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[...] lead; L = lead;
if ( fifo.Count < cntMax )
fifo.Add(lead);
else {
fifo.RemoveAt(0);
fifo.Add(lead);
}
for ( int n = 0; n < fifo.Count - 1; n++) {
double val = ( double )fifo[n];
if ( val > H ) H = val;
if ( val < L ) L = val;
}
}
public void SuperIndicators(DataSeries ds, out DataSeries domCycMdn, out DataSeries snrSer, out DataSeries psnSer, out DataSeries tvSer)
{
// Initialize arrays
ArrayHolder[] ah = new ArrayHolder[61];
for ( int n = 12; n < 61; [...]
[...] paramEnhance; public TASC201609()
{
paramEnhance = CreateParameter( "Enhance Resolution" , 0, 0, 1, 1);
}
protected override void Execute()
{
bool EnhanceResolution = paramEnhance.ValueInt == 0 ? false : true ;
DataSeries HP = new DataSeries( Bars , "HP" );
DataSeries Filt = new DataSeries( Bars , "Filt" );
DataSeries DominantCycle = new DataSeries( Bars , "DominantCycle" ); double Deg2Rad = Math.PI / 180.0;
double cosInDegrees = Math.Cos((.707 [...]
[...] using WealthLab.Indicators; namespace WealthLab.Strategies
{
enum Side { Buy = 1, Sell = -1, NA = 0 }
public class TASC201406_Kaufman : WealthScript
{
Side SingleDivergence( int bar, int period, int momperiod,
DataSeries ps, DataSeries ms, out bool trendup, out bool trenddn, out int p, out int m )
{
trendup = (ps[bar] > 0 && ms[bar] > 0);
trenddn = (ps[bar] < 0 && ms[bar] < 0);
p [...]
[...] help, then the problem is caused by a documented bug with 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 [...]
[...] paramLookbackForStepPattern;
public IRSTS_StepPattern()
{
paramPercent = CreateParameter( "Reversal %" , 10.0, 1.0, 50.0, 1.0);
paramLookbackForStepPattern = CreateParameter( "Lookback" , 3, 1, 20, 1);
}
bool isInsideBody( int bar, double price ) {
return price <= Math.Max( Open [bar], Close [bar]) && price >= Math.Min( Open [bar], Close [bar]);
}
bool Upstep( int bar, int lookback ) {
bool result = false ;
bool way1 = ( Open [bar] > Close [...]
[...] StrategyParameter paramSL;
public IRSTS123Strategy()
{
paramPercent = CreateParameter( "Reversal %" ,5.0, 1.0, 50.0, 1.0);
paramPT = CreateParameter( "Profit Target %" ,20.0,1.0,50.0,1.0);
paramSL = CreateParameter( "Stop Loss %" ,5.0,1.0,20.0,1.0);
}
[...]
[...] 6);
}
// Convert decibels to RGB color for display
for ( int n = 0; n <= 10; n++ ) // yellow to red: 0 to 10 dB
color[n] = Color.FromArgb(255, ( int )(255 - (255 * n / 10)), 0);
for ( int n = 11; n <= 20; n++ ) // red to black: 11 to 20 db
color[n] = Color.FromArgb( ( int )(255 * (20 - n)/10 ), 0, 0);
// Detrend data by High Pass Filtering with a 40 Period [...]
[...] Camarilla()
{
Clear();
}
public void FindPivotLevels( double high, double low, double close )
{
R1 = 0; R2 = 0; R3 = 0; R4 = 0; R5 = 0;
S1 = 0; S2 = 0; S3 = 0; S4 = 0; S5 = 0;
double Range = high - low;
R5 = ( high / low ) * close;
R4 = close + Range * 1.1 / 2;
R3 = close + Range * 1.1 [...]
[...] WealthScript
{
LineStyle ls = LineStyle.Solid;
public DataSeries RS2t(DataSeries ds, string index, int period = 10, bool plotSeries = false )
{
var rs = new DataSeries(ds, string .Format( "RS2t({0},{1},{2}" , ds.Description, index, period));
var extSym = GetExternalSymbol (index, true );
var RS1 = ds / extSym. Close ; var Fast = EMAModern.Series(RS1, period); //Fast MA: Orange
var Med = SMA.Series(Fast, 7); //Medium MA: Green
var Slow = SMA.Series(Fast, [...]
[...] Stochastic strategy available in WL Developer 5.1.
Long trades:
Premier stochastic crosses below 0.90, Premier stochastic crosses below 0.20 Short trades:
Premier stochastic crosses above -0.90, Premier stochastic crosses above -0.20
Strategy Code
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators; namespace WealthLab.Strategies
{
// Premier Stochastic
public class PremierStochastic [...]
[...] StrategyParameter sliBoxedSeries;
public 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" , [...]
[...] time,Entry name,Exit name,Profit,Cum. profit,Commission,MAE,MFE,ETD,Bars,
1,$AUDUSD,Backtest,ACE,Long,30000,
[...] monthly-based strategy, I thought it would be interesting to see how it performed by varying the monthly period by day of month. To do it, I setup of an optimization that calculates the monthly moving average based on the NAV price for each day of the month 1 to 28 as well as for the standard calendar month. The strategy rules remain the same, but the trades trigger on the specified day of the month. Figure 1 shows the daily NAV prices synchronized with the monthly moving average, whereas Figure 2 has the optimization space plotted against the moving average period [...]
[...] AsciiConfig.xml and start Wealth-Lab: C:\Users\ Your User Name \AppData\Roaming\ WealthLabPro or WealthLabDev \1.0.0.0\Data\ Incorrect number of fields or incorrect fields separator Symptoms:
You are not able to parse your data because the parser throws an exception: "Incorrect number of fields or incorrect fields separator". You are sure that the selected data format is correct. Solution:
Of course, this usually happens when selected format options were incorrect, but there's one special case you should know. It happens [...]
[...] then "Other Assemblies..." > "Add a reference"
//2. In "C:\Windows\Microsoft.NET\Framework64\v4.0.30319\" (or "Framework" on 32-bit systems),
//choose and okay "System.Windows.Forms.DataVisualization.dll" namespace WealthLab.Strategies
{
public class SC_2019_09_KaufmanSeasonality : WealthScript
{
private StrategyParameter paramYears;
private StrategyParameter paramPrice;
private StrategyParameter paramThresholdHigh;
private StrategyParameter paramThresholdLow; public SC_2019_09_KaufmanSeasonality()
{
paramYears = CreateParameter( "Average, [...]
[...] CreateParameter( "Pole Timeout" , 23, 10, 50, 1);
paramPoleHeight = CreateParameter( "Pole Height" , 5.5, 1.0, 10, 0.5);
paramUptrendBeforePole = CreateParameter( "Uptrend Before Pole" , 70, 10, 100, 10);
paramSMAPeriod = CreateParameter( "SMA Period" , 50, 10, 100, 5);
paramFlagHeight = CreateParameter( "Flag Height" , 2.5, 0.5, 5.0, 0.5);
paramFlagTimeout = CreateParameter( "Flag Timeout" , 15, 3, 30, 1);
paramMinFlagDuration [...]
[...] WealthLab.Strategies
{
public class DivergencePlotterExample : WealthScript
{
private StrategyParameter period;
public DivergencePlotterExample()
{
period = CreateParameter( "RSI Period" ,14,2,200,20);
} protected override void Execute()
{
ChartPane rsiPane = CreatePane (40, true , true );
ChartPane divPane = CreatePane (40, true , true ); DataSeries rsi = RSI.Series( Close ,period.ValueInt);
PlotSeriesOscillator (rsiPane,rsi,70,30,Color.FromArgb(63,
[...] adding prejudice. Entry rules Pullback entry: Buy at open next bar if the DMI Oscillator is above 0 and the DMI Stochastic crosses above 10. Short at open next bar if the DMI Oscillator is below 0 and the DMI Stochastic crosses below 90. Countertrend entry: Short at open next bar if the DMI Oscillator crosses under -20. Buy at open next bar if the DMI Oscillator crosses above 20.
Exit rules Fixed bars: exit at open next bar when the specified number of days has been reached. Profitable and Losing closes (profitable close is a [...]
Syntax public ATRModified( Bars ds, int period, string description)
public static ATRModified Series( Bars ds, int period) Parameter Description
ds
The source Bars object
period
The indicator period.
Description The ATRModified (Modified ATR) indicator from the June 2009 issue of Stocks & Commodities magazine. Vervoot modified Wilder's True Range calculation to smooth out the result so that a single highly volatile day has less influence than [...]
[...] prematurely. We found that using a loose Chandelier stop as the only exit criteria with an arbitrary Fibonacci period of 55 and an ATR 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 [...]
[...] Info Manager: Futures Mode: enabled
Symbol: ZS; Type: Future; Margin: 4000; Point Value: 50; Tick: 0.25; Decimals: 2 WealthScript Code (C#)
/* Seasonal Soybean Strategy per Katsanos article EL code */
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators; namespace WealthLab.Strategies
{
public class MyStrategy : WealthScript
{ StrategyParameter D1DXY;
StrategyParameter D2SNL;
StrategyParameter LRSDXYSELL;
StrategyParameter LRSNLSELL;
StrategyParameter MASELL;
StrategyParameter [...]
[...] StrategyParameter paramPeriod;
public PZOStrategy()
{
paramPeriod = CreateParameter( "PZO Period" , 14, 2, 252, 2);
}
protected override void Execute()
{
int period = paramPeriod.ValueInt;
DataSeries R = new DataSeries( Bars , "R" );
DataSeries TV = EMA.Series( Close , period, EMACalculation.Modern );
DataSeries PZO = new DataSeries( Bars , "PZO" );
ADX adx = ADX.Series( Bars ,14 );
EMA ema = EMA.Series( Close , 60, EMACalculation.Modern );
for ( int bar =
[...] StrategyParameter paramPeriod;
public VZOStrategy()
{
paramPeriod = CreateParameter( "VZO Period" , 14, 2, 252, 2);
}
protected override void Execute()
{
int period = paramPeriod.ValueInt;
DataSeries R = new DataSeries( Bars , "R" );
DataSeries TV = EMA.Series( Volume , period, EMACalculation.Modern );
DataSeries VZO = new DataSeries( Bars , "VZO" );
ADX adx = ADX.Series( Bars ,14 );
EMA ema = EMA.Series( Close , 60, EMACalculation.Modern );
for ( int bar =
Syntax public RSquared(DataSeries source, int period, string description)
public static RSquared Series(DataSeries source, int period)
public static double Value( int bar, DataSeries source, int period)
Parameter Description
source
The source DataSeries
period
Indicator calculation period
Description RSquared is the Correlation Coefficient squared from Linear Regression. It is used to determine how much of [...]
[...] prepared Strategy script and allows to optimize percentages of different symbols as well as the holding period. Below is the example Strategy code: using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using WealthLab.PosSizers; namespace WealthLab.Strategies
{
public class RebalanceStrategy : WealthScript
{
/////////////////////////////////
// config
/////////////////////////////////
bool debugOut = true ;
string entry1symbol = "Selected Symbol" ;
string [...]
[...] 5% of equity sizing method. The Buy & Hold strategy, however, returned nearly 38% APR over the same period. Figure 1. Note that one of the crossovers did not result in creating a simulated trade. This is not an error and due to the results of a Portfolio Simulation in which insufficient equity existed at the time of the trading alert. The WealthScript code also creates the Heikin-Ashi chart style. Strategy Code using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using TASCIndicators; [...]
[...] timestamped July 03, choosing any starting date after June 30 would make the chart display the item as 0. Workaround : choose your data loading range accordingly (182124) Drag and drop doesn't function for non-symbol fundamental items Workaround: click "Push all indicators and fundamental items into the Strategy code" Point and Figure chart cannot be changed to Log %, freezes WLD 6.9.24 Workaround: downgrade to 6.9.23 ( create a support ticket - only if you're a customer with active maintenance period) Streaming stops in charts [...]
[...] therefore expects price to change over time. If you are long the Parabolic SAR will move the stop up every period, regardless of whether the price has moved. It moves down if you are short.
Interpretation The Parabolic SAR trading system uses the Parabolic level as a Stop and Reverse point. This stop is calculated for the next period. When the stop is hit, this signals to close the trade and take a new trade in the opposite direction. The system is typically always in the market. When price movement trades in a narrow trading range, the Parabolic [...]
[...] text The modified ATR indicator presented in the article is available in the TASCIndicator library 1.0.7.0 and up. Here we provide the WealthScript code to enter a discretionary position, long or short, on the open of a specified date given by the Strategy Parameters. Included is the ATRTrail class, which utilizes the modified ATR to calculate a trailing stop based on the most-recent close. You can use it with any of your Strategies. Once you create an ATRTrail object, just pass the bar number to the ATRTrail.Price method. As with last month’s [...]
[...] programmed the long-only Tr&nd stop strategy for Wealth-Lab 5 in C#. You can use the sliders to adjust the Period and atrFactor Strategy Parameters to eyeball an optimization, or using WLP 5.4 you can now run full Exhaustive and Monte Carlo optimizations. A portfolio simulation ($5000 size, $8 1-way commissions) on the Dow 30 symbols over the last 6 years yielded the 2-Parameter optimization curve in Figure 1. Figure 1. While the optimization didn’t inspire confidence in the strategy’s stability over a wide range of parameters, ATR Factors around 2 helped improve the overall [...]