Intraday scanner using Stoch, MACD and CMF

Author: piter99

Creation Date: 6/6/2012 4:42 PM

Wealth Lab » Trading Strategies » Intraday scanner using Stoch, MACD and CMF

piter99

6/6/2012 4:42 PM

Can anybody share/recommend intraday scanner using STOCH+MACD+CMF on 5 min charts. I wasn't able create decent scanner from rules and my C# knowledge not enough.
Thank you in advance.

Eugene

6/7/2012 12:44 AM

Vladimir Yefremov,

If you can elaborate on its rules, we can help.

Base scanner should create a buy alert in the zone about P 5 min bars,(P-means parameter):
- Today volume >P shares
- Today volume %P> yesterday volume
- Price > $P
- STOCH %K cross over %D from oversold level P
- MACD line cross signal and/or "0"
- CMF > 0

Nice to have adjustment for trending/ranging market (ADX, etc.)

Thanks.

Eugene

6/8/2012 12:29 AM

Could you elaborate on what does it exactly mean, "about P (parameter) 5 min bars"?

piter99

6/9/2012 10:44 AM

In my opinion all 3 indicators may not match at same moment, so buy alert may be created in the zone from 1 to 3 5 min bars.

Predicting you next correct question about "adjustment for trending/ranging market", it's good to have buy signal if ADX is up and more than 25.

Thank you again.

Eugene

6/10/2012 2:20 PM

Here you go:

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Here you go:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class piter99_Scan_20120610 : WealthScript
	{
		private StrategyParameter slider0;
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		
		public piter99_Scan_20120610()
		{
			slider0 = CreateParameter("Price > $", 20, 10, 500, 10);
			slider1 = CreateParameter("Volume, mln", 10, 1, 1000, 1);
			slider2 = CreateParameter("Volume% > yest.", 20, 1, 1000, 1);
			slider3 = CreateParameter("Oversold Level", 20, 10, 100, 10);
		}
		
		protected override void Execute()
		{
			int bar = Bars.Count-1;
			if (bar < 21 && !Bars.IsIntraday) return; 
			
			bool volumeGreater = false;
			bool volumeYesterday = false;
			bool priceGreater = Close[bar] > slider0.Value;
			bool threeIndicators = false;

SetScaleDaily();
			volumeGreater = Volume[Bars.Count-1] > slider1.Value * 1000000;
			volumeYesterday = Volume[Bars.Count-1] > (Volume[Bars.Count-2] * (1 + slider2.Value / 100d) );
			RestoreScale();

CMF cmf = CMF.Series(Bars,21);
			DataSeries stochk = StochK.Series(Bars, 10);
			DataSeries macd = MACD.Series(Close);
	      	DataSeries signal = EMA.Series(macd, 9, EMACalculation.Modern);
	      	DataSeries hist = macd - signal;

if (volumeGreater && volumeYesterday && priceGreater)
			{
				int cntMultiCondition1 = 0;
				int saveBar1 = bar;
				for(int i = 3; i > 0; --i) {
					if (cmf[bar] > 0)
					{
						cntMultiCondition1++;
						break;
					}
					bar--;
				}
				bar = saveBar1;
				for(int i = 3; i > 0; --i)
				{
					if (CrossOver(bar, stochk, slider3.Value))
					{
						cntMultiCondition1++;
						break;
					}
					bar--;
				}
				bar = saveBar1;
				for(int i = 3; i > 0; --i)
				{
					if (CrossOver(bar, macd, signal) || CrossOver(bar, macd, 0))
					{
						cntMultiCondition1++;
						break;
					}
					bar--;
				}
				bar = saveBar1;
				threeIndicators = (cntMultiCondition1 >= 3);
			}
			
			if (threeIndicators)
			{
				BuyAtMarket(bar + 1);
			}
			
			HideVolume();
			ChartPane cmfPane = CreatePane(25,true,true);
			PlotSeries(cmfPane,cmf,Color.Green,LineStyle.Solid,2);
			ChartPane sPane = CreatePane(25,true,true);
			PlotSeries(sPane, stochk, Color.Purple, LineStyle.Solid, 2);
			DrawHorzLine(sPane, slider3.Value, Color.Green, LineStyle.Solid, 1);
			ChartPane mPane = CreatePane(25,true,true);
			PlotSeries(mPane,macd,Color.Maroon,LineStyle.Solid,2);
			PlotSeries(mPane,signal,Color.Black,LineStyle.Solid,1);
			PlotSeries(mPane, hist, Color.Black, LineStyle.Histogram, 2);
		}
	}
}[/CODE]