Peaks and Troughs of Stochastic

07nioe

#1

9/5/2014 8:43 AM

Hi,

I use a simple stochastic trading strategic which has room for improvement. One idea is to use a filter for the stochastic.

Go long, if the the peaks of the stochastic becoming higher
Go short, if the he peaks of the stochastic becoming lower

On a chart you can see it quite clear. But I don't know how to code this.

Does anyone has an idea? Is a sma of the stochastics the right way? Or do I have to take another indikator which bases on the stochastic values?

Anyway, here is the code which needs improvement:

CODE:
Please log in to see this code.

Thank you very much!

Best
Niels

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Hi,

I use a simple stochastic trading strategic which has room for improvement. One idea is to use a filter for the stochastic.

Go long, if the the peaks of the stochastic becoming higher
Go short, if the he peaks of the stochastic becoming lower

On a chart you can see it quite clear. But I don't know how to code this.

Does anyone has an idea? Is a sma of the stochastics the right way? Or do I have to take another indikator which bases on the stochastic values?

Anyway, here is the code which needs improvement:

[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
	{
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		private StrategyParameter slider4;
		private StrategyParameter slider5;
		private StrategyParameter slider6;
		private StrategyParameter slider7;
		private StrategyParameter slider8;
		private StrategyParameter slider9;
		private StrategyParameter slider10;
		public MyStrategy()
		{
			slider1 = CreateParameter("LBP-NBars-LG",1,1,7,2);
			slider2 = CreateParameter("%Lower-LG",1.0,0.5,4.0,0.5);
			slider3 = CreateParameter("LBP-StochK-LG",10,1,9,2);
			slider4 = CreateParameter("OverS-LV-StochK",20,15,30,5);
			slider5 = CreateParameter("TBX-LG",5,5,5,-1);
			slider6 = CreateParameter("LBP-NBars-ST",1,1,7,2);
			slider7 = CreateParameter("%Higher-ST",1.0,0.5,4.0,0.5);
			slider8 = CreateParameter("LBP-StochK-ST",1,1,7,1);
			slider9 = CreateParameter("OverB-LV-StochK",75,75,90,5);
			slider10 = CreateParameter("TBX-ST",5,5,5,-1);
		}

protected override void Execute()
		{
			DataSeries dsPercent = (Close >> slider1.ValueInt) * (1 - slider2.Value/100d);
			DataSeries stochk = StochK.Series(Bars, slider3.ValueInt);
			DataSeries dsPercent_1 = (Close >> slider6.ValueInt) * (1 + slider7.Value/100d);
			DataSeries stochk_2 = StochK.Series(Bars, slider8.ValueInt);

PlotSeries(PricePane, dsPercent, Color.Fuchsia, LineStyle.Solid, 1);
			ChartPane paneStoch = CreatePane(75,true,true);
			PlotSeries(paneStoch, stochk, Color.Purple, LineStyle.Solid, 2);
			DrawHorzLine(paneStoch, slider4.Value, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, dsPercent_1, Color.Blue, LineStyle.Solid, 1);
			PlotSeries(paneStoch, stochk_2, Color.Purple, LineStyle.Solid, 2);
			DrawHorzLine(paneStoch, slider9.Value, Color.Red, LineStyle.Solid, 1);

for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group2|"))
					{
						      if (LastActivePosition != null && LastActivePosition.Active)
						      if (bar - LastActivePosition.EntryBar >= slider10.ValueInt)
						{
							CoverAtClose(bar, p, "Group2");
						}
					}
					if (p.EntrySignal.Contains("Group1|"))
					{
						      if (LastActivePosition != null && LastActivePosition.Active)
						      if (bar - LastActivePosition.EntryBar >= slider5.ValueInt)
						{
							SellAtClose(bar, p, "Group1");
						}
					}

}
				else
				{
					if (Close[bar] > dsPercent_1[bar])
					{
						if (CrossUnder(bar, stochk_2, slider9.Value))
						{
							ShortAtMarket(bar + 1, "Group2|");
						}
					}
					if (Close[bar] < dsPercent[bar])
					{
						if (CrossOver(bar, stochk, slider4.Value))
						{
							BuyAtMarket(bar + 1, "Group1|");
						}
					}

}
			}
		}
	}
}
[/code]

Thank you very much!

Best
Niels

Eugene

#2

9/5/2014 12:40 PM

QUOTE:
On a chart you can see it quite clear. But I don't know how to code this.

Before you or anyone else can program it, your idea needs to be expressed as a clear set of rules ready to be coded. Could you be more precise about what "the peaks of the stochastic" are? How do you define them from a technical analysis standpoint?

For example, there are numerous examples (as downloadable strategies and in the Wiki) using Peak.Series to define divergences and various zigzag techniques.

07nioe

#3

9/5/2014 4:36 PM

Hi Eugene,

I'll try to clearly define the rules:

1. System goes Long, if the StochasticK is in the oversold area ( for example <20) AND stochasticK HIGHER than the last low(peak) of the stochasticK value (for example: now the value 14, last time it was 12)

2. System goes Short, if the StochasticK is in the overbought area (for example >75) AND stochasticK is LOWER than the last high(peak) of the stochasticK value. (for example: now the value 80, last time it was 82)

3. The reversal level is 20% or 30 as absolute value.

I hope the rule is more precise now. Otherwise I 'll try to specify further.

Thank you very much

Best Wishes
Niels

Eugene

#4

9/6/2014 2:31 AM

Niels,

Here's how your rules could be implemented, for example, using the ZigZag Class:

CODE:
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Niels,

Here's how your rules could be implemented, for example, using the [link=http://www2.wealth-lab.com/WL5WIKI/ZigZag.ashx]ZigZag Class[/link]:

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	public class StochK_Divergence_for_07nioe: WealthScript
	{
		private StrategyParameter paramRev;
		private StrategyParameter paramOv;
		private StrategyParameter paramOb;
		private StrategyParameter paramExit;
		
		public StochK_Divergence_for_07nioe()
		{
			paramRev = CreateParameter("Rev.%", 20, 5, 50, 5);
			paramOv = CreateParameter("Oversold", 20, 65, 95, 5);
			paramOb  = CreateParameter("Overbot", 75, 10, 30, 5);
			paramExit  = CreateParameter("Exit after", 5, 1, 10, 1);
		}
		
		protected override void Execute()
		{
			StochK stochk = StochK.Series(Bars, 10);
			ChartPane paneStoch = CreatePane(75,true,true);
			PlotSeries(paneStoch, stochk, Color.Purple, LineStyle.Solid, 2);
			DrawHorzLine(paneStoch, 20, Color.Green, LineStyle.Solid, 1);
			DrawHorzLine(paneStoch, 75, Color.Red, LineStyle.Solid, 1);
			
			//3. The reversal level is 20% or 30 as absolute value.

ZigZag zzsto = new ZigZag(this, stochk, paramRev.Value, true, PeakTroughMode.Value);	
			zzsto.Draw(paneStoch, Color.Blue, Color.Red, LineStyle.Solid, 2);
			
			for (int bar = GetTradingLoopStartBar(10); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					/* Exit after N days */
					
					Position p = LastPosition;
					if ( bar+1 - p.EntryBar >= paramExit.ValueInt )
						ExitAtMarket( bar+1, p, "Timed" ); 
				}
				else
				{
					ZZ zzLast = zzsto.ZZs[bar];
					ZZ zzPrev = zzsto.ZZs[bar-1];

//1. System goes Long, if the StochasticK is in the oversold area ( for example <20) AND 
					//stochasticK HIGHER than the last low(peak) of the stochasticK value (for example: now the value 14, last time it was 12)
					
					if (zzLast.troughDetected && zzLast.lastTroughPrice > zzPrev.lastTroughPrice &&
						stochk[zzLast.lastTroughBar] < paramOv.ValueInt)
					{
						BuyAtMarket(bar+1);
						SetBackgroundColor(bar, Color.FromArgb(40, Color.Red));
						DrawLine(paneStoch,zzLast.lastTroughBar,stochk[zzLast.lastTroughBar],
							zzPrev.lastTroughBar,stochk[zzPrev.lastTroughBar],Color.Blue,LineStyle.Dashed,2);
					}
					
					//2. System goes Short, if the StochasticK is in the overbought area (for example >75) AND 
					//stochasticK is LOWER than the last high(peak) of the stochasticK value. (for example: now the value 80, last time it was 82)

if (zzLast.peakDetected && zzLast.lastPeakPrice < zzPrev.lastPeakPrice &&
						stochk[zzLast.lastPeakBar] > paramOb.ValueInt)
					{
						ShortAtMarket(bar+1);
						SetBackgroundColor(bar, Color.FromArgb(40, Color.Blue));
						DrawLine(paneStoch,zzLast.lastPeakBar,stochk[zzLast.lastPeakBar],
							zzPrev.lastPeakBar,stochk[zzPrev.lastPeakBar],Color.Red,LineStyle.Dashed,2);
					}
				}				
			}			
		}
	}
}[/code]

07nioe

#5

9/6/2014 11:18 AM

Hi Eugene,

Thank you again for your fast help. I think we'll come closer to the right solution. I have the impression that the system ist quite slow. After the higher trough / lower peak is reached the system needs time to enter a position and often the market has reversed.

Maybe there is a solution: One possible way is not wait unit the lower peak / higher trough is formed but rather the value of the stochasticK comes close to the level of the last peak / trough.

The image shows where the position should be entered. I hope that helps.

Thank you for your ideas.

Best
Niels

Eugene

#6

9/6/2014 11:21 AM

Peak/trough detection works this way. It's not possible to catch exact tops and bottoms. Tweak the ZigZag's reversalAmount parameter for faster detection.

P.S. An image can be only a PNG (preferrred!), JPG or GIF (inferior) under 2 Megabytes in size.

07nioe

#7

9/6/2014 11:59 AM

Doesn't work with the upload. Okay, I don't know if Zigzag is the right approch than.

May it is enough to identify the last Peak / trough and use the following rule:

if stochasticK value is above / below a certain value (overbought / oversold) and is still below / above the last Peak / Trough value, than go Long or short. Is that possible to code?

Thank you

Best
Niels

Eugene

#8

9/6/2014 12:16 PM

Niels,

The proposed "solution", as I see it, will trigger many false/premature signals. ZigZag is a convenient overlay on top of the Peak/Trough. I suggest you reduce the reversalAmount parameter until a sufficient result is obtained.

WEALTHPRO25

#9

2/21/2016 11:24 PM

dear sir,
i am trying to see the stochastic peak and trough on one chart,
i have a small error in the below code can you please help, it does not compile, thanks

CODE:
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dear sir,
i am trying to see the stochastic peak and trough on one chart,
i have a small error in the below code can you please help, it does not compile, thanks
[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 TMV_1202Star()
		{         
			DataSeries K1 = KeltnerLower.Series( Bars, 13, 13 );
			DataSeries K2 = KeltnerUpper.Series( Bars, 13, 13 );
			ADX adx = ADX.Series( Bars,10 );
			SMA sma = SMA.Series( Close,8 );
			DataSeries OscV = (SMA.Series( Volume,20 ) - Volume)/SMA.Series( Volume,20 ) * 100;
			OscV.Description = "Volume Oscillator";
			DataSeries cci = CCI.Series( Bars, 42 );

ChartPane cPane = CreatePane( 30, true, true );
			ChartPane oPane = CreatePane( 30,false,true );
			SetBarColors( Color.DarkGray,Color.DarkGray );
			PlotSeries( PricePane, SMA.Series( Close,13 ), Color.Red, LineStyle.Solid, 1);
			PlotSeriesFillBand( PricePane, K1, K2, Color.Red, Color.Empty, LineStyle.Solid, 1);
			PlotSeriesOscillator( oPane, OscV, 50, -50, Color.Blue, Color.Red, Color.Empty, LineStyle.Histogram, 2);
			PlotSeries( oPane, OscV, Color.Black, LineStyle.Solid, 2);
			PlotSeries( cPane, cci, Color.Purple, LineStyle.Histogram, 3 );
			DrawHorzLine( cPane, -100, Color.Red, LineStyle.Dashed, 1 );
			DrawHorzLine( cPane, 100, Color.Blue, LineStyle.Dashed, 1 );
         
			for(int bar = GetTradingLoopStartBar(30); bar < Bars.Count; bar++)
			{
				bool adxPriceRising = adx[bar] > adx[bar-1] && Close[bar] > sma[bar];
				bool adxPriceFalling = adx[bar] > adx[bar-1] && Close[bar] < sma[bar];
            
				if( adxPriceRising )
					SetBarColor( bar, Color.LightGreen );
				else
					if( adxPriceFalling )
					SetBarColor( bar, Color.Red );            
			}   
		}
      
      
		public void SupportAndResistance()
		{
			double ZH, ZL;
			bool Drawn = false;
        
			for(int bar = 12; bar < Bars.Count; bar++)
			{
				if( ( High[bar - 2] < High[bar - 1] ) & ( High[bar - 1] > High[bar] )
					& ( Close[bar] > Close[bar - 10] ) )
				{
					ZH = High[bar - 1];
					ZL = High[bar];
					Drawn = false; 
					for(int bar2 = bar+1; bar2 < Bars.Count; bar2++)
					{
						if( Close[bar2] > ZH )
						{
							double[] rectangle = { bar, ZL, bar, ZH, bar2, ZH, bar2, ZL };
							DrawPolygon( PricePane, Color.Transparent, Color.FromArgb(40, Color.Red), 
								LineStyle.Solid, 2, true, rectangle );
							Drawn = true; 
							break; 
						}
					}
              
					if( !Drawn )
					{
						double[] rectangle2 = { bar, ZL, bar, ZH, Bars.Count-1, ZH, Bars.Count-1, ZL };
						DrawPolygon( PricePane, Color.Transparent, Color.FromArgb(40, Color.Red), 
							LineStyle.Solid, 2, true, rectangle2 );
					}
				} 
			}
        
			for(int bar = 12; bar < Bars.Count; bar++)
			{
				if( ( Low[bar - 2] > Low[bar - 1] ) & ( Low[bar - 1] < Low[bar] ) 
					& ( Close[bar] < Close[bar - 10] ) )
				{
					ZH = Low[bar - 1]; 
					ZL = Low[bar]; 
					Drawn = false; 
					for(int bar2 = bar+1; bar2 < Bars.Count; bar2++)
					{
						if( Close[bar2] < ZL )
						{
							double[] rectangle3 = { bar, ZL, bar, ZH, bar2, ZH, bar2, ZL };
							DrawPolygon( PricePane, Color.Transparent, Color.FromArgb(40, Color.Green), 
								LineStyle.Solid, 2, true, rectangle3 );
							Drawn = true; 
							break; 
						}
					}
					if( !Drawn )
					{
						double[] rectangle4 = { bar, ZL, bar, ZH, Bars.Count-1, ZH, Bars.Count-1, ZL };
						DrawPolygon( PricePane, Color.Transparent, Color.FromArgb(40, Color.Green), 
							LineStyle.Solid, 2, true, rectangle4 );
					}
				}
			}
		}
      
   
		protected override void Execute()
		{
			TMV_1202Star();
			SupportAndResistance();
		}
		public class StochK_Divergence_for_07nioe: WealthScript
		{
			private StrategyParameter paramRev;
			private StrategyParameter paramOv;
			private StrategyParameter paramOb;
			private StrategyParameter paramExit;
      
			public StochK_Divergence_for_07nioe()
			{
				paramRev = CreateParameter("Rev.%", 20, 5, 50, 5);
				paramOv = CreateParameter("Oversold", 20, 65, 95, 5);
				paramOb  = CreateParameter("Overbot", 75, 10, 30, 5);
				paramExit  = CreateParameter("Exit after", 5, 1, 10, 1);
			}
      
			protected override void Execute()
			{
				StochK stochk = StochK.Series(Bars, 10);
				ChartPane paneStoch = CreatePane(75,true,true);
				PlotSeries(paneStoch, stochk, Color.Purple, LineStyle.Solid, 2);
				DrawHorzLine(paneStoch, 20, Color.Green, LineStyle.Solid, 1);
				DrawHorzLine(paneStoch, 75, Color.Red, LineStyle.Solid, 1);
         
				//3. The reversal level is 20% or 30 as absolute value.

ZigZag zzsto = new ZigZag(this, stochk, paramRev.Value, true, PeakTroughMode.Value);   
				zzsto.Draw(paneStoch, Color.Blue, Color.Red, LineStyle.Solid, 2);
         
				for (int bar = GetTradingLoopStartBar(10); bar < Bars.Count; bar++)
				{
					if (IsLastPositionActive)
					{
						/* Exit after N days */
               
						Position p = LastPosition;
						if ( bar+1 - p.EntryBar >= paramExit.ValueInt )
							ExitAtMarket( bar+1, p, "Timed" ); 
					}
					else
					{
						ZZ zzLast = zzsto.ZZs[bar];
						ZZ zzPrev = zzsto.ZZs[bar-1];

//1. System goes Long, if the StochasticK is in the oversold area ( for example <20) AND 
						//stochasticK HIGHER than the last low(peak) of the stochasticK value (for example: now the value 14, last time it was 12)
               
						if (zzLast.troughDetected && zzLast.lastTroughPrice > zzPrev.lastTroughPrice &&
							stochk[zzLast.lastTroughBar] < paramOv.ValueInt)
						{
							BuyAtMarket(bar+1);
							SetBackgroundColor(bar, Color.FromArgb(40, Color.Red));
							DrawLine(paneStoch,zzLast.lastTroughBar,stochk[zzLast.lastTroughBar],
								zzPrev.lastTroughBar,stochk[zzPrev.lastTroughBar],Color.Blue,LineStyle.Dashed,2);
						}
               
						//2. System goes Short, if the StochasticK is in the overbought area (for example >75) AND 
						//stochasticK is LOWER than the last high(peak) of the stochasticK value. (for example: now the value 80, last time it was 82)

if (zzLast.peakDetected && zzLast.lastPeakPrice < zzPrev.lastPeakPrice &&
							stochk[zzLast.lastPeakBar] > paramOb.ValueInt)
						{
							ShortAtMarket(bar+1);
							SetBackgroundColor(bar, Color.FromArgb(40, Color.Blue));
							DrawLine(paneStoch,zzLast.lastPeakBar,stochk[zzLast.lastPeakBar],
								zzPrev.lastPeakBar,stochk[zzPrev.lastPeakBar],Color.Red,LineStyle.Dashed,2);
						}
					            
					}         
				}
		
			}
		}}

[/code]

Eugene

#10

2/22/2016 1:23 AM

Kindly reconsider throwing different independent strategies together via copy/paste. You've been already told that this "approach" does not work in programming at all and in Wealth-Lab in particular. Regardless of how it's called this time, "small error" or "composed":

Trading between Support & Resistance

You've exceeded the capability of Rule-based strategies but constant tweaks to custom code or teaching you how to program is not part of the support plan. Show us that you learn C# 101 and not just keep doing the same thing (mistake) over and over. There are a large number of free web resources, books, tutorials (even on our Wiki FAQ) to help out in your C# study.

Good luck in your venture!