Elegant way to put in a trade any number of days after a signal.

gbullr

#1

4/18/2010 10:48 PM

Is there a way to buy at Limit any number of days after a signal has occurred. Lets say you want to buy a stock after it closes below a 30 day 2 stddev bolinger but only if closes below the crossunder days close less 7 pct at any time following the signal and for five days.

?

Something like

Signal
BuyAtLimit (bar+1, Close[bar]*.95,"Buy");
BuyAtLimit (bar+2, Close[bar]*.95,"Buy");
BuyAtLimit (bar+3, Close[bar]*.95,"Buy");
etc etc

Thanks.

And only execute the buy once not multiple buys.

Thanks.

Eugene

#2

4/19/2010 2:52 AM

QUOTE:
BuyAtLimit (bar+1, Close[bar]*.95,"Buy");
BuyAtLimit (bar+2, Close[bar]*.95,"Buy");
BuyAtLimit (bar+3, Close[bar]*.95,"Buy");
...
And only execute the buy once not multiple buys.

Does it seem like a perfect pair of mutually exclusive statements?

Eugene

#3

4/19/2010 3:29 AM

CODE:
Please log in to see this code.

Size:

Color:

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class gbullr20100419_2 : WealthScript
	{
		private StrategyParameter paramThreshold;
		private StrategyParameter paramDecline;
		
		public gbullr20100419_2()
		{
			paramThreshold = CreateParameter("Closes below", 5, 1, 10, 1);
			paramDecline = CreateParameter("Decline", 0.93, 0.9, 0.99, 0.01);
		}
		
		protected override void Execute()
		{
			/*
			Lets say you want to buy a stock after it closes below a 30 day 2 stddev bolinger 
			but only if closes below the crossunder days close less 7 pct 
			at any time following the signal and for five days. 
			*/
			
			int threshold = paramThreshold.ValueInt;
			double decline = paramDecline.Value;
			
			int period = 30; double sd  = 2.0;
			BBandLower bbl = BBandLower.Series( Close,period,sd );
			bool setup = false; int setupBar = -1;
			int cnt = 0;
			
			for(int bar = bbl.FirstValidValue; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if ( bar+1 - LastPosition.EntryBar >= 20 )
						if( SellAtMarket( bar+1, LastPosition ) ){							
							//setup = false; setupBar = -1; cnt = 0; 
						}
				}
				else
				{
					if( !setup )
						if( CrossUnder( bar, Close, bbl ) ) {
							setup = true; setupBar = bar;
							SetBackgroundColor( bar, Color.FromArgb( 60, Color.Red ) );
						}
							
					if( setup && bar > setupBar ) {
						if( Close[bar] < (Close[setupBar] * decline) ) {
							cnt++;
							AnnotateBar( cnt.ToString(), bar, true, Color.Blue );
						}
						if( cnt >= threshold )
							if( BuyAtLimit( bar+1, Close[setupBar] * decline ) != null ) {
								setup = false; setupBar = -1; cnt = 0; 
							}
					}
				}
			}
			
			PlotSeries( PricePane, bbl, Color.Blue, LineStyle.Solid, 1 );
		}
	}
}[/CODE]

gbullr

#4

5/12/2010 12:19 AM

Eugene or Cone Help again... Thank you in advance

Cant get this to short if Close crosses over variable perlow * 1.10

CODE:
Please log in to see this code.

Size:

Color:

Eugene or Cone Help again... Thank you in advance

Cant get this to short if Close crosses over variable perlow * 1.10
[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
	{
	
		public void VerticalText(int bar, string str,bool abovePrices,Color color)
		{
			if (abovePrices)
				for (int n = str.Length - 1; n>=0;n--)
					AnnotateBar(str.Substring(n,1),bar, abovePrices,color);
			else
				for (int n = 0; n < str.Length; n++)
					AnnotateBar(str.Substring(n,1),bar, abovePrices,color);
		}
	
		
		protected override void Execute()
		{
			bool setup = false;
			bool setup2 = false;
			
			double stdevup = 2.00;
			double stdevdn = 1.75;
			int bolper = 30;
			int setupbar = 0;
			int setup2bar = 0;
			int cnt = 0;
		//	Bars external = GetExternalSymbol("^VIX", true);
		//	Bars external2 = GetExternalSymbol("^GSPC", true);

//	DataSeries BBUp = BBandUpper.Series(external.Close, bolper, stdevup );
		//	DataSeries BBDn = BBandLower.Series(external.Close, bolper, stdevdn );
			
			
			ChartPane cp = CreatePane(10, true, true);
		//	PlotSeries(cp, BBUp, Color.Blue, LineStyle.Dashed, 1);
		//	PlotSeries(cp, BBDn, Color.Red, LineStyle.Dashed, 1);
		//	PlotSeries(cp, external.Close, Color.Red, LineStyle.Solid, 1);
			
			for(int bar = 200; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
						Position p = LastPosition;
					//code your exit rules here
				//	if (CrossOver(bar,external.Close,BBUp))
				//		CoverAtMarket(bar+1,LastPosition,"VolBO");
					
					if (p.EntrySignal.Contains("Group2"))
					{
						double Stop = p.EntryPrice * (1 + 3 / 100.0d);
						CoverAtStop(bar+1 , p, Stop, "Group2");
						setup = false;
						setup2 = false;
						cnt = 0;
					}
					
					if (p.EntrySignal.Contains("Group2"))
					{
						double Stop = p.EntryPrice * (1 - 10 / 100.0d);
						CoverAtLimit(bar+1 , p, Stop, "Group2");
						setup = false;
						setup2 = false;
						cnt = 0;
					}
				}
				else
				{
					//code your entry rules here
					if (Close[bar]>=Highest.Value(bar,Close,200))
					{
						setup = true;
						cnt= 0;
						setupbar = bar;
						VerticalText (bar, "Setup",true,Color.Red);
						//	AnnotateBar( cnt.ToString(), bar, true, Color.Blue );
					}
					
					if (setup)
					{
						if(cnt < 100 )
						{
							cnt++;
							AnnotateBar( cnt.ToString(), bar, true, Color.Blue );
						
							if( CrossUnder(bar,Close,Close[setupbar]*0.90))
							{
								setup2 = true;
								setup2bar = bar;
								VerticalText (bar, "PerLow",true,Color.Black);
								//}   
								if(setup2)
								{
									if(CrossOver(bar,Close,Close[setup2bar]))
										ShortAtMarket(bar+1,"Group2");
								}
							}//		
						}
					}
				}
			}
		}
	}
}
//&& Close[bar] > 10 [/CODE]

Eugene

#5

5/12/2010 1:27 AM

You forgot to check for the "setup" to be false before going any further here:

CODE:
Please log in to see this code.

Instead, this code will work on a single bar only - not as intended.

I'd suggest reviewing my code above again and visiting this really helpful link:

Tutorial: Setups, Triggers, Delays, and Timeouts

gbullr

#6

5/16/2010 11:28 AM

The problem w/ this is that it does not "reset" if there is a new 60 day close after the setup.

Is there a way to do that?

CODE:
Please log in to see this code.

Size:

Color:

The problem w/ this is that it does not "reset" if there is a new 60 day close after the setup.

Is there a way to do that?
[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
	{
	
		public void VerticalText(int bar, string str,bool abovePrices,Color color)
		{
			if (abovePrices)
				for (int n = str.Length - 1; n>=0;n--)
					AnnotateBar(str.Substring(n,1),bar, abovePrices,color);
			else
				for (int n = 0; n < str.Length; n++)
					AnnotateBar(str.Substring(n,1),bar, abovePrices,color);
		}
	
		
		protected override void Execute()
		{
			bool setup = false;
			bool setup2 = false;
			bool setup3 = false;
			
			//double stdevup = 2.00;
			//double stdevdn = 1.75;
			//int bolper = 30;
			int setupbar = 0;
			int setup2bar = 0;
			int setup3bar = 0;
			int cnt = 0;
		//	Bars external = GetExternalSymbol("^VIX", true);
		//	Bars external2 = GetExternalSymbol("^GSPC", true);

//	DataSeries BBUp = BBandUpper.Series(external.Close, bolper, stdevup );
		//	DataSeries BBDn = BBandLower.Series(external.Close, bolper, stdevdn );
			
			
			ChartPane cp = CreatePane(10, true, true);
		//	PlotSeries(cp, BBUp, Color.Blue, LineStyle.Dashed, 1);
		//	PlotSeries(cp, BBDn, Color.Red, LineStyle.Dashed, 1);
		//	PlotSeries(cp, external.Close, Color.Red, LineStyle.Solid, 1);
			
			for(int bar = 200; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
						Position p = LastPosition;
					//code your exit rules here
				//	if (CrossOver(bar,external.Close,BBUp))
				//		CoverAtMarket(bar+1,LastPosition,"VolBO");
					
					if (p.EntrySignal.Contains("Group2"))
					{
						double Stop = p.EntryPrice * (1 + 10 / 100.0d);
						CoverAtStop(bar+1 , p, Stop, "Group2");
						
					}
					
					if (p.EntrySignal.Contains("Group2"))
					{
						double Stop = p.EntryPrice * (1 - 20 / 100.0d);
						CoverAtLimit(bar+1 , p, Stop, "Group2");
						
					}
				}
				else
				{
					//code your entry rules here
					if(!setup)
						if(Close[bar]==Highest.Value(bar,Close,60) 
							&& Close[bar] > Close[bar-1] * 1.05)
						//	&& Close[bar] >= Close[bar-1]+1*ATR.Series(Bars,10)[bar-1])
						{
							VerticalText (bar, "Setup",true,Color.Red);
							setup = true;
							setupbar = bar;
							cnt= 0;
						}
					
					if( setup ) 
					{
						cnt ++;
						AnnotateBar( cnt.ToString(), bar, true, Color.Blue );
						
							if(!setup2)
							if(CrossUnder(bar,Close,Close[setupbar]*0.93))
							{
								VerticalText (bar, "Perlow",true,Color.Black);
								setup2 = true;
								setup2bar = bar;
							}
						
											
						if(setup2)
							if(!setup3)
							{
								if(CrossOver(bar,Close,Close[setup2bar]*1.1)
									&& Close[bar] >= Close[bar-1]+0.5*ATR.Series(Bars,10)[bar-1]
									&&Close[bar]>10)
								{
									VerticalText (bar, "ShortSetup",true,Color.Black);
									setup3 = true;
									setup3bar = bar;
								}										
							}
								if(setup3 && Close[bar] < Close[setup3bar] * 0.98)
								{
									ShortAtMarket(bar+1,"Group2");
									setup = false;
									setup2 = false;
									setup3= false;
								}
					
							
					
					
						if (cnt == 20)
						{
							setup = false;
							setup2 = false;
							setup3= false;
						}
					}
				}
			}
		}
	}
}
[/CODE]

Eugene

#7

5/16/2010 11:43 AM

Yes there is - when you verified that "setup" is "true", set it to "false" when there is a new 60 day close.

gbullr

#8

5/17/2010 2:51 PM

On an unrelated topic.

WL is freezing when I try to get external bars from yahoo.

So it executes the strategy but takes forever to compile results.

Suggestions? Thoughts.

I have reinstalled program and changed the data set so that should not be a problem.

Thanks.

Eugene

#9

5/17/2010 2:54 PM

Create a Yahoo! DataSet, update it, disable on demand data updates.

gbullr

#10

5/17/2010 3:17 PM

Regarding your prior suggestion of set it to false... I have no idea what you are talking about... Sorry between the 15 sets of brackets the !setups the setups and everything else, the whole thing makes no sense.

if the thing makes a 52 week high it should be a setup not while its !setup.

Eugene

#11

5/17/2010 3:31 PM

There will be nothing complicated about it, if you study the code pattern itself:

Tutorial: Setups, Triggers, Delays, and Timeouts

"Setup" is "true" here:

CODE:
Please log in to see this code.

Here, you need to check for some condition like "new 60 day close" (btw I have no idea what's a "new 60 day close"), and if it's true, invalidate the "setup" (the code contains lots of examples.)

gbullr

#12

5/17/2010 3:35 PM

Thanks on the yahoo data.

gbullr

#13

5/18/2010 4:14 PM

Get the following error message on Dow 30 which I have not received before.
Error message for each symbol in dow 30.
Error processing symbol CAT Index was out of range. Must be non-negative and less than the size of the collection.
Parameter name: index

CODE:
Please log in to see this code.

Size:

Color:

Get the following error message on Dow 30 which I have not received before. 
Error message for each symbol in dow 30. 
Error processing symbol CAT	Index was out of range. Must be non-negative and less than the size of the collection.
Parameter name: index

[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
	{

protected override void Execute()
		{
			int SDIndx = 10, LDIndx = 50, SDStok = 40, SMALookBak = 5;
			
			Bars external = GetExternalSymbol("^GSPC", true);
			DataSeries exshortsma = SMA.Series(external.Close, SDIndx);
			DataSeries exlongsma = SMA.Series (external.Close, LDIndx);
			DataSeries ShortSMA = SMA.Series (Close , SDStok);
			//DataSeries MktRoc = ROC.Series(external.Close, SDStok);
			
			ChartPane pane1 = CreatePane(25,true,true);
			PlotSeries (pane1, exshortsma,Color.Red,LineStyle.Dashed,2);
			PlotSeries (pane1, exlongsma,Color.Blue,LineStyle.Dashed,2);
			PlotSeries (PricePane, ShortSMA,Color.Orange,LineStyle.Dashed,2);
			
			//PlotSymbol(pane1, GetExternalSymbol(".SPX", true), Color.Black, Color.Black);

for(int bar = 212; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					
					if (CrossOver(bar,exshortsma ,exlongsma))
						//||CrossOver(bar,Close,ShortSMA *1.3))
						//exshortsma [bar] > exlongsma [bar])
					{
						CoverAtMarket(bar + 1,LastPosition, "");
					}
				
					//double Stop = p.EntryPrice * (1 + 15 / 100.0d);
					//CoverAtStop(bar + 1, p, Stop, "Group2");
						
				
				}
				else
				{
								
					if (   exshortsma[bar] < exlongsma[bar]
						&& CrossUnder(bar,Close,ShortSMA)
						&& exlongsma [bar] < exlongsma [bar - SMALookBak]//The market long sma has to be declining
						&& Close [bar] > 10)
					{
						ShortAtMarket(bar + 1,"Cross Under");
					}

}
			}
		}
	}
}[/CODE]