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[...] domCyc;
double alpha = (1 - Math.Sin(twoPi/30)) / Math.Cos(twoPi/30);
for(int bar = 1; bar bar = 0.5 * (1 + alpha)* Momentum.Series(ds, 1) bar + alpha * HP bar-1 ;
DataSeries smoothHP = FIR.Series(HP, "1,2,3,3,2,1");
DataSeries hmlSer = Median.Series( High - Low, 5 );
double avg, signal, noise, snr; // Variables SNR
double avg1 = 0d;
double signal1 = 0d;
double noise1 = 0d;
const double delta2 = 0.1; // Variables Swing, TV
double BP2_1 = 0d;
double BP2_2 = 0d;
double beta2, BP2, g2, alpha2, Q2, [...]
[...] timeframe of your table is 1-minute, don't select a higher timeframe in Strategy Activation settings e.g. 5-minute) Compatibility : When Streaming quotes don't work and your SQL Server has some international settings, add this to your connection string ( thanks Matthias ): Current Language=us_english Compatibility : If you have trouble connecting to MySQL, add this to your connection string: sql server mode=yes Compatibility : If reading from a MySQL database generates an "Unable to convert MySQL date/time value to System.DateTime" error, add the attribute below to your [...]
[...] the pole. Figure 1. A Wealth-Lab 6 chart illustrating the detection of the flag pattern on a 5-minute chart chart of SPY (S&P 500 SPDR). With minimal tweaks to the system's parameters it can be applied to charts of different time frames (e.g. EOD): Figure 2. A failed flag on the Daily chart of AXP (American Express) in Wealth-Lab 6. There's room for improvement: consider adding a filter against erratic price movement, phase out the less probable trades against the medium-term (daily) trend, playing with the exits (to our taste, the initial stop at the [...]
[...] proxy authentication in Microsoft .NET 2.0. It has been patched but the patch is actually in the .NET 3.5 installation. Please install the following .NET 3.5 patch from Microsoft to fix the problem Microsoft .NET Framework 3.5 Service Pack 1 One more workaround to try: Download this Zip file containing patched version of the WealthLabDev.exe.config file. Close WLD6. Unpack this file to \Program Files\MS123\Wealth-Lab Developer 6\ , replacing existing WealthLabDev.exe.config. Start WLD6 and try again. If nothing [...]
[...] loss in your system. You specify the stop loss value as a percentage. For example, InstallStopLoss( 5 ) will install a 5% automated stop loss. The Stop Loss is a simulated stop order. If prices hit your stop loss level during the trading day your position is closed at the stop loss price. If prices open below the stop loss level, your position is closed at market open.
Profit Target Use the InstallProfitTarget function to install a profit target exit. The target level is expressed as a percentage. For example, InstallProfitTarget( 13.
[...] MyStrategy()
{
sliLeft = CreateParameter("left bars", 13, 0, 30, 1);
sliLeftPrice = CreateParameter("left price", 3.5, 0, 100, 0.001);
sliRight = CreateParameter("right bars", 5, 1, 30, 1);
sliRightPrice = CreateParameter("right price", 1.5, 0, 100, 0.001);
sliPercent = CreateParameter("use percent chg", 1, 0, 1, 1);
sliOccur = CreateParameter("occurence", 5, 1, 25, 1);
sliUseLeft = CreateParameter("use left swing", 0, 0, 1, 1);
sliUseOutside = CreateParameter("use ouside swings", [...]
[...] backtesting the original rules on a portfolio without any market selection strategy (Dow 30 stocks, 5 years of Daily data, 5% equity per trade, no trading costs) were far from being optimal. The system was very trigger-happy, had a considerable drawdown and was losing on the short side. How can the situation be improved? As suggests its author, the periods of moving averages can be optimized. It might seem like a natural move but we'll approach it from a different angle. Instead, let's leave the parameters as is and add a couple of trade [...]
[...] 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 [...]
[...] simple profit target. Below you can find the complete trading system's rules: Entry:
Wait for a 5-day close-to-close uptrend. If the closing prices retrace 50% of the uptrend's distance (±1 percentage point) over the next 10 bars, a valid pullback has formed. Look for the prices to rebound and buy on a stop 50 cents above the retracement price. If this condition hasn’t been met within 10 days, the setup is invalidated. A second entry is made if first position has been established and the high price breaks through the 15-day highest high price. Exit:
Exit on [...]
[...] ;
// Sell Conditions
bool s1 = CrossOver(bar, ema, macd)
&& Highest.Series(macd, 5) bar > Highest.Series(macd, 50) bar - 5 ;
bool s2 = DIV1m bar bar bar bar ;
bool s3 = DIV1m bar bar bar
&& SMA.Series(ej, 40) bar bar - 1 ;
// Cover Conditions
bool c1 = CrossOver(bar, [...]
[...] the "one trade (roundtrip) per line" format like shown below: Short;QQQQ;25-06-2009;36;25-06-2009;35.5;2000
Long;AAPL;12-05-2009;124;26-05-2009;130.4
TradeFileImportMode.SimTradeFile2
TradeFileImportMode.SimTradeFile2 (a.k.a. Robert Sucher version ) supports a different format of trade history data, "one trade per line": AAPL;12-05-2009;Buy;124
AAPL;26-05-2009;Sell;130.4
QQQQ;25-06-2009;Short;36
QQQQ;25-06-2009;Cover;35.5 As you see, each trade component - long, short, sell or cover - must be placed on its own line and is treated [...]
[...] positions. With overlapping positions the worst trade determines the background color. Trades better than 0.5 percent are marked green. Trades worse than -0.5 [...]
[...] acceleration and deceleration of the current market trend. It's the difference between the value of a 5/34-period Awesome Oscillator and its 5-period smoothed version:
Median price = (High+Low) / 2
Awesome Oscillator = SMA(median price, 5)-SMA(median price, 34)
AD = Awesome Oscillator-SMA(Awesome Oscillator, 5)
Interpretation
Acceleration / Deceleration Oscillator
Example
The following example will plots Acceleration/Deceleration:
using System;
using System.Collections.Generic;
using [...]
[...] CreateParameter("White space %", 50, 10, 100, 10);
paramMinRise = CreateParameter("Min. rise %", 10, 5, 200, 5);
paramSMA = CreateParameter("SMA period", 50, 10, 200, 10);
paramMom = CreateParameter("Momentum period", 10, 2, 30, 2);
paramHi = CreateParameter("Highest period", 20, 10, 100, 10);
paramProximity = CreateParameter("Within SMA %", 2, 1, 5, 1);
paramPullback = CreateParameter("Pullback %", 2, 2, 18, 2);
paramRecovery = CreateParameter("Approaching %", 2, 2, 6, 2);
paramTimeout = [...]
[...] example illustrates how to create a simple trading system that buys after the closing price has declined 5% or more for 2 days in a row, and shorts when the closing price has increased 5% or more for 2 days in a row. It exits after 5 days in a position at open next bar.
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 ConsecDaysDemo : WealthScript
{
protected [...]
[...] StrategyParameter paramPeriod;
public MeanReversion()
{
paramPeriod = CreateParameter("Period", 10, 5, 30, 5);
}
protected override void Execute()
{
int period = paramPeriod.ValueInt;
int lmaPeriod = period * 10;
SMA sma = SMA.Series( Close, period );
SMA lma = SMA.Series( Close, lmaPeriod );
DataSeries zscore = ZScore.Series( Close, period, StdDevCalculation.Sample );
PlotSeries( PricePane, sma, Color.Red, LineStyle.Solid, 1 );
PlotSeries( PricePane, lma, Color.Blue, LineStyle.Solid, 2 );
ChartPane [...]
[...] int minutes )
Parameter Description t Integer time e.g. 1600 minutes Minutes to add, e.g. 5. To subtract, pass a negative integer. AddIntegerTime adds minutes to an integer time (HHnn) and returns a HHnn time.
Example:
// Legacy Syntax
Utility.AddIntegerTime(1600, -5) returns 1555 // Extension method syntax
int itime = 1600;
itime.AddIntegerTime(-5) returns 1555
itime.AddIntegerTime(120) returns 1800
Syntax
public static int FirstBarofDay(this WealthScript obj, int startDay) public int [...]
[...] RebalanceStrategy()
{
entry1portion = CreateParameter(entry1symbol + " portfolio percentage", 30, 0, 100, 5);
entry2portion = CreateParameter(entry2symbol + " portfolio percentage", 30, 0, 100, 5);
entry3portion = CreateParameter(entry3symbol + " portfolio [...]
[...] since it tends to stop looking for new solutions too soon. BLX crossover (aka Blend crossover, alpha=0.5) allows the offspring gene to be located outside the interval. WL1 and WL2 crossovers are extensions of the BLX method. WL1 aims at procreating offsprings with better fitness, picking a chromosome among just three possible candidates: the smallest and the largest values of the range and the mid-range. WL2 is similar to WL1, but when the appropriate genes of two parent chromosomes are identical, it seeks for a better fitness value by taking an adjacent gene. Last but [...]
[...] In my albeit limited testing, this optimizer, with the default Number of Steps after Highest Value = 5, reaches the same result as the Exhaustive optimizer in about half the number of runs. How it Works It begins with each parameter at its Start value (or Default value, if the parameter is unchecked) and sets an initial stop value for each checked parameter equal to the Start value plus the Number of Steps after Highest Value selected (but not beyond the Stop value). It then begins performing an exhaustive optimization. After each run, it looks at the selected Metric [...]
[...] paramExit;
public StochK_Divergence_for_07nioe()
{
paramRev = CreateParameter("Rev.%", 20, 5, 50, 5);
paramOv = CreateParameter("Oversold", 20, 65, 95, 5);
paramOb [...]
[...] coefficient of 3.0 increased profitability of trading 1 contract (8.1% vs. 6.7% APR) and win rate (63.5% vs. 52.1%) while decreasing number of trades (63 vs. 71) and drawdown (6.13% vs. 6.55% based on $100K Starting Equity). Figure 1 illustrates how the new exit strategy generally helped to keep trades active longer with a well-defined risk.
Figure 1. The strategy that used the Chandelier exit (top) often gave trades the wiggle room they needed for increased profitability, particularly for the trade labeled 3.
Taking it a step further, applying a 4% risk-stop position [...]
[...] bar - j > hh) hh = ds bar - j ;
if (ds bar - j bar - j ;
}
ah n .Num = 0.5 * (ds bar - ll) + 0.5 * num2;
ah n .Denom = 0.5 * (hh - ll) + 0.5 * denom2;
[...]
[...] paramDev;
public TradersTipsOct2019()
{
paramPeriod = CreateParameter("Bands Period", 20, 5, [...]
[...] CreateParameter("DX LRSlope Period", 25, 10, 50, 1);
D2SNL = CreateParameter("Snl LRSlope Period", 12, 5, 25, 1);
LRSDXYSELL = CreateParameter("DX LRSlope", 0.3, 0.1, 0.8, 0.1);
LRSNLSELL = CreateParameter("Snl LRSlope", -0.8, -1.2, -0.5, 0.1 );
MASELL = CreateParameter("Soybean EMA Period", 15, 5, [...]
[...] = CreateParameter("LcP Length", 50, 10, 50, 10);
paramPeak = CreateParameter("LcSlope Peak", 50, 5, 50, 5);
}
protected override void Execute()
{
bool reachedPeak = false, changedSign = false;
int peakBar = -1, signBar = -1;
int peakBars = paramPeak.ValueInt; int Length = paramLength.ValueInt;
var LeavittProjection = LinearReg.Series(Close, Length);
int LenConv = Convert.ToInt32(Math.Sqrt(Length)); // this is how EasyLanguage extracts the integer portion of a variable
var LeavittConv = LinearReg.Series(LeavittProjection, [...]
[...] demo system that takes entries and exits depending on the market's volatility switch state: above 0.5 it's considered choppy with a potential for mean reversion, and at or below 0.5 it's more likely to trend. Entry rules If volatility switch is in trend mode, buy at market next bar when today's close crosses above the 10-day simple moving average of close price If volatility switch is in mean reversion mode, buy at market next bar when the 7-day RSI crosses above 30 Exit rules If volatility switch is in trend mode, sell at market [...]
[...] trades when the cycle turns up within the threshold zone and exits on a closing profit of 4% or after 5 bars. The time-based exit was chosen purposely to be a ¼ cycle to exit before the next turn down. The Strategy produced a slightly-positive win rate and raw profit factor for the last 6 years of trading on the Dow 30 and Nasdaq 100 index components.
Figure 1. Representative trades from the sample Strategy. WealthScript Code (C#)
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators; [...]
[...] day
var ratio = TrueRange.Series(Bars) bar / atr bar ;
bool isWRBBull = outsideBull && (ratio > 1.5);
bool isWRBBear = outsideBear && (ratio > 1.5); //3-day compression
bool compression = CumDown.Series(TrueRange.Series(Bars), 1) bar >= 3; //gap open
bool isGapUp = (this.isGap(bar) == CommonSignalsEx.GapType.FullUp) && (Open bar > Close bar + 0.5 * atr bar );
bool isGapDown = (this.isGap(bar) == CommonSignalsEx.GapType.FullDown) && (Open bar bar + 0.5 * [...]
[...] result;
double alpha = (1 - Math.Sin(twoPi/40)) / Math.Cos(twoPi/40);
for(int bar = 1; bar bar = 0.5 * (1 + alpha)* Momentum.Series(ds, 1) bar + alpha * HP bar-1 ;
DataSeries smoothHP = FIR.Series(HP, "1,2,3,3,2,1");
for( int bar = 6; bar n .Q = Momentum.Series(smoothHP, 1) bar * n / twoPi;
ah n .I = smoothHP bar ;
ah n .R = 0.5 * (1 - a) * (ah n .I - ah n .I3) + beta * (1 + a) * ah n .R2 - a * ah n .R3;
ah n .Im = 0.5 * (1 - a) * (ah n .Q - ah n .Q3) + beta * (1 + a) * ah n .Im2 - a [...]