Normalized StdDev - Wealth Lab Forum

mrsic

#1

11/19/2015 4:47 PM

Hello,

I'm trying normalized StdDev as described in WL-Wiki, but I'm not sure its correct and whether it makes sense. Could anyone check this for me, please.
I'm not a programmer. I'm try to learn it.

CODE:
Please log in to see this code.

greetings
Damir

Size:

Color:

Hello,

I'm trying normalized StdDev as described in WL-Wiki, but I'm not sure its correct and whether it makes sense. Could anyone check this for me, please. 
I'm not a programmer. I'm try to learn it.

[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
	{
		private StrategyParameter slider1;
		
		private StrategyParameter slider2;
		
		private StrategyParameter slider3;
		
		private StrategyParameter slider4;
		
		private StrategyParameter slider5;
		
		private StrategyParameter slider6;
		
		private StrategyParameter slider7;
		
		private StrategyParameter slider8;
		
		private StrategyParameter slider9;
		
		private StrategyParameter slider10;
		
		public MyStrategy()
		{
			slider1 = CreateParameter("NoB_LG",3,1,50,5);
			
			slider2 = CreateParameter("LB_LG",1,1,200,20);
			
			slider3 = CreateParameter("BB_LB_LG",4,1,200,20);
			
			slider4 = CreateParameter("BB_StdDev_LG",1,0.5,2,0.1);
			
			slider5 = CreateParameter("TBX_LG",4,1,20,1);
			
			slider6 = CreateParameter("NoB_ST",3,1,50,5);
			
			slider7 = CreateParameter("LB_ST",1,1,200,20);
			
			slider8 = CreateParameter("BB_LB_ST",3,1,10,1);
			
			slider9 = CreateParameter("BB_StdDev_ST",1,0.5,2,0.1);
			
			slider10 = CreateParameter("TBX_ST",2,1,20,1);
		}

protected override void Execute()
		{
			
			// Data Variable for SMA's
		//	DataSeries BB_LONG_M = SMA.Series( Close, slider3.ValueInt );
		//	DataSeries BB_SHORT_M = SMA.Series( Close, slider8.ValueInt );
			
				
			DataSeries MyVolatility = StdDev.Series ( Close,4, StdDevCalculation.Population) / SMA.Series (Close, 3);
		//	DataSeries MyVolatility = StdDev.Series ( Close, 3, StdDevCalculation.Population) / SMA.Series (Close, 3);
			
			MyVolatility.Description = "Normalized Volatility";
			ChartPane VolPane = CreatePane( 50, true, true );
			PlotSeries( VolPane, MyVolatility, Color.Purple, LineStyle.Histogram, 3 );
			
					
			
			// Data Variable for StdDev  
			DataSeries StdDevBandLow = StdDev.Series(Close,slider3.ValueInt, StdDevCalculation.Population ) * slider4.ValueInt;      // High
			DataSeries StdDevBandHigh = StdDev.Series (Close, slider8.ValueInt, StdDevCalculation.Population ) * slider9.ValueInt;   // Low
			
			// Data Variable for BB
			DataSeries BBDown = BBandLower.Series( Close, slider3.ValueInt, slider4.Value );  // Low
			DataSeries BBUp = BBandUpper.Series( Close, slider8.ValueInt, slider9.Value );    // High
	
			
			// Graphical Interface
			//	PlotSeries(PricePane, BBDown, Color.Blue, LineStyle.Solid, 2 );
			//	PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2 );
			
			SolidBrush shadowBrush = new SolidBrush(Color.FromArgb(50, Color.Violet));
			PlotSeriesFillBand( PricePane, BBDown, BBUp, Color.Silver, shadowBrush, LineStyle.Solid, 1 );
			
			PlotSeries(PricePane,SMA.Series(Close,slider3.ValueInt),Color.Green,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,slider8.ValueInt),Color.Black,LineStyle.Solid,2);
			
			
			// for-loop DataRange
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
		        //  for (int bar = Bars.Count-1; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
					
				{
					// ExitRules
					
					Position p = LastPosition; 
					
					if (p.PositionType == PositionType.Long)
					{
						     
						if (bar - p.EntryBar >= slider5.ValueInt)
						{
							SellAtMarket(bar + 1, p);
						}
					}
					else 
					{
						      
						if (bar - p.EntryBar >= slider10.ValueInt)
						{
							CoverAtMarket(bar + 1, p);
						}
					}

}
				else
				{
					// EntryRules
					
					if (CumDown.Value(bar, Close, slider2.ValueInt) >= slider1.ValueInt)
					{
						if (Close[bar] < BBDown[bar])
							
						
								
							{
								BuyAtMarket(bar + 1);
							}
					}
					if (CumUp.Value(bar, Close, slider7.ValueInt) >= slider6.ValueInt)
					{
						if (Close[bar] > BBUp[bar])
						{
							ShortAtMarket(bar + 1);
						}
					}

}
			}
		}
	}
}

[/code]

greetings
Damir

Eugene

#2

11/19/2015 4:58 PM

Hi Damir,

Your copy/paste of the Wiki code went fine. Question is, what's your next step in integrating MyVolatility into your trading rules.

mrsic

#3

11/19/2015 5:07 PM

Hi Eugene,

thanks.

I would like use this Volatility as Exit, like ATR.

greetings
Damir

Eugene

#4

11/20/2015 1:19 AM

Damir, but how exactly? What is the exit rule? All you've got there is a time-based exit.

mrsic

#5

11/21/2015 7:00 AM

Hi Eugene,

Here is the Exit-Rule, but I'm not sure if it's okay.
I think i did something mixed up.
Could you check this for me.

CODE:
Please log in to see this code.

greetings
Damir

Size:

Color:

Hi Eugene,

Here is the Exit-Rule, but I'm not sure if it's okay.
I think i did something mixed up.
Could you check this for me.

[code]namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		private StrategyParameter slider1;
		
		private StrategyParameter slider2;
		
		private StrategyParameter slider3;
		
		private StrategyParameter slider4;
		
		private StrategyParameter slider5;
		
		private StrategyParameter slider6;
		
		private StrategyParameter slider7;
		
		private StrategyParameter slider8;
		
		private StrategyParameter slider9;
		
		private StrategyParameter slider10;
		
		public MyStrategy()
		{
			slider1 = CreateParameter("NoB_LG",3,1,50,5);
			
			slider2 = CreateParameter("LB_LG",1,1,200,20);
			
			slider3 = CreateParameter("BB_LB_LG",4,1,200,20);
			
			slider4 = CreateParameter("BB_StdDev_LG",1,0.5,2,0.1);
			
			slider5 = CreateParameter("TBX_LG",4,1,20,1);
			
			slider6 = CreateParameter("NoB_ST",3,1,50,5);
			
			slider7 = CreateParameter("LB_ST",1,1,200,20);
			
			slider8 = CreateParameter("BB_LB_ST",3,1,10,1);
			
			slider9 = CreateParameter("BB_StdDev_ST",1,0.5,2,0.1);
			
			slider10 = CreateParameter("TBX_ST",2,1,20,1);
		}

protected override void Execute()
		{
			
			// Data Variable for SMA's
			//	DataSeries BB_LONG_M = SMA.Series( Close, slider1.ValueInt );
			//	DataSeries BB_SHORT_M = SMA.Series( Close, slider6.ValueInt );
			
				
			DataSeries MyVolatility = StdDev.Series ( Close,4, StdDevCalculation.Population) / SMA.Series (Close, 3);
			//	DataSeries MyVolatility = StdDev.Series ( Close, 3, StdDevCalculation.Population) / SMA.Series (Close, 3);
			
			MyVolatility.Description = "Normalized Volatility";
			ChartPane VolPane = CreatePane( 50, true, true );
			PlotSeries( VolPane, MyVolatility, Color.Purple, LineStyle.Histogram, 3 );
			
					
			
			// Data Variable for StdDev  
			DataSeries StdDevBandLow = StdDev.Series(Close,slider3.ValueInt, StdDevCalculation.Population ) * slider4.ValueInt;      // High
			DataSeries StdDevBandHigh = StdDev.Series (Close, slider8.ValueInt, StdDevCalculation.Population ) * slider9.ValueInt;   // Low
			
			// Data Variable for BB
			DataSeries BBDown = BBandLower.Series( Close, slider3.ValueInt, slider4.Value );  // Low
			DataSeries BBUp = BBandUpper.Series( Close, slider6.ValueInt, slider9.Value );    // High
	
			
			// Graphical Interface
			//	PlotSeries(PricePane, BBDown, Color.Blue, LineStyle.Solid, 2 );
			//	PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2 );
			
			SolidBrush shadowBrush = new SolidBrush(Color.FromArgb(50, Color.Violet));
			PlotSeriesFillBand( PricePane, BBDown, BBUp, Color.Silver, shadowBrush, LineStyle.Solid, 1 );
			
			PlotSeries(PricePane,SMA.Series(Close,slider3.ValueInt),Color.Green,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,slider8.ValueInt),Color.Black,LineStyle.Solid,2);
			
			
			// for-loop DataRange
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
				//  for (int bar = Bars.Count-1; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
					
				{
					// ExitRules
					
					Position p = LastPosition; 
					
					if (p.PositionType == PositionType.Long)
					{
						     
						if (bar - p.EntryBar >= slider5.ValueInt)
						{
							SellAtMarket(bar + 1, p);
						
						}
						
						
						// Exit for Long
						SellAtLimit(bar +1, p, Close[p.EntryBar-1] + ATR.Value(p.EntryBar-1, Bars, slider1.ValueInt) * slider4.ValueInt );
					
					}
				
					else 
					{
						      
						if (bar - p.EntryBar >= slider10.ValueInt)
						{
							CoverAtMarket(bar + 1, p);
						}
						
						// Exit for Short
						CoverAtLimit(bar + 1, p, Close[p.EntryBar-1] - ATR.Value(p.EntryBar-1, Bars, slider8.ValueInt) * slider9.Value);
						
					}

}
				else
				{
					// EntryRules
					
					if (CumDown.Value(bar, Close, slider2.ValueInt) >= slider1.ValueInt)
					{
						if (Close[bar] < BBDown[bar])
							
						
								
						{
							BuyAtMarket(bar + 1);
						}
					}
					if (CumUp.Value(bar, Close, slider7.ValueInt) >= slider6.ValueInt)
					{
						if (Close[bar] > BBUp[bar])
						{
							ShortAtMarket(bar + 1);
						}
					}

}
			}
		}
	}
}

[/code]
greetings
Damir