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Freeburg_PENTAD.cs
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Freeburg_PENTAD.cs
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//==============================================================================
// Project: TuringTrader, algorithms from books & publications
// Name: Freeburg_PENTAD_v2
// Description: PENTAD strategy, as published in Nelson Freeburg's
// Formula Research newsletter, October 1995.
// History: 2023ix01, FUB, created
//------------------------------------------------------------------------------
// Copyright: (c) 2011-2023, Bertram Enterprises LLC dba TuringTrader.
// https://www.turingtrader.org
// License: This file is part of TuringTrader, an open-source backtesting
// engine/ trading simulator.
// TuringTrader is free software: you can redistribute it and/or
// modify it under the terms of the GNU Affero General Public
// License as published by the Free Software Foundation, either
// version 3 of the License, or (at your option) any later version.
// TuringTrader is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.See the
// GNU Affero General Public License for more details.
// You should have received a copy of the GNU Affero General Public
// License along with TuringTrader. If not, see
// https://www.gnu.org/licenses/agpl-3.0.
//==============================================================================
// Freeberg's trend-following mechanism uses hysteresis specified in percents
// of the value. However, for the Advance-Decline Line, this doesn't make sense,
// as the absolute value of the line depends on the series' start date.
// if FIX_ADL_HYSTERSIS is defined, we use an alternative hysteresis in absolute terms
#define FIX_ADL_HYSTERSIS
// if FULL_RANGE is defined, we start in 1990
//#define FULL_RANGE
#region libraries
using System;
using System.Collections.Generic;
using TuringTrader.GlueV2;
using TuringTrader.Optimizer;
using TuringTrader.SimulatorV2;
using TuringTrader.SimulatorV2.Assets;
using TuringTrader.SimulatorV2.Indicators;
#endregion
namespace Algorithms.TTorg
{
public class Freeburg_PENTAD : Algorithm
{
public override string Name => "Freeburg's PENTAD";
#region configuration
public enum MaType
{
WMA, // weighted moving average
SMA, // simple moving average
};
public enum SignalMode
{
CR, // crossover signal
#if FIX_ADL_HYSTERSIS
CRabs, // crossover signal w/ absolute hysteresis
#endif
SL, // slope signal
};
#if FIX_ADL_HYSTERSIS
[OptimizerParam(25, 500, 25)]
public int ADL_U { get; set; } = 150;
[OptimizerParam(25, 500, 25)]
public int ADL_L { get; set; } = 400;
private int ADL_SCALE = 10;
#endif
public HashSet<Tuple<object, MaType, int, SignalMode, double, double>> CONFIG =>
new HashSet<Tuple<object, MaType, int, SignalMode, double, double>>
{
new Tuple<object, MaType, int, SignalMode, double, double>("$SPX", MaType.WMA, 65 * 5, SignalMode.CR, 0.0, 3.0), // $SPX - S&P 500 Index
#if FIX_ADL_HYSTERSIS
// Freeburg used the NYSE Advance-Decline Line. We are using
// the Russell 3000 instead, so that we can scale the hysteresis
// based on the total # of stocks observed.
//new Tuple<object, MaType, int, SignalMode, double, double>("#SPXAD", MaType.WMA, 14 * 5, SignalMode.CRabs, ADL_SCALE * 500 * ADL_U / 100.0, ADL_SCALE * 500 * ADL_L / 100.0), // #SPXAD - S&P 500 Cumulative Advance-Decline Line
//new Tuple<object, MaType, int, SignalMode, double, double>("#RUIAD", MaType.WMA, 14 * 5, SignalMode.CRabs, ADL_SCALE * 1000 * ADL_U / 100.0, ADL_SCALE * 1000 * ADL_L / 100.0), // #RUIAD - Russell 1000 Cumulative Advance-Decline Line
new Tuple<object, MaType, int, SignalMode, double, double>("#RUAAD", MaType.WMA, 14 * 5, SignalMode.CRabs, ADL_SCALE * 3000 * ADL_U / 100.0, ADL_SCALE * 3000 * ADL_L / 100.0), // #RUAAD - Russell 3000 Cumulative Advance-Decline Line
#else
new Tuple<object, MaType, int, SignalMode, double, double>("#NYSEAD", MaType.WMA, 14 * 5, SignalMode.CR, 0.5, 2.0), // #NYSEAD - NYSE Cumulative Advance-Decline Line
#endif
new Tuple<object, MaType, int, SignalMode, double, double>("$DJT", MaType.SMA, 25 * 5, SignalMode.SL, 0.5, 2.5), // $DJT - Dow Jones Transportation Average
new Tuple<object, MaType, int, SignalMode, double, double>("$DJU", MaType.SMA, 27 * 5, SignalMode.SL, 0.0, 3.0), // $DJU - Dow Jones Utility Average
// Freeburg used the Dow Jones 20 Bond Index. This index is
// no longer in existence. We replaced it with ETF.LQD, which
// has a backfill to 1970.
//new Tuple<object, MaType, int, SignalMode, double, double>("$DJCBP", MaType.WMA, 38 * 5, SignalMode.CR, 1.0, 2.0), // $DJCBP - Dow Jones Equal Weight US Corporate Bond Index
//new Tuple<object, MaType, int, SignalMode, double, double>("$SP5IGBIT", MaType.WMA, 38 * 5, SignalMode.CR, 1.0, 2.0), // $SP5IGBIT - S&P 500 Investment Grade Corporate Bond Total Return Index
//new Tuple<object, MaType, int, SignalMode, double, double>(ETF.LQD, MaType.WMA, 38 * 5, SignalMode.CR, 1.0, 2.0), // LQD - iShares iBoxx $ Investment Grade Corporate Bond ETF
new Tuple<object, MaType, int, SignalMode, double, double>(ETF.AGG, MaType.WMA, 38 * 5, SignalMode.CR, 1.0, 2.0), // AGG - iShares Core US Aggregate Bond ETF
};
public virtual string STOCKS { get; set; } = ETF.SPY;
public virtual string SAFE { get; set; } = ETF.BIL;
//public virtual string BENCH { get; set; } = MarketIndex.SPXTR;
public virtual string BENCH { get; set; } = Benchmark.PORTFOLIO_60_40;
#endregion
#region strategy logic
public override void Run()
{
//========== initialization ==========
#if FULL_RANGE
StartDate = StartDate ?? DateTime.Parse("1990-01-01T16:00-05:00");
#else
StartDate = StartDate ?? AlgorithmConstants.START_DATE;
#endif
EndDate = EndDate ?? AlgorithmConstants.END_DATE;
WarmupPeriod = TimeSpan.FromDays(365);
// Freeburg does not mention transaction cost
((Account_Default)Account).Friction = AlgorithmConstants.FRICTION;
//========== simulation loop ==========
var isBullish = false;
var isFirstWeek = true;
SimLoop(() =>
{
// Freeburg's strategy only trades once per week
if (SimDate.DayOfWeek > NextSimDate.DayOfWeek)
{
//----- indicator evaluation
int numBullishIndicators = 0;
foreach (var indicator in CONFIG)
{
var quote = Asset(indicator.Item1).TypicalPrice();
var movingAverage = indicator.Item2 switch
{
MaType.WMA => quote.WMA(indicator.Item3),
MaType.SMA => quote.SMA(indicator.Item3),
_ => throw new Exception("unexpected ma type"),
};
var tempQuoteRef = 1e99; // this is a hack!
var signal = indicator.Item4 switch
{
SignalMode.CR =>
Lambda(
string.Format("{0}-cr", movingAverage.Name),
prevRegime => (prevRegime < 0.5
? quote[0] > movingAverage[0] * (1.0 + indicator.Item5 / 100.0)
: quote[0] > movingAverage[0] * (1.0 - indicator.Item6 / 100.0)) ? 1.0 : 0.0,
0.0),
#if FIX_ADL_HYSTERSIS
SignalMode.CRabs =>
Lambda(
string.Format("{0}-cr-abs", movingAverage.Name),
prevRegime => (prevRegime < 0.5
? quote[0] > movingAverage[0] + indicator.Item5 / 100.0
: quote[0] > movingAverage[0] - indicator.Item6 / 100.0) ? 1.0 : 0.0,
0.0),
#endif
SignalMode.SL =>
Lambda(
string.Format("{0}-sl", movingAverage.Name),
prevRegime =>
{
var nextRegime = (prevRegime < 0.5
? movingAverage[0] > tempQuoteRef * (1.0 + indicator.Item5 / 100.0)
: movingAverage[0] > tempQuoteRef * (1.0 - indicator.Item6 / 100.0)) ? 1.0 : 0.0;
tempQuoteRef = prevRegime == nextRegime
? (prevRegime > 0.5 ? Math.Max(movingAverage[0], tempQuoteRef) : Math.Min(movingAverage[0], tempQuoteRef))
: movingAverage[0];
return nextRegime;
},
1.0),
_ => throw new Exception("unexpected signal type"),
};
numBullishIndicators += (int)signal[0];
//----- additional charts
if (Plotter.AllData.Count > 0)
{
Plotter.SelectChart(Asset(indicator.Item1).Description, "Date");
Plotter.SetX(SimDate);
Plotter.Plot("Quote", Asset(indicator.Item1).Close[0] / Math.Abs(Asset(indicator.Item1).Close[(DateTime)StartDate]));
Plotter.Plot("Moving Average", movingAverage[0] / Math.Abs(Asset(indicator.Item1).Close[(DateTime)StartDate]));
if(indicator.Item4 == SignalMode.CR)
{
Plotter.Plot("Upper Band", (movingAverage[0] * (1.0 + indicator.Item5 / 100.0)) / Math.Abs(Asset(indicator.Item1).Close[(DateTime)StartDate]));
Plotter.Plot("Lower Band", (movingAverage[0] * (1.0 - indicator.Item6 / 100.0)) / Math.Abs(Asset(indicator.Item1).Close[(DateTime)StartDate]));
}
else if (indicator.Item4 == SignalMode.CRabs)
{
Plotter.Plot("Upper Band", (movingAverage[0] + indicator.Item5 / 100.0) / Math.Abs(Asset(indicator.Item1).Close[(DateTime)StartDate]));
Plotter.Plot("Lower Band", (movingAverage[0] - indicator.Item6 / 100.0) / Math.Abs(Asset(indicator.Item1).Close[(DateTime)StartDate]));
}
else if (indicator.Item4 == SignalMode.SL)
{
// unfortunately, we can't plot tempQuoteRef here...
}
Plotter.Plot("Signal", signal[0]);
}
}
var nextIsBullish = isBullish
? numBullishIndicators > 3 // sell on 3 or less bullish signals
: numBullishIndicators >= 5; // buy on 5 bullish signals
//----- additional charts
if (Plotter.AllData.Count > 0)
{
Plotter.SelectChart("Bullish Indicators", "Date");
Plotter.SetX(SimDate);
//Plotter.Plot(Name, NetAssetValue / 1000.0);
Plotter.Plot(Asset(STOCKS).Description, Asset(STOCKS).Close[0] / Asset(STOCKS).Close[(DateTime)StartDate]);
Plotter.Plot("# of Bullish Signals", numBullishIndicators);
Plotter.Plot("Trade Position", isBullish ? 1.0 : 0.0);
}
//----- order management
if (nextIsBullish != isBullish || isFirstWeek)
{
isFirstWeek = false;
isBullish = nextIsBullish;
Asset(STOCKS).Allocate(isBullish ? 1.0 : 0.0, OrderType.openNextBar);
Asset(SAFE).Allocate(isBullish ? 0.0 : 1.0, OrderType.openNextBar);
}
}
//----- main chart
if (!IsOptimizing)
{
Plotter.SelectChart(Name, "Date");
Plotter.SetX(SimDate);
Plotter.Plot(Name, NetAssetValue);
Plotter.Plot(Asset(BENCH).Description, Asset(BENCH).Close[0]);
}
});
//========== post processing ==========
if (!IsOptimizing)
{
Plotter.AddTargetAllocation();
Plotter.AddHistoricalAllocations();
Plotter.AddTradeLog();
}
}
#endregion
}
}
//==============================================================================
// end of file