%B closes under 0.2 for 3 consecutive bars

Author: tastley1

Creation Date: 6/13/2009 5:29 PM

Wealth Lab » Trading Strategies » %B closes under 0.2 for 3 consecutive bars

tastley1

6/13/2009 5:29 PM

How do I code the "3 bars in a row" ?

Hi Tom,

When making coding requests, please make sure they are unambiguous. What is %b ? What is 0.2 - a percentage, a value of type double? Bollinger Band width comes to my mind, so if it's not the case, you'll need to describe it explicitly.

CODE:
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Hi Tom,

When making coding requests, please make sure they are unambiguous. What is [i]%b[/i] ? What is [i]0.2[/i] - a percentage, a value of type [i]double[/i]? Bollinger Band width comes to my mind, so if it's not the case, you'll need to describe it explicitly.
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class test : WealthScript
	{
		protected override void Execute()
		{
			int bbPer = 20; double bbSD = 2.0;
			BBandLower bbL = BBandLower.Series( Close, bbPer, bbSD );
			BBandUpper bbU = BBandUpper.Series( Close, bbPer, bbSD );
			PlotSeriesFillBand( PricePane, bbU, bbL, Color.Silver, Color.Empty, LineStyle.Solid, 2);
						
			DataSeries PctBBW = ( ( bbU - bbL ) / SMA.Series( Close, bbPer ) );// * 100;
			PctBBW.Description = "% BB Width";
			ChartPane PctBBWPane = CreatePane( 30, true, true );
			PlotSeries( PctBBWPane, PctBBW, Color.Silver, LineStyle.Solid, 2 );
			DrawHorzLine( PctBBWPane, 0.20, Color.Red, LineStyle.Dashed, 2 );
			
			DataSeries consec = new DataSeries(Bars, "Consecutive Days of %B Lower than 0.2");
			for(int i = Bars.Count - 1; i >= 0; i--)
			{
				int cd = 0;
				int b = i;
				while(b >= 0 && PctBBW[b] < 0.2)
				{
					cd++;
					b--;
				}
				consec[i] = cd;
			}
			
			ChartPane cdPane = CreatePane(35, true, true);
			PlotSeries(cdPane, consec, Color.Maroon, WealthLab.LineStyle.Histogram, 3);
			SetBarColors( Color.Silver, Color.Silver );
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if( consec[bar] >= 3 )
					SetBarColor( bar, Color.Red );
			}
		}
	}
}[/CODE]

tastley1

6/14/2009 11:35 AM

Hi Eugene,
You are absolutely right, my first post was ambiguous! I was trying to combine rule based and code based input to develop the following strategy:

Enter

If the price is above the 200 day MA
and
the % Bollinger band width closes under 0.2 for three consecutive days
Buy at close

Exit

When % Bollinger band width closes above 0.8

Thanks again for your help

Eugene

6/14/2009 12:00 PM

CODE:
Please log in to see this code.

Size:

Color:

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

namespace WealthLab.Strategies
{
	public class test : WealthScript
	{
		protected override void Execute()
		{
			int bbPer = 20; double bbSD = 2.0;
			BBandLower bbL = BBandLower.Series( Close, bbPer, bbSD );
			BBandUpper bbU = BBandUpper.Series( Close, bbPer, bbSD );
			PlotSeriesFillBand( PricePane, bbU, bbL, Color.Silver, Color.Empty, LineStyle.Solid, 2);
						
			DataSeries PctBBW = ( ( bbU - bbL ) / SMA.Series( Close, bbPer ) );// * 100;
			PctBBW.Description = "% BB Width";
			ChartPane PctBBWPane = CreatePane( 30, true, true );
			PlotSeries( PctBBWPane, PctBBW, Color.Silver, LineStyle.Solid, 2 );
			DrawHorzLine( PctBBWPane, 0.20, Color.Red, LineStyle.Dashed, 2 );
			
			DataSeries consec = new DataSeries(Bars, "Consecutive Days of %B Lower than 0.2");
			for(int i = Bars.Count - 1; i >= 0; i--)
			{
				int cd = 0;
				int b = i;
				while(b >= 0 && PctBBW[b] < 0.2)
				{
					cd++;
					b--;
				}
				consec[i] = cd;
			}
			
			ChartPane cdPane = CreatePane(35, true, true);
			PlotSeries(cdPane, consec, Color.Maroon, WealthLab.LineStyle.Histogram, 3);
			SetBarColors( Color.Silver, Color.Silver );
			SMA sma200 = SMA.Series( Close, 200 );
			
			for(int bar = sma200.FirstValidValue; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if( PctBBW[bar] > 0.8 )
					{
						SetBackgroundColor( bar, Color.FromArgb( 50, Color.Blue ) );
						SellAtMarket( bar+1, LastPosition );
					}
				}
				else
				{
					if( ( consec[bar] >= 3 ) && ( Close[bar] > sma200[bar] ) )
					{
						SetBackgroundColor( bar, Color.FromArgb( 50, Color.Red ) );
						BuyAtClose( bar );
					}
				}				
			}
		}
	}
}[/CODE]

Wealth Lab » Trading Strategies » %B closes under 0.2 for 3 consecutive bars