TS Stochastic Crossover Strategy Code Help?

[clbradley 10]

Have a Stochastic Crossover Strategy Code for Tradestation that I need help with please. I need to add conditions that the stochastic slow k went to either less than 10 or just less than oversold before crossing back above the oversold line of 20 before buying, and also the opposite, that it got to 90 before crossing back under the overbought level of 80 before selling short. Guess it needs 4 conditions, if 1, then 2 are met, then buy, and if 3 then 4 are met, sell short. Here is the Stochastic Crossover Strategy code so far:

 

inputs:

PriceH( High ),

PriceL( Low ),

PriceC( Close ),

StochLength( 14 ),

SmoothingLength1( 3 ),

SmoothingLength2( 3 ),

SmoothingType( 1 ).

Oversold( 20 ),

Overbought( 80 ) ;

 

variables:

FastK( 0 ).

FastD( 0 ),

SlowK( 0 ),

SlowD( 0 ) ;

 

Value1 = Stochastic( PriceH, PriceL, PriceC, StochLength, SmoothingLength1,

SmoothingLength2, SmoothingType, FastK, FastD, SlowK, SlowD ) ;

 

If SlowK crosses over SlowD

Then buy 1 share next bar at market;

 

If SlowK crosses under SlowD

Then sell short 1 share next bar at market;

 

 

Thanks for any help.

 

Curtis

[BlowFish 10]

Use flags for the sequence or increment a couter

 

if slowk < 10 then ready = true;

if ready and slowk > 20 then steady=true;

if steady and slowk crosses above slowd then go;

 

if go then buy.....

 

 

If "any condition that invalidates setup" then reset the 'flags'

 

incrementing a variable might be neater

 

if slowk < 10 then tradestup = 1;

if (tradesetup = 1) and (slowk > 20) then tradesetup = 2;

if (tradesetup = 2) and (slowk crosses above slowd) the tradestup = 3;

 

if tradesetup = 3 then buy.....

 

The second approach is better for more sophisticated applications (you can model pretty complex stuff). This is a rudimentary 'state engine'.

 

Finite-state machine - Wikipedia, the free encyclopedia

Edited July 18, 2009 by BlowFish

[clbradley 10]

Thanks Blowfish. I've seen similar setups before in other strategies using Condition1, Condition2, possibly 3 etc. for a buy or sell/sellshort stating if condition 1 is met first, then condition 2, then 3, then buy next bar at market. But you're just stating it a different way. I'll try it this weekend and let you know if it works. Thanks again for your help.

 

Curtis

[Grey1 10]

just to help,,, before you code any stochastic based strategy you need to find a way of real time optimization of its settings other wise your settings become arbitrary and OB or OS does not mean any thing ,, hence all you buy sell signals going to be irrelevant to the market

 

Grey1