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Intraday / Multi-Time Frame | Mixing intraday and daily data

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This article illustrates various design patterns helpful when it comes to mixing of different time scale data in Wealth-Lab 6 - like intraday and daily.

Combining exits using yesterday's and today's prices

Here's code of a system that...

  • Buys at 10:30 when today's open is higher than yesterday's close and price at 10:30 is higher than opening price
  • Sells at close for the day
  • Would like to place a stop at yesterday's close

Code


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

namespace WealthLab.Strategies { public class MyStrategy : WealthScript { protected override void Execute() { double Stop = 0;

// Check for intraday data if ( Bars.IsIntraday ) { // Get daily bars SetScaleDaily(); Bars daily = Bars; RestoreScale(); daily = Synchronize( daily ); PlotSeries( PricePane, daily.Close, Color.Black, LineStyle.Dashed, 1 );

for(int bar = 20; bar < Bars.Count; bar++) { if( IsLastPositionActive ) { if ( Bars.IsLastBarOfDay( bar ) ) SellAtClose( bar, LastPosition, "At Close" ); else SellAtStop( bar+1, LastPosition, Stop, "Stop" ); } else { //if (Date[bar].Hour == 10) if ( Bars.IntradayBarNumber(bar) == 0 ) if (Open[bar] > daily.Close[bar-1]) if (Close[bar] > Open[bar]) if( BuyAtClose(bar) != null ) Stop = daily.Close[bar-1]; } } } else DrawLabel( PricePane, "For use on intraday data", Color.Red ); } } }

Updating a Daily indicator using Intraday values

Here's how you can update a Daily indicator, say a moving average, recalculating its current value throughout the day using intraday values. This is also valid for backtesting and trading. Run it on intraday data:

Code


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

namespace WealthLab.Strategies { public class SMADailyOnIntradayBasis : WealthScript { StrategyParameter _period;

public SMADailyOnIntradayBasis() { _period = CreateParameter("Period", 20, 1, 100, 1); } public int FirstBarofDay(int startDay) { int cnt = 0; int firstBar = Bars.Count; for (int bar = 0; bar < Bars.Count; bar++) { if( Bars.IntradayBarNumber(bar) == 0 ) cnt++; if( cnt == startDay ) { firstBar = bar; break; } } return firstBar; } protected override void Execute() { SetScaleDaily(); DataSeries dailyCloses = Close; RestoreScale(); dailyCloses = Synchronize(dailyCloses); double daySum = 0d; int db = 0; bool isInitialized = false; int per = _period.ValueInt; // number of days for moving average // the "instantaneous" sma is the sum + Close of the current bar / period DataSeries sma = new DataSeries(Bars, "Daily SMA on Intraday Basis"); for (int bar = FirstBarofDay(per); bar < Bars.Count; bar++) { // On the first bar of the day, sum the previous per - 1 *day values* if( Bars.IntradayBarNumber(bar) == 0 ) { daySum = 0d; int stBar = bar - Bars.IntradayBarNumber(bar); // first bar of current day for (int n = 1; n < per; n++) { stBar--; // last intraday bar of a previous daySum += dailyCloses[stBar]; stBar -= Bars.IntradayBarNumber(stBar); // back to first bar of stBar day } } // Calculate the average for the contribution of the close of this bar sma[bar] = ( daySum + Close[bar] ) / per; } PlotSeries(PricePane, sma, Color.Blue, LineStyle.Solid, 2); // Compare it to the pure Daily SMA SetScaleDaily(); DataSeries smaDay = SMA.Series(Close, per); RestoreScale(); smaDay = Synchronize(smaDay); PlotSeries(PricePane, smaDay, Color.Black, LineStyle.Solid, 1); } } }



Selling a position at close at after the 2nd market day after purchasing



Code

Note: Change the MarketClose constant value for half days.


public class MyStrategy : WealthScript
{
	public int GetTime(int bar)
	{
		return Date[bar].Hour * 100 + Date[bar].Minute;
	}
	
	protected override void Execute()
	{				
		const int MarketClose = 1600;
		
		for(int bar = 20; bar < Bars.Count; bar++)
		{
			if (IsLastPositionActive)
			{
				Position p = LastPosition;
				if( bar < Bars.Count - 1 )
				{
					if ( Bars.IsLastBarOfDay( bar+1 ) )
						SellAtMarket( bar+1, p, "Mkt On Close" );
					else 
						SellAtStop( bar+1, p, p.EntryPrice * 0.97, "At stop" );
				}  
					// Is last bar of chart the second to the last bar of the day?
				else if (GetTime(bar) == MarketClose - Bars.BarInterval) 
					SellAtMarket( bar+1, p, "Mkt On Close" );
			}
			else
			{
				// Entry logic
			}
		}
	}
}

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