Siligardos Nov 2006 Code for Building Automatic Trendlines

sedelstein

#1

11/24/2012 4:31 PM

There is code here for a technique to draw automatic trendlines

It is an earlier version of WL. I tried using the translator w/o luck
I tried searching as well.
Asking here after looking around for a while

Does it exist anywhere on WL?

http://www.traders.com/Documentation/FEEDbk_docs/2006/11/TradersTips/TradersTips.html

Thanks for the help

Eugene

#2

11/25/2012 2:08 AM

I have no idea what on Earth is SISeries from Giorgio's code (it looks like never been published), so plotting these mysterious series have been removed. For the rest, here it goes. Substitute your ticker instead of ^GSPC:

CODE:
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I have no idea what on Earth is SISeries from Giorgio's code (it looks like never been published), so plotting these mysterious series have been removed. For the rest, here it goes. Substitute your ticker instead of ^GSPC:

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			HideVolume();
			LineStyle ls = LineStyle.Solid;
			DataSeries SP500 = GetExternalSymbol("^GSPC", true).Close;
			ChartPane IndexPane = CreatePane(100, true, true);
			
			int bar = Bars.Count - 1;
			while (bar > 0) 
			{
				DrawActiveTrendLine(bar, Close, 3.3, false, PricePane, Color.Blue, ls); 
				bar--;
			}			
			bar = Bars.Count - 1;
			while (bar > 0)
			{
				DrawActiveTrendLine(bar, SP500, 1.8, false, IndexPane, Color.Blue, ls);
				bar--;
			}

PlotSeries(IndexPane, SP500, Color.Black, ls, 1, "S&P500");
		}
		
		#region Methods
		
		bool UpwardTrendLine(int bar, DataSeries ds, int bar1, int bar3 )
		{
			bool result = false;
			
			// adjust Bar1 and Bar3 such that a proper upward trendline can be drawn

// if an intermediate bar crosses the line (Bar1,Bar3), advance Bar1
			for( int b = bar1 + 1; b < bar3; b++ )
			{
				if( ds[b] < LineExtendY(bar1, ds[bar1], bar3, ds[bar3], b) ) 
					bar1 = b;
			}
			// if a subsequent bar crosses the [right-extended] line (Bar1,Bar2), advance Bar3
			for( int b = bar3 + 1; b < bar; b++ )
			{				
				if( ds[b] < LineExtendY(bar1, ds[bar1], bar3, ds[bar3], b) )
					bar3 = b;
			}
			// require higher highs and higher lows
			if( (bar3 < bar) && (ds[bar1] < ds[bar3]) )
				result = ( Highest.Series(ds, bar3 - bar1 + 1)[bar3] < Highest.Series(ds, bar - bar3 + 1)[bar] );
			
			return result;
		}
		
		bool DownwardTrendLine(int bar, DataSeries ds, int bar1, int bar3 )
		{
			bool result = false;
			
			// adjust Bar1 and Bar3 such that a proper downward trendline can be drawn

// if an intermediate bar crosses the line (Bar1,Bar3), advance Bar1
			for( int b = bar1 + 1; b < bar3; b++ )
			{
				if( ds[b] > LineExtendY(bar1, ds[bar1], bar3, ds[bar3], b) ) 
					bar1 = b;
			}
			// if a subsequent bar crosses the [right-extended] line (Bar1,Bar2), advance Bar3
			for( int b = bar3 + 1; b < bar; b++ )
			{				
				if( ds[b] > LineExtendY(bar1, ds[bar1], bar3, ds[bar3], b) )
					bar3 = b;
			}
			// require lower highs and lower lows
			if( (bar3 < bar) && (ds[bar1] > ds[bar3]) )
				result = ( Lowest.Series(ds, bar3 - bar1 + 1)[bar3] < Lowest.Series(ds, bar - bar3 + 1)[bar] );
			
			return result;
		}
		
		// starting back at any past Bar, draw an "Active TrendLine" on its most recent peaks/troughs
		int DrawActiveTrendLine(int bar, DataSeries ds, double Threshold, bool LogScale, ChartPane Pane, Color color, LineStyle ls)
		{
			int result = 0;
			PTBar PTBs = PTBar.Series(ds, Threshold);
			
			int bar3 = (int)Math.Truncate( PTBs[bar] );
			int bar2 = (int)Math.Truncate( PTBs[bar3] );
			int bar1 = (int)Math.Truncate( PTBs[bar2] );
				
			if( ds[bar3] < ds[bar2] ) // build an upward trendline between troughs
			{
				if( !UpwardTrendLine(bar, ds, bar1, bar3) )
				{
					bar3 = bar2; bar1 = (int)Math.Truncate( PTBs[bar1] ); // build a downward trendline between peaks
					if( !DownwardTrendLine(bar, ds, bar1, bar3) )
						return result;
				}				
			}
			else // build a downward trendline between peaks
			{
				if( !DownwardTrendLine(bar, ds, bar1, bar3) )
				{
					bar3 = bar2; bar1 = (int)Math.Truncate( PTBs[bar1] ); // build an upward trendline between troughs
					if( !UpwardTrendLine(bar, ds, bar1, bar3) )
						return result;
				}
			}
				
			double y = 0;
			y = !LogScale ? ( ds[bar3] - ds[bar1]) * (bar - bar1) / (bar3 - bar1) :
				Math.Exp( Math.Log ( ds[bar3] / ds[bar1]) * (bar - bar1) / (bar3 - bar1));
				
			DrawLine( Pane, bar1, ds[bar1], bar, ds[bar1] + y, color, ls, 2);
			result = bar1;
			
			return result;
		}
		
		#endregion
	}
}[/CODE]

sedelstein

#3

11/25/2012 9:46 AM

Thank you for your help Eugene. I will give it a try

sedelstein

#4

11/25/2012 10:51 AM

Thanks Eugene. Works like a charm

I'll modify it to draw the lines on either the closes (as it is now) or Highs (for downtrends) or Lows (for uptrends)

Stylistically, I also want to have different colors for up and down lines.

Could you offer a suggestion as to where to effect this? That is, my question is How do I best program the option for the uptrend / downtrend colors.

Regards

sedelstein

#5

11/25/2012 11:08 AM

Actually, after looking at the code, I'm seeing that the Close is passes to these routines and that modifying it to draw the lines off the Highs and/or Lows is a little tricky.

If time allows and you feel it worthwhile to the WL Community, could you possibly take a stab at it?

sedelstein

#6

11/25/2012 11:23 AM

Hold On, Think I've got it. Will post the code shortly

sedelstein

#7

11/25/2012 11:34 AM

Here is somewhat changed code. (Not necessarily elegant but works)
I added a strategy parameter so that I could change the percentage for the Peak/Trough Indicator

Changing it via the slider doesnt appear to work. That is, I would have expected the trendlines to change as I varied the slider.

Thoughts?

CODE:
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Size:

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Here is somewhat changed code. (Not necessarily elegant but works)
I added a strategy parameter so that I could change the percentage for the Peak/Trough Indicator

Changing it via the slider doesnt appear to work.  That is, I would have expected the trendlines to change as I varied the slider.

Thoughts?

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		private StrategyParameter _PTpct;
		
		public MyStrategy()
		{	
			_PTpct = CreateParameter("Peak/Trough Pct",1,0.5,4.0, 0.5);

}
		
		
		protected override void Execute()
		{
			
			double PTpct = _PTpct.Value;
			
			LineStyle ls = LineStyle.Solid;
			
			int bar = Bars.Count - 1;
			while (bar > 0) 
			{
				DrawActiveTrendLine(bar, Bars, 1.0, false, PricePane, ls); 
				bar--;
			}			
		}
		
		#region Methods
		
		bool UpwardTrendLine(int bar, DataSeries ds, int bar1, int bar3 )
		{
			bool result = false;
			
			// adjust Bar1 and Bar3 such that a proper upward trendline can be drawn

// if an intermediate bar crosses the line (Bar1,Bar3), advance Bar1
			for( int b = bar1 + 1; b < bar3; b++ )
			{
				if( ds[b] < LineExtendY(bar1, ds[bar1], bar3, ds[bar3], b) ) 
					bar1 = b;
			}
			// if a subsequent bar crosses the [right-extended] line (Bar1,Bar2), advance Bar3
			for( int b = bar3 + 1; b < bar; b++ )
			{				
				if( ds[b] < LineExtendY(bar1, ds[bar1], bar3, ds[bar3], b) )
					bar3 = b;
			}
			// require higher highs and higher lows
			if( (bar3 < bar) && (ds[bar1] < ds[bar3]) )
				result = ( Highest.Series(ds, bar3 - bar1 + 1)[bar3] < Highest.Series(ds, bar - bar3 + 1)[bar] );
			
			return result;
		}
		
		bool DownwardTrendLine(int bar, DataSeries ds, int bar1, int bar3 )
		{
			bool result = false;
			
			// adjust Bar1 and Bar3 such that a proper downward trendline can be drawn

// if an intermediate bar crosses the line (Bar1,Bar3), advance Bar1
			for( int b = bar1 + 1; b < bar3; b++ )
			{
				if( ds[b] > LineExtendY(bar1, ds[bar1], bar3, ds[bar3], b) ) 
					bar1 = b;
			}
			// if a subsequent bar crosses the [right-extended] line (Bar1,Bar2), advance Bar3
			for( int b = bar3 + 1; b < bar; b++ )
			{				
				if( ds[b] > LineExtendY(bar1, ds[bar1], bar3, ds[bar3], b) )
					bar3 = b;
			}
			// require lower highs and lower lows
			if( (bar3 < bar) && (ds[bar1] > ds[bar3]) )
				result = ( Lowest.Series(ds, bar3 - bar1 + 1)[bar3] < Lowest.Series(ds, bar - bar3 + 1)[bar] );
			
			return result;
		}
		
		// starting back at any past Bar, draw an "Active TrendLine" on its most recent peaks/troughs
//		int DrawActiveTrendLine(int bar, DataSeries ds, double Threshold, bool LogScale, ChartPane Pane, Color color, LineStyle ls)
		int DrawActiveTrendLine(int bar, Bars theseBars, double Threshold, bool LogScale, ChartPane Pane, LineStyle ls)		
		{
			DataSeries ds = theseBars.Close;
			int result = 0;
			PTBar PTBs = PTBar.Series(ds, Threshold);
			
			/*
			public static PTBar Series(DataSeries ds, double percent)

ds 	Source Series
				percent 	Specifies the percentage that ds must retrace in order to determine that a peak or trough has occurred.

PTBar builds a series containing bar numbers of most recent peaks/troughs, by measuring percent changes from lowest values, 
			    that is: using (100*Threshold)/(100+Threshold) when looking for peaks. This is to ensure that any two consecutive peaks (troughs) 
			    will have exactly one trough (peak) between them.

*/
			
			bool isUptrend =false;
			bool isDntrend = false;
			
			int bar3 = (int)Math.Truncate( PTBs[bar] );
			int bar2 = (int)Math.Truncate( PTBs[bar3] );
			int bar1 = (int)Math.Truncate( PTBs[bar2] );
				
			if( ds[bar3] < ds[bar2] ) // build an upward trendline between troughs
			{
				isUptrend = UpwardTrendLine(bar, ds, bar1, bar3);
				if( !isUptrend )
				{
					bar3 = bar2; bar1 = (int)Math.Truncate( PTBs[bar1] ); // build a downward trendline between peaks
					isDntrend = DownwardTrendLine(bar, ds, bar1, bar3);
					if( !isDntrend )
						return result;
				}				
			}
			else // build a downward trendline between peaks
			{
				isDntrend = DownwardTrendLine(bar, ds, bar1, bar3);
				if( !isDntrend )
				{
					bar3 = bar2; bar1 = (int)Math.Truncate( PTBs[bar1] ); // build an upward trendline between troughs
					isUptrend = UpwardTrendLine(bar, ds, bar1, bar3);					
					if( !isUptrend )
						return result;
				}
			}
				
			double y = 0;
			y = !LogScale ? ( ds[bar3] - ds[bar1]) * (bar - bar1) / (bar3 - bar1) :
				Math.Exp( Math.Log ( ds[bar3] / ds[bar1]) * (bar - bar1) / (bar3 - bar1));

if (isUptrend) 
			{
				DrawLine( Pane, bar1, theseBars.Low[bar1], bar, theseBars.Low[bar1] + y, Color.Green, ls, 2);
			}
			else
			{
				DrawLine( Pane, bar1, theseBars.High[bar1], bar, theseBars.High[bar1] + y, Color.Red, ls, 2);				
			}
			result = bar1;
			
			return result;
		}
		
		#endregion
	}
}[/CODE]

Eugene

#8

11/25/2012 12:13 PM

QUOTE:
Changing it via the slider doesnt appear to work. That is, I would have expected the trendlines to change as I varied the slider.

Why would you expect that? The PTpct variable is unused.

sedelstein

#9

11/25/2012 2:47 PM

oh! Duh!

sedelstein

#10

11/25/2012 3:38 PM

I'm now trying to write similar code using a PivotPointBar.Series method instead of PTBar.Series

I think it will work better based on what I see in http://www2.wealth-lab.com/WL5Wiki/PivotPointBar.ashx?HL=pivotpointbar

It's a little trickier as instead of one function (PTBar) there are now 2 series to work with as PivotBointBar has to be called 2x, once for peaks and once for troughs.

Any easy way to combine the two calls to produce something equivalent to the single series obtained by PTBar.Series?

Suggestions appreciated

sedelstein

#11

11/25/2012 11:42 PM

I've created a series of Pivot Points, similar to the PTBars. A series that has the bar numbers of the previous pivot points just like PTBars does.

CODE:
Please log in to see this code.

But find this series blows up the whole routine.
Pretty stuck here. If you can offer some help, I'd appreciate it

Thanks

sedelstein

#12

11/26/2012 1:46 PM

Eugene, I can use your help. I think my problem is something I'm doing in c#

I wrote the following code

CODE:
Please log in to see this code.

I ran this on 2000 bars of GLD and also did the math in Excel

The code produces changing values for bars (bar3,bar2,bar1) but bar3=bar2=bar1 ??

Here is what I get in Excel and by hand. I get the right result.

myPivots bar3 bar2 bar1
11/23/2012 1999 1999 1995 1989
11/21/2012 1994 1994 1989 1985
11/20/2012 1994 1994 1989 1985
11/19/2012 1994 1994 1989 1985
11/16/2012 1994 1994 1989 1985
11/15/2012 1994 1994 1989 1985
11/14/2012 1990 1990 1985 1983
11/13/2012 1990 1990 1985 1983
11/12/2012 1990 1990 1985 1983
11/9/2012 1990 1990 1985 1983
11/8/2012 1985 1985 1983 1980

Here is what the code produces. I think the logic is correct. Could it be something with Dataseries objects or casting in C#?
1999 11/23/2012 1999 1999 1999 1999
1998 11/21/2012 1994 1994 1994 1994
1997 11/20/2012 1994 1994 1994 1994
1996 11/19/2012 1994 1994 1994 1994
1995 11/16/2012 1994 1994 1994 1994
1994 11/15/2012 1994 1994 1994 1994
1993 11/14/2012 1990 1990 1990 1990
1992 11/13/2012 1990 1990 1990 1990
1991 11/12/2012 1990 1990 1990 1990
1990 11/9/2012 1990 1990 1990 1990
1989 11/8/2012 1985 1985 1985 1985

Oddly, if I supply PTBars instead of my own calculated pivots, the code works, hand checked with the same Excel program which leads me to believe it is something with C# or the way I am using the DataSeries object

Thanks for your help. Hope it is something obvious to you.

Size:

Color:

Eugene, I can use your help.  I think my problem is something I'm doing in c#

I wrote the following code

[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
	{
		protected override void Execute()
		{
			ClearDebug();
			int period = 5;                        
			double lastPP = 0d;
			DataSeries myPivots = new DataSeries(Bars, "PivotPointBars");

for (int bar = period; bar < Bars.Count; bar++)	myPivots[bar] = 0d;        // returns 0 until a Valid Pivot Point is found

for (int bar = period; bar < Bars.Count; bar++)
			{
				int periodFwd = period;
				if (bar + period >= Bars.Count) periodFwd = Bars.Count - bar - 1;

if (High[bar] >= Highest.Series(High, period)[bar - 1] && High[bar] >= Highest.Value(bar + periodFwd, High, periodFwd)) lastPP = bar;
				// use Value method since periodFwd is variable at the end

if (Low[bar] <= Lowest.Series(Low, period)[bar - 1] && Low[bar] <= Lowest.Value(bar + periodFwd, Low, periodFwd)) lastPP = bar;
                        
				myPivots[bar] = lastPP;
			}
			
			// Calculate the points to use in the DrawActiveTrendline method - Print out for Debug
			int jbar = Bars.Count - 1;
			while (jbar > 0) 
			{
				int bar3 = (int)Math.Truncate(myPivots [jbar]);
				int bar2 = (int)Math.Truncate(myPivots [bar3]);
				int bar1 = (int)Math.Truncate(myPivots [bar2]);
				PrintDebug (jbar + "  " + String.Format( "{0:d}", Bars.Date[jbar])  + "  " + myPivots[jbar] +  "  " + bar3 + "  " + bar2 + "  " +bar1);
				jbar--;
			}

}
	}
}[/CODE]

I ran this on 2000 bars of GLD and also did the math in Excel

The code produces changing values for bars (bar3,bar2,bar1) but bar3=bar2=bar1 ??

Here is what I get in Excel and by hand. I get the right result.

myPivots	bar3	bar2	bar1
11/23/2012	1999	1999	1995	1989
11/21/2012	1994	1994	1989	1985
11/20/2012	1994	1994	1989	1985
11/19/2012	1994	1994	1989	1985
11/16/2012	1994	1994	1989	1985
11/15/2012	1994	1994	1989	1985
11/14/2012	1990	1990	1985	1983
11/13/2012	1990	1990	1985	1983
11/12/2012	1990	1990	1985	1983
11/9/2012	1990	1990	1985	1983
11/8/2012	1985	1985	1983	1980

Here is what the code produces.  I think the logic is correct.  Could it be something with Dataseries objects or casting in C#?
1999  11/23/2012  1999  1999  1999  1999
1998  11/21/2012  1994  1994  1994  1994
1997  11/20/2012  1994  1994  1994  1994
1996  11/19/2012  1994  1994  1994  1994
1995  11/16/2012  1994  1994  1994  1994
1994  11/15/2012  1994  1994  1994  1994
1993  11/14/2012  1990  1990  1990  1990
1992  11/13/2012  1990  1990  1990  1990
1991  11/12/2012  1990  1990  1990  1990
1990  11/9/2012   1990  1990  1990  1990
1989  11/8/2012   1985  1985  1985  1985

Oddly, if I supply PTBars instead of my own calculated pivots, the code works, hand checked with the same Excel program which leads me to believe it is something with C# or the way I am using the DataSeries object

Thanks for your help.  Hope it is something obvious to you.

sedelstein

#13

11/26/2012 6:49 PM

error in the series construction - sorry for the confusion

Eugene

#14

2/3/2018 2:04 PM

In a duplicate thread that no longer exists, grtrader asked:

In the post for "Silgados Nov 2006 Code For Building Trendlines", there is some code written for which I cannot find the definitions of:

DrawActiveTrendline
UpwardTrendline
DownwardTrendline

I searched Wealth Lab Wiki, but could not find anything.