Backtesting using external symbol and index

Author: systemamfry

Creation Date: 8/11/2011 11:02 AM

Wealth Lab » WealthScript (.NET) » Backtesting using external symbol and index

systemamfry

8/11/2011 11:02 AM

My current backtest includes:

Buy when the price of an ETF crosses above its moving average.
And sell when the price of an ETF crosses below its moving average.

I want to change it to:

Buy a specific ETF when the price on an Index crosses above the EMA for the Index.
And sell a specific ETF when the price of an Index crosses below the EMA for the Index.

What do I need to do to accomplish this?

Thank you,
Matt

Eugene

8/11/2011 11:09 AM

Matt,

Are you working with rules or in code?

systemamfry

8/11/2011 11:12 AM

Rules

systemamfry

8/11/2011 11:24 AM

Current code looks like this...

CODE:
Please log in to see this code.

Eugene

8/11/2011 11:45 AM

Unless Cone agrees to add these rules to Community.Rules, I guess you're out of luck with using rules.

QUOTE:
Buy a specific ETF when the price on an Index crosses above the EMA for the Index.
And sell a specific ETF when the price of an Index crosses below the EMA for the Index.

Assuming that you want to change the primary Bars object to the ETF, below is an example...

CODE:
Please log in to see this code.

...to be run on any symbol. Things get really simple if the ETF exists in current DataSet:

CODE:
Please log in to see this code.

Size:

Color:

Unless Cone agrees to add these rules to [LINK=http://www2.wealth-lab.com/WL5WIKI/CommunityRules.ashx]Community.Rules[/LINK], I guess you're out of luck with using rules.

[QUOTE]Buy a specific ETF when the price on an Index crosses above the EMA for the Index.
And sell a specific ETF when the price of an Index crosses below the EMA for the Index.[/QUOTE]

Assuming that you want to change the primary Bars object to the ETF, below is an example...
[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
	{
		protected override void Execute()
		{
			//Buy a specific ETF when the price on an Index crosses above the EMA for the Index.
			//And sell a specific ETF when the price of an Index crosses below the EMA for the Index.
			
			Bars index = GetExternalSymbol( ".IXIC", true );
			DataSeries idx_close = index.Close;
			EMA idx_ema = EMA.Series( idx_close, 20, EMACalculation.Modern );
			Bars etf = GetExternalSymbol( "SPY", true );
			
			ChartPane idxPane = CreatePane( 30,true,true );
			PlotSymbol( idxPane, index, Color.Silver, Color.Silver);
			PlotSeries( idxPane, idx_ema, Color.Blue, LineStyle.Solid, 1 );

ChartPane etfPane = CreatePane( 30,true,true );
			PlotSymbol( etfPane, etf, Color.Blue, Color.Red);
			
			for(int bar = GetTradingLoopStartBar(idx_ema.FirstValidValue*3); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if( CrossUnder( bar, idx_close, idx_ema ) )
					{
						SellAtClose( bar, LastPosition);
						SetBackgroundColor( bar, Color.FromArgb( 30, Color.Red ) );
					}
				}
				else
				{
					if( CrossOver( bar, idx_close, idx_ema ) )
					{
						SetContext( etf.Symbol, true );
						BuyAtClose( bar );
						RestoreContext();
						SetBackgroundColor( bar, Color.FromArgb( 30, Color.Green ) );
					}
				}
			}
		}
	}
}[/CODE]
...to be run on any symbol. Things get really simple if the ETF exists in current DataSet:
[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
	{
		protected override void Execute()
		{
			//Buy a specific ETF when the price on an Index crosses above the EMA for the Index.
			//And sell a specific ETF when the price of an Index crosses below the EMA for the Index.
			
			Bars index = GetExternalSymbol( ".IXIC", true );
			DataSeries idx_close = GetExternalSymbol( ".IXIC", true ).Close;
			EMA idx_ema = EMA.Series( idx_close, 20, EMACalculation.Modern );
			
			ChartPane idxPane = CreatePane( 30,true,true );
			PlotSymbol( idxPane, index, Color.Silver, Color.Silver);
			PlotSeries( idxPane, idx_ema, Color.Blue, LineStyle.Solid, 1 );

for(int bar = GetTradingLoopStartBar(idx_ema.FirstValidValue*3); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if( CrossUnder( bar, idx_close, idx_ema ) )
					{
						SellAtClose( bar, LastPosition);
						SetBackgroundColor( bar, Color.FromArgb( 30, Color.Red ) );
					}
				}
				else
				{
					if( CrossOver( bar, idx_close, idx_ema ) )
					{
						BuyAtClose( bar );
						SetBackgroundColor( bar, Color.FromArgb( 30, Color.Green ) );
					}
				}
			}
		}
	}
}[/CODE]

Wealth Lab » WealthScript (.NET) » Backtesting using external symbol and index