Design Strategy - OneNight w Moving Percentile and Ranking

C# Strategy Designer

OneNight w Moving Percentile and Ranking

Published by DrKoch on 3/8/2023

Keep it simple: Buy low, Sell next morning. "Low" is determined by a moving percentile of True Range. Uses CMF for setup and ranking. Properties of this strategy: - Low NSF ratio - Low number of limit orders The following Extensions were used during development of this trading startegy: - finantic.Indicators: MovingPercentile, Ranking, fill estimation - finantic.Optimizers: SMAC Optimizer and Grid Optimizer - finantic.ScoreCards: The IS/OS ScoreCard and Favourites Scorecard - finantic.IndicatorSelection: Find best indicator to use for setup and ranking

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// OneNight w Moving Percentile, Setup and Ranking
using System;
using System.Collections.Generic;

using WealthLab.Core;
using WealthLab.Backtest;
using WealthLab.Indicators;

using finantic.Indicators;

namespace WealthScript2 
{
    public class MyStrategy : UserStrategyBase
    {	
		public override void Initialize(BarHistory bars)
        {
			TR tr = new TR(bars);
			movingPercentile = new MP(tr, lookback: 100, percentile:75);
			cmf = new CMF(bars, 5);
        }

		public override void PreExecute(DateTime dt, List<BarHistory> participants)
		{
			this.InitCandidates();
			fillProbability = this.EstimateFillProbability(dt, numOrdersIssued);
		}
        
        public override void Execute(BarHistory bars, int idx)
        {
			// Exit
			foreach (var pos in OpenPositions) ClosePosition(pos, OrderType.Market);
			// Setup
			if(cmf[idx] > -0.2) return;
	        // Ranking
			double rank = -cmf[idx];
			// Entry
	        double limit = bars.Close[idx] - movingPercentile[idx] * 0.7;
			this.AddCandidate(rank, bars, TransactionType.Buy, OrderType.Limit, limit);
        }

		public override void PostExecute(DateTime dt, List<BarHistory> participants)
		{
			const int maxOpenPositions = 5; // 20% per Position
			const int maxNumOrders = 30;
			numOrdersIssued = this.PlaceCandidates(maxOpenPositions, maxNumOrders,
				numOpenPositions: 0, fillProbability);
		}

		// private variables
		MP movingPercentile;
		CMF cmf;
		
		static int numOrdersIssued = 0;
		static double fillProbability;
    }
}

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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.