Design Strategy - Bensdorp's Long Trend Low Volatility

C# Strategy Designer

Bensdorp's Long Trend Low Volatility Published by DrKoch on 3/1/2023 ### Long Trend Low Volatility inspired by Laurens Bensdorp's book "Automated Stock Trading System" Please read the book to get the full picture. We follow trends and look for stocks with low volatility.	Start a Discussion for this Strategy
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// Long Trend Low Volatility
// 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 WealthScript8 
{
	// 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, 50);
			hv = new HV(bars.Close, 120, 252);
			sma200 = new SMA(bars.Close, 200);
			spy = GetHistory(bars, "SPY");
			smaSpy = new SMA(spy.Close, 100);
			rsi4 = new RSI(bars.Close, 4);
			atr40 = new ATR(bars, 40);
			StartIndex = 200;

			//--- Graphics ---
			PlotIndicator(sma200, 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 - 1.5 * atr40[p.EntryBar], "Stop Loss");
				if (p.IsOpen)
				{
					// Trailing Stop
					CloseAtTrailingStop(p, TrailingStopType.PercentC, 20, "Trailing Stop");
				}
			}
			
			//=== Entry ===
	        // One position per symbol
	        if (HasOpenPosition(bars, PositionType.Long)) return;
	        
	        // check data
	        if(Double.IsNaN(hv[idx]) || Double.IsNaN(smaSpy[idx]) || Double.IsNaN(atr40[idx]) ||
				Double.IsNaN(avgTurnover[idx]) || Double.IsNaN(sma200[idx]) || Double.IsNaN(rsi4[idx])) return;
	        
			//--- Filter ---
	        // Average daily dollar volume
	        if(avgTurnover[idx] < 100e6) return; 
	        // Historical Volatility between 10 and 40
	        if(hv[idx] < 10.0) return;
	        if(hv[idx] > 40.0) return;
			
	        //--- Setup ---
	        // SPY above SMA
	        if(spy.Close[idx] < smaSpy[idx]) return;
	       
	        // close above SMA
	        if(bars.Close[idx] <= sma200[idx]) return;
	       
			Transaction t = PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0.0, "Long Entry");
			//--- Ranking ---
			t.Weight = -rsi4[idx];
        }

		public override double GetMaxRiskStopLevel(BarHistory bars, PositionType pt, int idx)
		{
			double stop = bars.Close[idx] - 1.5 * atr40[idx];
			return stop;
		}

		// private variables
		IndicatorBase avgTurnover, hv, sma200, smaSpy, rsi4, atr40;
		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.