Page History: Intraday | Building blocks of Intraday trading strategies

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Page Revision: 2012/01/20 19:51

Building blocks

Below you'll find some helpful code snippets and patterns applicable when creating trading systems dealing with intraday data.

Function to easily determine and compare time of day

public class MyStrategy : WealthScript
{
	public int GetTime(int bar)
	{
		return Date[bar].Hour * 100 + Date[bar].Minute;
	}
		
	protected override void Execute()
	{
		// Specifically, I use a strategy that buys stocks only in the time period between 9:55 am and 13:00.

		for(int bar = 1; bar < Bars.Count; bar++)
		{
			if (IsLastPositionActive)
			{
				// exit rule here...
			}
			else if( ( GetTime(bar) >= 0955 ) & ( GetTime(bar) <= 1300 ) )
				BuyAtMarket( bar+1 );
		}				
	}
}

Identify the Open price of the day when working with intraday data

Here's a shortcut to find the first bar of the current day from within a Bars.Count loop -

int firstBarToday = bar - Bars.IntradayBarNumber(bar);

// So the Opening price of the session is then: 
double openToday = Open[firstBarToday];

You can also identify yesterday's close price just the same:

int firstBarToday = bar - Bars.IntradayBarNumber(bar);

//So it follows that the previous bar is the last bar of the prior day.
int lastBarYesterday = firstBarToday - 1;

//So, yesterday's close is:
Close[lastBarYesterday];

Find highest high for the current day

Here's a shortcut to find the highest High for the current day in an intraday chart:

// in the loop 
double highestHighToday = Highest.Value(bar, High, Bars.IntradayBarNumber(bar) + 1);

Here's more speed-wise solution:

double highestHighToday = -1;
for(int bar = 20; bar < Bars.Count; bar++)
{
	if (Bars.IntradayBarNumber(bar) == 0)
		highestHighToday = High[bar];
	else
		if (High[bar] > highestHighToday) highestHighToday = High[bar];				
}

Exiting after N days in an intraday strategy

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()
		{
			// counter of days
			int cnt = 0;
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;

					// loop backwards from current bar to last position's bar of entry
					for( int Bar = bar; Bar >= p.EntryBar; Bar-- )
					{
						// when day changes, increment counter
						if( Bars.IntradayBarNumber( Bar ) == 0 ) 
						{ 
							cnt++;
							break;
						}						
					}
					
					// when counter reaches 3, sell
					if( cnt >= 3 )
						ExitAtMarket( bar+1, LastPosition );
				}
				else
				{
					BuyAtMarket( bar+1 );
					cnt = 0;
				}
			}
		}
	}
}

Access/plot 52-week high on an intraday chart

Here's a slick way to determine 52 week high from intraday data. Assumes 9:30 AM to 4 PM trading session (6 1/2 hours):

if( Bars.IsIntraday )
{
	int bi = Bars.BarInterval;
	DataSeries high52week = Highest.Series( High, (int)Math.Truncate( 5 * (60/bi)*6.5 * 52 ) ); 
	PlotSeries( PricePane, high52week, Color.Black, WealthLab.LineStyle.Solid, 1 );
}