Design Strategy - Bensdorp's Long Mean Reversion High ADX Reversal V2

C# Strategy Designer

Bensdorp's Long Mean Reversion High ADX Reversal V2 Published by DrKoch on 3/9/2023 ### Long Mean Reversion High ADX Reversal inspired by Laurens Bensdorp's book "Automated Stock Trading System" Please read the book to get the full picture. Buy stocks that are in an uptrend, have a significant selloff and revert to their mean.	Join the Discussion for this Strategy
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// Long Mean Reversion High ADX Reversal V2
// inspired by Lauren Bensdorp's book "Automated Stock Trading Systems"  
// Please read the book to get the full picture.
//
// V2: Ranking
using WealthLab.Backtest;
using System;
using System.Collections.Generic;
using WealthLab.Core;
using WealthLab.Indicators;
using finantic.Indicators;

namespace WealthScript16 
{
    public class MyStrategy : UserStrategyBase
    {
		public MyStrategy() : base()
		{
			// Book: 55   WS: 20.5
			AddParameter("ADX Limit", ParameterType.Double, 20.5, 20.0, 80.0, 0.01); // 0
			// Book: 3.0    WS: 4.0
			AddParameter("Intraday Drop Pct", ParameterType.Double, 4.0, 0.0, 5.0, 0.01); // 1
			// Book: 1.0    WS: 1.2
			AddParameter("Profit Target %", ParameterType.Double, 1.2, 0.0, 2.0, 0.01); // 2		
		}
		
        public override void Initialize(BarHistory bars)
        {
			adxLimit = Parameters[0].AsDouble;
			idDrop = Parameters[1].AsDouble;
			profitTargetPct = Parameters[2].AsDouble;
			
			//--- Indicators ---
	        avgVolume = new SMA(bars.Volume, 50);
			avgTurnover = new AvgTurnover(bars, 50);
			atrp10 = new ATRP(bars, 10);
			sma100 = new SMA(bars.Close, 100);
			adx7 = new ADX(bars, 7);
			atr10 = new ATR(bars, 10);
			rsi3 = new RSI(bars.Close, 3);
			StartIndex = 100;

			//--- Graphics ---
			PlotIndicator(atrp10, WLColor.Cyan, paneTag: "ATR");
			DrawHorzLine(4.0, WLColor.Magenta, paneTag: "ATR");
			TimeSeries smaAtr = sma100 + atr10;
			PlotTimeSeries(smaAtr, "SMA+ATR", "Price", WLColor.Magenta);
			PlotStopsAndLimits(dotSize: 3);
        }

		public override void PreExecute(DateTime dt, List<BarHistory> participants)
		{
			this.InitCandidates();
			fillProbability = this.EstimateFillProbability(dt, numOrdersIssued);
			numOpenPositions = OpenPositionsAllSymbols.Count;
		}

        public override void Execute(BarHistory bars, int idx)
        {
			//=== Exit ===
			foreach(Position p in OpenPositions)
			{
				// Timeout: six days
				if (idx - p.EntryBar >= 6)
				{
					ClosePosition(p, OrderType.Market, 0.0, "LMR2: Timeout");
					numOpenPositions--;
				}
				else
				{
					// Stop Loss
					Double stop = p.EntryPrice - 3.0 * atr10[p.EntryBar];
					ClosePosition(p, OrderType.Stop, stop, "LMR2: Stop Loss@" + stop.ToString("f2"));

					// Take Profit				
					double pt = p.EntryPrice + profitTargetPct * atr10[idx];
					ClosePosition(p, OrderType.Limit, pt, "LMR2: Take Profit@" + pt.ToString("f2"));
				}
			}
	        
			//=== Entry ===
			// One position per symbol
			if (HasOpenPosition(bars, PositionType.Long)) return;

			// check data
			if(Double.IsNaN(sma100[idx]) || Double.IsNaN(atrp10[idx]) || Double.IsNaN(atr10[idx]) ||
				Double.IsNaN(avgVolume[idx]) || Double.IsNaN(rsi3[idx]) || Double.IsNaN(adx7[idx]) ||
	            Double.IsNaN(avgTurnover[idx])) return;

			//--- Filter ---
			// Average daily volume
			if(avgVolume[idx] < 500*1000) return;
			// Average daily dollar volume
			if(avgTurnover[idx] < 2.5e6) return;
	        // Volatiity
	        if(atrp10[idx] < 4.0) return;

			//-- Differentiator
			// ADX: good stregnth of movement
			if(adx7[idx] <= adxLimit) return;

	        //--- Setup ---
	        // Close above SMA + ATR: significant uptrend
	        if(bars.Close[idx] < sma100[idx] + atr10[idx])  return;

			// RSI: moderate pullback
			if(rsi3[idx] > 50) return;
	        
	        //--- Ranking ---
	        double rank = adx7[idx];

			//--- Entry ---
			double limit = bars.Close[idx] * (1.0 - idDrop / 100.0); // 3% below previous close
			this.AddCandidate(rank, bars, TransactionType.Buy, OrderType.Limit, limit, "LMR2: Limit@" + limit.ToString("f2"));
        }

		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;
		}

		public override void PostExecute(DateTime dt, List<BarHistory> participants)
		{
			const int maxOpenPositions = 10;
			const int maxNumOrders = 30;

			numOrdersIssued = this.PlaceCandidates(maxOpenPositions, maxNumOrders, numOpenPositions, fillProbability);
		}

		// private variables
	    double idDrop, adxLimit, profitTargetPct;
		IndicatorBase avgVolume, avgTurnover, atrp10, sma100, adx7, atr10, rsi3;
		static int numOrdersIssued;
		static int numOpenPositions;
		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.