"The Simple Strategy" - Wealth Lab Forum

"The Simple Strategy"

Author: pfelix

Creation Date: 5/12/2015 10:50 PM

Wealth Lab » Trading Strategies » "The Simple Strategy"

pfelix

5/12/2015 10:50 PM

This script is my attempt to backtest the strategy outlined in the book titled "The Simple Strategy". My focus was on 5 minute bars. The strategy is not profitable in most cases, but I thought I would share in case anyone else wanted to test out "The Simple Strategy".

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This script is my attempt to backtest the strategy outlined in the book titled "The Simple Strategy".  My focus was on 5 minute bars.  The strategy is not profitable in most cases, but I thought I would share in case anyone else wanted to test out "The Simple Strategy".

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		public int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}
		
		protected override void Execute()
		{
			DataSeries RSISeries = RSI.Series(Close, 7);
			DataSeries macd = MACD.Series(Close);
			DataSeries signal = EMA.Series(macd, 9, EMACalculation.Modern);
			DataSeries hist = macd - signal;
			DataSeries BBUp = BBandUpper.Series( Close, 12, 2 );
			DataSeries BBDown = BBandLower.Series( Close, 12, 2 );

ChartPane paneRSI = CreatePane(20,true,true);
			PlotSeriesOscillator(paneRSI,RSISeries,70,30,Color.Green,Color.Red,Color.Navy,LineStyle.Solid,2);

ChartPane paneMACD = CreatePane(20,true,true);
			macd.Description = "MACD";
			PlotSeries(paneMACD,macd,Color.Maroon,LineStyle.Solid,2);
			signal.Description = "Signal";
			PlotSeries(paneMACD, signal, Color.Black, LineStyle.Solid, 1);
			hist.Description = "MACD / Signal Historgram";
			PlotSeries(paneMACD, hist, Color.Black, LineStyle.Histogram, 2);
			
			BBUp.Description = "Bollinger Band";
			PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2 );
			BBDown.Description = "";
			PlotSeries(PricePane, BBDown, Color.Blue, LineStyle.Solid, 2 );
			
			//Get daily bars
			SetScaleDaily();
			DataSeries AvgDailyRange = new SMA(High - Low, 7, "7-day ADR");
			RestoreScale();
			AvgDailyRange = Synchronize(AvgDailyRange) >> 1;
			
			ChartPane ADR = CreatePane(10,false,true);
			AvgDailyRange.Description = "7 Day ADR";
			PlotSeries(ADR,AvgDailyRange,Color.Gray,LineStyle.Solid,2);				
			
			//Pivot Points & Prior High /  Low
			SetScaleDaily();
			DataSeries hPivot = AveragePriceC.Series(Bars);
			DataSeries hDayHigh = High;
			DataSeries hDayClose = Close;
			DataSeries hDayLow = Low;
			
			RestoreScale();
			//Apply prior day pivot to current day
			hPivot = Synchronize( hPivot ) >> 1;
			hDayHigh = Synchronize( hDayHigh ) >> 1;
			hDayClose = Synchronize( hDayClose ) >> 1;
			hDayLow = Synchronize( hDayLow ) >> 1;
			//Create Pivot resistance & support
			hPivot.Description = "Pivot";
			hDayHigh.Description = "Prior High";
			hDayLow.Description = "Prior Low";
			DataSeries hR1 =  ( 2 * hPivot - hDayLow );
			hR1.Description = "Pivot R1";
			DataSeries hS1 = ( 2 * hPivot - hDayHigh );
			hS1.Description = "Pivot S1";
			DataSeries hR2 = ( hPivot - ( hS1 - hR1 ) );
			hR2.Description = "Pivot R2";
			DataSeries hS2 = ( hPivot - ( hR1 - hS1 ) );
			hS2.Description = "Pivot S2";      
			//Plot Pivots
			PlotSeries( PricePane, hR2, Color.Red, LineStyle.Dashed, 1);
			PlotSeries( PricePane, hR1, Color.Red, LineStyle.Dashed, 1 );
			PlotSeries( PricePane, hS1, Color.Green, LineStyle.Dashed, 1 );
			PlotSeries( PricePane, hS2, Color.Green, LineStyle.Dashed, 1 ); 
			PlotSeries( PricePane, hDayHigh, Color.Red, LineStyle.Solid, 1);
			PlotSeries( PricePane, hDayLow, Color.Green, LineStyle.Solid, 1);
			
			Double IntradayHigh = 0d;
			Double IntradayLow = 0d;
			Double IntradayFirstOpen = 0d;
			Double IntradayFirstClose = 0d;
			Boolean RedBarLong = false;
			Boolean RedBarShort = false;
			Double DayOpen = 0d;
			PlotStops();
			//PadBars( 10 );

for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				
				//Color Chart
				if ((macd[bar] > 0d) && (macd[bar] > signal[bar]))
				{
					SetBackgroundColor(bar, Color.FromArgb(208, 255, 209));
				}
				if ((macd[bar] < 0d) && (macd[bar] < signal[bar]))
				{
					SetBackgroundColor(bar, Color.FromArgb(255,222,222));
				}				
				
				//Intraday high & low
				if (Bars.IntradayBarNumber(bar) == 0)
				{
					//Reset high & low
					IntradayHigh = High[bar];
					IntradayLow = Low[bar];
					IntradayFirstOpen = Open[bar];
					IntradayFirstClose = Close[bar];
					if (macd[bar] < 0d && macd[bar] < signal[bar]) {RedBarLong = true;} else {RedBarLong = false;}
					if (macd[bar] > 0d && macd[bar] > signal[bar]) {RedBarShort = true;} else {RedBarShort = false;}
				}
				else
				{
					if (High[bar] > IntradayHigh) IntradayHigh = High[bar];
					if (Low[bar] < IntradayLow) IntradayLow = Low[bar];
					if (macd[bar] < 0d && macd[bar] < signal[bar]) RedBarLong = true;
					if (macd[bar] > 0d && macd[bar] > signal[bar]) RedBarShort = true;
				}
				
				
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					
					//Long Exits
					if (p.EntrySignal.Contains("Long"))
					{
						double Target = p.EntryPrice - (AvgDailyRange[bar] * 0.10);
						SellAtStop(bar + 1, p, Target, "Long Stop");
					}
					if (p.EntrySignal.Contains("Long"))
					{
						
						double Target = p.EntryPrice + (AvgDailyRange[bar] * 0.15);
						SellAtLimit(bar + 1, p, Target, "Long Limit");
					}
					if (p.EntrySignal.Contains("Long"))
					{
						if ( GetTime(bar) >= 1555 )  //Sell if Past 3:55pm
						{
							SellAtMarket(bar + 1, p, "Long EOD");
						}
					}
					
					//Short Exits
					if (p.EntrySignal.Contains("Short"))
					{
						double Target = p.EntryPrice + (AvgDailyRange[bar] * 0.10);
						CoverAtStop(bar + 1, p, Target, "Short Stop");
					}
					if (p.EntrySignal.Contains("Short"))
					{
						
						double Target = p.EntryPrice - (AvgDailyRange[bar] * 0.15);
						CoverAtLimit(bar + 1, p, Target, "Short Limit");
					}
					if (p.EntrySignal.Contains("Short"))
					{
						if ( GetTime(bar) >= 1555 )  //Sell if Past 3:55pm
						{
							CoverAtMarket(bar + 1, p, "Short EOD");
						}
					}
				}
				else
				{
					//Long Entry
					if
						(     
						  (GetTime(bar) >= 0930) 
						& (GetTime(bar) <= 1500) 
						& (RSISeries[bar] >= 70d)
						& (macd[bar] > 0d)
						& (macd[bar] > signal[bar])
						& (BBUp[bar] > BBUp[bar-1])
						& (
							((Math.Abs(BBUp[bar] - Close[bar]) / BBUp[bar]) < 0.0005) 
							||
							(BBUp[bar] < Close[bar])  //Within 0.05% - 5 cents 100.  or  above BBUp
						  ) 
						& (Close[bar] <= (BBUp[bar] + (AvgDailyRange[bar] * 0.15))) //Do not enter if past BB by target.
						& (hDayHigh[bar] < High[bar] || hDayHigh[bar] > (High[bar] + (AvgDailyRange[bar] * 0.15))) //Prior Day High is not between entry & Target
						& (hDayLow[bar] < High[bar] || hDayLow[bar] > (High[bar] + (AvgDailyRange[bar] * 0.15))) //Prior Day Low is not between entry & Target
						& (hR1[bar] < High[bar] || hR1[bar] > (High[bar] + (AvgDailyRange[bar] * 0.15))) //Prior Day R1 is not between entry & Target
						& (hR2[bar] < High[bar] || hR2[bar] > (High[bar] + (AvgDailyRange[bar] * 0.15))) //Prior Day R2 is not between entry & Target
						& (hS1[bar] < High[bar] || hS1[bar] > (High[bar] + (AvgDailyRange[bar] * 0.15))) //Prior Day S1 is not between entry & Target
						& (hS2[bar] < High[bar] || hS2[bar] > (High[bar] + (AvgDailyRange[bar] * 0.15))) //Prior Day S2 is not between entry & Target
						& ((AvgDailyRange[bar] * 0.15) >= 0.10) // Set minimum profit target
						& (
							((IntradayFirstOpen - hDayClose[bar]) < (AvgDailyRange[bar] * 0.10)) //Gap up is less than risk
							||
							(hDayClose[bar] >= IntradayLow) //Gap has filled or no gap
							||
							(IntradayFirstOpen > IntradayFirstClose) //Reversal bar.  Disregard gap.
							||
							(RedBarLong == true) //Black Bar
						  )
						)
					{

BuyAtStop(bar + 1, Close[bar] + 0.03, "Long");

//BuyAtStop(bar + 1, BBUp[bar], "Long");
						
						/*
							if (Close[bar] < BBUp[bar])
						{
							BuyAtStop(bar + 1, BBUp[bar], "Long"); //Buy Stop at BBUp
						}
						if (Close[bar] >= BBUp[bar])
						{
							BuyAtMarket(bar + 1, "Long"); //Buy at market if at or above BBUp
						}
						*/
						
						/*
						if (High[bar] >= BBUp[bar])
						{
							BuyAtStop(bar + 1, High[bar] + 0.01, "Long"); //Enter 0.01 above high (break entry)
						}
						*/
					}
				
					//Short Entry
					if
						(     
						  (GetTime(bar) >= 0930) 
						& (GetTime(bar) <= 1500) 
						& (RSISeries[bar] <= 30d)
						& (macd[bar] < 0d)
						& (macd[bar] < signal[bar])
						& (BBUp[bar] < BBUp[bar-1])
						& (
							((Close[bar] - Math.Abs(BBDown[bar]) / BBDown[bar]) < 0.0005) 
							||
							(BBDown[bar] > Close[bar])  //Within 0.05% - 5 cents 100.  or  Below BBDown
						  ) 
						& (Close[bar] >= (BBDown[bar] - (AvgDailyRange[bar] * 0.15))) //Do not enter if past BB by target.
						& (hDayHigh[bar] > Low[bar] || hDayHigh[bar] < (Low[bar] - (AvgDailyRange[bar] * 0.15))) //Prior Day High is not between entry & Target
						& (hDayLow[bar] > Low[bar] || hDayLow[bar] < (Low[bar] - (AvgDailyRange[bar] * 0.15))) //Prior Day Low is not between entry & Target
						& (hR1[bar] > Low[bar] || hR1[bar] < (Low[bar] - (AvgDailyRange[bar] * 0.15))) //Prior Day R1 is not between entry & Target
						& (hR2[bar] > Low[bar] || hR2[bar] < (Low[bar] - (AvgDailyRange[bar] * 0.15))) //Prior Day R2 is not between entry & Target
						& (hS1[bar] > Low[bar] || hS1[bar] < (Low[bar] - (AvgDailyRange[bar] * 0.15))) //Prior Day S1 is not between entry & Target
						& (hS2[bar] > Low[bar] || hS2[bar] < (Low[bar] - (AvgDailyRange[bar] * 0.15))) //Prior Day S2 is not between entry & Target
						& ((AvgDailyRange[bar] * 0.15) >= 0.10) // Set minimum profit target
						& (
							((hDayClose[bar] - IntradayFirstOpen) < (AvgDailyRange[bar] * 0.10)) //Gap up is less than risk
							||
							(hDayClose[bar] <= IntradayHigh) //Gap has filled or no gap
							||
							(IntradayFirstOpen < IntradayFirstClose) //Reversal bar.  Disregard gap.
							||
							(RedBarShort == true) //Black Bar
						  )
						)
					{
						
						ShortAtStop(bar + 1, Close[bar] - 0.03, "Short");
						
						/*
						if (Close[bar] > BBDown[bar])
						{
							ShortAtStop(bar + 1, BBDown[bar], "Short"); //Short Stop at BBDown
						}
						if (Close[bar] <= BBDown[bar])
						{
							ShortAtMarket(bar + 1, "Short"); //Short at market if at or below BBDown
						}
						*/
						
						/*
						if (Low[bar] <= BBDown[bar])
						{
							ShortAtStop(bar + 1, Low[bar] - 0.01, "Short"); //Enter 0.01 below low (breakout entry)
						}
						*/
						
					}
					
				}
			}
			}
	}
}[/code]