Bars.Count between Weekly and Daily

Author: tradercn

Creation Date: 2/17/2012 7:19 PM

Wealth Lab » WealthScript (.NET) » Bars.Count between Weekly and Daily

tradercn

2/17/2012 7:19 PM

To tell market conditions, after I get some statistical numbers from weekly data, Scale is set to be daily. However, the last part of my following codes generates a mistake, said "Index was out of range, Must be non-negative and less than the size of the collection." Bars.Count shows the right daily bar count 2593. If I changed the last cycle as: for(int bar=201; bar<535; bar++), it works perfect then. As far as I know, 535 is the weekly bar number.
Interesting thing is, after RestoreScale(), two cycles go through the daily bars have no problem. But in the last cycle, index was out of range error shows up. Could you please help?
Please go to the code segment which is after the "SetScaleDaily()". You can see the definition of MarketStatus there from 1-9. Thanks in advance.

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To tell market conditions, after I get some statistical numbers from weekly data, Scale is set to be daily. However, the last part of my following codes generates a mistake, said "Index was out of range, Must be non-negative and less than the size of the collection." Bars.Count shows the right daily bar count 2593. If I changed the last cycle as: for(int bar=201; bar<535; bar++), it works perfect then. As far as I know, 535 is the weekly bar number.
Interesting thing is, after RestoreScale(), two cycles go through the daily bars have no problem. But in the last cycle, index was out of range error shows up. Could you please help? 
Please go to the code segment which is after the "SetScaleDaily()". You can see the definition of MarketStatus there from 1-9. Thanks in advance.

[CODE]
using System;
using System.Collections;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;
using System.Windows.Forms;

namespace WealthLab.Strategies
{
	public class BacktestOnly : WealthScript
	{	
		protected override void Execute()
		{
			SetScaleWeekly();
			DataSeries wklyVolatility=(High-Low)/Close*100.00d;
			DataSeries wklyChange=(Close-(Close>>1))/(Close >> 1)*100;
			
			//Calculate the Average weekly volatility and weekly change since 1997/1/1
			DateTime startDate=DateTime.Parse("2002-01-01");
			int startbar=Bars.ConvertDateToBar(startDate, false);
			double totalWklyVolatility=0;
			for(int bar = startbar; bar < Bars.Count; bar++)
			{
				totalWklyVolatility=(High[bar]-Low[bar])/Close[bar-1]*100.0+totalWklyVolatility;
			}
			double MeanVolatility=totalWklyVolatility/(Bars.Count-startbar+1);
			
			//Calculate standard deviation
			double XminusMu1=0;	//weekly volatility standard deviation
			for(int bar = startbar; bar < Bars.Count; bar++)
			{
				XminusMu1=(wklyVolatility[bar]-MeanVolatility)*(wklyVolatility[bar]-MeanVolatility)+XminusMu1;
			}
			double stdDevWklyvolatility=Math.Sqrt(XminusMu1/(Bars.Count-startbar+1));
			
			DataSeries VS=new DataSeries(Bars, "Weekly Volatility Status");
			int n=0;
			for(int bar = 14; bar < Bars.Count; bar++)
			{
				for(int innerbar = bar-13; innerbar <bar; innerbar++)
				{
					if (wklyVolatility[innerbar]>=MeanVolatility)
					n=n+1;
				}
				if (n>7)
					VS[bar]=1.0;
				else if (n==7)
					VS[bar]=0.0;
				else
					VS[bar]=-1.0;
				n=0;
			}
			
			VS=VS>>1;
			RestoreScale();
			DataSeries VolitalityStatus=Synchronize(VS);
			ChartPane VSPane=CreatePane(30, true, true);
			PlotSeries(VSPane, VolitalityStatus, Color.Red, WealthLab.LineStyle.Histogram, 1);
			DrawLabel(VSPane, "1: Volatility;" + "	" + "0: Between quite and volatility;" + "	" + "-1: Quiet;");
			//PrintDebug(Bars.Symbol.ToString() + "	" + MeanVolatility.ToString() + "	" + stdDevWklyvolatility.ToString());
			
			DataSeries maBB=EMAModern.Series(Close, 200);
			DataSeries maMM=EMAModern.Series(Close, 40);
			DataSeries diffBBMM=(maMM-maBB)/Close*100.0d;
			diffBBMM.Description="BIAS of maBB & maMM";
			PlotSeries(PricePane, maBB, Color.Gray, WealthLab.LineStyle.Solid, 1);
			PlotSeries(PricePane, maMM, Color.Blue, WealthLab.LineStyle.Solid, 1);
			double totaldiff=0;
			for(int bar = 201; bar < Bars.Count; bar++)
			{
				totaldiff=diffBBMM[bar]+totaldiff;
			}
			double MeanDiff=totaldiff/(Bars.Count-201+1);
			
			double XminusMu2=0;	//standard deviation of Bias between maBB and maMM
			for(int bar = 201; bar < Bars.Count; bar++)
			{
				XminusMu2=(diffBBMM[bar]-MeanDiff)*(diffBBMM[bar]-MeanDiff)+XminusMu2;
			}
			double stdDevDiff=Math.Sqrt(XminusMu2/(Bars.Count-201+1));
			
			SetScaleDaily();
			//MarketStatus:
			//9: up with volatility;
			//8: up between quite and volatility;
			//7: up with quiet;
			//6: sideway with volatility;
			//5: sideway between quite and volatility
			//4: sideway with quiet;
			//3: down with volatility;
			//2: down between quite and volatility
			//1: down with quite;
			DataSeries MarketStatus=new DataSeries(Bars, "Market Up Down Sideway with Volatility");
			for(int bar = 201; bar < Bars.Count; bar++)
			{
				if (diffBBMM[bar]>=MeanDiff+stdDevDiff)
				{
					if(VS[bar]==1.0)
						MarketStatus[bar]=9.0;
					else if(VS[bar]==0.0)
						MarketStatus[bar]=8.0;
					else if(VS[bar]==-1.0)
						MarketStatus[bar]=7.0;
					else
						MarketStatus[bar]=0.0;
				}
				else if ((diffBBMM[bar]>MeanDiff-stdDevDiff) & (diffBBMM[bar]<MeanDiff+stdDevDiff))
				{
					if(VS[bar]==1.0)
						MarketStatus[bar]=6.0;
					else if(VS[bar]==0.0)
						MarketStatus[bar]=5.0;
					else if(VS[bar]==-1.0)
						MarketStatus[bar]=4.0;
					else
						MarketStatus[bar]=0.0;
				}
				else if ((diffBBMM[bar]<=MeanDiff-stdDevDiff))
				{
					if(VS[bar]==1.0)
						MarketStatus[bar]=3.0;
					else if(VS[bar]==0.0)
						MarketStatus[bar]=2.0;
					else if(VS[bar]==-1.0)
						MarketStatus[bar]=1.0;
					else
						MarketStatus[bar]=0.0;
				}
			}

ChartPane directionPane=CreatePane(30, true, true);
			PlotSeries(directionPane, diffBBMM, Color.Red, WealthLab.LineStyle.Solid, 1);
			DrawHorzLine(directionPane, MeanDiff, Color.Black, WealthLab.LineStyle.Dotted, 1);
			DrawHorzLine(directionPane, MeanDiff+stdDevDiff, Color.Blue, WealthLab.LineStyle.Dotted, 1);
			DrawHorzLine(directionPane, MeanDiff-stdDevDiff, Color.Blue, WealthLab.LineStyle.Dotted, 1);

ChartPane msPane=CreatePane(50, true, true);
			PlotSeries(msPane, MarketStatus, Color.Red, WealthLab.LineStyle.Histogram, 1);
			DrawLabel(msPane, "1:down with quite;" + "	" + "2: down between quite and volatility;" + "	" + "3: down with volatility;");
			DrawLabel(msPane, "4: sideway with quiet;" + "	" + "5: sideway between quite and volatility;" + "	" + "6: sideway with volatility;");
			DrawLabel(msPane, "7: up with quiet;" + "		" + "8: up between quite and volatility;" + "		" + "9: up with volatility;");
		}
	}
}

[/CODE]