Design Strategy - Bensdorp's Long Trend High Momentum

C# Strategy Designer

Bensdorp's Long Trend High Momentum Published by DrKoch on 3/1/2023 ### Long Trend High Momentum inspired by Laurens Bensdorp's book "Automated Stock Trading System" Please read the book to get the full picture. Be in trendig stocks that have big momentum. This gets you into the high-fliers, the popular stocks, when the market is in an uptrend.	Join the Discussion for this Strategy
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// Long Trend High Momentum
// 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;
using finantic.Indicators;

namespace WealthScript7 
{
	// Universe: NYSE, NASDAQ, AMEX
	// Position Sizing: 2% Risk and 10% maximum percentage, max. 10 Position
	public class MyStrategy : UserStrategyBase
    {		
        public override void Initialize(BarHistory bars)
        {
			//--- Indicators ---
			avgTurnover = new AvgTurnover(bars, 20);
			sma25 = new SMA(bars.Close, 25);
			sma50 = new SMA(bars.Close, 50);
			spy = GetHistory(bars, "SPY");
			smaSpy = new SMA(spy.Close, 100);
			roc200 = new ROC(bars.Close, 200);
			atr20 = new ATR(bars, 20);
			StartIndex = 200;

			//--- Graphics ---
			PlotIndicator(sma25, WLColor.Cyan, paneTag: "Price");
			PlotIndicator(sma50, WLColor.Magenta, paneTag: "Price");
			PlotBarHistory(spy, "SPY", WLColor.Gray);
			PlotIndicator(smaSpy, WLColor.Red, paneTag: "SPY");
			PlotStopsAndLimits(dotSize: 3);
        }

        public override void Execute(BarHistory bars, int idx)
        {
			//=== Exit ===
			Position p = LastOpenPosition;
			if(p != null)
			{
				// Stop Loss
				ClosePosition(p, OrderType.Stop, p.EntryPrice - 5.0 * atr20[p.EntryBar], "Stop Loss");
				if (p.IsOpen)
				{
					// Trailing Stop
					CloseAtTrailingStop(p, TrailingStopType.PercentC, 25, "Trailing Stop");
				}
			}
			
			//=== Entry ===
	        // One position per symbol
	        if (HasOpenPosition(bars, PositionType.Long)) return;
	        
	        // check data
	        if(Double.IsNaN(roc200[idx]) || Double.IsNaN(smaSpy[idx]) || Double.IsNaN(atr20[idx]) ||
				Double.IsNaN(avgTurnover[idx]) || Double.IsNaN(sma50[idx])) return;
	        
			//--- Filter ---
	        // Average daily dollar volume
	        if(avgTurnover[idx] < 50e6) return; 
	        // Minimum Price
	        if(bars.Close[idx] < 5.0) return;
			
	        //--- Setup ---
	        // SPY above SMA
	        if(spy.Close[idx] < smaSpy[idx]) return;
	       
	        // SMA cross
	        if(!sma25.CrossesOver(sma50, idx)) return;
	       
			Transaction t = PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0.0, "Long Entry");
			//--- Ranking ---
			t.Weight = roc200[idx];
        }

		public override double GetMaxRiskStopLevel(BarHistory bars, PositionType pt, int idx)
		{
			double stop = bars.Close[idx] - 5.0 * atr20[idx];
			return stop;
		}

		// private variables
		IndicatorBase avgTurnover, sma25, sma50, smaSpy, roc200, atr20;
		BarHistory spy;
    }
}

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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.