intraday RSI trifecta - Wealth Lab Forum

SimhaD04

#1

5/29/2012 1:58 PM

Hi - is there a version of the community strategy, RSI Trifecta, for intraday time intervals? Thanks

There is now. Note: this needs a lot of seed data, i.e., a period number of days * 3. In other words, if the Period is 7, it won't start trading until day 21 so that the Daily RSI has stabilized. For more info see WealthScript Programming Guide > Indicators > Stability of Indicators

Note! Requires Community.Components Extension

CODE:
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There is now.  Note: this needs a lot of seed data, i.e., a period number of days * 3.  In other words, if the Period is 7, it won't start trading until day 21 so that the Daily RSI has stabilized.  For more info see WealthScript Programming Guide > Indicators > Stability of Indicators

Note! Requires Community.Components Extension

[CODE]/*
1. Trades in the base interval.
2. Interval2 is a higher intraday minute interval that must be divisible by the base interval.
3. The third interval is daily.
*/

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 RSITrifecta : WealthScript
	{
		StrategyParameter _period;
		StrategyParameter _interval2;
		StrategyParameter _overbought;
		StrategyParameter _oversold;
		
		public RSITrifecta()
		{
			_period = CreateParameter("Period", 7, 3, 21, 1);
			_interval2 = CreateParameter("Interval 2", 30, 10, 90, 5);
			_overbought = CreateParameter("Overbought", 70, 60, 90, 5);
			_oversold = CreateParameter("Oversold", 30, 10, 40, 5);
		}
		
		
		protected override void Execute()
		{
			int Period = _period.ValueInt;
			double ovrbot = _overbought.Value;
			double ovrsold = _oversold.Value;
			
			RSI rsi = RSI.Series(Close, Period);
			SetScaleCompressed(_interval2.ValueInt);
			DataSeries rsi2 = RSI.Series( Close, Period );
			SetScaleDaily();
			DataSeries rsiD = RSI.Series( Close, Period );
			RestoreScale();
			
			rsiD = Synchronize( rsiD );
			rsi2 = Synchronize( rsi2 );

ChartPane rsiPane = CreatePane( 50, true, true );
			PlotSeries( rsiPane, rsi, Color.Green, LineStyle.Solid, 1 );
			PlotSeries( rsiPane, rsi2, Color.Blue, LineStyle.Solid, 1 );
			PlotSeries( rsiPane, rsiD, Color.Red, LineStyle.Solid, 1 );

// Trading loop should start with at least 7 * 4 = 28 months of daily data to stabilize the Monthly RSI 
			// (There are about 21 trading days in a month) }
			
			Utility u = new Utility(this);
			int start = u.FirstBarofDay(Period * 3);
			
			for(int bar = start; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( ( rsiD[bar] > ovrbot ) && ( rsi2[bar] > ovrbot ) )
						if( CrossUnder( bar, rsi, ovrbot ) )
							SellAtMarket( bar + 1, p );
				}
				else
				{
					if( ( rsiD[bar] < ovrsold ) && (rsi2[bar] < ovrsold ) )
						if( CrossOver( bar, rsi, ovrsold ) )
							BuyAtMarket( bar + 1 );
				}
			}
		}
	}
}[/CODE]

SimhaD04

#3

5/29/2012 8:16 PM

Thanks!

SimhaD04

#4

6/4/2012 10:31 AM

The code compiles fine. But it does not run properly. Apparently something is wrong with the compression function. Specifically it says:
Runtime error: Cannot convert Daily Bars to 30 Daily Bars.

There are a couple more line, but I could not copy them. If important I'll either take a screenshot or retype them. Thanks.

Eugene

#5

6/4/2012 10:42 AM

Right after...

CODE:
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Insert this...

CODE:
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Is it OK now? If the intraday-only code now does not do anything, then you were trying to run this code on daily bars.

SimhaD04

#6

6/4/2012 11:05 AM

it does not compile now: there is a long list of errors starting with CS1002@(33,36):: expected.

As to running it on daily bars: what does it mean? isn't the code supposed to reset whatever is there? or should I specify the period on the currently displayed chart equal to the in this line of code:

_period = CreateParameter("Period", 15, 3, 21, 1);

That is 15 min? thanks.

SimhaD04

#7

6/4/2012 11:11 AM

I removed the abort code (ie. set it back to original) and manually reset the chart to 15 min to correspond with _period. Now it seem to run fine.

Cone

#8

6/4/2012 11:11 AM

1. Copy and paste the code again. It is "perfect".
2. Make sure you have install the Community.Components Extension.
3. You MUST run the script on Intraday Data, that was the whole point of the exercise, was it not? The interval of the intraday data (the base interval) can be any number of minutes provided that the interval that you select for "Interval 2" is divisible by the base interval.

SimhaD04

#9

6/4/2012 12:22 PM

the original code runs fine now (I do have the community extension). When you say "divisible" I assume divisible w/o a remainder, e.g. base = 15m, Int2 = 30m. But the code has as defaults 7 and 30. So is it w/o remainder or simply int2 > base? thanks,

Cone

#10

6/4/2012 12:43 PM

You're mixing apples and oranges. "7" is the period of the RSI and was chosen as the default based on the orignal script. This number has no bearing on the interval.

Check out this comment at the top of the code: