TASC 2017-12 | Weekly & Daily MACD (Apirine)

Traders' Tip text

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

namespace WealthLab.Strategies
{
	/* 
		Divergence: price sets a lowest low but the indicator fails to confirm the new low and turns up
	*/
	
	public class WDMACD_Divergence : WealthScript
	{
		private StrategyParameter paramHighest;
		private StrategyParameter paramExitDays;
		
		private StrategyParameter paramDailyLength1;
		private StrategyParameter paramDailyLength2;
		private StrategyParameter paramWeeklyLength1;
		private StrategyParameter paramWeeklyLength2;
		
		public WDMACD_Divergence()
		{
			paramHighest = CreateParameter("Highest high of", 130, 60, 300, 10);
			paramExitDays = CreateParameter("Exit after", 20, 1, 50, 1);
			
			paramDailyLength1 = CreateParameter("Daily Length 1",12,2,300,20);
			paramDailyLength2 = CreateParameter("Daily Length 2",26,2,300,20);
			paramWeeklyLength1 = CreateParameter("Weekly Length 1",60,2,300,20);
			paramWeeklyLength2 = CreateParameter("Weekly Length 2",130,2,300,20);
		}
		
		protected override void Execute()
		{
			if( Bars.Scale != BarScale.Daily )
			{
				DrawLabel(PricePane, "Switch to Daily scale");
				Abort();
			}
			
			bool peak = false; int peakBar = -1;
			int high = paramHighest.ValueInt;
			bool trough = false; int troughBar = -1;
			int low = paramHighest.ValueInt;
			int days = paramExitDays.ValueInt;
			
			var RDM = RelativeDailyMACD.Series(Close,paramDailyLength1.ValueInt,paramDailyLength2.ValueInt,
				paramWeeklyLength1.ValueInt,paramWeeklyLength2.ValueInt);
			var WM = WeeklyMACD.Series(Close,paramWeeklyLength1.ValueInt,paramWeeklyLength2.ValueInt);
			
			HideVolume(); LineStyle solid = LineStyle.Solid;
			ChartPane paneWDMACDPane1 = CreatePane(40,true,true);
			PlotSeries(paneWDMACDPane1,RDM,Color.FromArgb(255,0,100,0),LineStyle.Solid,2);
			PlotSeries(paneWDMACDPane1,WM,Color.FromArgb(255,0,0,0),LineStyle.Solid,2);
			DrawHorzLine(paneWDMACDPane1,0,Color.Blue,LineStyle.Solid,1);
			
			Lowest indicatorLowest = Lowest.Series( WM, low );
			Lowest hLow = Lowest.Series( Low, low );
			
			for(int bar = GetTradingLoopStartBar(130); bar < Bars.Count; bar++)
			{
				if (!IsLastPositionActive)
				{
					/* 1st peak: both price and indicator */
					
					if( peak == false ) 
					{
						if( ( High[bar-1] == Highest.Series( High, high )[bar-1] ) 
							& ( WM[bar-1] == Highest.Series( WM, high )[bar-1] ) 
							& TurnDown( bar, High ) & TurnDown( bar, WM ) )							
						{
							peak = true; peakBar = bar-1; 
						}
					}
					
					if( peak == true )
					{
						if( ( High[bar] != Highest.Series( High, high )[bar] ) 
							& ( WM[bar] == Highest.Series( WM, high )[bar] ) )
							peak = false;					
					}

					/* 2nd peak: price high not confirmed by the indicator */

					if( peak == true ) 
					{
						if( ( High[bar-1] == Highest.Series( High, high )[bar-1] ) 
							& ( High[bar-1] >= High[peakBar] ) 
							& ( WM[bar-1] != Highest.Series( WM, high )[bar-1] ) 
							& ( WM[bar-1] < WM[peakBar] ) &
							TurnDown( bar, High ) & TurnDown( bar, WM ) )
						{
							peak = false; 
							ShortAtMarket( bar+1 );
						
							/* Highlight divergence */
						
							for (int b = peakBar; b <= bar; b++)
								SetPaneBackgroundColor( paneWDMACDPane1, b, Color.FromArgb( 30, Color.LightCoral ) );
							
							DrawLine( PricePane, peakBar, High[peakBar], bar-1, High[bar-1], Color.Red, solid, 2 );
							DrawLine( paneWDMACDPane1, peakBar, WM[peakBar], bar-1, WM[bar-1], Color.Blue, solid, 2 );
						}
					}

					/* 1st trough: both price and indicator */
					
					if( trough == false ) 
					{
						if( ( Low[bar-1] == Lowest.Series( Low, low )[bar-1] ) 
							& ( WM[bar-1] == Lowest.Series( WM, low )[bar-1] ) 
							& TurnUp( bar, Low ) & TurnUp( bar, WM ) )							
						{
							trough = true; troughBar = bar-1; 
						}
					}
					
					if( trough == true )
					{
						if( ( Low[bar] != Lowest.Series( Low, low )[bar] ) 
							& ( WM[bar] == Lowest.Series( WM, low )[bar] ) )
							trough = false;					
					}

					/* 2nd trough: price low not confirmed by the indicator */

					if( trough == true ) 
					{
						if( ( Low[bar-1] == Lowest.Series( Low, low )[bar-1] ) 
							& ( Low[bar-1] <= Low[troughBar] ) 
							& ( WM[bar-1] != Lowest.Series( WM, low )[bar-1] ) 
							& ( WM[bar-1] > WM[troughBar] ) &
							TurnUp( bar, Low ) & TurnUp( bar, WM ) )
						{
							trough = false; 
							BuyAtMarket( bar+1 );
						
							/* Highlight divergence */
						
							for (int b = troughBar; b <= bar; b++)
								SetPaneBackgroundColor( paneWDMACDPane1, b, 
									Color.FromArgb( 30, Color.LightGreen ) );
							
							DrawLine( PricePane, troughBar, Low[troughBar], 
								bar-1, Low[bar-1], Color.Blue, solid, 2 );
							DrawLine( paneWDMACDPane1, troughBar, WM[troughBar], 
								bar-1, WM[bar-1], Color.Red, solid, 2 );
						}
					}
				} else
				{
					/* Exit after N days */
					
					Position p = LastPosition;
					if ( bar+1 - p.EntryBar >= days )
						ExitAtMarket( bar+1, p, "Timed" ); 
				}
			}
		}
	}
}