- ago
Hi,
I would like to create a scanner for gaps up/down. I used a building block strategy on SPY using a specific date range where I know there is a gap up (22 and 23d August 2023). So building block reads buy at market, gap up at bar open. I put an arbitrary sell after 8 bars to test. If I tun a backtest it successfully picks up the gap, buy and sells.
I then open it as a c# coded strategy and add the line for it to be a scanner and rerun the test. Im expecting it to alert if it successfully identifies the gap but this doesnt work.

CODE:
using WealthLab.Backtest; using System; using WealthLab.Core; using WealthLab.Data; using WealthLab.Indicators; using System.Collections.Generic; namespace WealthScript5 { public class MyStrategy : UserStrategyBase {     public MyStrategy() : base() { StartIndex = 0; } public override void Initialize(BarHistory bars) { foreach(IndicatorBase ib in _startIndexList) if (ib.FirstValidIndex > StartIndex) StartIndex = ib.FirstValidIndex; } public override void Execute(BarHistory bars, int idx) {          if (idx < bars.Count - 1) return;          int index = idx;          Position foundPosition0 = FindOpenPosition(0);          bool condition0;          if (foundPosition0 == null)          {             condition0 = false;             {                if (bars.IsGapUp(index))                {                   condition0 = true;                }             }             if (condition0)             {                _transaction = PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, 0, "Buy At Market (1)");             }          }          else          {             condition0 = false;             {                pos = LastOpenPosition;                if (pos == null || (index - pos.EntryBar) >= 8)                {                   condition0 = true;                }             }             if (condition0)             {                Backtester.CancelationCode = 108;                ClosePosition(foundPosition0, OrderType.Market, 0, "Sell At Market (1)");             }          } } public override void NewWFOInterval(BarHistory bars) { }       private Position pos;       private Transaction _transaction; private List<IndicatorBase> _startIndexList = new List<IndicatorBase>(); } }
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- ago
#1
It does work, producing new entry Signals for tomorrow as expected.
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Cone8
 ( 23.78% )
- ago
#2
It's not clear by the description of IsGapUp(), but "gap up" is defined as the opening price greater than the previous bar's High.
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