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Created page with "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 begi..."
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]]
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]]
