Exiting when divergence pattern erodes

Author: topcat77

Creation Date: 8/12/2009 11:20 PM

Wealth Lab » Trading Strategies » Exiting when divergence pattern erodes

topcat77

8/12/2009 11:20 PM

In this Divergence program I want to insert an exit condition that will stop out when the divergence condition has broken down: Exit if rsi[bar] crosses under (rsi[prevLowBar]less some amount). preLowBar is used in the script to identify the previous low within the specified lookback period when identifying the initial divergence signal

So in the exit section I changed

QUOTE:
if (CrossOver(bar, rsi, 55))

QUOTE:
if (CrossOver(bar, rsi, 55)|| CrossUnder(bar,rsi,(rsi[prevLowBar]-1)))

and I got an error message: "The name 'prevLowBar' does not exist in the current context." I can see why this is - prevLowBar is defined further down the script but I don't know how to fix that. (Also I'm not sure that I've written the new Exit condition properly

Help much appreciated

CODE:
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So in the exit section I changed [QUOTE]if (CrossOver(bar, rsi, 55))[/QUOTE]
to
[QUOTE]if (CrossOver(bar, rsi, 55)|| CrossUnder(bar,rsi,(rsi[prevLowBar]-1)))[/QUOTE]

Help much appreciated

[CODE]namespace WealthLab.Strategies
{
	public class PatternScanner : WealthScript
	{
		private StrategyParameter _period;	
		public PatternScanner()
		{
			_period = CreateParameter("Period", 21, 5, 100, 1);
		}
	
		protected override void Execute()
		{				
			// here's the variable period - could be made to adjust with a slider control
			int period = _period.ValueInt;				
			
			// Generate the LowestBar series for use later
			DataSeries lowBar = LowestBar.Series(Low, period);
			
			// create and plot the RSI
			ChartPane rsiPane = CreatePane(40, true, true);			
			DataSeries rsi = RSI.Series(Close, 14);
			PlotSeries(rsiPane, rsi, Color.Blue, LineStyle.Solid, 2);
			
			// create and plot the BBand
			DataSeries bbL = BBandLower.Series(Close, 20, 2);
			PlotSeries(PricePane, bbL, Color.Gray, LineStyle.Solid, 2);
			DataSeries bbU = BBandUpper.Series(Close, 20, 2);
			PlotSeries(PricePane, bbU, Color.Gray, LineStyle.Solid, 2);
			DataSeries roc = ROC.Series (bbL,4);
			ChartPane rocPane = CreatePane (20,true,true);
			PlotSeries (rocPane,roc,Color.Teal,LineStyle.Dashed,2);
			
			DataSeries myCount = new DataSeries( Bars, "My Count" );
			int cnt = 0;
			for(int bar = 20; bar < Bars.Count; bar++)
			{	
				if( CumDown.Series( BBandLower.Series( Close, 20, 2 ),1 )[bar] >=1 )
					cnt--;
				else
					if( CumUp.Series( BBandUpper.Series( Close, 20, 2 ),1 )[bar] >=1 )
					cnt++;	
				else		
					cnt = 0;
				myCount[bar] = cnt;	
			}
			ChartPane test = CreatePane( 30,true,true );
			PlotSeries( test, myCount, Color.Black, LineStyle.Solid, 1 );
			
			
			DataSeries Duration = rsi + myCount;
			ChartPane paneDuration = CreatePane (30,true,true);
			PlotSeries (paneDuration,Duration, Color.Teal,LineStyle.Solid,2);
			
		
			
			
			
			
			
			
			
			
			
			// let's loop through the bars, showing the previous signals along the way
			for (int bar = Math.Max(14, period); bar < Bars.Count; bar++)
			{			
				if (IsLastPositionActive)
				{	
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						if (CrossOver(bar, rsi, 55))
						{
							SellAtMarket(bar + 1, p, "Group1");
						}
					}					
												
					
				}
				else
				{				
					if (bar == (int)lowBar[bar] && Low[bar] <= bbL[bar])									
					{		
														
						// check for divergence - first get the bar of the previous low and color that bar fuchsia
						int prevLowBar = (int)lowBar[bar-5];
					
						// determine the direction
						int sign = Math.Sign(Low[bar] - Low[prevLowBar]);
						int rsiSign = Math.Sign(rsi[bar] - rsi[prevLowBar]);
					
														
						// if the signs are different (divergent), draw some lines and generate a buy signal
						if (sign != rsiSign) 
						
							if( Volume[bar] <= (Volume[prevLowBar]*1.1) )
								// signal counts
								
								if (bbL[bar-3]/bbL[bar]< 1.02)
								
								// gradient qualification
							
								if( rsi[bar]-2.7 >= rsi[prevLowBar] )
									// signal counts
									
								
									if( bbU[bar]/bbL[bar] >= 1.0027 )
										// signal counts	
								
										
									if( rsi[bar] < 37.0 )
											// signal counts
											
									if (Duration[bar] < 23 )
												// signal counts
								
									{
										SetBarColor(prevLowBar, Color.Fuchsia);							
										DrawLine(rsiPane, bar, rsi[bar], prevLowBar, rsi[prevLowBar], Color.Red, LineStyle.Solid, 2);
										DrawLine(PricePane, bar, Low[bar], prevLowBar, Close[prevLowBar], Color.Red, LineStyle.Solid, 2);
										for (int n = prevLowBar; n <= bar; n++) SetBackgroundColor(n, Color.FromArgb(240, 240, 240));
									
						
										// Here's the scan signal
									//if (bar == Bars.Count - 1)
											BuyAtMarket(bar + 1, "Group1|");
									
											
												
									}
					}			
				}
			}
		}
	}
}
			
[/CODE]

Eugene

8/13/2009 2:55 AM

I guess you mean to say (rsi[prevLowBar-1]) instead of (rsi[prevLowBar]-1).

(That alone, however, wouldn't help as you'll need to rewrite a good deal of logic.)

topcat77

8/13/2009 9:15 AM

QUOTE:
[/QUOTE]
I guess you mean to say (rsi[prevLowBar-1]) instead of (rsi[prevLowBar]-1).

Just to confirm - the exit is a stop at 1 rsi less than that of the preLowBar.
( not the rsi of the bar before the preLowBar). Does " (rsi[prevLowBar-1])" do
that?

[QUOTE](That alone, however, wouldn't help as you'll need to rewrite a good deal of logic.)

Well, all I'm looking for is to insert "prevLowBar" into the exit statement;
why would that require an extensive rewrite of the logic? How could I do this ?

Thanks

topcat77

8/17/2009 4:30 PM

Eugene
any chance of help with these two questions please?
Thanks

Eugene

8/18/2009 3:37 AM

Because your strategy is organized in a way that makes me think so.

Sorry, currently I don't have the time for a rewrite.

topcat77

8/19/2009 10:39 AM

I've used ..crossUnder rsi[signalBar]- x .. as a rough surrogate
to define the end of a divergence pattern. It's not as effective
(or accurate) as using prevLowBar but it has the same intent.

If, at some point, you find the time to amend the script to show how
to use prevLowBar that would be very useful.

This would also provide a generic way to identify the collapse of a
divergence pattern

Thank You