Trading-around-dividends

2021-10-18T21:07:13Z - 2021-10-18T21:07:13Z ago

Need some help as this is my first try to work with fundamental data in WL7

if I don't want to trade the next 3 days after a dividend what would be the condition I would add to the following simple example

CODE:
            if ((sma[bar] < sma[bar - 1]) 
               PlaceTrade(bars, TransactionType.Short, OrderType.Market, 0, "Short 10");

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Glitch8

( 7.81% )

2021-10-18T22:20:33Z - 2021-10-18T22:20:33Z ago

Here's a Strategy that colors the background light red if it's within 3 days of the most recent dividend, hope this helps!

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using System.Drawing;
using System.Collections.Generic;

namespace WealthScript1 
{
    public class MyStrategy : UserStrategyBase
    {
        //Initialize
        public override void Initialize(BarHistory bars)
        {
        }

        //Execute
        public override void Execute(BarHistory bars, int idx)
        {
         //color bars that are within 3 days of last dividend
         List<EventDataPoint> divs = bars.GetEventDataPoints("dividend", idx);
         if (divs.Count > 0)
            lastDivDate = bars.DateTimes[idx];
         if (lastDivDate != DateTime.MinValue)
         {
            TimeSpan span = bars.DateTimes[idx] - lastDivDate;
            if (span.TotalDays <= 3)
            {
               SetBackgroundColor(bars, idx, Color.FromArgb(32, 255, 0, 0));
            }
         }
        }

      //private members
      private DateTime lastDivDate = DateTime.MinValue;
    }
}

Cone8

( 24.56% )

2021-10-18T22:42:28Z - 2021-10-18T22:42:28Z ago

As usual, Glitch's example is elegant, but since I started on it, here's another way..

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

namespace WealthScript123
{   
   public class EventIndexExample : UserStrategyBase
   {
      List<EventDataPoint> _events;
      BarHistory _bars;
      SMA sma;
      
      public override void Initialize(BarHistory bars)
      {
         _bars = bars;
         _events = bars.GetEventDataPoints("Dividend");
         sma = SMA.Series(bars.Close, 10);
         
      }

      public override void Execute(BarHistory bars, int bar)
      {
         int eventIdx = IndexOfMostRecentEvent(bar);

         if (bar - eventIdx > 2)
         {            
            if (sma[bar] < sma[bar - 1])
               PlaceTrade(bars, TransactionType.Short, OrderType.Market, 0, "Short 10");
         }
         else // no trading here
            SetBackgroundColor(bars, bar, Color.FromArgb(40, Color.Red));
         
      }

      int IndexOfMostRecentEvent(int bar)
      {
         if (_events == null)
            return -1;

         // return the most recent event in the list that occurred before the current bar
         for (int n = _events.Count - 1; n >= 0; n--)
         {
            EventDataPoint edp = _events[n];
            if (edp.Date <= _bars.DateTimes[bar])
               return _bars.IndexOf(edp.Date, false);
         }
         return -1;
      }
   }
}

Best Answer

giorgos8

2021-10-18T23:05:32Z - 2021-10-18T23:05:32Z ago

Thanks for your help

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