Series( fastK,dvgperiod3 );

ClearDebug(); HideVolume(); LineStyle ls = LineStyle.Solid;
ChartPane lrspPane = CreatePane( 40,false,true );
PlotSeries( lrspPane, lsp1, Color.DarkGreen, ls, 1 );
PlotSeries( lrspPane, lsp2, Color.Blue, ls, 1 );
PlotSeries( lrspPane, lsp3, Color.Red, ls, 1 );
//ChartPane lrsmPane = CreatePane( 30,false,true );
//PlotSeries( lrsmPane, fastK, Color.Black, ls, 1 );

for(int bar = GetTradingLoopStartBar(Math.Max(momperiod,dvgperiod3)); bar < Bars.Count; bar++)
{
int nbuys = 0, nsells = 0, ps1 = 0, ps2 = 0, ps3 = 0, ms1 = 0, ms2 = 0, ms3 = 0,
npriceslopeup = 0, npriceslopedown = 0, nmomslopeup = 0, nmomslopedown = 0;
bool trend1up = false, trend2up = false, trend3up = false,
trend1dn = false, trend2dn = false, trend3dn = false;				Side _d1 = SingleDivergence( bar, dvgperiod1, momperiod, lsp1, lsm1, out trend1up, out trend1dn, out ps1, out ms1 );
Side _d2 = SingleDivergence( bar, dvgperiod2, momperiod, lsp2, lsm2, out trend2up, out trend2dn, out ps2, out ms2 );
Side _d3 = SingleDivergence( bar, dvgperiod3, momperiod, lsp3, lsm3, out trend3up, out trend3dn, out ps3, out ms3 );

int d1 = (int)_d1;
int d2 = (int)_d2;
int d3 = (int)_d3;

if( d1 > 0 ) nbuys += 1; if( d1 < 0 ) nsells += 1;
if( d2 > 0 ) nbuys += 1; if( d2 < 0 ) nsells += 1;
if( d3 > 0 ) nbuys += 1; if( d3 < 0 ) nsells += 1;

if( ps1 > 0 ) npriceslopeup += 1; if( ps1 < 0 ) npriceslopedown += 1;
if( ps2 > 0 ) npriceslopeup += 1; if( ps2 < 0 ) npriceslopedown += 1;
if( ps3 > 0 ) npriceslopeup += 1; if( ps3 < 0 ) npriceslopedown += 1;

if( ms1 > 0 ) nmomslopeup += 1; if( ms1 < 0 ) nmomslopedown += 1;
if( ms2 > 0 ) nmomslopeup += 1; if( ms2 < 0 ) nmomslopedown += 1;
if( ms3 > 0 ) nmomslopeup += 1; if( ms3 < 0 ) nmomslopedown += 1;

else
if( nsells >= entrynumber )
Colorize( bar, Side.Sell );
if( false )
PrintDebug( "bar: " + bar + ", d1: " + d1 + ", d2: " + d2 + ", d3: " + d3 + ", nbuys: " + nbuys + ", nsells: " + nsells +
", npriceslopeup: " + npriceslopeup + ", npriceslopedown: " + npriceslopedown +
", nmomslopeup: " + nmomslopeup + ", nmomslopedown: " + nmomslopedown );

if (IsLastPositionActive)
{
Position p = LastPosition;					if( p.PositionType == PositionType.Long )
{
if( nsells >= entrynumber)
SellAtClose( bar, p, "revLong");
}
else //if( p.PositionType == PositionType.Short )
{
CoverAtClose( bar, p, "revShort");
}

if( (npriceslopeup == maxdivergences && nmomslopeup == maxdivergences) ||
(npriceslopedown == maxdivergences && nmomslopedown == maxdivergences) )
{
ExitAtMarket( bar+1, p, p.PositionType == PositionType.Long ? "xLall" : "xSall" );
}
}
else
{
else
if( nsells >= entrynumber && longonly == false)
ShortAtMarket(bar+1, "newSell");
}
}
}
}
}```

Eugene
Wealth-Lab team
www.wealth-lab.com
 Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.

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