Design Strategy - Bensdorp's Catastrophe Hedge

C# Strategy Designer

Bensdorp's Catastrophe Hedge Published by DrKoch on 3/1/2023 ### The Catastrophe Hedge: Long-Term Trend Following Short inspired by Laurens Bensdorp's book "Automated Stock Trading System" Please read the book to get the full picture. This system sells short when the market is in a downtrend and shows clear down momentum.	Start a Discussion for this Strategy
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// The Catastrophe Hedge: Long-Term Trend Following Short
// inspired by Lauren Bensdorp's book "Automated Stock Trading Systems"  
// Please read the book to get the full picture.

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;

namespace WealthScript4 
{
	// Universe: SPY
	// Position Sizing: 100%
	public class MyStrategy : UserStrategyBase
    {		
        public override void Initialize(BarHistory bars)
        {
			//--- Indicators ---
			lowestClose50 = new Lowest(bars.Close, 50);
			highestClose70 = new Highest(bars.Close, 70);
			atr40 = new ATR(bars, 40);			
			StartIndex = 70;

			//--- Graphics ---
			PlotIndicator(highestClose70, WLColor.Cyan, paneTag: "Price");
			PlotIndicator(lowestClose50, WLColor.Magenta, paneTag: "Price");
			
			PlotStopsAndLimits(dotSize: 3);
        }

        public override void Execute(BarHistory bars, int idx)
        {
			//=== Exit ===
			Position p = LastOpenPosition;
			if(p != null)
			{
				// Profit Protection
				if (bars.Close[idx] >= highestClose70[idx])
				{
					ClosePosition(p, OrderType.Market, 0.0, "Profit Protection");
				}
				// Stop Loss
				if (p.IsOpen) ClosePosition(p, OrderType.Stop, p.EntryPrice + 3.0 * atr40[p.EntryBar], "Stop Loss");
			}
			
			//=== Entry ===
	        // One position per symbol
	        if (HasOpenPosition(bars, PositionType.Short)) return;
	        
	        // check data
	        if(Double.IsNaN(lowestClose50[idx]) || Double.IsNaN(highestClose70[idx]) || Double.IsNaN(atr40[idx])) return;
	        
	        //--- Setup ---
	        // Lowest Close
	        if(bars.Close[idx] > lowestClose50[idx]) return;
	       
			PlaceTrade(bars, TransactionType.Short, OrderType.Market, 0.0, "Short Entry");
        }

		// private variables
		IndicatorBase lowestClose50, atr40, highestClose70;
    }
}

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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.