Design Strategy - Bensdorp's Short Rsi Thrust V2

C# Strategy Designer

Bensdorp's Short Rsi Thrust V2 Published by DrKoch on 3/9/2023 ### Short RSI Thrust inspired by Laurens Bensdorp's book "Automated Stock Trading System" Please read the book to get the full picture. Short stocks in order to hedge when the markets move down	Start a Discussion for this Strategy
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// Short RSI Thrust V2
// inspired by Laurens Bensdorp's book "Automated Stock Trading System"  
// 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;

// Universe: NYSE, NASDAQ and AMEX
// Position Sizing: 2% risk, 10% size 

namespace WealthScript19 
{
    public class MyStrategy : UserStrategyBase
    {
		public MyStrategy() : base()
		{
			// Book: 4.0   WS: 4.8
			AddParameter("Entry Limit %", ParameterType.Double, 4.8, 1.0, 4.0, 0.1); // 0
			 // Book: 90.0   WS: 77
			AddParameter("RSI Limit", ParameterType.Double, 77, 50.0, 90.0, 1.0); // 1
			// Book: 4.0  WS:3.0
			AddParameter("Profit %", ParameterType.Double, 3.0, 1.0, 4.5, 0.1); // 2	
		}
		
        public override void Initialize(BarHistory bars)
        {
			entryLimitPct = Parameters[0].AsDouble;
			rsiLimit = Parameters[1].AsDouble;
			profitPct = Parameters[2].AsDouble;
			
			//--- Indicators ---
			avgTurnover = new AvgTurnover(bars, 20);
			atr10 = new ATR(bars, 10);
			rsi3 = new RSI(bars.Close, 3);
			adx7 = new ADX(bars, 7);
			StartIndex = 20;

			//--- Graphics ---
			PlotIndicator(rsi3, WLColor.Cyan, paneTag: "RSI");
			DrawHorzLine(rsiLimit, WLColor.Red, paneTag: "RSI");
			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 ===
			Position p = LastOpenPosition;
			if (p != null)
			{
				// Stop Loss
				double stop = p.EntryPrice + 3.0 * atr10[p.EntryBar];
				ClosePosition(p, OrderType.Stop, stop, "SMR2: Stop Loss@" + stop.ToString("f2"));

				// Profit taking: 4%
				Double prPct = p.ProfitPctAsOf(idx);
				if(prPct > profitPct) // 4.0
				{
					ClosePosition(p, OrderType.MarketClose, 0.0,
						"SMR2: Take Profit, ProfitPct=" + prPct.ToString("f2"));
				}
			
				// Time based exit: two days
				if (idx - p.EntryBar >= 2)
				{
					ClosePosition(p, OrderType.MarketClose, 0.0, "SMR2: Timeout");
				}
				return; //  One position per symbol			
			}
						
			//=== Entry ===
			// check data
			if(Double.IsNaN(atr10[idx]) || Double.IsNaN(rsi3[idx]) || Double.IsNaN(adx7[idx]) ||
				Double.IsNaN(avgTurnover[idx])) return;
	        
			//--- Filter ---
			// Minimum Price
			if(bars.Close[idx] < 5.0) return;
			// Average daily dollar volume
			if(avgTurnover[idx] < 25e6) return;
	        // sufficient volatility
	        if(atr10[idx] < bars.Close[idx] * 0.03) return;

			//-- Differentiator DO NOT OPTIMIZE
			// RSI above ninety
			if(rsi3[idx] <= rsiLimit) return; // 90.0

			//--- Setup ---
			// The last two days the close was higher than the previous day
			if(bars.Close[idx] <= bars.Close[idx-1]) return;
	        if(bars.Close[idx-1] <= bars.Close[idx-2]) return;

			//--- Ranking ---
			double rank = adx7[idx];

			// sell short four percent above previous close
			Double limit = bars.Close[idx] * (1.0 + entryLimitPct / 100.0);   // 4
			this.AddCandidate(rank, bars, TransactionType.Short, OrderType.Limit, limit,
				"SMR2: Limit@" + limit.ToString("f2"));
			
		}

		public override double GetMaxRiskStopLevel(BarHistory bars, PositionType pt, int idx)
		{
			Double limit = bars.Close[idx] * (1.0 + entryLimitPct / 100.0); 
			double stop = limit + 3.0 * atr10[idx];
			return stop;
		}

		public override void PostExecute(DateTime dt, List<BarHistory> participants)
		{
			const int maxOpenPositions = 10; // max 10 positions
			const int maxNumOrders = 50;

			numOrdersIssued = this.PlaceCandidates(maxOpenPositions, maxNumOrders, numOpenPositions, fillProbability);
		}

		// private variables
		Double profitPct, entryLimitPct, rsiLimit;
		IndicatorBase avgTurnover, atr10, rsi3, adx7;
				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.