Sansa Trading Strategy
Table of Contents
The strategy code is all contained in SansaStrategy.vb, including a default parameter combination.
This default parameter combination has been optimized to run over a 100' bars main chart and 120' bars secondary chart of Euro-Bund Future.
Trading a maximum of 1 contract of Euro-Bund Future, this is how performed (hypothetically) from 2001 to 2016:
Anyway, go open Visual Studio, clone the project and start with the trading algo development! Sure you can do better and improve all these figures :)
Sansa Trading Rules
Sansa's trading plan is quite simple. It buys 1 contract when the weighted moving average short period of seconday chart breaks above the weighted moving average long period of main chart.
While Sansa has a position in the market, it places two exit orders. A Stop Loss order and a Take Profit.
To sum up
Sansa Trading Strategy rules: * Entry: Weighted moving average short period (secondary chart) breaks above the weighted moving average long period (main chart). * Exit: Set a fixed Stop Loss and a Take Profit (objective) * Filters: None
Show me the code
Here is a simplified C# source code of Sansa's OnNewBar() function. The complete code is all contained in SansaStrategy.vb along with comments and definition of parameters.
Dim indFastSma As WMAIndicator = GetSecondaryChart(0).GetIndicator("Fast WMA") Dim indSlowSma As WMAIndicator = GetIndicator("Slow WMA") If GetOpenPosition() = 0 Then If indFastSma.GetWMA()(0) > indSlowSma.GetWMA()(0) And _ indFastSma.GetWMA()(1) < indSlowSma.GetWMA()(1) Then 'Check if Fast weighted moving average is higher than Slow moving average in current bar, and 'Check if Fast weighted moving average was lower than Slow moving average in previous bar 'Going Long (Buying 1 Contract at Market price) Buy(OrderType.Market, 1, 0, "Open long position") End If End If 'Place Take-Profit and Stop-Loss orders PlaceExitOrders() Protected Sub PlaceExitOrders() If GetOpenPosition() > 0 Then Dim ticksTakeProfit As Integer = GetInputParameter("Ticks Take-Profit") Dim ticksStopLoss As Integer = GetInputParameters("Ticks Stop-Loss") Dim takeProfitLevel As Double = GetFilledOrders()(0).FillPrice + (ticksTakeProfit * Symbol.TickSize) Dim stopLossLevel As Double = GetFilledOrders()(0).FillPrice - (ticksStopLoss * Symbol.TickSize) ExitLong(OrderType.Limit, Symbol.RoundToNearestTick(takeProfitLevel), "Take Profit") ExitLong(OrderType.Stop, Symbol.RoundToNearestTick(stopLossLevel), "Stop Loss") End If End Sub
Download the windows desktop application TradingMotionSDK Toolkit installer.
- Create a free account to access TradingMotionAPI (required). It can be created from TradingMotionSDK Toolkit (the desktop application)
- Clone the repository:
git clone https://github.com/victormartingarcia/sansa-trading-strategy-csharp
- Open Visual Studio and load solution SansaStrategy/SansaStrategy.sln
- Edit app.config file adding your TradingMotionAPI credentials on appSettings section
And you're all set!
Running the project (F5) will perform a development backtest simulation over last 6 months DAX 60' bars data.
Once it has finished, it will ask if you want to see the P&L report in TradingMotionSDK Toolkit. Pressing 'y' will load the same backtest with the desktop app, where it will show performance statistics, charts, and so on.
iSystems has partnered with 11 international brokers (and counting) that offer these trading systems to their clients (both corporate and retail) who pay for a license fee that the developer charges.
The trading systems run with live market data under a controlled environment in iSystems' datacenters.
This way the developers just need to worry about how to make their trading systems better and iSystems platform does the rest.
Visit Developers section on TradingMotion's website for more info on how to develop and offer your systems.