Rank-a-DataSet-by-Relative-Force-rotate-into-5-top-stocks-exit-on-EMA-crossunder

CODE:

//private ROC _roc;
private TimeSeries _roc;

//_roc = ROC.Series(bars.Close, 30);
//bars.Cache[_roc.Name] = _roc;
_roc = your TimeSeries...
bars.Cache[_roc.Description] = _roc;

//bars.UserData = -(bars.Cache[_roc.Name] as TimeSeries)[idx];
bars.UserData = -(bars.Cache[_roc.Description] as TimeSeries)[idx];

CODE:
 public class Momentum : UserStrategyBase
    {
        //this static list will be available in all instances of this class
        private static List<BarHistory> _buys = new List<BarHistory>();
        private TimeSeries FR;
        private int _candidates = 5;

        public Momentum()
        {
            AddParameter("Candidates", ParameterType.Int32, 5, 1, 20, 1);
            AddParameter("RSI >", ParameterType.Int32, 60, 50, 95, 5);
        }

        public override void Initialize(BarHistory bars)
        {
            _candidates = Parameters[0].AsInt;
            for (int n = 200; n < bars.Count; n++)
            {
                FR[n] = (bars.Close[n] / bars.Close[n - 21]) +
                    (bars.Close[n] / bars.Close[n - (21 * 2)]) * Math.Sqrt(2) +
                    (bars.Close[n] / bars.Close[n - (21 * 3)]) * Math.Sqrt(3);
            }
            bars.Cache[FR.Description] = FR;
            StartIndex = FR.FirstValidIndex;

CODE:
FR = new TimeSeries(bars.DateTimes,0);

CODE:
public override void Initialize(BarHistory bars)
      {
         _candidates = Parameters[0].AsInt;
         
         _roc =    (bars.Close / (bars.Close >>21)) +
               (bars.Close / (bars.Close>>(21*2))) * Math.Sqrt(2) +
               (bars.Close / (bars.Close>>(21*3))) * Math.Sqrt(3);

         bars.Cache[_roc.Description] = _roc;
         StartIndex = _roc.FirstValidIndex;
      }

CODE:
foreach (BarHistory bars in participants)
            {
                int idx = GetCurrentIndex(bars);
                if (idx < 30) //30 days
                {
                    bars.UserData = -1.0e10;      // change this to a negative value if you change the sort from higher to lower below
                    continue;
                }
                //monthly ROC ranked top down
                bars.UserData = -(bars.Cache[_roc.Description] as TimeSeries)[idx];

CODE:
if (idx < StartIndex) //200 days

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript4
{
    public class MyStrategy : UserStrategyBase
    {
        private TimeSeries FR = new TimeSeries();

        //create indicators and other objects here, this is executed prior to the main trading loop
        public override void Initialize(BarHistory bars)
        {
            FR = (bars.Close / bars.Close >> 21) * Math.Sqrt(2);

            PlotTimeSeries(FR, "FR", "FR_Pane", WLColor.Blue, PlotStyle.Line);
        }

        //execute the strategy rules here, this is executed once for each bar in the backtest history
        public override void Execute(BarHistory bars, int idx)
        {
            if (!HasOpenPosition(bars, PositionType.Long))
            {
                //code your buy conditions here
            }
            else
            {
                //code your sell conditions here
            }
        }

        //declare private variables below

    }
}

CODE:
//FR = (bars.Close / bars.Close >> 21) * Math.Sqrt(2);
FR = (bars.Close / (bars.Close >> 21)) * Math.Sqrt(2);

CODE:
public override void Execute(BarHistory bars, int idx)
        {
            string buySymbols = string.Join(", ", _buys.Select(x => x.Symbol));
            WriteToDebugLog(bars.DateString(idx) + "\tBuys: " + buySymbols);

            if (!HasOpenPosition(bars, PositionType.Long))
            {
                // only buy this one if it's in the _buys list
                if (_buys.Contains(bars) && !double.IsNaN((double)bars.UserData))
                {
                    //but only if the "Relative Force" is bigger than 80 and RSI(5) is bigger than 60.
                    //if( (double)bars.UserData > 80)
                    if (RSI.Series(bars.Close, 5)[idx] > Parameters.FindName("RSI >").AsInt)
                    {
                        WriteToDebugLog(bars.DateString(idx) + "Compra: " + bars.Symbol + ": " + FR[idx]);
                        PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, bars.UserData.ToString());
                    }
                }
            }
            else

CODE:
WriteToDebugLog( (double)bars.UserData );

CODE:
if( (double)bars.UserData > 80)

QUOTE:
assigns to each symbol a "Relative Force", from 100 to 0, according to the highest variations

CODE:
//Add the participants to calculate percentiles 
            _RFcalc.Clear();
            _RFcalc.AddRange(participants.GetRange(0, participants.Count));

CODE:
public override void Execute(BarHistory bars, int idx)
        {
            qtySymbols = _FRcalc.Count;

            FRfinalPos = _FRcalc.FindIndex(x => x.UserDataAsDouble == FRseries[idx]);

            FR = (qtySymbols - FRfinalPos)* 100 / qtySymbols;

CODE:
 if (!HasOpenPosition(bars, PositionType.Long))
            {
                // only buy this one if it's in the _buys list
                if (_buys.Contains(bars) && !double.IsNaN((double)bars.UserData))
                {
                    //but only if the "Relative Force" is bigger than 80 and RSI(5) is bigger than 60.
                    if (RF > 80)
                    {
                        if (RSI.Series(bars.Close, 5)[idx] > Parameters.FindName("RSI >").AsInt)
                        {
                            string buySymbols = string.Join(", ", _buys.Select(x => x.Symbol));
                            string buyRF = string.Join(" RF: ",_buys.Select(y => y.UserData));
                            WriteToDebugLog(bars.DateString(idx) + Environment.NewLine +
                                " - Qty Symbols:: " + string.Format("{0:##00}", qtySymbols) + Environment.NewLine +
                                " - Symbol: " + bars.Symbol + ": " + string.Format("{0:0.000}", FRseries[idx]) + " || Buys: " + buySymbols + Environment.NewLine + 
                                " - RF: " + buyRF + Environment.NewLine +
                                " - RF Pos: " + FRfinalPos + Environment.NewLine +
                                " - RF Value: " + RF + Environment.NewLine);
                            //WriteToDebugLog(bars.DateString(idx) + "Symbol: " + bars.Symbol + "       - MaxFR: " + maxFR);

                            PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, bars.UserData.ToString());