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[...] period
period3
Slow (signal) line period
Description Linda Bradford Raschke's 3/10 Oscillator is essentially the well-known Moving Average Convergence Divergence indicator. The only substantial difference is in the type of moving average used: the 3/10 Oscillator is constructed with simple moving averages while MACD uses exponential MAs. According to the author, the 3/10 Oscillator calculates the difference between a fast 3 bar simple moving average and a slower [...]
[...] following example enters short position if there is a shooting star candle pattern and places the stop at 3 ticks above the top of the shooting star. In the following example we want to split a position to create 2 profit taking levels: 50% of the position = selling level - (2 times (stop - open position)) (to get a Risk reward of 2) 50% of the position = selling level - (4 times (stop - open position)) (to get a Risk reward of 4) The following call accomplishes this: Position s = SplitPosition ( LastPosition , 49.99 ); SplitPosition returns a new Position object [...]
[...] either the 14-period Stochastic is at or above than 80 or the 14-period RSI is at or above 70 Exit at a 3% stop loss (if enabled) Exit at a 5% take profit (if enabled) Cover short position if any condition is triggered: Exit at market on two higher highs Exit at market if either the 14-period Stochastic is at or below 20 or the 14-period RSI is at or below 30 Exit at a 3% stop loss (if enabled) Exit at a 5% take profit (if enabled)
Figure 1 . Application of the Strategy to AIG (American International Group). Get the companion Strategy's [...]
[...] ,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 = 3, //ROC DAYS
D2 = 25, //MA LR DAYS
DIVDAYS = 50, // REGRESSION DAYS
IMDAYS = 50; // DIVERGENCE MOMENTUM [...]
SMI — 1.6%
[...] smooth the value of D twice with an exponential moving average. We use a three-period EMA: DS1 = EMA(3)(D)
DS2 = EMA(3)(DS1) Next, smooth the difference between the maximum high and minimum low twice, using the same EMA as before, and divide the second smoothed result by 2: DHL = EMA(3)(HighMAX - LowMIN)
DHL2 = EMA(3)(DHL) / 2 Finally, calculate the SMI: SMITODAY = 100 * (DS2 / DHL2) Interpretation
The output of SMI varies between -100 and +100. When SMI rises above [...]
[...] bearish and two bullish key reversal trades created on the next open following the pattern and exiting 3 days after. Through another parameter slider you can control exits after N bars in a trade. To avoid copy/paste, hitting Ctrl-O and choosing “Download…” in Wealth-Lab gets you the downloadable Strategy under the “Chart patterns” folder.
WealthScript Code (C#)
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components; namespace WealthLab.Strategies
{
[...]
Traders' Tip text
The IRSTS 1-2-3 rule, presented by author Sylvain Vervoort in June 2013 issue, originates from classic swing trading philosophy. With our simplified rendition of Vervoort’s quite complex system in our C# code, based on fixed percentage swings, we laid out a framework for detecting the 1-2-3 waves. The system marks each Wave on the chart, connecting them with colored lines, and enters on pullbacks in the direction of the primary trend (Wave 1). Its exits are simple profit target and stop loss based on optimizable percentages. [...]
[...] Description ds A DataSeries to apply ConnorsRSI to periodRSI Period of the fast RSI (default: 3) periodStreak Period for the RSI of streaks (default: 2) periodPR PercentRank period (default: 100)
Description
The ConnorsRSI indicator was created by Larry Connors of Connors Research. It combines three equally weighted constituents, representing price momentum, duration of up/down trend, and relative magnitude of price change: Price momentum is measured by fast 3-period RSI Duration of up/down trend is the sensitive 2-period [...]
[...] 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, Lead60, HL, LL, widthSwg;
ArrayList fifoList = new ArrayList(51);
ArrayList fifoPsn [...]
[...] 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 the wiggle room they needed for increased profitability, particularly [...]
[...] bit of artistic license. Concentrating on the swing indicator during upward trends determined by a 3-pole 50-Period Gaussian (more responsive than an EMA), we used the 350 Alerts as a setup for both the entries and exits. An entry is triggered when price reaches the highest high of the previous 2 bars after an SMARSI(3) below 20, whereas the exit occurs at the close of the bar on which the low reaches the lowest low of the previous 2 bars. This trigger strategy often entered and exited a prospective trade 1 bar earlier than waiting for [...]
[...] 1 point is:
10 / 0.0001 = 100000 ($100,000)
This means that if your currency moves form 3.000 to 4.000, you will make a profit of $100,000.00 on a single contract. Decimals Forex quotes move in very small increments, defined as a Pip (or Tick). To be able to see all the moves the prices need to be displayed with a large number of decimals. The required number is directly determined by the Pip size. If the pip is 0.0001, you should enter 4 for "Decimals" in the Symbol Info Manager. If Pip is 0.001 enter 3 for "Decimals" and [...]
[...] right framework version. To be recognized by Wealth-Lab 6.4, .NET 4.0 can be selected. For version 6.3 and earlier, libraries must be targeting .NET 2.0 or 3.5 (by default, Visual Studio 2010 targets .NET 4.0 which is incompatible with WL 6.3 - this can be changed in your project's properties, and it should be recompiled) the target CPU is set to Any (and not to e.g. 32 bit) restarted Wealth-Lab after placing the DLL(s), if it was running.
I compiled TASCIndicators from source files but having trouble installing [...]
[...] deviation of the MTR. The setup is in place when the current MTR reading exceeds 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 [...]
[...] breakeven exit (implemented as a limit order) is put into place. For example, InstallReverseBreakevenStop( 3.3 ) will cause the breakeven stop to be placed as soon as the trade closes with a loss of 3.3% or more. If prices rebound back to the entry level, the positions will be closed at the breakeven level. If prices open above the entry level, the position is closed at market open. Trailing Stop Use the InstallTrailingStop function to install an automated trailing stop into your system. [...]
[...] double target = 1e6;
double stop = 0d;
PlotStops ();
HideVolume ();
for ( int bar = 3; bar < Bars .Count; bar++)
{
if ( IsLastPositionActive )
{
p = LastPosition ;
if (! ExitAtStop (bar + 1, p, stop, "Stop Loss" ))
ExitAtLimit (bar + 1, p, target, "Profit Target" );
}
else
{
bool setup1L = Close [bar - 3] < Close [bar - 2];
bool setup1S = Close [bar - 3] > Close [bar - 2];
bool setup2 = High [bar - 2] > High [...]
[...] different Scorecard, click "Begin optimization" and "Cancel optimization", then re-open "Settings". 3. Choose a selection method
Roulette wheel : Imagine a roulette wheel where every sector is a chromosome, and the better its fitness, the larger is the sector. Mating pool is formed among the sectors on which the ball falls after spinning the wheel, until there are enough chromosomes in the population. Tournament method repeatedly picks a pair of chromosomes on a random basis and selects the one with the best fitness from the pair. 4. Configuring reproduction
Crossover [...]
[...] ASCII datasets. If they share the same format, you don't have to specify its details for DataSet #2, #3 and so on. If at least one ASCII DataSet exists in WL6, the option becomes highlighted for you to replicate saved settings (and save time).
How do I import an unusual ASCII data file with multiple separators?
When your data looks something like this: "AUD/JPY","87.880000","87.290000","2006-07-17 16:59:11"
44.3400001525879,44.3699989318848,44.3400001525879,44.3600006103516,85675,"3/27/2008 12:08:00 PM" It means there's more than one [...]
[...] to do the trick. This can also be caused by installing an additional language pack on Windows Pro . 3. If you've changed the time zone in Windows recently, try reverting the change. 4. New: Microsoft input keyboard is known to cause this error with multiple languages added. If the default language is set to English, it changes to another user-specified language on WL startup. Solution: remove all other languages.
Problem: Lately, Strategy Monitor's performance has slowed down considerably. Strategy execution time gradually increases. What took a few seconds to [...]
[...] CreateParameter( "Flag Height" , 2.5, 0.5, 5.0, 0.5);
paramFlagTimeout = CreateParameter( "Flag Timeout" , 15, 3, 30, 1);
paramMinFlagDuration = CreateParameter( "Min Flag Duration" , 3, 3, 30, 1); paramInactivityStop = CreateParameter( "Inactivity Stop" , 70, 10, 100, 10);
paramTimeout = CreateParameter( "Timeout" , 100, 10, 100, 10);
paramProfitTarget = CreateParameter( "Profit Target ATR" , 1.2, 0.2, 3.0, 0.2);
}
protected override void Execute()
{
int PoleTimeout [...]
[...] (bbOil-bbCAD)/bbCAD*100; divergence.Description = "Divergence" ;
var hhvDiv = Highest.Series(divergence,3);
var llvDiv = Lowest.Series(divergence,3);
var llv = Lowest.Series( Low ,15);
var hhv = Highest.Series( High ,15);
var roc = ROC.Series( Close ,2);
var mov = SMA.Series(oil,40);
var correlation20 = Correlation.Series( Close ,oil,20);
var correlation60 = Correlation.Series( Close ,oil,60);
var rocOil = ROC.Series(oil,3);
var llvOil = Lowest.Series(oil,4);
var macd = MACD.Series( [...]
[...] 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 [...]
[...] rules of the system: Entry:
Buy at market when ESD Band Width percentage stays below 0.2 (20%) for 3 days in a row Open no more than 3 positions Exit at market when ESD Band Width percentage indicator >= 0.8 (80%)
Figure 1 . A Wealth-Lab 6 chart illustrating the application of the system's rules on a Daily chart of Powershares QQQ Trust ETF (QQQ).'' To execute the example trading system, Wealth-Lab users should install (or update) the latest version of TASCIndicators library from the Extensions section of our website if they haven't [...]
[...] ActivePositions [p];
// Request Chandelier stop value using Period: 14, Coefficient: 3
chandelierStop = pos.ChandelierStop( Bars , bar, 14, 3 ); if ( pos.PositionType == PositionType.Long )
SellAtTrailingStop ( bar + 1, pos, chandelierStop, "Chandelier LX" );
else
if ( pos.PositionType == PositionType.Short )
CoverAtTrailingStop ( bar + 1, pos, chandelierStop, "Chandelier SX" );
}
}
else
{
if ( DIPlus.Series( Bars , 10 )[bar] > 1.5 * DIMinus.Series( [...]
[...] show up when Combination Strategies are opened in WL 6.2+. Performance Visualizer API change in 6.3
The SystemPerformance. Bars method now returns a List<Bars> instead of an IList<Bars> . Consequently, all performance visualizers developed against previous Wealth-Lab versions must be recompiled against the latest WealthLab.dll (6.3) if they use SystemPerformance.Bars [...]
[...] );
double slope = (st2 - st1) / (b2 - b1);
string key = String.Format( "{0},{1},{2},{3}" , Bars .Symbol, Bars .Scale, Bars .BarInterval, TLName);
string s = key + String.Format( ",{0},{1},{2}" , Date [b2]. ToString ( "yyyyMMdd" ), st2, slope);
string path = Path.Combine(Application.UserAppDataPath, @"Data\MyTrendLineAlerts.txt" );
// Always remove a previous entry and refresh if required
RemoveKeyRecordFromFile(path, key);
if (st2 ! = 0) // edit: I removed && slope != 0, since it's possible to draw a perfectly [...]
[...] The Chaikin Oscillator is created by subtracting a 10-period EMA of Accumulation/Distribution from a 3-period EMA of Accumulation/Distribution. CADO = EMA( AccumDist, 3 ) - EMA( AccumDist, 10 )
where,
CADO = Chaikin Oscillator
EMA = Exponential Moving Average (using EMACalculation.Modern)
AccumDist = Accumulation/Distribution indicator
Example using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators; namespace WealthLab.Strategies
{
public class MyStrategy [...]
[...] WealthScript
{
protected override void Execute()
{
var hilo = GannHiLoActivator.Series( Bars , 3, false );
var dmi = DIPlus.Series( Bars , 10) - DIMinus.Series( Bars , 10);
var smi = SMI.Series( Bars , 8, 3, 3); PlotSeries ( PricePane , hilo, Color.DarkGreen, LineStyle.Solid, [...]
[...] vs. ~17%, after commissions). More so, with significantly lower risk (maximum drawdown -13% vs. -59.3%) and market exposure (39.2% vs. 100%). Figure 2 highlights system’s weakness: it can lose to Buy&Hold in strong bull markets. On a closing note, make sure to load enough historical data to run this backtest. Indicators like EMA (used as the broad market direction condition) require a fair amount of seed data (here: three times the 100-bar EMA period) to stabilize their calculation before they can be used reliably in a trading system.
Code using System;
[...]
[...] DrKoch, translation to WL5 by Eugene Price movements (cycles) with this period are attenuated by 50 % (-3 dB) Butterworth2 implements a two pole butterworth filter.
Butterworth3 implements a three pole butterworth filter. From Ehlers Book: "The first objective of using smoothers is to eliminate or reduce the undesired high-frequency components in th eprice data. Therefore these smoothers are called low-pass filters, and they all work by some form of averaging. Butterworth low-pass filtters con do this job, but nothing comes for free. A higher degree of filtering is necessarily [...]