Trendline Break to upside with a Profit Target, Fixed Stop loss and Trailing Stop

Author: nventress23

Creation Date: 1/11/2021 9:39 PM

Wealth Lab » Trading Strategies » Trendline Break to upside with a Profit Target, Fixed Stop loss and Trailing Stop

nventress23

1/11/2021 9:39 PM

Hello WLD Team.

I am looking for some coding help as I'm trying to add a Trailing Stop to an existing Trendline Break Strategy, that's similar to the out of the box Trendline Breakouts Strategy.

This is an add on to the code that Cone had previously posted. I can't seem to figure out where it was posted, now that I'm looking for it..., although I had copied it to try to edit, and tried to follow the Rules -code- Bracketed Exits, and can not seem to figure out how to add this trailing stop feature to the custom code.

Thanks for any help adding in this feature.

Nate

CODE:
Please log in to see this code.

Size:

Color:

Hello WLD Team.

I am looking for some coding help as I'm trying to add a Trailing Stop to an existing Trendline Break Strategy, that's similar to the out of the box Trendline Breakouts Strategy.
 
This is an add on to the code that Cone had previously posted.  I can't seem to figure out where it was posted, now that I'm looking for it..., although I had copied it to try to edit, and tried to follow the Rules -code- Bracketed Exits, and can not seem to figure out how to add this trailing stop feature to the custom code.

Thanks for any help adding in this feature.

Nate

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

namespace WealthLab.Strategies
{
	public enum TrendMode { Up, Down, None }

public class TTrendLine
	{
		private Font _font = new Font("System", 14, FontStyle.Bold);
		string _upArrow = Convert.ToChar(0x2191).ToString();
		string _dnArrow = Convert.ToChar(0x2193).ToString();

const double _f = 3;    // timeout factor 
		WealthScript ws;
		int offset;
		DataSeries Series;  // TL series reference
		bool IsLog;         // log chart
		bool IsUp;          // true if rising TL, false otherwise\
		bool TimedOut;      // trendline timed out
		int barOut;         // bar at which trendline times out

public int IdBar;    // bar at which TL detected/confirmed
		public int Bar1;     // bar at which TL starts
		public int Bar2;     // second defining bar of the TL	
		public int enBar;    // bar at which TL ends. If equal to -1, then the TL is still active.
		public Color color;

public int BarOut
		{ get { return this.barOut; } }

public TTrendLine(WealthScript ws, int idbar, int bar1, int bar2, DataSeries ds, bool isUp, bool isLog)
		{
			this.offset = 0;
			this.ws = ws;
			this.IdBar = idbar;
			this.Bar1 = bar1;
			this.Bar2 = bar2;
			this.barOut = (int)(bar2 + (bar2 - bar1) * _f);
			this.enBar = -1;
			this.Series = ds;
			this.IsLog = isLog;
			this.IsUp = isUp;
			this.color = Color.Black;
			this.TimedOut = false;

}

public override string ToString()
		{
			return String.Format("{0}, {1}, {2}", Bar1, Bar2, IdBar);
		}

public void DrawTrendLine(ChartPane cp)
		{
			Font font = new Font("Wingdings", 8, FontStyle.Regular);
			string dnArrow = Convert.ToChar(0x00EA).ToString();
			string upArrow = Convert.ToChar(0x00E9).ToString();

// draw an arrow at the point that the trendline was identified
			ws.AnnotateBar(upArrow, this.IdBar, false, this.color, Color.Transparent, font);

int bar = enBar;
			if (enBar == -1)
				bar = Series.Count - 1;
			else
			{
				int pad = 245;  // Draw line 10 bars past breakout to show crossing
				if (this.TimedOut) pad = 0;
				bar = Math.Min(Series.Count - 1, bar + pad);
			}

double y = this.Extend(bar);
			ws.DrawLine(cp, Bar1, Series[Bar1], bar, y, this.color, LineStyle.Solid, 3);
		}

public bool TrendLineTimeout(int bar)
		{
			if (this.enBar == -1 && bar > this.barOut)
			{
				this.enBar = bar;       // Deactivate the Trendline if past BarOut
				this.TimedOut = true;
				this.color = Color.Fuchsia;
				return true;
			}
			return false;
		}

// Return the value of the line at the specified bar
		public double Extend(int bar)
		{
			double y = ws.LineExtendY(Bar1 + offset, Series[Bar1], Bar2 + offset, Series[Bar2], bar);
			if (IsLog)
				y = ws.LineExtendYLog(Bar1 + offset, Series[Bar1], Bar2 + offset, Series[Bar2], bar);
			return y;
		}

// 1. Returns true if Close[bar] breaks TL
		// 2. Adjusts BarOut if proximity of High[bar] within 2% of TL value (or if over TL)
		public bool IsBreakout(int bar, bool confirmBreakout)
		{
			double extend = this.Extend(bar);

if (this.ws.Close[bar] > extend)
			{
				// requires two consecutive closes over trendline
				if (confirmBreakout && !(this.ws.Close[bar] > this.Extend(bar - 1)))
					return false;

this.enBar = bar;
				return true;
			}

if (this.ws.High[bar] > 0.98 * extend)
				this.barOut = (int)(bar + (bar - this.Bar1) * _f);

return false;
		}
	}

public class TrendlineBreakout : WealthScript
	{

DataSeries _bpeaks;
		DataSeries _bpeakbars;

StrategyParameter _histogramfullplot;
		private Font _font = new Font("System", 14, FontStyle.Bold);
		string _upArrow = Convert.ToChar(0x2191).ToString();
		string _dnArrow = Convert.ToChar(0x2193).ToString();
		StrategyParameter _stopPct;
		StrategyParameter _profitTarget;
		StrategyParameter _pct2;
		StrategyParameter _pctpeaks;
		StrategyParameter _pcttrough;

StrategyParameter slider6;
		StrategyParameter slider7;

public TrendlineBreakout()
		{
			// Trend Line Break Algo.
			_pct2 = CreateParameter("TLPeaks %=", 11, 5, 75, 1);
			_profitTarget = CreateParameter("TLProfitTgt=", 48, 10, 200, 1);
			_stopPct = CreateParameter("TLStopLoss=", 20, 5, 50, 1);
			slider6 = CreateParameter("TL.TRLStpTrig=", 20, 1, 100, 1);  //  .......................................(Not Linked to code Yet).........................................................................
			slider7 = CreateParameter("TL.TRLStop=", 10, 1, 100, 1);     //  .......................................(Not Linked to code Yet).........................................................................

}

double Slope(DataSeries ds, int bar1, int bar2, bool useLog)
		{
			double slope = 0;
			double d = ds[bar2] - ds[bar1];

if (useLog)
				slope = Math.Log10(Math.Pow(ds[bar2] / ds[bar1], Math.Sign(d))) / (bar2 - bar1);
			else
				slope = Math.Sign(d) * (ds[bar2] - ds[bar1]) / (bar2 - bar1);
			return slope;
		}

// Pass the current bar
		// Returns the bar number of the starting point of the TL based on the 
		int SecondPointBar(DataSeries ds, int bar, int anchorBar, bool useLog)
		{
			int result = -1;
			double loSlope = Double.MaxValue;

for (int n = bar - 1; n > anchorBar + 10; n--)
			{
				double slope = Slope(ds, anchorBar, n, useLog);

if (slope > 0 && slope < loSlope)
				{
					result = n;
					loSlope = slope;
				}
			}
			return result;
		}

protected override void Execute()
		{
		
			PadBars(1); // Places gap at right side of chart.

// VOLUME
			HideVolume();

const bool useLogScale = false;
			PricePane.LogScale = useLogScale;

ClearDebug();
			PrintDebug("Trendlines found but not added due to timeout requirement");
			PrintDebug("pk bar\tpeak2\tBarOut\tbar");

_bpeaks = Peak.Series(High, _pct2.Value, PeakTroughMode.Percent);
			_bpeakbars = PeakBar.Series(High, _pct2.Value, PeakTroughMode.Percent);

IList<TTrendLine> TLs = new List<TTrendLine>();
			IList<TTrendLine> newTLs = new List<TTrendLine>();
			double target = -1;
			PlotStops();

for (int bar = 1; bar < Bars.Count; bar++)
			{
				if (ActivePositions.Count > 0)      // manage active Positions
				{
					for (int i = ActivePositions.Count - 1; i >= 0; i--)
					{
						Position p = ActivePositions[i];
						TTrendLine pL = (TTrendLine)p.Tag;

target = p.EntryPrice * (1 + _profitTarget.Value / 100d);
		//  ....Not Working Yet............................................................................(NEED TO ADD TRAIL.STOP, TRAIL.STOP.Trigger CODE)...............................................................

if (Close[bar] < p.EntryPrice * (1 - _stopPct.Value / 100d))
							SellAtMarket(bar + 1, p, "*TL.STOPLOSS*");
						else if (High[bar] >= target)
							SellAtMarket(bar + 1, p, "*TL.$Profit.TGT*");

}
				}

// check for new trendline after drop
				if (_bpeakbars[bar - 1] != _bpeakbars[bar])
				{
					int anchor = (int)_bpeakbars[bar];
					int pt = SecondPointBar(High, bar, anchor, false);
					if (pt != -1)
					{
						TTrendLine tL = new TTrendLine(this, bar, anchor, pt, High, false, useLogScale);
						if (bar < tL.BarOut)
							TLs.Add(tL);
						//						else
						//						PrintDebug(anchor + "\t" + pt + "\t" + tL.BarOut + "\t" + bar);
					}
				}

newTLs.Clear();

// check all active trendlines for breakout
				foreach (TTrendLine tL in TLs)
				{
					if (tL.enBar > -1) continue;        // line is no longer active

if (tL.IsBreakout(bar, false))
					{
						RiskStopLevel = Close[bar] * (1 - _stopPct.Value / 100d);
						SetBarColor(bar, Color.Blue);
						if (BuyAtMarket(bar + 1, "*TL-BUY*") != null)
						{
							LastPosition.Tag = tL;
						}
					}
					else if (tL.TrendLineTimeout(bar))
					{
						// Test for new line originating from second peak
						int pt2 = SecondPointBar(High, bar, tL.Bar2, false);
						TTrendLine tnew = new TTrendLine(this, bar, tL.Bar2, pt2, High, false, useLogScale);
						if (bar < tnew.BarOut && tnew.Extend(bar) > Close[bar])     // trendline must be above the current close
						{
							newTLs.Add(tnew);
						}
					}
				}

// Now add the new trendlines to the collection
				foreach (TTrendLine tL in newTLs)
					TLs.Add(tL);
			}

// Draw the lines
			foreach (TTrendLine tline in TLs)
			{
				tline.DrawTrendLine(PricePane);
			}
		}
	}
}

[/code]

Wealth Lab » Trading Strategies » Trendline Break to upside with a Profit Target, Fixed Stop loss and Trailing Stop