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[...] 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 bar ,Close bar ) && price >= Math.Min(Open bar ,Close bar );
}
bool Upstep( int bar, int lookback ) {
bool result = false;
bool way1 = (Open bar > Close bar [...]
[...] obj.CreatePane(30,true,true);
obj.PlotSeries(p, adx, Color.Red, LineStyle.Solid, 2 );
for(int bar = obj.GetTradingLoopStartBar(1); bar bar bar > avgMAB bar )
obj.BuyAtMarket(bar+1,"Strong Trend"); if( adx bar > adxMult * adxLow bar && obj.CrossOver(bar, adx, crit) & c bar > avgMAB bar [...]
[...] data starts at 4/23/2008
int stBar = DateTimeToBar(new DateTime(2003, 4, 23), false);
for(int bar = 0; bar bar = yba stBar ;
// Based calculations from raw data and then synchronize
DataSeries ybaSMA = Synchronize( SMA.Series(yba, 40) );
DataSeries xauROC = Synchronize( ROC.Series(xau, 1) );
DataSeries crbROC = Synchronize( ROC.Series(crb, 1) );
DataSeries ejROC = Synchronize( ROC.Series(ej, 2) );
ej = Synchronize( ej );
yba = Synchronize( yba );
DataSeries sec1BOL = SecBol( [...]
Bars, Loops, and Bar + 1
Original article by Robert Sucher in the legacy Knowledge Base here .
Wealth-Lab Developer has features such as order slippage and variable commissions to bring trading simulation as close to reality as possible. Likewise, your task as a trading system designer is to express your system in C# code that validly recreates security orders as they would have been and will be executed in real life. Bar Definition
A bar is any interval of time that has an open, high, low, and closing [...]
[...] Execute()
{
var _pattern = paramPattern.ValueInt;
var _exitAfter = paramExitDays.ValueInt;
int atrPeriod = 20, maPeriod = 80;
double tick = Bars.SymbolInfo.Tick;
var atr = ATR.Series(Bars, atrPeriod);
var trendFilter = SMA.Series(Close, maPeriod);
for(int bar = GetTradingLoopStartBar(Math.Max(atrPeriod,maPeriod)); bar bar > High bar - 1 && Low bar bar - 1 && Close bar [...]
[...] is detected when the SRSI indicator fails to confirm a price extreme, that is, the highest high of 20 days for bearish divergence or the 20-day lowest low for bullish divergence. This technique improves divergence detection time, practically reducing delay to a minimum compared to finding retracements from recent peaks or troughs. System rules Once a bullish divergence is detected, enter long next bar at open if MFO is below its centerline Exit long next bar at open when MFO [...]
[...] to create a Pullback in an Uptrend entry. For instance, in an established uptrend, wait for a three bar pullback and
enter at stop $0.10 above prior bar high. However, the Rule Wizard doesn't seem to have "Buy at Stop" rule desired. Solution:
You can get pretty close by starting with these rules: BuyAtLimit (High)
- Moving Average is trending up (Moving Average group)
- Price decreases a consecutive number of bars (Price (or Volume) group) ..and add an exit (if you only want a screen, see Techniques > Creating a Screener in the WealthScript [...]
[...] Oscillating between 0 and 100, it becomes overbought after reaching 80 and oversold after dropping below 20. Signals can also be generated by looking for centerline crossovers and divergences. The latter trait is what our example trading system will zero in on. There are several approaches that help identify divergences between price and oscillator. The one we're going to use is straightforward, detecting a divergence when the SRSI indicator fails to confirm a price extreme, that is, the highest high of 20 days for short trades or the 20-day [...]
[...] CreateParameter("Highest high of", 130, 60, 300, 10);
paramExitDays = CreateParameter("Exit after", 20, 1, 50, 1);
paramDailyLength1 = CreateParameter("Daily Length 1",12,2,300,20);
paramDailyLength2 = CreateParameter("Daily Length 2",26,2,300,20);
paramWeeklyLength1 = CreateParameter("Weekly Length 1",60,2,300,20);
paramWeeklyLength2 = CreateParameter("Weekly Length 2",130,2,300,20);
}
protected override void Execute()
{
if( [...]
[...] changed from 12 to 51, and DataSeries initializations have been simplified. // WAS:
double Trend = ds bar - ds cycPeriod ;
// SHOULD BE (IS):
double Trend = ds bar - ds bar - cycPeriod ; /* Strategy Code revised 20090611 */
using System;
using System.Collections;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators; namespace WealthLab.Strategies
{
public class CoronaCharts : WealthScript
{
public const double twoPi = 2 * Math.PI;
public [...]
[...] 1);
MASNL = CreateParameter("Snl EMA Period", 15, 5, 25, 1);
MADXY = CreateParameter("DX MA Period", 50, 20, 100, 5);
chnlLength = CreateParameter("Channel Period", 4, 2, 20, 2);
} // ROC of LR Line divided by its period
private double LRLineROCdivPeriod(int bar, DataSeries ds, int period)
{
int n = bar - period + 1;
double y1 = LinearRegLine(ds, n, bar, bar);
double y2 = LinearRegLine(ds, n, bar, [...]
[...] ADX.Series( Bars,14 );
EMA ema = EMA.Series( Close, 60, EMACalculation.Modern );
for(int bar = period; bar bar = Math.Sign( Close bar - Close bar-1 ) * Volume bar ;
}
DataSeries VP = EMA.Series( R, period, EMACalculation.Modern );
for(int bar = period; bar bar != 0 )
VZO bar = 100 [...]
[...] ADX.Series( Bars,14 );
EMA ema = EMA.Series( Close, 60, EMACalculation.Modern );
for(int bar = period; bar bar = Math.Sign( Close bar - Close bar-1 ) * Close bar ;
}
DataSeries VP = EMA.Series( R, period, EMACalculation.Modern );
for(int bar = period; bar bar != 0 )
PZO bar = 100 * [...]
Syntax
public static int GetTime(this WealthScript obj, int bar)
public static int GetTime(this Bars bars, int bar) // For use when using a non-synchronized Bars object public int GetTime(int bar)
public int GetTime(Bars bars, int bar) // For use when using a non-synchronized Bars object
Parameter Description bar Bar number bars Bars object GetTime returns 24-hour time as an integer. Example: 4pm = 1600
Syntax [...]
[...] SMA.Series(Slow, 30); //V Slow MA: Blue int Tier1 = 0, Tier2 = 0, Tier3 = 0, Tier4 = 0; for (int bar = GetTradingLoopStartBar(Math.Max(period * 3, 30)); bar bar >= Med bar && Med bar >= Slow bar && Slow bar >= Vslow bar ) ? 10 : 0;
Tier2 = (Fast bar >= Med bar && Med bar >= [...]
[...] above the 2nd one and the previous value was less than or equal to the target value at the previous bar. Motivated traders can compare approaches by commenting and uncommenting these lines:
if( CrossUnder( bar, tpEma, haEma ) )
//if( tpEma bar bar )
...
if( CrossOver( bar, tpEma, haEma ) )
//if( tpEma bar > haEma bar )
To run the sample Strategy in Wealth-Lab, you'll need the TASCIndicators [...]
[...] for easy reference in users' Strategies. Here's the complete list of Strategy rules: Enter long next bar at open if following conditions are met:
Stock price greater than $1 50-day simple moving average of volume is greater than 100,000 Yesterday’s close was less than the day before Yesterday’s close was less than its open Today’s open is greater than yesterday’s close Today’s close is greater than yesterday’s open Today’s open is less than yesterday’s open As of yesterday’s close, price had been closing lower for three days Sell short next bar [...]
[...] determine and compare time of day
public class MyStrategy : WealthScript
{
public int GetTime(int bar)
{
return Date bar .Hour * 100 + Date bar .Minute;
}
protected override void Execute()
{
// Specifically, I use a strategy that buys stocks only in the time period between 9:55 am and 13:00. for(int bar = 1; bar = 0955 ) & ( GetTime(bar) Identify the Open price of the day when working with intraday data
Here's [...]
[...] strategy
public class Donor : WealthScript
{
protected override void Execute()
{
for(int bar = 21; bar bar bar-20 )
SellAtMarket( bar+1, LastPosition );
}
else
{
if ( Close bar > Close bar-20 )
if( BuyAtMarket( bar+1 ) != null )
LastPosition.Priority = Close bar [...]
[...] Synchronize( sto_m); sto_q = Synchronize( sto_q); sto_y = Synchronize( sto_y); //Determine the first valid bar
var start = Math.Max(sto_60.FirstValidValue,
Math.Max(sto_d.FirstValidValue,
Math.Max(sto_w.FirstValidValue,
Math.Max(sto_m.FirstValidValue,
Math.Max(sto_q.FirstValidValue, sto_y.FirstValidValue))))); ChartPane sPane = CreatePane( 20, false, true);
PlotSeries( sPane, sto_60, Color.Peru, ls, 1);
PlotSeries( sPane, sto_d, Color.Chartreuse, ls, 1);
PlotSeries( sPane, sto_w, Color.Gainsboro, ls, 1);
PlotSeries( [...]
[...] intermarket Bollinger Bands (BB) divergence method are superimposed on the chart as colored triangles. The 20-day BB divergence is plotted on the top and crude oil (light sweet) futures in the middle window. A participating indicator, Correlation , is part of the Community Indicators library, driven by the Wealth-Lab user community. To run this Wealth-Lab 6 strategy code below, install the indicator library (or update to the actual version using Extension Manager ) from our website wealth-lab.com, Extensions section . After updating the library to v2015.07 or later, the Correlation [...]
[...] ")");
DataSeries trends = new DataSeries(b, "TrendsStop(" + period [...]
[...] StrategyParameter slider3;
public MyStrategy()
{
slider1 = CreateParameter("Regression Period",50,2,300,20);
slider2 = CreateParameter("Div.Mom. Period",50,2,300,20);
slider3 = CreateParameter("ROC Period",3,2,300,20);
}
protected override void Execute()
{
var fxy = GetExternalSymbol("FXY",true);
var spy = GetExternalSymbol("SPY",true);
var rd = RegressionDivergence.Series(Bars,fxy,spy,slider1.ValueInt,slider2.ValueInt,slider3.ValueInt);
int STD = 25, OB = 90,//STOCHASIC
D1 = [...]
[...] the average MTR by 3 standard deviations of MTR or greater. An entry is triggered when: Buy next bar at market if today's close price has declined. Short next bar at market if today's close price has increased. A position is exited with a simple trailing channel exit: Exit long when today's low price has broke below the 3-day lowest price. Cover short when today's high price has broke above the 3-day highest price. This system is merely a proof-of-concept. Among possible enhancements to this barebone system, the following can be [...]
[...] GetExternalSymbol("SPY",true);
SMA spySma = SMA.Series(spy.Close,50);
SMA sma20 = SMA.Series(Close,20);
SMA sma50 = SMA.Series(Close,50);
SMA sma200 = SMA.Series(Close,200);
SMA smaHi = SMA.Series(High,8);
SMA smaLo = SMA.Series(Low,8);
//PlotSeries(PricePane,sma20,Color.Orange,WealthLab.LineStyle.Solid,1);
PlotSeries(PricePane,sma50,Color.Red,WealthLab.LineStyle.Solid,1);
//PlotSeries(PricePane,sma200,Color.Blue,WealthLab.LineStyle.Solid,1);
PlotSeriesFillBand(PricePane, smaHi, smaLo, Color.Green, Color.Transparent, LineStyle.Solid, 1); [...]
[...] StrategyParameter _fraction;
public EmpiricalModeDecomp()
{
_period = CreateParameter("Period", 20, 5, 50, 1);
_delta = CreateParameter("Delta", 0.5, 0.05, 1, 0.05);
_fraction = CreateParameter("Fraction", 0.25, 0.1, 1, 0.05);
} public DataSeries BandPassSeries(DataSeries ds, int period, double delta)
{
DataSeries res = new DataSeries(ds, "BandPassSeries(" + ds.Description + "," + period + "," + delta + ")");
double beta = Math.Cos(2 * Math.PI / period);
double gamma = 1/ Math.Cos(4 * Math.PI * delta / period);
double alpha [...]
[...] channel. Here are the rules: Buy at stop next day when price breaks through the highest price of 20 days and thereÆs an uptrend detected Short at stop next day when price breaks below the lowest price of 10 days and thereÆs a downtrend detected (if short trades are allowed) Buy at limit next day at 5% below todays low if thereÆs neither uptrend nor downtrend (buy dips) Exit at a -10% stop loss Exit long next day when a downtrend kicks in Exit long at stop next day at the lowest price of 10 days Cover at stop next day at the highest price of 10 days Figure [...]
Syntax public static Position BuyAtStopLimit(this WealthScript ws, int bar, double price)
public static Position BuyAtStopLimit(this WealthScript ws, int bar, double price, string signalName)
public static Position ShortAtStopLimit(this WealthScript ws, int bar, double price)
public static Position ShortAtStopLimit(this WealthScript ws, int bar, double price, string signalName)
public static bool SellAtStopLimit(this WealthScript ws, int bar, Position [...]
[...] Daily
HideVolume();
SetScaleDaily();
Bars dailyBars = Bars;
DataSeries CompBar = new DataSeries(Bars, "Compressed Bar Numbers");
for (int bar = 0; bar bar = bar;
RestoreScale();
dailyBars = Synchronize(dailyBars);
DataSeries GetDailyBar = Synchronize(CompBar); // Initialize an instance of the CamarillaPoint class
Camarilla c = new Camarilla();
double tick = Bars.SymbolInfo.Tick;
bool enterTrades = true;
bool canTrade = true;
Entry e = paramEntryType.ValueInt [...]
[...] that you might find useful in other pattern-recognition scripts. As can be seen in Figure 1, the three-bar pattern occurs more frequently that you otherwise might expect in the CL, SI, and GC (shown) electronic sessions. Figure 1. The light gray and blue boxes highlight the short and long setups, respectively.
While testing the code, we noticed that short trade triggers (the last bar in the pattern) whose Close was below the Low of the previous bar had a better success rate than if the Close were simply lower [...]