TASC 2017-06 | Daytrading With Night Volume (D'Errico)

Traders' Tip text

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

namespace WealthLab.Strategies
{
	public class NightAndDayStrategy : WealthScript
	{
		private int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}
		
		private string NumberAsK(double volume)
		{
			return volume.ToString("#,##0,K", CultureInfo.InvariantCulture);
		}
		
		private StrategyParameter paramAverageNights;

		public NightAndDayStrategy()
		{
			paramAverageNights = CreateParameter("Avg. Nights", 5, 1, 20, 1);
		}

		protected override void Execute()
		{
			if ( Bars.IsIntraday )
			{
				// Variables
				int firstHourStart = -1, firstHourEnd = -1, average = paramAverageNights.ValueInt;
				double firstHourRangeHigh = 0, firstHourRangeLow = 0;
				var aNightVolume = new DataSeries(Bars,"Average Night Volume");
				var cNightVolume = new DataSeries(Bars,"Cumulative Night Volume");
				var ls = LineStyle.Solid;
				var lstVolumes = new List<double>();	// holds cumulative volume for each session
				bool canTrade = false;
				Font font = new Font("Verdana",10,FontStyle.Bold);

				// Plotting
				HideVolume();
				ChartPane cvPane = CreatePane(20,false,false);
				PlotSeries(cvPane,cNightVolume,Color.Brown,LineStyle.Histogram,2);
				PlotSeries(cvPane,aNightVolume,Color.Red,ls,2);

				for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
				{
					// Save current time into variable to avoid repeated function calls
					int t = GetTime(bar);
					
					// Volatility bias is night volume is not lower than the night volume average of the last N days
					bool volatilityBias = false;

					// Propagate average night volume
					if( aNightVolume[bar] == 0 )
						aNightVolume[bar] = aNightVolume[bar - 1];
					
					// Aftermarket
					if( (t > 1515) && (t <= 2359) )
						SetBarColor( bar, Color.Silver );
					
					// Night session
					if( (t >= 0000) && (t <= 0830) )
					{
						SetBarColor( bar, Color.Black );
						
						// Reset night volume
						if(t == 0000)
							cNightVolume[bar] = 0;
						else
							cNightVolume[bar] = cNightVolume[bar-1]; 
						
						// Cumulate night volume series
						cNightVolume[bar] += Volume[bar];
						
						if(t == 0830)
						{
							firstHourStart = bar;
							lstVolumes.Add(cNightVolume[bar]);
						}
					}
					
					// First hour
					if( (t > 0830) && (t <= 0930) )
					{
						// Average nightly volume for last N sessions
						var avgNightlyVolume = lstVolumes.Skip(Math.Max(0, lstVolumes.Count() - average)).Sum() / (double)average;
						aNightVolume[bar] = avgNightlyVolume;
						
						// Volatility filter
						volatilityBias = avgNightlyVolume > cNightVolume[firstHourStart] ? false : true;
						
						SetBarColor( bar, Color.Red );
						if(t == 0930)
							firstHourEnd = bar;
						
						if( (firstHourStart > -1) && (firstHourEnd > -1) )
						{
							if( bar == firstHourEnd ) // get the highest high and the lowest low after first hour
							{
								// First hour range
								firstHourRangeHigh = Highest.Value(bar, High, firstHourEnd-firstHourStart );
								firstHourRangeLow = Lowest.Value(bar, Low, firstHourEnd-firstHourStart );
								DrawLine( PricePane, firstHourStart, firstHourRangeHigh, firstHourEnd, firstHourRangeHigh, Color.Blue, ls, 2 ); 
								DrawLine( PricePane, firstHourStart, firstHourRangeLow, firstHourEnd, firstHourRangeLow, Color.Red, ls, 2 ); 

								AnnotateBar("Volatility bias: " + volatilityBias.ToString(),bar,true, Color.Blue,Color.Transparent,font);
								AnnotateBar("Avg.Vol: " + NumberAsK(avgNightlyVolume) + ", Cum.Vol: " + NumberAsK(cNightVolume[firstHourStart]),
									bar,true, Color.Blue,Color.Transparent,font);
								
								// Minimum required trading sessions
								bool calculationIsValid = lstVolumes.Count >= average;
								
								// Can only trade between 9:30 and 15:15 if volatility bias is high
								if( volatilityBias && calculationIsValid )
									canTrade = true;
							}
						}
					}
					
					// Main session
					if( (t > 0930) && (t <= 1515) )
						SetBarColor( bar, Color.Blue );
               
					// Reset trading condition until new session
					if( t > 1515 )
						canTrade = false;
					
					// Trading
					if( IsLastPositionActive )
					{
						Position p = LastPosition;
            
						// Exit at 15:15
						if( ( t >= 1515) )
							ExitAtMarket( bar+1, p, "15:15" );
					}
					else
					{
						// Take trades if volatility bias is positive and time is OK
						if( canTrade )
						{
							if( BuyAtStop(bar+1, firstHourRangeHigh + 0.01, volatilityBias.ToString() ) == null )
								ShortAtStop(bar+1, firstHourRangeLow - 0.01, volatilityBias.ToString() );						
						}            
					}
				}
			}
			else
			{
				DrawLabel( PricePane, "Works on intraday data only!", Color.Red );
			}
		}
	}
}