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Author:
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Title:
DipBuyer fast
Description:
This is similar to the Wealth-Lab implementation of DipBuyer v6 (original implementor Geol, with many other contributors). My implementation is different however and makes use of some of the Tradery language features to simplify it. It only enters long positions, and it is not limited to the number of open positions held at the same time. This system will show its real potential on on large portfolios -try it on Russell 2000 for example. Areas of possible improvements: profit target, holding period, short positions variant, position sizing.
Code
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// systemwide per symbol variables // these are set once per symbol and available anywhere in the code // profit target 5% double profit; // holding period 2 bars int days; // series of entry limit prices Series kBuy; bool init() { profit = 5; // holding period 2 bars days = 2; // calculate the entry limit prices. double mult[] = { 0.88, 0.88, 0.93, 0.98, 1.03 }; Series ema3 = closeSeries().EMA( 3 ); Series macd = closeSeries().MACDFix( 9 ); kBuy = Series( barsCount() ); for( Index bar = 10; bar < barsCount(); bar++ ) { int c1 = 0; if( close( bar - 1 ) < open( bar - 1 ) ) c1++; if( close( bar ) < open( bar ) ) c1++; if( close( bar ) < close( bar - 1 ) ) c1++; if( close( bar - 1 ) < close( bar - 3 ) ) c1++; double xUp = ema3[ bar ] * mult[ c1 ]; double xDown = ema3[ bar ] * 0.83; kBuy[ bar ] = ( ( xUp - xDown )/2 ) * ( max( min( macd[ bar ], 0.5 ), -0.5 ) + 0.5 ) + xDown; PrintLine( "kbuy: " << kBuy[ bar ] << " close: " << close( bar ) ); } // initialization succesful return true; } // trading logic void run() { installProfitTarget( profit ); installTimeBasedExit( days ); for( Index bar = 10; bar < barsCount(); bar ++ ) { applyAutoStops( bar ); double buyLimitPrice = kBuy[ bar ]; if( close( bar-1 ) < close( bar-3 ) AND buyLimitPrice < close( bar ) ) buyAtLimit( bar + 1, buyLimitPrice, 1000, "buy at limit" ); } }
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The S&P 500 stock market index, maintained by Standard & Poor's, comprises 500 large-cap American companies covering about 75% of the American equity market by capitalization. The index components listed below are current as of the end of the trading day of 06/25/2010 .
A AA AAPL ABC ABT ADBE ADI ADM ADP ADSK AEE AEP AES AET AFL AGN AIG AIV AIZ AKAM AKS ALL ALTR AMAT AMD AMGN AMP AMT AMZN AN ANF AON APA APC APD APOL ASH ATI AVB AVP AVY AXP AYE AZO BA BAC BAX BBBY BBT BBY BCR BDX BEN BF-B BHI BIG BIIB BK BLL BMC BMS BMY BRCM BRK-B BSX BTU BXP C CA CAG CAH CAM CAT CB CBE CBG CBS CCE CCL CEG CELG CEPH CERN CF CFN CHK CHRW CI CINF CL CLF CLX CMA CMCSA CME CMI CMS CNP CNX COF COG COH COL COP COST CPB CPWR CRM CSC CSCO CSX CTAS CTL CTSH CTXS CVH CVS CVX D DD DE DELL DF DFS DGX DHI DHR DIS DISCA DNB DNR DO DOV DOW DPS DRI DTE DTV DUK DV DVA DVN EBAY ECL ED EFX EIX EK EL EMC EMN EMR EOG EP EQR EQT ERTS ESRX ETFC ETN ETR EXC EXPD EXPE F FAST FCX FDO FDX FE FHN FII FIS FISV FITB FLIR FLR FLS FMC FO FRX FSLR FTI FTR GAS GCI GD GE GENZ GILD GIS GLW GME GNW GOOG GPC GPS GR GS GT GWW HAL HAR HAS HBAN HCBK HCN HCP HD HES HIG HNZ HOG HON HOT HP HPQ HRB HRL HRS HSP HST HSY HUM IBM ICE IFF IGT INTC INTU IP IPG IRM ISRG ITT ITW IVZ JBL JCI JCP JDSU JEC JNJ JNPR JNS JPM JWN K KEY KFT KG KIM KLAC KMB KMX KO KR KSS L LEG LEN LH LIFE LLL LLTC LLY LM LMT LNC LO LOW LSI LTD LUK LUV LXK M MA MAR MAS MAT MCD MCHP MCK MCO MDP MDT MEE MET MFE MHP MHS MI MIL MJN MKC MMC MMM MO MOLX MON MOT MRK MRO MS MSFT MTB MU MUR MWV MWW MYL NBL NBR NDAQ NEE NEM NI NKE NOC NOV NOVL NRG NSC NSM NTAP NTRS NU NUE NVDA NVLS NWL NWSA NYT NYX ODP OI OKE OMC ORCL ORLY OXY PAYX PBCT PBI PCAR PCG PCL PCP PCS PDCO PEG PEP PFE PFG PG PGN PGR PH PHM PKI PLD PLL PM PNC PNW POM PPG PPL PRU PSA PTV PWR PX PXD Q QCOM QLGC R RAI RDC RF RHI RHT RL ROK ROP ROST RRC RRD RSG RSH RTN S SAI SBUX SCG SCHW SE SEE SHLD SHW SIAL SII SJM SLB SLE SLM SNA SNDK SNI SO SPG SPLS SRCL SRE STI STJ STR STT STZ SUN SVU SWK SWN SWY SYK SYMC SYY T TAP TDC TE TEG TER TGT THC TIE TIF TJX TLAB TMK TMO TROW TRV TSN TSO TSS TWC TWX TXN TXT UNH UNM UNP UPS URBN USB UTX V VAR VFC VIA-B VLO VMC VNO VRSN VTR VZ WAG WAT WDC WEC WFC WFMI WFR WHR WIN WLP WM WMB WMT WPI WPO WU WY WYN WYNN X XEL XL XLNX XOM XRAY XRX YHOO YUM ZION ZMH
