View source for 3.2 How to Create a .NET Strategy

The indicator, which shows the strength trend has been created and defined. Now, on the basis of this indicator, we will build a strategy that will open a position at the beginning of a strong trend and close the position when the trend weakens.


In the PowerLanguage .NET Editor main menu, select File, then select New, then click New Signal and create a new signal with the name TrendPower. Next, copy the trend strength calculation logic with inputs from the previous indicator. As a result, the following signal will be created:

<syntaxhighlight>
public class TrendPower : SignalObject {
	public TrendPower(object _ctx):base(_ctx)
	{
		fastLength = 7;
		slowLength = 14;
		strongLevel = 0.9;
	}
	
	[Input]
	public int fastLength { get; set; }
	
	[Input]
	public int slowLength { get; set; }
	
	[Input]
	public double strongLevel { get; set; }
	
	protected override void Create() {
	}
	
	private double AvgVal( int length )
	{
		double aval = 0.0;
		for (int i = 0; i < length; ++i)
			aval += Bars.AvgPrice(i);
		return aval / length;
	}
	
	protected override void StartCalc() {
		
	}
	protected override void CalcBar(){
		double afast = AvgVal(fastLength);
		double aslow = AvgVal(slowLength);
		double power = Math.Abs(100*(afast - aslow /Bars.Close[0]);
	}
}
</syntaxhighlight>

Add strong trend direction definition method. The method returns: 
* 1 if High and Low of the current bar are higher. In this case, the trend is considered to be an uptrend, 
* -1 if High and Low of the current bar are lower. In this case the trend is considered to be a downtrend.
* 0 if the trend is not specified.

<syntaxhighlight>
private int TrendDir(){
	if ((Bars.Low[0] < Bars.Low[1])&&(Bars.High[0] < Bars.High[1])) return -1;
	if ((Bars.Low[0] > Bars.Low[1])&&(Bars.High[0] > Bars.High[1])) return 1;
	return 0;
}
</syntaxhighlight>

A long position will be opened by trend_LE market order, a short position by trend_SE market order. The position will be closed by one of the following orders: long position by trend_LX, short position by trend_SX. 


Let’s create these objects in our signal:
<syntaxhighlight>
private IOrderMarket trend_LE;
private IOrderMarket trend_SE;
private IOrderMarket trend_LX;
private IOrderMarket trend_SX;
		
protected override void Create() {
	trend_LE = OrderCreator.MarketNextBar(new SOrderParameters(Contracts.Default, "Tend LE", EOrderAction.Buy));
	trend_SE = OrderCreator.MarketNextBar(new SOrderParameters(Contracts.Default, "Tend SE", EOrderAction.SellShort));
	trend_LX = OrderCreator.MarketNextBar(new SOrderParameters(Contracts.Default, "Tend LX", EOrderAction.Sell));
	trend_SX = OrderCreator.MarketNextBar(new SOrderParameters(Contracts.Default, "Tend SX", EOrderAction.BuyToCover));
} 
</syntaxhighlight>

The logic of this signal should be written in the '''CalcBar()''' method. If the trend is weak and becomes strong or if the trend is strong and becomes weak a long or short position will be opened depending upon the direction of the trend with the option to close any position. A Local variable should be created to save the previous strength trend value and its value will be reset before the beginning of every calculation of the strategy:

<syntaxhighlight>
double old_power;
protected override void StartCalc() {
	old_power = 0;			
}
protected override void CalcBar(){
	double afast = AvgVal(fastLength);
	double aslow = AvgVal(slowLength);
	double power = 	Math.Abs(100*(afast - aslow)/Bars.Close[0]);
	if ( (power >= strongLevel)&&(old_power < strongLevel) ){
		switch(TrendDir()){
			case -1:
				trend_SE.Send();
				break;
			case 1:
				trend_LE.Send();
				break;
		}
	}
	if ((CurrentPosition.Side != EMarketPositionSide.Flat)
		&&(old_power >= strongLevel)
		&&(power < strongLevel))
		{
			trend_LX.Send();
			trend_SX.Send();
		}
	old_power = power;
}

</syntaxhighlight>


To compile the signal, press F7. Once this is complete you can apply the signal to the chart. After the calculation you will see the order markers on the chart. 
http://www.multicharts.com/trading-software/images/8/89/Chart3.png

The results of the strategy can be seen in ''Strategy Performance Report'' by selecting '''View''' in the main menu and clicking on the '''Strategy Performance Report'''.


[[Category:.NET Programming Giude]]