First 5-minute range breakout strategy?

Author: gchudublin

Creation Date: 1/17/2017 1:03 PM

Wealth Lab » Trading Strategies » First 5-minute range breakout strategy?

gchudublin

1/17/2017 1:03 PM

Version 1) Take the range of the first 5 min candle. Whenever the stock price breaks the high, including the wick of the first 5 min candle, you're in. Your stop is the bottom of the 5 min candle. You size accordingly. If that range is 50 cents and you want to risk $100, then you will buy 200 shares. Follow up with the stops in whatever way you feel comfortable.

Version 2) Same 5 min candle entry. Stop is 2x the range of the 5 min candle. So if the range is $1, then the stop is $2 away. Size accordingly. If you want to risk $100, then you're buying 50 shares.

Please show me the code to implement. How to get the 1st 5 minutes bar at 9:35 AM, get the top and bottom price and calculate range, the get 9:36 AM bar, if break 9:35 bar high, place a buy at market with 100 shares. I will work on stops later.

Also need to handle a list of may be less than 10 stocks.

Eugene

1/17/2017 1:16 PM

Let's zero in on Version 1 at first and get to Version 2 as you make progress.

QUOTE:
Take the range of the first 5 min candle. Whenever the stock price breaks the high, including the wick of the first 5 min candle, you're in.

Since this idea is nothing new, there are examples of similar strategies to pick up from our gallery and to adjust to your taste:

First Hour Breakout + MA system
Intraday Breakout system

QUOTE:
You size accordingly. If that range is 50 cents and you want to risk $100, then you will buy 200 shares.

And your resources are:

1. Wealth-Lab User Guide > Reference > Data Panel > Position Size Control > Portfolio Simulation Mode > Max Percent Risk
2. QuickRef (F11 key) > RiskStopLevel.

Cone

1/17/2017 1:53 PM

Here's a freebie for you. Assumes 5-minute bar chart.

1. Switch between version 1 and 2 using the Strategy Parameter slider.
2. The strategy permits only 1 trade per day.
3. Flattens position at close of the day.
4. The [bollinger band] trailing stop activates after the "BB Period" number of bars.
5. Use the "Max Percent Risk" sizing option. For example, if your Portfolio size is $10,000 and you want to risk $200, then enter 2% for the Max % Risk size See User Guide for details.

NOTE! Requires Community.Components extension.

CODE:
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Size:

Color:

Here's a freebie for you.  Assumes 5-minute bar chart.

1. Switch between version 1 and 2 using the Strategy Parameter slider. 
2. The strategy permits only 1 trade per day.
3. Flattens position at close of the day.
4. The [bollinger band] trailing stop activates after the "BB Period" number of bars. 
5. Use the "Max Percent Risk" sizing option.  For example, if your Portfolio size is $10,000 and you want to risk $200, then enter 2% for the Max % Risk size See User Guide for details.

NOTE!  Requires [link=https://www.wealth-lab.com/Extensions/Details/10]Community.Components extension[/link].

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

namespace WealthLab.Strategies
{
	public class FirstBarRangeStrategy : WealthScript
	{
		StrategyParameter _strategyNum;
		StrategyParameter _period;
		
		public FirstBarRangeStrategy()
		{
			_strategyNum = CreateParameter("Strategy", 1, 1, 2, 1);
			_period = CreateParameter("BB Period", 13, 5, 21, 1);
		}	
		
		protected override void Execute()
		{ 	
			PlotStops();
			DataSeries bbL = BBandLower.Series(Close, _period.ValueInt, 2.0);
			
			for(int bar = this.FirstBarofDay(2); bar < Bars.Count; bar++)
			{
				Position p = LastPosition;
				int bar0 = bar - Bars.IntradayBarNumber(bar);	// current day's first bar
				
				if (IsLastPositionActive)
				{
					double stop = p.RiskStopLevel;
					
					if (Bars.IsLastBarOfDay(bar))
					{
						SellAtClose(bar, p, "EOD");
					}
					else if (bar + 1 - p.EntryBar < _period.ValueInt)
					{
						ExitAtTrailingStop(bar + 1, p, stop, "Risk Stop");
					}
					else
					{						
						ExitAtTrailingStop(bar + 1, p, bbL[bar], "Profit");
					}
				}
				else if (p == null || !p.Active && p.EntryBar < bar0)  // 1 trade per day
				{
					if (bar == bar0 || Bars.IsLastBarOfDay(bar)) 
						continue;
					
					if (_strategyNum.ValueInt == 1)
						RiskStopLevel = Low[bar0] - 0.01;
					else
						RiskStopLevel = Low[bar0] - (High[bar0] - Low[bar0]) - 0.01;
					
					BuyAtStop(bar + 1, High[bar0] + 0.01);
				}
			}
		}
	}
}[/code]

Wealth Lab » Trading Strategies » First 5-minute range breakout strategy?