CrossOver(EMA1, EMA2) and RSI

Dizelrp

#1

10/29/2009 4:17 PM

Help me

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Help me

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

namespace WealthLab.Strategies
{
	class MovingAverageCrossoverRSI : WealthScript
	{
		//Create parameters
		
		
		StrategyParameter fastPeriod;
		StrategyParameter slowPeriod;
		StrategyParameter rsiPeriod;
		StrategyParameter oversold;
		StrategyParameter overbought;
		public MovingAverageCrossoverRSI()
		{
			fastPeriod = CreateParameter("Fast Period", 5, 1, 20, 1);
			slowPeriod = CreateParameter("Slow Period", 10, 7, 50, 1);
			rsiPeriod = CreateParameter("RSI Period", 20, 20, 20, -1);
			oversold = CreateParameter("Oversold", 40, 10, 40, 5);
			overbought = CreateParameter("Overbought", 60, 40, 80, 5);
				
		}	
		protected override void Execute()
		{
			
			int fastPer = fastPeriod.ValueInt;
			int slowPer = slowPeriod.ValueInt;
			int level;
			int period = rsiPeriod.ValueInt;
			
		
			RSI RSISeries = RSI.Series(Close, period);
			ChartPane rsiPane = CreatePane(50, true, true);
			PlotSeries(rsiPane, RSISeries, Color.Navy, LineStyle.Solid, 3);
			DrawHorzLine(rsiPane, oversold.Value, Color.Red, LineStyle.Dotted, 2);
			DrawHorzLine(rsiPane, overbought.Value, Color.Green, LineStyle.Dotted, 2);
			
			DataSeries maFast = EMAModern.Series(Close, fastPer);
			DataSeries maSlow = EMAModern.Series(Close, slowPer);
			PlotSeries(PricePane, maFast, Color.Green, LineStyle.Solid, 2);
			PlotSeries(PricePane, maSlow, Color.Red, LineStyle.Solid, 2);
			
         
			for(int bar = 11; bar < Bars.Count; bar++)
			{
				bool cond1 = false;   
				if (CrossUnder(bar, maFast, maSlow))
				{
					if (RSISeries[bar] < 40)
					{
						cond1 = true;
					}
					bool cond2 = false;
					if (ActivePositions.Count < 1)
					{
						if (CrossUnder(bar, RSISeries, 40))
						{
							if (maFast[bar] < maSlow[bar])
							{
								cond2 = true;
							}
						}
					}
					if (cond1 || cond2)
					{
						ShortAtClose(bar, "Group3|Group4|");
					}
					bool cond3 = false; 
					if (CrossOver(bar, maFast, maSlow))
					{
						if (RSISeries[bar] > 60)
						{
							cond3 = true;
						}
					}
					bool cond4 = false; 
					if (ActivePositions.Count < 1)
					{
						if (CrossOver(bar, RSISeries, 60))
						{
							if (maFast[bar] > maSlow[bar])
							{
								cond4 = true;
							}
						}
					}
					if (cond3 || cond4)
					{
						BuyAtClose(bar, "Group1|Group2|");
					}		
				  	for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
					{
					 	Position p = ActivePositions[pos];
						if (p.Active)
					       	{
							if (p.EntrySignal.Contains("Group3|"))
						    {
								if (CrossOver(bar, maFast, maSlow))
								{
									{
									CoverAtClose(bar, p, "Group3");
								}
									}
							}
							if (p.EntrySignal.Contains("Group1|"))
							{
								if (CrossUnder(bar, maFast, maSlow))
								{
									{
									SellAtClose(bar, p, "Group1");
								}
									}
							}
							if (p.EntrySignal.Contains("Group4|"))
							{
								double Stop = p.EntryPrice * (1 + 0.5 / 100.0d);
								CoverAtStop(bar + 1, p, Stop, "Group4");
							}
							if (p.EntrySignal.Contains("Group2|"))
							{
								double Stop = p.EntryPrice * (1 - 0.5 / 100.0d);
								SellAtStop(bar + 1, p, Stop, "Group2");
							}
						}
					}
				}
			}
		}
	}
}

[/CODE]

Eugene

#2

10/29/2009 4:41 PM

Help - how exactly?

You were trying to modify a rule-based strategy. Probably this is the source of a logic error i.e. conditioning all the code like this:

CODE:
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But anyway, we need to know what are you trying to do?

Dizelrp

#3

10/30/2009 6:47 AM

Is 2EMA when EMA1 intersects EMA2 from below upwards provided that RSI> 60 or when RSI intersects 60 provided that EMA1> EMA2 - there is a purchase, closing at intersection EMA1 from top to down EMA2, or on stop of 0,5 % from the purchase price.
The short position opens when EMA1 intersects EMA2 from top to down provided that RSI <40 or when RSI intersects 40 provided that EMA1 <EMA2 - there is an opening short, closing at intersection EMA1 from below upwards EMA2, or on stop of 0,5 % from the purchase price.

Eugene

#4

10/30/2009 7:05 AM

What does the intersect mean?

Buy: ( CrossOver(EMA1, EMA2) and (RSI>60) ) or ( CrossOver???(RSI,60) and EMA1>EMA2 )
Sell: CrossUnder(EMA1, EMA2) or a tight 0.5% stop

Short: ( CrossUnder(EMA1, EMA2) and (RSI<40) ) or ( CrossUnder???(RSI,60) and EMA1>EMA2 )
Sell: CrossUnder(EMA1, EMA2) or a tight 0.5% stop

Is it a single position or multi-position system (ie. ActivePositions used in your script)?

Dizelrp

#5

10/30/2009 9:58 AM

Do you speak russian ?
I m not speak english very well.

Eugene

#6

10/30/2009 10:35 AM

Forex? (Hardly a chance with equities or futures with a 0.5% stop.)

CODE:
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Forex? (Hardly a chance with equities or futures with a 0.5% stop.)
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MovingAverageCrossoverRSI : WealthScript
	{
		StrategyParameter fastPeriod;
		StrategyParameter slowPeriod;
		StrategyParameter rsiPeriod;
		StrategyParameter oversold;
		StrategyParameter overbought;
		
		public MovingAverageCrossoverRSI()
		{
			fastPeriod = CreateParameter("Fast Period", 5, 1, 20, 1);
			slowPeriod = CreateParameter("Slow Period", 10, 7, 50, 1);
			rsiPeriod = CreateParameter("RSI Period", 20, 20, 20, -1);
			oversold = CreateParameter("Oversold", 40, 10, 40, 5);
			overbought = CreateParameter("Overbought", 60, 40, 80, 5);				
		}
		
		protected override void Execute()
		{
			int period = rsiPeriod.ValueInt;
			int fastPer = fastPeriod.ValueInt;
			int slowPer = slowPeriod.ValueInt;
			int overbot = overbought.ValueInt;
			int oversld = oversold.ValueInt;

RSI rsi = RSI.Series(Close,period);
			DataSeries maFast = EMAModern.Series(Close, fastPer);
			DataSeries maSlow = EMAModern.Series(Close, slowPer);
			
			for(int bar = 3 * Math.Max( period, Math.Max(fastPer,slowPer) ); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					
					if( p.PositionType == PositionType.Long )
					{
						if( CrossUnder(bar, maFast, maSlow) )
							SellAtClose( bar,p,"AtClose");
						else
							SellAtStop( bar+1, p, p.EntryPrice*0.995, "Stop");
					}
					else
					{
						if( CrossOver(bar, maFast, maSlow) )
							CoverAtClose( bar,p,"AtClose");
						else
							CoverAtStop( bar+1, p, p.EntryPrice*1.005, "Stop");
					}					
				}
				else
				{
					bool Buy = ( CrossOver(bar, maFast, maSlow) && (rsi[bar]>overbot) ) || 
						( CrossOver(bar, rsi, overbot) & (maFast[bar] > maSlow[bar]) );
					bool Short = ( CrossUnder(bar, maFast, maSlow) && (rsi[bar]<oversld) ) || 
						( CrossUnder(bar, rsi, oversld) & (maFast[bar] < maSlow[bar]) );
					
					if( Buy )
						BuyAtClose( bar );
					else
						if( Short )
							ShortAtClose( bar );
				}
			}
				
			ChartPane rsiPane = CreatePane(25, true, true);
			PlotSeries(rsiPane, rsi, Color.Navy, LineStyle.Solid, 3);
			DrawHorzLine(rsiPane, oversld, Color.Red, LineStyle.Dotted, 2);
			DrawHorzLine(rsiPane, overbot, Color.Green, LineStyle.Dotted, 2);
			
			PlotSeries(PricePane, maFast, Color.Green, LineStyle.Solid, 2);
			PlotSeries(PricePane, maSlow, Color.Red, LineStyle.Solid, 2);
		}
	}
}[/CODE]

Dizelrp

#7

10/30/2009 12:12 PM

No, futures, Day Trading.
I will result a screenshot with the schedule.
These are transactions on this code, but without optimisation.

CODE:
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Size:

Color:

No, futures, Day Trading. 
I will result a screenshot with the schedule. 
These are transactions on this code, but without optimisation.
[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()
		{
			DataSeries maFast = EMAModern.Series(Close, 5);
			DataSeries maSlow = EMAModern.Series(Close, 10);
			DataSeries RSISeries = RSI.Series(Close, 9);
			DataSeries RSISeries_1 = RSI.Series(Close, 9);
			DataSeries maFast_2 = EMAModern.Series(Close, 5);
			DataSeries maSlow_3 = EMAModern.Series(Close, 10);
			DataSeries maFast_4 = EMAModern.Series(Close, 5);
			DataSeries maSlow_5 = EMAModern.Series(Close, 10);
			DataSeries maFast_6 = EMAModern.Series(Close, 5);
			DataSeries maSlow_7 = EMAModern.Series(Close, 10);
			DataSeries RSISeries_9 = RSI.Series(Close, 9);
			DataSeries RSISeries_10 = RSI.Series(Close, 9);
			DataSeries maFast_12 = EMAModern.Series(Close, 5);
			DataSeries maSlow_13 = EMAModern.Series(Close, 10);
			DataSeries maFast_14 = EMAModern.Series(Close, 5);
			DataSeries maSlow_15 = EMAModern.Series(Close, 10);

PlotSeries(PricePane,EMAModern.Series(Close,5),Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,EMAModern.Series(Close,10),Color.Green,LineStyle.Solid,2);
			ChartPane paneRSI = CreatePane(75,true,true);
			PlotSeries(paneRSI, RSISeries, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 60, Color.Green, LineStyle.Solid, 1);
			PlotSeries(paneRSI, RSISeries_1, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 60, Color.Green, LineStyle.Solid, 1);
			PlotSeries(paneRSI, RSISeries_9, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 40, Color.Red, LineStyle.Solid, 1);
			PlotSeries(paneRSI, RSISeries_10, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 40, Color.Red, LineStyle.Solid, 1);

for(int bar = 11; bar < Bars.Count; bar++)
			{
					bool cond1 = false;
					if (CrossUnder(bar, maFast_6, maSlow_7))
					{
						if (RSISeries_9[bar] < 40)
						{
							cond1 = true;
						}
					}
					bool cond2 = false;
					if (ActivePositions.Count < 1)
					{
						if (CrossUnder(bar, RSISeries_10, 40))
						{
							if (maFast_12[bar] < maSlow_13[bar])
							{
								cond2 = true;
							}
						}
					}
					if (cond1 || cond2)
					{
						ShortAtClose(bar, "Group3|Group4|");
					}
					bool cond3 = false;
					if (CrossOver(bar, maFast, maSlow))
					{
						if (RSISeries[bar] > 60)
						{
							cond3 = true;
						}
					}
					bool cond4 = false;
					if (ActivePositions.Count < 1)
					{
						if (CrossOver(bar, RSISeries_1, 60))
						{
							if (maFast_2[bar] > maSlow_3[bar])
							{
								cond4 = true;
							}
						}
					}
					if (cond3 || cond4)
					{
						BuyAtClose(bar, "Group1|Group2|");
					}
				
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					if (p.Active)
						{
					if (p.EntrySignal.Contains("Group3|"))
					{
						if (CrossOver(bar, maFast_14, maSlow_15))
						{
							{
								CoverAtClose(bar, p, "Group3");
							}
						}
					}
					if (p.EntrySignal.Contains("Group1|"))
					{
						if (CrossUnder(bar, maFast_4, maSlow_5))
						{
							{
								SellAtClose(bar, p, "Group1");
							}
						}
					}
					if (p.EntrySignal.Contains("Group4|"))
					{
						double Stop_16 = p.EntryPrice * (1 + 0.5 / 100.0d);
						CoverAtStop(bar + 1, p, Stop_16, "Group4");
					}
					if (p.EntrySignal.Contains("Group2|"))
					{
						double Stop = p.EntryPrice * (1 - 0.5 / 100.0d);
						SellAtStop(bar + 1, p, Stop, "Group2");
					}

}
				}
			}
		}
	}
}
[/CODE]
[IMG]http://i34.tinypic.com/se2lgm.jpg[/IMG]
[IMG]http://i37.tinypic.com/15wijib.jpg[/IMG]

Dizelrp

#8

10/30/2009 12:22 PM

Thanks for your help.
Your code works.

Dizelrp

#9

10/30/2009 12:37 PM

Still there is a question. By optimisation period RSI does not vary, is constant 20. Where there can be an error?

Eugene

#10

10/30/2009 1:15 PM

CODE:
Please log in to see this code.

I used a copy/paste from your code. You've fixed it yourself in the optimizer and left as is. Change the numbers in the Strategy code or in the optimizer's GUI.