60 minute stochastics code - Wealth Lab Forum

trader rog

#1

7/3/2009 10:12 AM

Does anyone know how to code a 60 minute stochastics indicator within a strategy that executes based on daily data? I am using RSI for daily signals but would like to add 60 minute stochastics to confirm the daily RSI. I appreciate any feedback.

Cone

#2

7/3/2009 11:33 AM

Normally, one starts with an intraday chart (the base time frame), create intraday and Daily indicators, and program it such that it trades EOD only. That's how I'd do it traditionally and probably still would.

Despite that opinion, this is an interesting proposition because there are more possibilities in Version 5 for accessing data for the same symbol in different scales, so it actually is possible (even though I may have said it wasn't earlier).

Right now, however, we have a few problems left with native synchronization that I'm confident we'll have resolved in the 5.5 release, and they affect solutions like this one. For your particular strategy, though, there's a workaround as identified in the code below.

Below is an example of how to calculate and access a 30-min StochD in a Daily chart. I'm using 30 for the example because it's the highest native intraday timeframe you can get with Fidelity data. 60-min charts are actually scaled from the 30-min data for WLP, so you won't be able to access 60-min bars from a Daily chart. Using another, more laborious method (exporting the intraday indicator data and then reading and synchronizing it manually by code into the Daily scale) you could in fact do this with 60-min bars... but we're not going there today.

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Normally, one starts with an intraday chart (the base time frame), create intraday and Daily indicators, and program it such that it trades EOD only.  That's how I'd do it traditionally and probably still would.

Despite that opinion, this is an interesting proposition because there are more possibilities in Version 5 for accessing data for the same symbol in different scales, so it actually is possible (even though I may have said it wasn't earlier).

Right now, however, we have a few problems left with native synchronization that I'm confident we'll have resolved in the 5.5 release, and they affect solutions like this one. For your particular strategy, though, there's a workaround as identified in the code below.

Below is an example of how to calculate and access a 30-min StochD in a Daily chart.  I'm using 30 for the example because it's the highest native intraday timeframe you can get with Fidelity data.  60-min charts are actually scaled from the 30-min data for WLP, so you won't be able to access 60-min bars from a Daily chart.  Using another, more laborious method (exporting the intraday indicator data and then reading and synchronizing it manually by code into the Daily scale) you could in fact do this with 60-min bars... but we're not going there today.

[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()
		{									
			// Access the symbol from a DataSet whose base scale is intraday.  Do not synch yet!
			Bars intra30 = GetExternalSymbol("Dow 30_30", Bars.Symbol, false);			
			
			// Apply the indicator in the intraday scale
			DataSeries sto_intra30 = StochD.Series(intra30, 15, 3);
			
			/* Work-around for synch issue - we have to account for native synch 
			   erroneously delaying the intraday bars by one day in the following step.
			   Advance the intraday bars by one day.  The simple shift method only works 
			   if no short days are included in the series and you can guarantee that an
			   intraday bar exists for each period of the day.  Otherwise this step is more complicated.
			*/			
			sto_intra30 = sto_intra30 << 13;	// 13 30-min bars in a standard trading day
			
			// Synchronize to the chart scale (Daily)
			sto_intra30 = Synchronize(sto_intra30);						
			
			// Plot the result. 
			// You'll see the last value of the day for the 30-minute indicator for each day
			ChartPane stoPane = CreatePane(40, true, true);
			PlotSeries(stoPane, sto_intra30, Color.Green, LineStyle.Solid, 2);
			
		}
	}
}[/CODE]

trader rog

#3

7/3/2009 1:21 PM

Thanks very much for your reply. Is it also possible to use 60 minute bars under scale and work from there? For example:

DataSeries stochd = StochD.Series(Bars, 14, 3);
DataSeries stochk = StochK.Series(Bars, 14);
SetScaleDaily();
DataSeries ma = SMA.Series(Close, 200);
DataSeries RSISeries = RSI.Series(Close, 2);
DataSeries ma_1 = SMA.Series(Close, 5);

//Entry rules based on daily bars

I'm not sure if it would make a difference for the solution, but I don't need charts, only the data to perform backtests.

Cone

#4

7/3/2009 2:28 PM

QUOTE:
Is it also possible to use 60 minute bars under scale and work from there?

Nearly correct. As I said, that's the traditional and preferred solution. The thing you have to know is that you must create trades in the base (chart) time scale. So, once you SetScaleDaily() to create Daily indicators (in your case RSI), you must RestoreScale() for the trading. Finally, you need to restrict yourself to trading EOD. See Bars.IsLastBarOfDay in the QuickRef. Keep in mind that you'll need to process trade entries and exits on the first bar of the day too (i.e., Bars.IntradayBarNumber(bar) == 0)

trader rog

#5

7/4/2009 1:08 PM

I tried using your advice, but seem to be stuck on the final details. Can anyone please let me know what I am doing wrong? There is also 1 error in the code that I'm not sure how to fix. I appreciate any feedback.

CODE:
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I tried using your advice, but seem to be stuck on the final details. Can anyone please let me know what I am doing wrong? There is also 1 error in the code that I'm not sure how to fix. I appreciate any feedback.

[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()
		{
			
			DataSeries stochd = StochD.Series(Bars, 14, 3);
			DataSeries stochk = StochK.Series(Bars, 14);
			SetScaleDaily();
			DataSeries ma = SMA.Series(Close, 20);
			DataSeries RSISeries = RSI.Series(Close, 14);
			DataSeries ma_1 = SMA.Series(Close, 10);
			RestoreScale();

for(int bar = 201; bar < Bars.Count; bar++)
			{
				for (Bars.IsLastBarOfDay(bar)==true)
				{	
					if (Close[bar] > 20)
					{
						if (Close[bar] < ma[bar])
						{
							if ((RSISeries[bar] + RSISeries[bar-1]) > 100)
							{
								if (ATR.Series(Bars,14)[bar] > 1.50)
								{
									if (stochk[bar] > 50)
									{
										if (stochd[bar] > 50)
										{
											ShortAtMarket(bar + 1, "Group2|");					
					
										}
									}									
								}
							}
						}
					}
			
							
					{	
					if (Close[bar] > 20)
					{
						if (Close[bar] > ma[bar])
						{
							if ((RSISeries[bar] + RSISeries[bar-1]) < 100)
							{
								if (ATR.Series(Bars,20)[bar] > 1.50)
								{
									if (stochk[bar] < 50)
									{
										if (stochd[bar] < 50)
										{
											BuyAtMarket(bar + 1, "Group1|");
										}
									}
								}									
							}
						}
					}
				}
					
					for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
					{
						Position p = ActivePositions[_pos];
						if (p.Active)
						{
							if (p.EntrySignal.Contains("Group2|"))
							{
								bool cond1 = false;
								if (Close[bar] < ma_1[bar])
								{
									cond1 = true;
								}
								bool cond2 = false;
								if (p != null && p.Active)
									if (bar - p.EntryBar >= 9)
									{
										cond2 = true;
									}
								if (cond1 || cond2)
								{
									CoverAtMarket(bar + 1, p, "Group2");
								}
							}
							if (p.EntrySignal.Contains("Group1|"))
							{
								bool cond3 = false;
								if (Close[bar] > ma_1[bar])
								{
									cond3 = true;
								}
								bool cond4 = false;
								if (p != null && p.Active)
									if (bar - p.EntryBar >= 9)
									{
										cond4 = true;
									}
								if (cond3 || cond4)
								{
									SellAtMarket(bar + 1, p, "Group1");
								}
							}
						}
					}
				}
			}
		}
	}

[/CODE]

Eugene

#6

7/4/2009 2:12 PM

After adding series synchronization and some code optimization:

CODE:
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After adding series synchronization and some code optimization:
[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()
		{
			DataSeries stochd = StochD.Series(Bars, 14, 3);
			DataSeries stochk = StochK.Series(Bars, 14);
			SetScaleDaily();
			DataSeries ma = SMA.Series(Close, 20);
			DataSeries RSISeries = RSI.Series(Close, 14);
			DataSeries ma_1 = SMA.Series(Close, 10);
			RestoreScale();
			
			ma = Synchronize( ma );
			RSISeries = Synchronize( RSISeries );
			ma_1 = Synchronize( ma_1 );

for(int bar = 200; bar < Bars.Count; bar++)
			{
				if(Bars.IsLastBarOfDay(bar)==true)
				{	
					if( (Close[bar] > 20) && (Close[bar] < ma[bar]) 
						&& ((RSISeries[bar] + RSISeries[bar-1]) > 100)
						&& (ATR.Series(Bars,14)[bar] > 1.50) 
						&& (stochk[bar] > 50) && (stochd[bar] > 50) )
							ShortAtMarket(bar + 1);
					if( (Close[bar] > 20) && (Close[bar] > ma[bar]) 
						&& ((RSISeries[bar] + RSISeries[bar-1]) < 100) 
						&& (ATR.Series(Bars,20)[bar] > 1.50) 
						&& (stochk[bar] < 50) && (stochd[bar] < 50) )
						BuyAtMarket(bar + 1);
				}
					
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					if (p.PositionType == PositionType.Short)
					{
						bool cond1 = (Close[bar] < ma_1[bar]);
						bool cond2 = (bar - p.EntryBar >= 9);
						if (cond1 || cond2)
							CoverAtMarket(bar + 1, p, "Group2");
					}
					else
					{
						bool cond3 = (Close[bar] > ma_1[bar]);
						bool cond4 =  (bar - p.EntryBar >= 9);

if (cond3 || cond4)
							SellAtMarket(bar + 1, p, "Group1");
					}
				}
			}
		}
	}
}
[/CODE]