Design Strategy - Bensdorp's Long Mean Reversion Selloff

C# Strategy Designer

Bensdorp's Long Mean Reversion Selloff Published by DrKoch on 3/1/2023 ### Long Mean Reversion Selloff inspired by Laurens Bensdorp's book "Automated Stock Trading System" Please read the book to get the full picture. This is a long mean reversion system that is built to capture the majority of the pullbacks in an uptrend.	Join the Discussion for this Strategy
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// Long Mean Reversal Selloff
// 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 WealthScript6 
{
    public class MyStrategy : UserStrategyBase
    {
		public MyStrategy() : base()
		{
			// Book: 12.5   WS: 1.9
			AddParameter("Three Day Drop Pct", ParameterType.Double, 1.9, 0.0, 15.0, 0.5); // 0
			// Book: 7.0    WS: 1.6
			AddParameter("Intraday Drop Pct", ParameterType.Double, 1.6, 0.0, 10.0, 0.5); // 1
			// Book: 4.0    WS: 1.4
			AddParameter("Profit Target %", ParameterType.Double, 1.4, 0.0, 5.0, 0.5); // 2		
		}
		
        public override void Initialize(BarHistory bars)
        {
			threeDayDrop = Parameters[0].AsDouble;
			idDrop = Parameters[1].AsDouble;
			profitTargetPct  = Parameters[2].AsDouble;
			
			//--- Indicators ---
	        avgVolume = new SMA(bars.Volume, 50);
			atrp10 = new ATRP(bars, 10);
			sma150 = new SMA(bars.Close, 150);
			roc3 = new ROC(bars.Close, 3);
			atr10 = new ATR(bars, 10);
			StartIndex = 150;

			//--- Graphics ---
			PlotIndicator(atrp10, WLColor.Cyan, paneTag: "ATR");
			DrawHorzLine(5.0, WLColor.Magenta, paneTag: "ATR");
			PlotIndicator(sma150, WLColor.Magenta, paneTag: "Price");
			PlotStopsAndLimits(dotSize: 3);
        }

        public override void Execute(BarHistory bars, int idx)
        {
			//=== Exit ===
			foreach(Position p in OpenPositions)
			{
				// Stop Loss
				double stop = p.EntryPrice - 2.5 * atr10[p.EntryBar];
				ClosePosition(p, OrderType.Stop, stop, "Stop Loss@" + stop.ToString("f2"));
				if (!p.IsOpen) continue;

				// Take Profit
				double pt = p.EntryPrice * 1.0 + profitTargetPct / 100.0; // 4 %
				ClosePosition(p, OrderType.Limit, pt, "Take Profit@" + pt.ToString("f2"));
				if (!p.IsOpen) continue;

				// Timeout: Three days
				if (idx - p.EntryBar >= 3)
				{
					ClosePosition(p, OrderType.MarketClose, 0.0, "Timeout");
				}
			}
	        
			//=== Entry ===
			// One position per symbol
			if (HasOpenPosition(bars, PositionType.Long)) return;

			// check data
			if(Double.IsNaN(sma150[idx]) || Double.IsNaN(atrp10[idx]) || Double.IsNaN(atr10[idx]) ||
				Double.IsNaN(avgVolume[idx]) || Double.IsNaN(roc3[idx])) return;

			//--- Filter ---
			// Average daily volume
			if(avgVolume[idx] < 1e6) return;
			// Minimum Price
			if(bars.Close[idx] < 1.0) return;
	        // Volatiity
	        if(atrp10[idx] < 5.0) return;
	        
	        //--- Setup ---
	        // Close above SMA
	        if(bars.Close[idx] < sma150[idx]) return;
	        
	        // Drop
	        if(roc3[idx] > -threeDayDrop) return; // 12.5

			double limit = bars.Close[idx] * (1.0 - idDrop / 100.0); // 7% below previous close
			Transaction t = PlaceTrade(bars, TransactionType.Buy, OrderType.Limit, limit,
				"Long Limit@" + limit.ToString("f2"));
			//--- Ranking ---
			//t.Weight = -roc3[idx];	        
        }

		public override double GetMaxRiskStopLevel(BarHistory bars, PositionType pt, int idx)
		{
			Double limit = bars.Close[idx] * (1.0 - idDrop / 100.0);
			double stop = limit - 3.0 * atr10[idx];
			return stop;
		}

		// private variables
		double threeDayDrop, idDrop, profitTargetPct;
		IndicatorBase avgVolume, atrp10, sma150, roc3, atr10;
    }
}

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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.