Enter on breakout of N-minute range, optimizable exits, exit last bar of day?

Author: bamafamily333

Creation Date: 7/28/2019 11:56 AM

Wealth Lab » Trading Strategies » Enter on breakout of N-minute range, optimizable exits, exit last bar of day?

bamafamily333

7/28/2019 11:56 AM

Good Morning Everyone,
I am totally new to Wealth Lab and have been digging through documentation and examples to try and get a better handle on how to code strategies....

I have found some example code of some of the things I want to do in one strategy and some in another. When I try to put them together, my code wont compile.... Looking for a little help....(very simple stuff I am assuming)

Intraday system utilizing a breakout of first 5-60 minutes (optimizable)
Buy/Short on next bar outside of breakout (high or low)
one position per day
Stop Loss (optimizable)
Profit Target (optimizable)
Exit last bar of day

Any help would be greatly appreciated

thanks
Bama

Eugene

7/28/2019 2:06 PM

Welcome to the forums Mark.

Here's your trading Strategy's code:

CODE:
Please log in to see this code.

P.S. Please give your topics a title that describes their gist. "New to Wealth-Lab" didn't sum up the problem so I've renamed it like "Enter on breakout of N-minute range, optimizable exits, exit last bar of day?" Now it will appear in other users' search results.

Size:

Color:

Welcome to the forums Mark.

Here's your trading Strategy's code:

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

namespace WealthLab.Strategies
{
	//	Intraday system utilizing a breakout of first 5-60 minutes (optimizable)
	//	Buy/Short on next bar outside of breakout (high or low)
	//	one position per day
	//	Stop Loss (optimizable)
	//	Profit Target (optimizable)
	//	Exit last bar of day
	
	public class bamafamily333_IntradayRangeBreakout : WealthScript
	{
		private StrategyParameter paramRange;
		private StrategyParameter paramPT;
		private StrategyParameter paramSL;
		
		public bamafamily333_IntradayRangeBreakout()
		{
			paramRange = CreateParameter("Range",60,5,60,5);
			paramPT = CreateParameter("Profit Target %",3,1,20,1.0);
			paramSL = CreateParameter("Stop Loss %",2,1.0,10,0.5);
		}
		
		public int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}
		
		public int AddIntegerTime( int t, int minutes )
		{
			int res = 60 * ( t / 100 ) + ( t % 100 );	// minutes past midnight
			int res1 = res + minutes;
			res1 = res1 / 60 * 100 + ( res1 % 60 );
			if( res1 >= 2400 )
				return (res1 % 2400 );
			else if( res1 < 0 )
				return AddIntegerTime( AddIntegerTime( 2400, minutes ), res );
			else
				return res1;			
		}	
		
		protected override void Execute()
		{
			if ( Bars.IsIntraday )
			{
				double target = paramPT.Value, stop = paramSL.Value, HighRange = 0, LowRange = 0, ProfitTgt = 0, StopPrice = 0;
				int range = paramRange.ValueInt;
				int n = Bars.BarInterval;
				int num = ( range / n ) - 1; // the N-minute bar
				int firstIntradayBar = -1;
				int lastChartBar = Bars.Count - 1;
				int nextToLastBarTime = AddIntegerTime( 1600, -Bars.BarInterval );		
				bool canEnterToday = false;
				
				for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
				{
					if( Bars.IntradayBarNumber( bar ) == 0 )
					{
						firstIntradayBar = bar;
						canEnterToday = true;	//	one position per day
					}
					
					if( Bars.IntradayBarNumber( bar ) <= num ) // highlight the opening range
						SetBarColor( bar, Color.Silver );
					
					if( Bars.IntradayBarNumber( bar ) == num ) // get the highest high and the lowest low after first hour
					{
						HighRange = Highest.Series( Bars.High, num+1 )[bar];
						LowRange = Lowest.Series( Bars.Low, num+1 )[bar];
						
						if( firstIntradayBar > -1 )
						{
							DrawLine( PricePane, bar, HighRange, firstIntradayBar, HighRange, Color.Blue, LineStyle.Dashed, 1 ); 
							DrawLine( PricePane, bar, LowRange, firstIntradayBar, LowRange, Color.Red, LineStyle.Dashed, 1 ); 
						}
					}
					
					if( IsLastPositionActive )
					{
						canEnterToday = false;

Position p = LastPosition;
				
						//	Exit last bar of day
						if( (bar == lastChartBar) && (GetTime(bar) >= nextToLastBarTime) ) 
						{	
							SetBarColor( bar, Color.Orange);
							ExitAtMarket( bar + 1, p, "Exit at open of last bar");
						}
						else if ( (bar != lastChartBar) && Bars.IsLastBarOfDay(bar + 1) )
						{
							SetBarColor( bar, Color.Orange);
							ExitAtMarket( bar + 1, p, "Exit at open of last bar");
						}
						else 
						{
							//	Stop Loss (optimizable)
							//	Profit Target (optimizable)
							if ( p.PositionType == PositionType.Long )
							{								
								ProfitTgt = p.EntryPrice * (1 + target / 100.0d);
								StopPrice = p.EntryPrice * (1 - stop / 100.0d);							
							}
							else
							{
								ProfitTgt = p.EntryPrice * (1 - target / 100.0d);
								StopPrice = p.EntryPrice * (1 + stop / 100.0d);
							}
							
							if(!ExitAtStop(bar + 1, p, StopPrice, "Stop Loss"))
								ExitAtLimit(bar + 1, p, ProfitTgt, "Profit Target");
						}
					}
					else
					{
						if ( Bars.IntradayBarNumber( bar ) > num && !Bars.IsLastBarOfDay( bar ) && canEnterToday )
						{
							if( BuyAtStop( bar+1, HighRange + Bars.SymbolInfo.Tick ) == null )
								ShortAtStop( bar+1, LowRange - Bars.SymbolInfo.Tick );
						}
					}
				}
			}
			else
			{
				DrawLabel( PricePane, "Works on intraday data only!", Color.Red );
			}
		}
	}
}[/code]

P.S. Please give your topics a title that describes their gist. "[i]New to Wealth-Lab[/i]" didn't sum up the problem so I've renamed it like "Enter on breakout of N-minute range, optimizable exits, exit last bar of day?" Now it will appear in other users' search results.

bamafamily333

7/28/2019 6:00 PM

Thanks so much Eugene!! Really, really appreciate it.....
I hope to utilize Wealth Lab more for my backtesting and alerts....

Mark

Eugene

7/28/2019 6:08 PM

At your service.

olivetea4me

2/7/2020 12:12 AM

stop loss, target doesn't work.

Eugene

2/7/2020 5:43 AM

That's not right and they do work. But "doesn't work" just does not work on our forum. Please take your time to read one of these insightful articles, then follow author's suggestions:

How To Ask Questions The Smart Way
How to Report Bugs Effectively > "It doesn't work"

Having finished with that, please provide the information necessary for troubleshooting like:

* Did you modify the code?
* How are the strategy parameters set?
* Symbol(s), bar scale, and data loading settings

To clarify explanations, you might want to send a screen shot by striking the "Print Screen" key and then pasting into Paint or other imaging application. Save as PNG and attach.