Wealth-Lab Wiki

API ChartStyles Community Components Community Indicators IndexDefinitions Knowledge Base Misc Optimizers Pending Deletion PosSizers Providers Standard Indicators TASC Traders Tips TASCIndicators Tutorial Videos Visualizers
RSS

Navigation


Quick Search
»
Advanced Search »


TASC 2011-06 | Entering The Price Zone (Khalil, Steckler)

RSS

Traders' Tip text

The Price Zone Oscillator system, as presented in Walid Khalil's and David Steckler's article "Entering The Price Zone", is available as a free download to Wealth-Lab users as well as many other ready-made trading Strategies. To start exploring its potential of switching gears and trading in both the trending and rangebound markets, all it takes is to click the "Download" button in Wealth-Lab's "Open Strategy" dialog.
Image

Figure 1. A Wealth-Lab Developer 6.2 chart showing the Price Zone Oscillator strategy in action applied to a Daily chart of Walt Disney Co. (DIS).


Although the new complementary oscillator implementation is pretty straightforward, the accompanying system rules have to function in different market regimes and cover such events as positive and negative price/oscillator divergences. The complexity of their implementation is hidden in an additional library, "Community Components", available for download to Wealth-Lab customers from our site www.wealth-lab.com ("Extensions" section). On Figure 1, users can see the divergence lines drawn on the chart (the traditional way) and as a "binary wave" to be used by mechanical trading systems.

WealthScript Code (C#)


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components; // Divergence Between Two DataSeries (Detect, Plot) 

namespace WealthLab.Strategies { public class PZOStrategy : WealthScript { private StrategyParameter paramPeriod; public PZOStrategy() { paramPeriod = CreateParameter("PZO Period", 14, 2, 252, 2); } protected override void Execute() { int period = paramPeriod.ValueInt; DataSeries R = new DataSeries( Bars, "R" ); DataSeries TV = EMA.Series( Close, period, EMACalculation.Modern ); DataSeries PZO = new DataSeries( Bars, "PZO" ); ADX adx = ADX.Series( Bars,14 ); EMA ema = EMA.Series( Close, 60, EMACalculation.Modern ); for(int bar = period; bar < Bars.Count; bar++) { R[bar] = Math.Sign( Close[bar] - Close[bar-1] ) * Close[bar]; } DataSeries VP = EMA.Series( R, period, EMACalculation.Modern ); for(int bar = period; bar < Bars.Count; bar++) { if( TV[bar] != 0 ) PZO[bar] = 100 * VP[bar] / TV[bar]; } ChartPane pzoPane = CreatePane( 30, true, true ); PlotSeriesOscillator( pzoPane, PZO, 60, -60, Color.Red, Color.Blue, Color.Black, LineStyle.Solid, 1 ); DrawHorzLine( pzoPane, 60, Color.DarkGreen, LineStyle.Dotted, 2 ); DrawHorzLine( pzoPane, -60, Color.Red, LineStyle.Dotted, 2 ); DrawHorzLine( pzoPane, 40, Color.DarkGreen, LineStyle.Solid, 1 ); DrawHorzLine( pzoPane, -40, Color.Red, LineStyle.Solid, 1 ); DrawHorzLine( pzoPane, 0, Color.DarkBlue, LineStyle.Solid, 1 ); ChartPane divPane = CreatePane( 30, true, true ); SeriesHelper sh = new SeriesHelper(this); DataSeries pd = sh.PlotPeakDivergence(3, PricePane, High, 4d, pzoPane, PZO, 4d); PlotSeries(divPane, pd, Color.Blue, LineStyle.Solid, 2); DataSeries td = sh.PlotTroughDivergence(3, PricePane, Low, 4d, pzoPane, PZO, 4d); PlotSeries(divPane, td, Color.Red, LineStyle.Solid, 2); ChartPane adxPane = CreatePane( 30, true, true ); PlotSeries(adxPane, adx, Color.Purple, LineStyle.Histogram, 2); DrawHorzLine(adxPane, 18, Color.Red, LineStyle.Dashed, 2 ); PlotSeries(PricePane, ema, Color.Blue, LineStyle.Solid, 1); int start = Math.Max(adx.FirstValidValue,period); start = Math.Max( start, ema.FirstValidValue ); for(int bar = start; bar < Bars.Count; bar++) { bool bull = adx[bar] > 18 && Close[bar] > ema[bar]; bool bear = adx[bar] > 18 && Close[bar] < ema[bar]; bool osc = adx[bar] < 18; if( bull ) SetBackgroundColor( bar, Color.FromArgb( 30, Color.Blue ) ); if( bear ) SetBackgroundColor( bar, Color.FromArgb( 30, Color.Red ) ); if( osc ) SetBackgroundColor( bar, Color.FromArgb( 30, Color.Green ) );

if (IsLastPositionActive) { Position p = LastPosition; if( p.PositionType == PositionType.Long ) { if( p.EntrySignal.ToLower().Contains("uptrend") ) { if( PZO[bar] > 60 && TurnDown( bar, PZO ) || ( Close[bar] < ema[bar] && PZO[bar] < 0 ) || (pd[bar] <= -1.0 && PZO[bar] < 40.0) ) SellAtMarket( bar+1, p, "trend sell" ); } else if( p.EntrySignal.ToLower().Contains("buy nontrend") ) { if( PZO[bar] > 40.0 ) { if( adx[bar] > 18 ) SellAtMarket( bar+1, p, "nontrend sell rule #1" ); } else { if( PZO[bar] < -5 ) SellAtMarket( bar+1, p, "nontrend sell rule #2" ); } } } else { if( p.EntrySignal.ToLower().Contains("downtrend") ) { if( PZO[bar] < -60 && TurnUp( bar, PZO ) || ( Close[bar] > ema[bar] && PZO[bar] > 0 ) || (td[bar] <= -1.0 && PZO[bar] > -40.0) ) CoverAtMarket( bar+1, p, "trend cover" ); } else if( p.EntrySignal.ToLower().Contains("short nontrend") ) { if( PZO[bar] < -40.0 ) { if( adx[bar] > 18 ) CoverAtMarket( bar+1, p, "nontrend cover rule #1" ); } else { if( PZO[bar] < -5 && CrossOver( bar, PZO, 15 ) ) CoverAtMarket( bar+1, p, "nontrend cover rule #2" ); } } } } else { bool buy = bull && ( CrossOver( bar, PZO, -40 ) || CrossOver( bar, PZO, 0 ) ); bool shrt = bear && ( CrossUnder( bar, PZO, 40 ) || CrossUnder( bar, PZO, 0 ) ); bool nt_buy = osc && (CrossOver( bar, PZO, -40 ) || CrossOver( bar, PZO, 15 )); bool nt_shrt = osc && (CrossUnder( bar, PZO, 40 ) || CrossUnder( bar, PZO, -5 )); if( buy ) { SetBarColor( bar, Color.Blue ); BuyAtMarket( bar+1, "buy uptrend" ); } else if( shrt ) { SetBarColor( bar, Color.Red ); ShortAtMarket( bar+1, "short downtrend" ); } else if( nt_buy ) { SetBarColor( bar, Color.Cyan ); BuyAtMarket( bar+1, "buy nontrend" ); } else if( nt_shrt ) { SetBarColor( bar, Color.Orange ); ShortAtMarket( bar+1, "short nontrend" ); } } } } } }

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.

Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


ScrewTurn Wiki. Some of the icons created by FamFamFam.