Indicators on multiple time frames: monthly/minute

Author: WW

Creation Date: 12/7/2016 9:58 PM

Wealth Lab » WealthScript (.NET) » Indicators on multiple time frames: monthly/minute

WW

12/7/2016 9:58 PM

Hi,

I use intra-day-data and I want monthly signals to be executed. The if-order as placed here works only when I leave out the secon part after "&&". Do someone know why?

CODE:
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Monthly bars converted to intraday will cause every intraday bar in a month to have the same value so at 15 min scale bar, bar-1 and bar-2 will never be 3 different values. Create the signal at monthly scale and synchronize it to intraday. Note it will work when RestoreScale is removed.

The monthly ADX is not stable for maybe 4-5 years! So you will need a lot on 15 min data before the first trade. See Programming Guide > Indicators > Stability of Indicators

Cone

12/8/2016 9:07 AM

Please use the technique illustrated in this Wiki article for GetIntradayBar / GetWeeklyBar. Of course in your case, you'd just name the series GetMonthlyBar ;)

Given that this can be confusing, I knocked it out for you here. Note that you need 16 months of data to get started with this strategy because you need a 14-month ADX and the strategy condition looks back 2 months, so 14 + 2.

Feel free to ask questions.

CODE:
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Please use the technique illustrated in [link=http://www2.wealth-lab.com/wl5wiki/kbGetIntradayBar.ashx]this Wiki article for GetIntradayBar / GetWeeklyBar[/link].  Of course in your case, you'd just name the series GetMonthlyBar ;)

Given that this can be confusing, I knocked it out for you here.  Note that you need 16 months of data to get started with this strategy because you need a 14-month ADX and the strategy condition looks back 2 months, so 14 + 2.

Feel free to ask questions.

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

namespace WealthLab.Strategies
{
	public class MonthlyADXStrategy : WealthScript
	{
		StrategyParameter _period;
		
		public MonthlyADXStrategy()
		{
			_period = CreateParameter("Period (months)", 14, 1, 15, 1);
		}
		
		protected override void Execute()
		{
			ClearDebug();
			SetScaleMonthly();  
			DataSeries CompBar = new DataSeries(Bars, "Compressed Bar Numbers");
			for (int bar = 0; bar < Bars.Count; bar++)
				CompBar[bar] = bar;
			
			// Monthly ADX *** NOTE! 14 Months of data required to initialize ADX ***
			DataSeries m_adx = ADX.Series(Bars, _period.ValueInt);
			RestoreScale();		
			
			// Sync Monthly ADX for plotting only
			DataSeries adx = Synchronize( m_adx );
			DataSeries GetMonthlyBar = Synchronize(CompBar);

ChartPane adxPane = CreatePane(50, true, true);
			PlotSeries( adxPane, adx, Color.Blue, LineStyle.Solid, 2 );

// find the start of the 16th month
			int monthsrequired = _period.ValueInt + 2;
			int start = 0;
			int mbar = 0;
			do
			{
				mbar = (int)GetMonthlyBar[++start];	         
			} while (mbar < monthsrequired);			
			PrintDebug("Start of the " + monthsrequired + " month is on bar " + start);
						
			int previousMonth = start - 1;
			
			for(int bar = start; bar < Bars.Count; bar++)
			{
				int mb = (int)GetMonthlyBar[bar];
				if (mb == previousMonth) 
					continue;	// skip processing until next month
				else
					previousMonth = mb;
				
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					// Sell after 5 intraday bars
					if (bar + 1 - p.EntryBar >= 5)
						ExitAtMarket(bar + 1, p, "Time-based");
				}
				else
				{
					if ((m_adx[mb] > m_adx[mb-1]) && (m_adx[mb-1] > m_adx[mb-2]))
					{
						// highlight the intraday bar where this condition is true						
						SetBackgroundColor(bar, Color.FromArgb(50, Color.Blue));
						BuyAtMarket(bar + 1);
					}
				}
			}
		}
	}
}[/code]

KGo

12/8/2016 9:28 PM

Cone, Very Nice!!

The direction of ADX(14) bar to bar can differ easily for 20 monthly bars and I have seen different directional readings at 4 years when more seed data is added. Just a caution.

Cone

12/9/2016 10:04 AM

For sure. ADX, like RSI and a host of other Infinite Impulse Response (IIR) indicators are sensitive to seed data, and values can change depending on the starting date of the series! For the whole discussion, see the WealthScript Programming Guide > Indicators > Stability of Indicators