Series is Above a Value

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SeriesIsAboveValue: Indicator Documentation

Syntax


SeriesIsAboveValue(DataSeries ds, double num, int period)
SeriesIsAboveValue(DataSeries ds, double num, int period, string description)

Parameter Description

ds	Data series
num	Value
period	Period for which the data series should be above the value

Description

Returns the number of consecutive bars that a DataSeries dshas been above a value num minus the Period bars.

To count the number of consecutive bars that the DataSeries has been above the value, use period = 1.
- Note! Versions prior to 2019.03 contained a bug (now fixed). Backtest results will change if upgrading to 2019.03 or higher.
For any other period, SeriesIsAboveValue returns zero until the DataSeries has been above the value for at least period bars. After being above for period bars, SeriesIsAboveValue returns 1 and increments with each new bar that the DataSeries is above the value.

See also:
Series Is Below a Value
Series Is Above

Example

This simple system takes long positions when the 2-period RSI has been above 95 for 5 consecutive bars, and short positions when it has been below 5 for consecutive bars, closing them after being in the market for a month.


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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{            
			int period = 2;
			DataSeries rsi = RSI.Series(Close, 2);
			SeriesIsAboveValue rsiAbove95 = SeriesIsAboveValue.Series( rsi, 95, 5 );
			SeriesIsBelowValue rsiBelow5 = SeriesIsBelowValue.Series( rsi, 5, 5 );
            
			ChartPane rsiPane = CreatePane(25, true, true);
			PlotSeries(rsiPane, rsi, Color.Black, LineStyle.Solid, 2);
            
			ChartPane cp = CreatePane(25, true, true);
			PlotSeries(cp, rsiAbove95, Color.Blue, LineStyle.Histogram, 2);
			PlotSeries(cp, rsiBelow5, Color.Red, LineStyle.Histogram, 2);
            
			for(int bar = period * 3; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					TimeSpan ts = Date[bar] - Date[p.EntryBar];
					if (ts.Days > 29)
						ExitAtMarket(bar + 1, p, "Time-based");
				}
				else 
				{
					if (rsiAbove95[bar] >= 5 )
					{
						BuyAtMarket(bar + 1);
						SetBackgroundColor(bar, Color.FromArgb(50, Color.Red));
					}
					else
						if (rsiBelow5[bar] >= 5 )
					{
						ShortAtMarket(bar + 1);
						SetBackgroundColor(bar, Color.FromArgb(50, Color.Blue));
					}
				}
			}
		}
	}
}