Buy if close is 10% or less from the high of today

Author: traders

Creation Date: 2/23/2010 12:38 PM

Wealth Lab » Trading Strategies » Buy if close is 10% or less from the high of today

traders

2/23/2010 12:38 PM

If anyone can help me out it would be greatly appreciated...I can find my way around a spreadsheet or EasyLanguage, but trying to write for WL is tough for me!!!

I am trying to write a strategy that would work on daily and intraday charts (could be 2 separate strats.) Basically I want to buy a stock if it closes 10% or LESS from the high of today, and sell it at the open tomorrow. I would also like to be able to limit the entries based on the past few days data, i.e. if stock is up 5% over past X days, then buy/don't buy.
I tried coming up with this below, but not giving any signals...

CODE:
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Thanks very much in advance for any help!!

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If anyone can help me out it would be greatly appreciated...I can find my way around a spreadsheet or EasyLanguage, but trying to write for WL is tough for me!!!

I am trying to write a strategy that would work on daily and intraday charts (could be 2 separate strats.)  Basically I want to buy a stock if it closes 10% or LESS from the high of today, and sell it at the open tomorrow. I would also like to be able to limit the entries based on the past few days data, i.e. if stock is up 5% over past X days, then buy/don't buy.
I tried coming up with this below, but not giving any signals...
[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()
		{ 
			bool SellSetup = false;
			
		
			
			// Get daily bars  
			SetScaleDaily();
			Bars daily = Bars; 
			RestoreScale(); 
			daily = Synchronize( daily );
				
			// Some distance
			DataSeries distance = (100 * ((daily.High - daily.Close)/(daily.High - daily.Low )));
			distance.Description = "Some distance"; 
				
			// Visualize the series on a chart pane 
			ChartPane distPane = CreatePane( 5, true, true ); 
			PlotSeries( distPane, distance, Color.Blue, LineStyle.Histogram, 2 );
			DrawHorzLine( distPane, 0, Color.Magenta, LineStyle.Dotted, 1 );
				
			for(int bar = Bars.FirstActualBar; bar < Bars.Count; bar++) 
			{
				if (IsLastPositionActive)
				{     
					Position p = LastPosition; 
					SellAtClose( bar, p, "At Close" );
														
					}
										
					}
				     
					{  
					//	if( Bars.IsLastBarOfDay( bar ) == true )
					/* 	Let's say we buy when stock 
					falls off 20% from high at the close */
					if( distance[daily.BarInterval=0] < 10 )
						BuyAtMarket( daily.BarInterval+0);  
					}   
					}      
			}
			}
[/CODE]

Thanks very much in advance for any help!!

Cone

2/23/2010 1:21 PM

Since it's an EOD strategy, I don't see a need for any extra work to create the intraday code. Run this on a Daily chart for DROOY, for example. (Coded with Strategy Parameters so you can easily adjust or optimize.)

CODE:
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Since it's an EOD strategy, I don't see a need for any extra work to create the intraday code.  Run this on a Daily chart for DROOY, for example.  (Coded with Strategy Parameters so you can easily adjust or optimize.)

[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
	{		
		StrategyParameter _pctDrop;
		StrategyParameter _pctUp;
		StrategyParameter _xDays;

public MyStrategy()
		{
			_pctDrop = CreateParameter("Drop %", 10, 6, 14, 0.5);
			_pctUp = CreateParameter("Up %", 5, 2, 8, 0.5);
			_xDays = CreateParameter("X Days", 5, 2, 10, 1);			
		}

protected override void Execute()
		{	
			int days = _xDays.ValueInt;			 
			
			// Create Indicators
			DataSeries buythedrop = High * (1d - _pctDrop.Value/100d);
			DataSeries pctUpOverXDays = ROC.Series(Close, days);
			
			// Plot Indicators
			ChartPane rocPane = CreatePane(40, true, true);
			DrawHorzLine(rocPane, _pctUp.Value, Color.Red, WealthLab.LineStyle.Solid, 2);
			PlotSeries(rocPane, pctUpOverXDays, Color.Navy, LineStyle.Solid, 2);
			PlotSeries(PricePane, buythedrop, Color.Green, LineStyle.Solid, 1);
			
			// Strategy 
			for(int bar = days; bar < Bars.Count; bar++)
			{
				bool entryEnabled = pctUpOverXDays[bar] < _pctUp.Value;
				if (entryEnabled)
				{
					// Highlight chart when within threshold enabled 
					SetBackgroundColor(bar, Color.FromArgb(20, Color.Green));
				}
				
				
				if (IsLastPositionActive)
				{
					SellAtMarket(bar + 1, LastPosition);
				}
				else if (entryEnabled)
				{						
					BuyAtLimit(bar + 1, buythedrop[bar]);
				}				
			}
		}
	}
}[/CODE]

traders

2/24/2010 8:26 AM

Thanks so much!

Unfortunately, I have so little experience working with WL that I don't know what so many of the lines mean.

If I want to change the parameters of how far from today's high the stock has to be, where do i do that?

If I want to change the amount of days of history that I am looking at (in order to trigger signal) where do I change that?

Cone

2/24/2010 2:21 PM

The User and Programming Guides are a good place to start. Look up How to Run Example Code and Strategy Parameters (and after you compile, just look at the bottom of the Data Tree).