TASC 2015-05 | Filtering Price Movement (Siligardos)

Traders' Tip text

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

namespace WealthLab.Strategies
{
   internal struct PipInterval
   {
      public int X1;
      public int X2;
   }   
   
   public class zzTOPAutoStudy : WealthScript
   {
      StrategyParameter _pct;
      StrategyParameter _thickness;
      List<int> _pipList;      // list of PIP bar numbers
      
      public zzTOPAutoStudy()
      {         
         _pct = CreateParameter("PIP Percent", 20, 2, 50, 1);
         _thickness = CreateParameter("Line Width", 2, 1, 3, 1);
      }
      
      int getPipBar(DataSeries ds, PipInterval pi, double minMove, bool useLog)
      {
         int pip = 0;
         double maxDiff = 0; 
         double delta, y;
           
         for(int bar = pi.X1; bar <= pi.X2; bar++)
         {
            if (useLog)
            {
               y = LineExtendYLog( pi.X1, ds[pi.X1], pi.X2, ds[pi.X2], bar );
               delta = Math.Abs(Math.Log(ds[bar] / y));
            }
            else
            {
               y = LineExtendY( pi.X1, ds[pi.X1], pi.X2, ds[pi.X2], bar );
               delta = Math.Abs(ds[bar] - y);
            }
            
            if( delta > maxDiff )
            {
               maxDiff = delta;
               pip = bar;
            }   
         }         
         
         if (maxDiff < minMove) 
            pip = -1;   // invalid; no PIP in specified PipInterval
         
         if (pip > 0)
            _pipList.Add(pip);
         
         return pip;
      }
      
      /* Find the new PIP for each PipInterval in the List and return the new PipIntervals */
      internal List<PipInterval> zzTopAuto(List<PipInterval> piList, DataSeries ds, double minmove, bool useLog)
      {
         List<PipInterval> nextList = new List<PipInterval>();
         
         foreach (PipInterval pi in piList)
         {
            int bar = getPipBar(ds, pi, minmove, useLog);
            
            if (bar == -1)
               continue;
            else
            {
               PipInterval newinvl = new PipInterval();
               newinvl.X1 = pi.X1;
               newinvl.X2 = bar;
               nextList.Add(newinvl);
               
               PipInterval newinvl2 = new PipInterval();
               newinvl2.X1 = bar;
               newinvl2.X2 = pi.X2;
               nextList.Add(newinvl2);
            }
         }
         
         if (nextList.Count != 0)
            zzTopAuto(nextList, ds, minmove, useLog);
         
         return nextList;
      }
            
      void ZZTOP(DataSeries ds, ChartPane cp, double minPercent)
      {
         // Minimum vertical move for the arithmetic and log cases
         double minV = 0;
         if (cp.LogScale)      
            minV = Math.Log(1 + minPercent/100d);
         else
         {
            int bc = Bars.Count;
            minV = minPercent / 100d * (Highest.Value(bc-1, ds, bc) - Lowest.Value(bc-1, ds, bc));            
         }
         
         // Initialize _pipList with the first and last bar numbers
         int nbars = Bars.Count - 1;
         _pipList = new List<int>();
         _pipList.Add(0);
         _pipList.Add(nbars);
         
         // Initialize the first list to pass to zzTopAuto
         PipInterval interval = new PipInterval();
         interval.X1 = 0;
         interval.X2 = nbars;
         List<PipInterval> aList = new List<PipInterval>();
         aList.Add(interval);
         
         // Let the recursion begin!
         zzTopAuto(aList, ds, minV, cp.LogScale);
         
         // Sort the result to plot lines between the PIPs
         _pipList.Sort();
         
         int lastpip = 0;
         foreach (int pip in _pipList)
         {
            if (pip == 0) continue;            
            DrawLine(cp, lastpip, ds[lastpip], pip, ds[pip], Color.Blue, LineStyle.Solid, _thickness.ValueInt);   
            lastpip = pip;
         }      
         
         int segments = _pipList.Count - 1;
         DrawLabel(cp, "Log Scale: " + cp.LogScale.ToString());
         DrawLabel(cp, "Segment Count: " + segments.ToString());
         DrawLabel(cp, "PIP: " + minPercent + "%");
         //DrawLabel(cp, "Press Go! after switch between Log and Arithmetic scales!", Color.Red);
      }
      
       
      protected override void Execute()
      {
         ZZTOP(Close, PricePane, _pct.Value); 
         
         DataSeries rsi = RSI.Series(Close, 14);
         ChartPane rsiPane = CreatePane(40, true, true);
         PlotSeries(rsiPane, rsi, Color.Black, LineStyle.Solid, 1);
         ZZTOP(rsi, rsiPane, _pct.Value);
      }
   }
}