ActiveTrader 2008-04 | Adaptive COT index

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class Adaptive_COT_Index : WealthScript
	{				
		protected override void Execute()
		{
			WealthLab.LineStyle solid = WealthLab.LineStyle.Solid;
			WealthLab.LineStyle dashed = WealthLab.LineStyle.Dashed;
			WealthLab.Indicators.EMACalculation modern = WealthLab.Indicators.EMACalculation.Modern;
			
			/* To be used with Pinnacle data only. Works only with Daily timeframe.
			The Pinnacle COT data fields contain:

			Open|High				Commercial Long|Short Contacts
			Low|Close				Non Commercial Long|Short Contracts
			Volume|Open_Interest	Small Trader Long|Short Contracts
			*/

			if( Bars.Scale != BarScale.Daily ) 
				return;
				
			try
			{
				Bars cotIdxSym = GetExternalSymbol( "ES_NCOTI", true );		// COT Index, Non commercials

				Font font = new Font( "Impact", 12, FontStyle.Regular );
				ChartPane idxPane = CreatePane( 30, false, false );
				DrawHorzLine( idxPane, 10, Color.Blue, dashed, 2 );
				DrawHorzLine( idxPane, 90, Color.Red, dashed, 2 );

				DataSeries LargeSpeculatorsCOTIndex = ( cotIdxSym.Close );
				DataSeries upper = BBandUpper.Series( LargeSpeculatorsCOTIndex, 100, 2.0 );
				DataSeries lower = BBandLower.Series( LargeSpeculatorsCOTIndex, 100, 2.0 );
				DataSeries ema13 = EMA.Series( Close, 13, modern ); ema13.Description = "EMA(13)";
				
				LargeSpeculatorsCOTIndex.Description = "COT Index (NonCommercials)";
				upper.Description = "Adaptive COT Index (Upper)";
				lower.Description = "Adaptive COT Index (Lower)";

				PlotSeries( idxPane, LargeSpeculatorsCOTIndex, Color.DarkBlue, solid, 2 );
				PlotSeries( idxPane, upper, Color.FromArgb(0, 128, 128), solid, 2 );				
				PlotSeries( idxPane, lower, Color.FromArgb(0, 128, 128), solid, 2 );
				PlotSeries( PricePane, ema13, Color.Red, dashed, 2 );
				HideVolume();
				
				for(int bar = 300; bar < Bars.Count; bar++)
				{
					if( IsLastPositionActive )
					{
						Position p = LastPosition;
						double stop = ( p.PositionType == PositionType.Long ) ? p.EntryPrice*0.90 : p.EntryPrice*1.10;

						if( p.PositionType == PositionType.Long )
						{
							if( LargeSpeculatorsCOTIndex[bar] <= lower[bar] )
							{
								SetBackgroundColor( bar, Color.FromArgb(231, 255, 231) );
								if( SellAtMarket( bar+1, p, "Lower limit reached" ) )
									AnnotateBar( "Sell", bar, false, Color.Red, Color.Empty, font );
							} else
								if( SellAtStop( bar+1, p, stop, "Stop Loss" ) )
									AnnotateBar( "Sell", bar, false, Color.Red, Color.Empty, font );

						} else 
						{
							if( LargeSpeculatorsCOTIndex[bar] >= upper[bar] )
							{
								SetBackgroundColor( bar, Color.FromArgb(255, 227, 231) );							
								if( CoverAtMarket( bar+1, p, "Opposite signal" ) )
									AnnotateBar( "Cover", bar, true, Color.DarkGreen, Color.Empty, font );
							} else
								if( CoverAtStop( bar+1, p, stop, "Stop Loss" ) )
									AnnotateBar( "Cover", bar, true, Color.DarkGreen, Color.Empty, font );
						}
					} else
					{
						if( LargeSpeculatorsCOTIndex[bar] <= lower[bar] )
						{
							SetBackgroundColor( bar, Color.FromArgb(231, 255, 231) );
							if( Close[bar] < ema13[bar] )
								if( ShortAtMarket( bar+1, "Lower limit reached" ) != null )
								{
									LastActivePosition.Priority = Momentum.Value( bar, Close, 13 );
									AnnotateBar( "Short", bar, true, Color.Brown, Color.Empty, font );
								}
						} else
							if( LargeSpeculatorsCOTIndex[bar] >= upper[bar] )
						{
							SetBackgroundColor( bar, Color.FromArgb(255, 227, 231) );
							if( Close[bar] > ema13[bar] )
								if( BuyAtMarket( bar+1, "Upper limit reached" ) != null )
								{
									LastActivePosition.Priority = Momentum.Value( bar, Close, 13 );
									AnnotateBar( "Buy", bar, false, Color.Blue, Color.Empty, font );
								}
						}
					}
				}				
			}
			catch
			{
				DrawLabel( PricePane, "No supporting data for ES_NCOTI", Color.Red );
			}
		}
	}
}