Trade STOXX 50 based prior behavior of SP500

brizzle351

#1

4/25/2011 3:12 AM

I'm looking to test trades in the Europe session based on behavior in the prior American session. For example if the SP500 gains/falls greater than x points in the cash market then buy/sell within x minutes of market open on the STOXX50 and hold for x minutes.

Could someone please help me code this specifically or point me to someone who can??

Thanks.

Eugene

#2

4/25/2011 4:30 AM

Start by checking out:

*DataSeries > Accessing Secondary Symbols > How to: Access DataSeries of Secondary Symbols in the WealthScript Programming Guide and
* GetExternalSymbol in the QuickRef.

Here are a few threads containing code samples or pointers to help you out with accessing secondary symbol's data:

Basketing / Indexing - Applying Strategy to collective price action versus individual symbols
how to do GetExternalSeries in WL.net
How to add a comparative index...like .spx...to a symbol chart to see if,for exaple, a sentiment symbol, offers good signals for entries and exits.

CODE:
Please log in to see this code.

Size:

Color:

Start by checking out:

*[i]DataSeries > Accessing Secondary Symbols > How to: Access DataSeries of Secondary Symbols[/i]  in the WealthScript Programming Guide and 
* [i]GetExternalSymbol[/i] in the QuickRef.

Here are a few threads containing code samples or pointers to help you out with accessing secondary symbol's data:

[LINK=/Forum/Posts/Basketing-Indexing-Applying-Strategy-to-collective-price-action-versus-individual-symbols-30542]Basketing / Indexing - Applying Strategy to collective price action versus individual symbols[/LINK]
[LINK=/Forum/Posts/how-to-do-GetExternalSeries-in-WLnet-30265]how to do GetExternalSeries in WL.net[/LINK]
[LINK=/Forum/Posts/How-to-add-a-comparative-index-to-a-symbol-chart-29940]How to add a comparative index...like .spx...to a symbol chart to see if,for exaple, a sentiment symbol, offers good signals for entries and exits.[/LINK]

[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()
		{
			//For example if the SP500 gains/falls greater than x points in the cash market 
			//then buy/sell within x minutes of market open on the STOXX50 
			//and hold for x minutes.

//Run on STOXX50
			
			Bars sp500 = GetExternalSymbol("^GSPC",true);
			DataSeries change = sp500.Close - (sp500.Close>>1);
			ChartPane cPane = CreatePane(30,true,true);
			PlotSeries(cPane,change,Color.Black,WealthLab.LineStyle.Solid,1);
			double points = 0.1;
			int minutes = 10;
			
			for(int bar = 10; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if ( bar+1 - p.EntryBar >= minutes )
						SellAtMarket( bar+1, p ); 
				}
				else
				{
					if( change[bar] > points || change[bar] < -points )
						BuyAtMarket( bar+1 );
				}
			}
		}
	}
}[/CODE]

brizzle351

#3

4/27/2011 3:05 AM

Thank you. Do you mind showing me how to change to the points to %? and what does "double points = 0.1" mean?

Eugene

#4

4/27/2011 3:44 AM

QUOTE:
and what does "double points = 0.1" mean?

Defining a value of type double. Check out the Wiki FAQ: How do I start with C# ?

QUOTE:
Do you mind showing me how to change to the points to %?

If my understanding is correct:

CODE:
Please log in to see this code.

i.e. replacing absolute change with percent change.

brizzle351

#5

4/27/2011 4:58 PM

Thank you. How do I code the entry based on the previous days ROC of the external symbol? For instance if the external symbol closes greater than x% higher during the cash market then buy at market within x minutes of the subject market opening?

Is the buy rule **if (ROCAbove[bar]>5){BuyAtMarket(bar + 1, "");**

Q1) Does this automatically reference the external symbol?
Q2) Can I set this to cash market only? with an opening an closing time rule?
Q3) Do I change **DataSeries change = sp500.Close - (sp500.Close>>1);** to **DataSeries ROCAbove =ROC.Series(Close,1);** and if so how do I reference the the SP500?

Eugene

#6

4/28/2011 12:34 AM

Please carefully re-read my reply from 4/25/2011 4:30 AM, namely the pointers to the Wealth-Lab manuals. The questions you're asking, especially Q1 and Q3, indicate that you skipped studying these basic concepts in the online guide.

brizzle351

#7

4/28/2011 2:56 AM

OK thanks, have found and printed the WealthScript programming guide... Is there anyone you know of I can pay to write a script for me to spec whilst I'm learning? My strengths lie elsewhere..

Eugene

#8

4/28/2011 3:30 AM

QUOTE:
Is there anyone you know of I can pay to write a script for me to spec whilst I'm learning?

Our webmaster has been implementing a MarketPlace feature to connect developers/coders/etc with customers where one could request a custom script/solution or on the other hand, offer his/her services in coding/consulting/whatnot.