CMO Filter Strategy

The CMO Filter Strategy is based on the CMO Filter study by Tushar Chande. Signals generated in the study are used to trigger automatic trades. This automated trading strategy was created to demonstrate the mechanics of an automatic trade and is not intended for actual use. A more comprehensive strategy that may include multiple studies, margins and stops could be developed. This strategy definition is further expressed in the code given in the calculation below.

See CMO Filter

How To Trade using the automatic CMO Filter Strategy

Examine the details of the CMO Filter study (see link above). Use the strategy optimiser and back testing to aid in the selection of the period length, filter and guide values. Open the strategy and configure the inputs for General, Display, Trading Options, Panel and Signals. Activate the strategy.

Calculation

  public void onActivate(OrderContext ctx)
    if (getSettings().isEnterOnActivate())
      DataSeries series = ctx.getDataContext().getDataSeries();
      int ind = series.isLastBarComplete() ? series.size()-1 : series.size()-2;
      Boolean buy = series.getBoolean(ind, Signals.BUY);
      Boolean sell = series.getBoolean(ind, Signals.SELL);
      if (buy == null OR sell == null) return;

      int tradeLots = getSettings().getTradeLots();
      int qty = tradeLots * ctx.getInstrument().getDefaultQuantity();

      switch(getSettings().getPositionType())
      case LONG: //Only Long Positions are allowed
        if (buy) ctx.buy(qty);
        break;
      case SHORT: //Only Short Positions are allowed.
        if (sell) ctx.sell(qty);
        break;
      default: //Both Long and Short Positions Allowed
        if (buy) ctx.buy(qty);
        else ctx.sell(qty);
      end
    end
  endMethod

  public void onSignal(OrderContext ctx, Object signal)
    Instrument instr = ctx.getInstrument();
    int position = ctx.getPosition();
    int tradeLots = getSettings().getTradeLots();
    int qty = tradeLots * instr.getDefaultQuantity();

    switch(getSettings().getPositionType())
    case LONG: //Only Long Positions are allowed.
      if (position == 0 AND signal == Signals.BUY)
        ctx.buy(qty); //Open Long Position
      end
      if (position moreThan 0 AND signal == Signals.SELL)
        ctx.sell(qty); //Close Long Position
      end
      break;
    case SHORT: //Only Short Positions are allowed.
      if (position == 0 AND signal == Signals.SELL)
        ctx.sell(qty); //Open Short Position
      end
      if (position lessThan 0 AND signal == Signals.BUY)
        ctx.buy(qty); //Close Short Position
      end
      break;
    default: //Both Long and Short Positions Allowed
      //allow for 2 successive transactions 
      //qty += Math.abs(position); 
      if (position lessOrEqual 0 AND signal == Signals.BUY)
        ctx.buy(qty); //Open Long Position
      end
      if (position moreOrEqual 0 AND signal == Signals.SELL)
        ctx.sell(qty); //Open Short Position
      end
    end
  endMethod