Design Strategy - Hedging by Volatility (Sandbox Version)

C# Strategy Designer

Hedging by Volatility (Sandbox Version)

Published by Springroll on 4/7/2023

This System reflects a heading approach using a VIX Future ETF. The goal is to be able to hedge in volatile markets such as 2018, 2020 and 2022. Of course, extremes like the Covid crash are rare. However, the backtest shows that this system triggered as soon as the S&P 500 (SPXL) started to fluctuate. The instrument traded is VXX. It is still relatively young, so the number of data points are somewhat limited. I've been running this system in my sandbox since the beginning of March 2023, so I will observe it throughout the year.

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using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;
using WealthLab.TASC;


namespace WealthScript125 
{
	public class MyStrategy : UserStrategyBase
	{
		private IndicatorBase cuVolumeBuy;
		private IndicatorBase cdHighBuy;
		private IndicatorBase cdHlcBuy;
		private IndicatorBase cdHighSell;

		private BarHistory externalSymbol;
		private IndicatorBase mesaStochastic;
		private IndicatorBase trueLow;
		private IndicatorBase rocketRsi;

		public MyStrategy() : base()
		{
			AddParameter("Mesa Stochastic Threshold", ParameterType.Double, 0.70, 0, 1, 0.05);
			AddParameter("Rocket RSI Threshold", ParameterType.Double, 2, 0, 5, 0.25);
			AddParameter("Mesa Stochastic Period", ParameterType.Int32, 10, 2, 100, 1);
			AddParameter("Rocket RSI Period", ParameterType.Int32, 7, 2, 50, 1);
		}

		public override void Initialize(BarHistory bars)
		{
			cuVolumeBuy = new ConsecUp(bars.Volume, 1);
			PlotIndicator(cuVolumeBuy, new WLColor(0, 0, 0));
			
			cdHighBuy = new ConsecDown(bars.High, 3);
			PlotIndicator(cdHighBuy, new WLColor(255, 0, 0));
			
			cdHlcBuy = new ConsecDown(bars.AveragePriceHLC, 5);
			PlotIndicator(cdHlcBuy, new WLColor(0, 128, 0));
			
			cdHighSell = new ConsecDown(bars.High, 1);
			PlotIndicator(cdHighSell, new WLColor(255, 165, 0));

			externalSymbol = GetHistory(bars, "QQQ");
			mesaStochastic = new MESAStochastic(externalSymbol.Close, 10);
			PlotIndicator(mesaStochastic, new WLColor(0, 0, 255), default, default, "QQQPane");

			trueLow = new TrueLow(bars);
			PlotIndicator(trueLow, new WLColor(128, 128, 0));

			rocketRsi = new RocketRSI(bars.Open, 2, 7);
			PlotIndicator(rocketRsi, new WLColor(128, 0, 128));

			StartIndex = 20;

		}

		private (bool, bool, bool, bool) CalculateSetups(BarHistory bars, int idx)
		{
			bool longEntry1 = (cuVolumeBuy[idx] >= 4.00);
			bool longExit1 = (idx - 3 >= 0 && bars.Open[idx] < bars.Close[idx - 3]);
			bool longEntry2 = (cdHighBuy[idx] >= 6.00 && cdHlcBuy[idx] >= 9.00 && mesaStochastic[idx] > Parameters[0].AsDouble);
			bool longExit2 = (cdHighSell[idx] >= 2.00 && (idx - 1 >= 0 && bars.Close[idx] > trueLow[idx - 1]) && rocketRsi[idx] < Parameters[1].AsDouble);
			
			return (longEntry1, longExit1, longEntry2, longExit2);
		}

		public override void Execute(BarHistory bars, int idx)
		{
			(bool longEntry1Ready, bool longExit1Ready, bool longEntry2Ready, bool longExit2Ready) = CalculateSetups(bars, idx);

			Position pos0 = FindOpenPosition(0);
			if (pos0 == null)
			{
				if (longEntry1Ready)
					PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, 0, "Enter ConsUp Volume");
			}
			else
			{
				if (longExit1Ready)
					ClosePosition(pos0, OrderType.Market, 0, "Exit Open < 3 Bars ago");
			}

			Position pos1 = FindOpenPosition(1);
			if (pos1 == null)
			{
				if (longEntry2Ready)
					PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, 1, "Enter MesaStoch ConsDown");
			}
			else
			{
				if (longExit2Ready)
					ClosePosition(pos1, OrderType.Market, 0, "Exit RocketRSI TrueLow ConsDown");
			}


		}


	}
}

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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.