Disallow trading for the day if opening gap is unfilled after x bars

Author: topcat77

Creation Date: 11/17/2010 6:39 PM

Wealth Lab » Trading Strategies » Disallow trading for the day if opening gap is unfilled after x bars

topcat77

11/17/2010 6:39 PM

This strategy trades off 5 minute bars. It should be disallowed from trading for the day if the first bar of the day gaps down from the last bar of the previous day and that gap is not filled within the first 5 bars . So, to be specific, this condition occurs if the highest-high for the first 5 bars of the day is lower than the low of the final 5 minute bar of the previous day. I have trawled through the "gap down" references in WL and cannot find an example of code that I can modify. Please could I ask for help with this

CODE:
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[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 int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}	
		
		
		
			
		
		
		
		
		
		
		
		protected override void Execute()
		{
			DataSeries RSISeries = RSI.Series(Close, 20);

DataSeries BBUp = BBandUpper.Series( Close, 20,2 );
			DataSeries bbL = BBandLower.Series(Close, 20, 2);
			PlotSeries(PricePane, bbL, Color.Gray, LineStyle.Solid, 2);
			PlotSeries(PricePane, BBUp, Color.Gray, LineStyle.Solid, 2);
			
			DataSeries smaHighs = SMA.Series(High,11);
			DataSeries smaLows = SMA.Series(Low,11);
			PlotSeries (PricePane,smaHighs,Color.Blue,LineStyle.Dashed,1);
			PlotSeries (PricePane,smaLows,Color.Blue,LineStyle.Dashed,1);
			
			DataSeries roc5 = ROC.Series(Close,5);
			DataSeries roc11 = ROC.Series (Close,11);
			
			DataSeries sma17 = SMA.Series (Close,17);
			
			DataSeries rocSMA = ROC.Series (sma17,5);
			
			DataSeries smaROC11 = SMA.Series(roc11,3);
			
			ChartPane roc = CreatePane(75,true,true);
			PlotSeries (roc,smaROC11,Color.DarkBlue,LineStyle.Solid,2);
			PlotSeries (roc,roc11,Color.Fuchsia,LineStyle.Solid,1);
			PlotSeries (roc,roc5,Color.Teal,LineStyle.Dashed,1);
			DrawHorzLine(roc,0.50,Color.Purple,LineStyle.Dotted,2);
			DrawHorzLine (roc,-0.5,Color.Purple,LineStyle.Dotted,2);
			DrawHorzLine (roc,0.0, Color.Red,LineStyle.Dotted,1);
			
				DataSeries bbWidth = BBUp - bbL;
			
			ChartPane bbW = CreatePane(75,true,true);
			PlotSeries(bbW,bbWidth,Color.Teal,LineStyle.Dashed,2);
			
		
			
			
			DataSeries macd = MACD.Series(Close);
			DataSeries signal = EMA.Series(macd, 9, EMACalculation.Modern);
			DataSeries hist = macd - signal;
			
			
			
			
			ChartPane macd1 = CreatePane(75,true,true);
			PlotSeries (macd1,hist,Color.DeepPink,LineStyle.Histogram,3);
			PlotSeries(macd1,macd,Color.CadetBlue,LineStyle.Solid,2);
			
			DataSeries stK = StochK.Series (Bars,14);
			DataSeries stD = StochD.Series(Bars,14,5);
			
			DataSeries DSIndex = RSISeries+ stK + roc11;
			
			ChartPane DSIpane = CreatePane (50,true,true);
			PlotSeries (DSIpane,DSIndex,Color.Magenta, LineStyle.Solid,2);
			DrawHorzLine(DSIpane,185,Color.DarkCyan,LineStyle.Dotted,2);
			DrawHorzLine(DSIpane,15,Color.Purple,LineStyle.Dotted,2);
			
			DataSeries MomIdx = stK + roc11;
			DataSeries sMOMIndex = stD + roc11+ (macd*10);
			PlotSeries (DSIpane,sMOMIndex,Color.SteelBlue,LineStyle.Dotted,2);
			PlotSeries (DSIpane,MomIdx,Color.Red,LineStyle.Solid,1);
			
			DataSeries GradDn = (ROC.Series (bbL,2));
			DataSeries longGradDn = (ROC.Series (bbL,5));
			DataSeries RelGradDn = ((GradDn/3)/(longGradDn/6));
			
			
			
			
			
			
			
			ChartPane paneGRAD = CreatePane (50,true,true);
			PlotSeries (paneGRAD,GradDn,Color.Teal,LineStyle.Solid,2);
			PlotSeries (paneGRAD,RelGradDn,Color.Fuchsia,LineStyle.Dashed,2);
				
			
			DataSeries	ROCspeed = (roc11 - smaROC11);
			ChartPane ROCdiffpane = CreatePane (50,true,true);
			PlotSeries (ROCdiffpane,ROCspeed,Color.DodgerBlue,LineStyle.Histogram,4);

for(int bar = GetTradingLoopStartBar(21); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					
					if (p.PositionType == PositionType.Long)
						
					{
						if(Bars.IsLastBarOfDay(bar))	
							SellAtClose(bar,p,"EOD");
					}					
					
					
					
					
					if (p.EntrySignal.Contains("Group2|"))
					{
						if(CrossOver(bar,macd,0)||DSIndex[bar]>150
							||CrossUnder(bar,sMOMIndex,30)||CrossUnder(bar,MomIdx,0))
				//		if (TurnDown(bar,sMOMIndex)||DSIndex[bar]>130)
				//		if(TurnDown(bar,macd)& macd[bar]>0||DSIndex[bar]>150   )
					//		||CumDown.Series(Close,1)[bar]>2
					//		||sigmaROC[bar]>25)			
						SellAtMarket(bar+1, p, "Group2");
						;
						}					if (p.EntrySignal.Contains("Group1|"))
					{
						{
						//	double Target = p.EntryPrice * (1 + 1.40 / 100.0d);
						//	SellAtLimit(bar + 1, p, Target, "Group1");
						}
					}

}
				else if ( (GetTime(bar) >=1045 ) & (GetTime(bar)<=1535) )
				{
				//	if (rocSMA[bar]> 0.0)
						if (CrossOver(bar,ROCspeed,0)||CrossOver(bar-1,ROCspeed,0)||
						CrossOver(bar-2,ROCspeed,0))
						
					
						if ( smaROC11[bar]> smaROC11[bar-1]& smaROC11[bar-1]> smaROC11[bar-2])
							if (roc11[bar]>roc11[bar-1] & roc11[bar-1]>roc11[bar-2])
							if (roc5[bar]> roc5[bar-1])
							if(smaROC11[bar]< -.50||smaROC11[bar-1]< -.50)
					if (RelGradDn[bar]<.85)
					if (roc11[bar]> smaROC11[bar])
						if (roc11[bar]< -0.10)
							if(sMOMIndex[bar]>(sMOMIndex[bar-1]))
								if(macd [bar]> (macd[bar-1]+.005))
									if (smaHighs[bar] > Close[bar])
						if(macd[bar]< -0.05)
						
									
					{
						BuyAtMarket(bar+1, "Group1|Group2|");
					}

}
			}
		}
	}
}[/CODE]

Thanks