Design Strategy - Shadow Trader

C# Strategy Designer

Shadow Trader

Published by Glitch on 12/14/2022

I'm considering adding this to my trading MetaStrategy, but only trading one symbol at a time while it is long. It performs well on stocks like SIRI that have been trading in a range. I remember reading a book that called these "Rolling Stocks." The Strategy enters multiple positions and enters when the 8 period RSI crosses under an oversold level. However, it ignores the first such time this happens. It takes trades on SUBSEQUENT crossings before the RSI goes overbought. In effect it maintains a "Shadow Position" = hence the name.

Join the Discussion for this Strategy

This view is read-only, and any changes you make to this Published Strategy will not be saved. Use the Clone button above to create a copy of this Strategy that you can edit.

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript1 
{
    public class MyStrategy : UserStrategyBase
    {
        //create indicators and other objects here, this is executed prior to the main trading loop
        public override void Initialize(BarHistory bars)
        {
			rsi8 = RSI.Series(bars.Close, 8);
			PlotIndicator(rsi8);
        }

        //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
				if (inShadowPosition)
				{
					if (rsi8.CrossesUnder(27.91, idx))
						PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
					else if (rsi8[idx] > 60)
						inShadowPosition = false;
				}
				else
				{
					if (rsi8.CrossesUnder(27.91, idx))
						inShadowPosition = true;
				}
            }
            else
            {
				//code your sell conditions here
				if (rsi8[idx] > 60)
				{
					foreach(Position pos in OpenPositions)
						ClosePosition(pos, OrderType.Market);
					inShadowPosition = false;
				}
            }
        }

		//declare private variables below
		private RSI rsi8;
		private bool inShadowPosition = false;
    }
}

Start with a Template:

Moving Average Crossover

Oscillator Oversold

Channel Breakout

3x2 System

C# Strategy Tips

• Strategies are coded in the C# language and utilize the Microsoft .NET framework.

• Your Strategy is a .NET class derived from the UserStrategyBase base class.

• Override Initialize to perform one-time tasks like creating indicators.

• Override Execute, which is called once for every bar of data being processed, to implement your trading rules.

• Check the Online WealthLab Framework Reference for documentation on classes and methods.