Support Resistance Trading Strategy

luv

#1

11/28/2009 2:16 PM

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[CODE]function BreakoutLowSeries( Series: Integer; LookbackBars: Integer ): integer;
begin
  var Bar: integer;
  var sName: string;
  var i:integer;
  var Price:float;

sName := 'BreakoutLow(' + GetDescription( Series ) + ',' + IntToStr( LookbackBars ) + ')';
  Result := FindNamedSeries( sName );
  if Result >= 0 then
    Exit;
  Result := CreateNamedSeries( sName );
  for Bar := LookbackBars to BarCount() - 1 do
    begin
    Price:=GetSeriesValue(Bar,Series);
    i:=1;
    Repeat //go backward until lowest is found
      inc(i);
    Until (Price>@Series[Bar-i+1]) or (i=LookbackBars+2) or (Bar-i<0);
    SetSeriesValue( Bar, Result, (-1)*(i-2) ); //number of bars to look back until old low
    end;
end;

function BreakoutLow( Bar: integer; Series: Integer; LookbackBars: Integer ): float;
begin
  Result := GetSeriesValue( Bar, BreakoutLowSeries( Series, LookbackBars ) );
end;

function BreakoutHighSeries( Series: Integer; LookbackBars: Integer ): integer;
begin
  var Bar: integer;
  var sName: string;
  var i:integer;
  var Price:float;

sName := 'BreakoutHigh(' + GetDescription( Series ) + ',' + IntToStr( LookbackBars ) + ')';
  Result := FindNamedSeries( sName );
  if Result >= 0 then
    Exit;
  Result := CreateNamedSeries( sName );
  for Bar := LookbackBars to BarCount() - 1 do
    begin
    Price:=GetSeriesValue(Bar,Series);
    i:=1;
    Repeat //go backward until highest is found
      inc(i);
    Until (Price<@Series[Bar-i+1]) or (i=LookbackBars+2) or (Bar-i<0);
    SetSeriesValue( Bar, Result, i-2 ); //number of bars to look back until old high
    end;
end;

function BreakoutHigh( Bar: integer; Series: Integer; LookbackBars: Integer ): float;
begin
  Result := GetSeriesValue( Bar, BreakoutHighSeries( Series, LookbackBars ) );
end;

const maxlookback = 200;
const level = 100;
const level2 = 150;
const maxpos = 3;
var BreakoutPane: integer;
BreakoutPane := CreatePane( 75, true, true );
var BOH, BOL: integer;
BOH := BreakoutHighSeries( #High,maxlookback );
PlotSeriesLabel( BOH, BreakoutPane, 009, #Histogram, 'BreakoutHigh' );
BOL := BreakoutLowSeries( #Low,maxlookback );
PlotSeriesLabel( BOL, BreakoutPane, 900, #Histogram, 'BreakoutLow' );
SetPaneMinMax(BreakoutPane,maxlookback*(-1)-20, maxlookback+20);
DrawHorzLine(level,BreakoutPane,#green,#thin);
DrawHorzLine(level*(-1),BreakoutPane,#green,#thin);
DrawHorzLine(level2,BreakoutPane,#blue,#thin);
DrawHorzLine(level2*(-1),BreakoutPane,#blue,#thin);

var Bar: integer;
for Bar := level+2 to BarCount - 1 do
begin
  if not LastPositionActive then
  begin
  SetRiskStopLevel(PriceClose(Bar)-4*ATR(Bar,10));
  If @BOH[Bar]>level then BuyAtMarket(Bar+1,'');
  SetRiskStopLevel(PriceClose(Bar)+4*ATR(Bar,10));
  If @BOL[Bar]<level*(-1) then ShortAtMarket(Bar+1,'');
  end
  else
  begin
  If positionlong(lastposition) then
    begin
    if @BOL[Bar]<=level*(-1) then
       begin
       SellAtMarket(bar+1,#All,'');
       SetRiskStopLevel(PriceClose(Bar)+4*ATR(Bar,10));
       ShortAtMarket(Bar+1,'');
       end
       else
       begin
       if (@BOH[Bar]>=level2) and (activepositioncount<maxpos) then //2nd position
         begin
         SetRiskStopLevel(PriceClose(Bar)-4*ATR(Bar,10));
         BuyAtMarket(Bar+1,'2nd');
         end;
       end;
    end
    else
    begin
    if @BOH[Bar]>=level then
       begin
       CoverAtMarket(bar+1,#All,'');
       SetRiskStopLevel(PriceClose(Bar)-4*ATR(Bar,10));
       BuyAtMarket(Bar+1,'');
       end
       else
       begin
       if (@BOL[Bar]<=level2*(-1)) and (activepositioncount<maxpos) then //2nd position
         begin
         SetRiskStopLevel(PriceClose(Bar)+4*ATR(Bar,10));
         ShortAtMarket(Bar+1,'2nd');
         end;
       end;
    end
  end;
end;
[/CODE]

luv

#2

11/28/2009 2:18 PM

It was posted under September 2005 in the Active Trader Magazine. It was written for Wealthlab 4.0. Is this easy to convert to Wealthlab Pro

Eugene

#3

11/28/2009 2:49 PM

Try the WealthScript Translator tool. You'll find its download link if you scroll down to: Will Wealth-Lab Developer 5.x recognize my chartscripts?

luv

#4

11/28/2009 5:24 PM

I copied the code and ran the translator. It didnn't like it. Simply copy and pasting the code results in a rather jumbled mess on the translator. Might be a snippet of code or not compatible. I do not have Wealthlab 4

Eugene

#5

11/29/2009 1:49 AM

Unfortunately, it was not designed for simply copying and pasting -- but that is reflected in its online help file.

Save the code as a text file with .WS extension, configure the directories as its manual suggests, and run WSTL on the file.

jalalfeghhi1

#6

1/12/2012 10:55 AM

Eugene,
Hi, I hope I have posted my question to the right thread. I have to assume this functionality exists but I have not been able to find it. Does WLP have any built-in support for finding support and resistance levels? I need to be able to plot them and execute trades when such support levels get broken.

-thanks, j

Eugene

#7

1/14/2012 3:27 AM

WLP/D has support for utilizing manually created trendlines in code (TrendlineValue), finding support and resistance levels is up to you. Here's a bunch of assorted ideas from different times for you to start with:

Draw trendlines with own indicators?
Is there a channel function?
Generating MACD Trendline
InstantaneousTrendLine
Trading signal based on Manual trendline

Make sure you've went through all linked pages as there's a number of trendline indicators developed (e.g. TrendLinePeaks/TrendLineTroughs)

jalalfeghhi1

#8

1/17/2012 10:25 AM

Eugene,
Great, thanks. I think this will keep me busy for a week :-)

jalalfeghhi1

#9

2/6/2012 11:46 AM

Eugene,
Thanks again for your help. Perhaps I am doing something wrong but I have run into the following issues:
InstantaneousTrendLine: The page does not give an example, I don't know where this function is, how can I can access it?
Draw trendlines with own indicators: It refers to TrendLinePeaks/TrendLineTroughs, again I am not sure where the code is. The page shows an exmaple which is very hard to read due to formatting. It is not clear where this function is.

Another question, would that be easier to find support and resistance levels in other chart styles? Are there any examples?

Thanks for your help, -J

Eugene

#10

2/6/2012 12:01 PM

QUOTE:
InstantaneousTrendLine: The page does not give an example,

That's right. There is no example because it does not exist.

QUOTE:
how can I can access it?

Exactly like you would do with any other DataSeries. Should not be a problem as you're a C# developer.

QUOTE:
It refers to TrendLinePeaks/TrendLineTroughs, again I am not sure where the code is.

There's not too much places to look for the code, and this time there's no surprise -- it's in the Wiki:

TrendLinePeaks

QUOTE:
Another question, would that be easier to find support and resistance levels in other chart styles?

No but that's a perfect task for Chart Drawing Objects (CDOs). Trend lines, Gann, Fibonacci... all you see on that toolbar is a CDO, and you can program your own. Unfortunately, Fidelity unpublished the documentation so no manual is available online.