Design Strategy - TASC Oct 2022 (Enhanced Version)

C# Strategy Designer

TASC Oct 2022 (Enhanced Version)

Published by Springroll on 1/9/2023

This is an experiment with a system I "stole" from TASC Oct. 2022. Using the WL code presented there, I extended it with a long term market filter to reduce drawdowns during market meltdowns in 2015, 2016, 2018, 2020 and 2022. The system can be used in an aggressive mode, which provides higher profits, but also slightly expands drawdowns. The idea behind the aggressive mode would be to use it when the markets are in a clear bull mode (which could be incorporated in a next step). I have tested the system with TQQQ or QLD. QLD is less volatile and therefore has a slightly higher Sharpe Ratio. TQQQ achieves higher profits and higher drawdowns, but still shines with good metrics data.

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using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;
using WealthLab.TASC;


namespace WealthScriptTASCOct2022
{
	public enum ConsecutiveBars { Under, Over }
	public enum RsiZones { Uptrend, Downtrend, Neutral }
	
    public class TASCOct2022 : UserStrategyBase
    {
		private IndicatorBase rsvaEma;
		private String indexSymbol = "$NDX";
		private BarHistory indexWeeklyBars;
		private TimeSeries indexWeeklyRSI;
		private RsiZones rsiZone;

		private int timePeriod, lookbackPeriod, multiplier, barsAbove, barsBelow;
		
		public TASCOct2022() : base()
        {
			AddParameter("Use Aggressiv Mode?", ParameterType.Int32, 0, 0, 1, 1);
		}

        public override void Initialize(BarHistory bars)
        {
			if (Parameters[0].AsInt == 1)
			{
				timePeriod = 15;
				lookbackPeriod = 30;
				multiplier = 19;
				barsAbove = 3;
				barsBelow = 4;
			}
			else
			{
				timePeriod = 15;
				lookbackPeriod = 25;
				multiplier = 17;
				barsAbove = 3;
				barsBelow = 3;
			}
			
			rsvaEma = new RSVAEMA(bars.Close, timePeriod, lookbackPeriod, multiplier);
                        PlotIndicator(rsvaEma, new WLColor(0, 0, 0));

			indexWeeklyBars = GetHistoryUnsynched(indexSymbol, HistoryScale.Weekly);
			indexWeeklyRSI = new RSI(indexWeeklyBars.AveragePriceOHLC, 15);
			indexWeeklyRSI = TimeSeriesSynchronizer.Synchronize(indexWeeklyRSI, bars);
			PlotTimeSeries(indexWeeklyRSI, "RSI Weekly " + indexSymbol, "RSI Weekly", WLColor.Black);

			for (int i = 0; i < bars.Count; i++)
				SetSeriesBarColor(indexWeeklyRSI, i, GetBroadMarketTrend(i) == RsiZones.Uptrend ? WLColor.Green : GetBroadMarketTrend(i) == RsiZones.Downtrend ? WLColor.Red : WLColor.Orange);

			StartIndex = 20;
        }

		public RsiZones GetBroadMarketTrend(int idx)
		{
			return indexWeeklyRSI[idx] >= 55 ? RsiZones.Uptrend : indexWeeklyRSI[idx] <= 45 ? RsiZones.Downtrend : RsiZones.Neutral;
		}

		
		public bool isConsecutiveBarsOverOrUnder(BarHistory bars, int idx, int lookback, TimeSeries ts, ConsecutiveBars direction)
		{
			int index = idx;
			for (int n = 0; n < lookback; n++)
			{
				index = idx - n;
				if (index >= 0)
				{
					if (direction == ConsecutiveBars.Under)
					{
						if (index - 0 >= 0 && bars.Close[index] < ts[index - 0])
						{ }
						else
							return false;
					}
					else
					{
						if (index - 0 >= 0 && bars.Close[index] > ts[index - 0])
						{ }
						else
							return false;
					}
				}
			}
			return true;
		}

		private (bool, bool) CalculateSetups(BarHistory bars, int idx)
		{
			bool longEntry = (GetBroadMarketTrend(idx) == RsiZones.Uptrend || GetBroadMarketTrend(idx) == RsiZones.Neutral) && isConsecutiveBarsOverOrUnder(bars, idx, barsAbove, rsvaEma, ConsecutiveBars.Over);
			bool longExit = GetBroadMarketTrend(idx) == RsiZones.Downtrend || isConsecutiveBarsOverOrUnder(bars, idx, barsBelow, rsvaEma, ConsecutiveBars.Under);
			return (longEntry, longExit);
		}

		public override void Execute(BarHistory bars, int idx)
		{
			(bool longEntryReady, bool longExitReady) = CalculateSetups(bars, idx);
			
			if (!HasOpenPosition(bars, PositionType.Long))
			{
				if (longEntryReady)
					PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, 0, "Long Entry");
			}
			else
			{
				if (longExitReady)
					PlaceTrade(bars, TransactionType.Sell, OrderType.Market, 0, "Long Exit");
			}

		}
 
    }
}

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