Bollinger Band intraday breakout anticipation (ATM TSL 03-2008)

Author: Eugene

Creation Date: 2/23/2008 6:28 AM

Wealth Lab » Trading Strategies » Bollinger Band intraday breakout anticipation (ATM TSL 03-2008)

Eugene

2/23/2008 6:28 AM

Wealth-Lab (.NET) 5.0

Bollinger Band intraday breakout anticipation (ATM TSL 03-2008)

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Wealth-Lab (.NET) 5.0
<hr>[b]Bollinger Band intraday breakout anticipation (ATM TSL 03-2008)[/b]

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

namespace WealthLab.Strategies
{
	public class BBSqueeze : WealthScript
	{
		//Create parameters
		private StrategyParameter bbPeriod;
		private StrategyParameter bbStdDev;
		private StrategyParameter bbSqueezeLookback;

public BBSqueeze()
		{
			bbPeriod = CreateParameter("Bollinger Period", 20, 5, 50, 5);      
			bbStdDev = CreateParameter("Std Dev", 2, 1, 5, 0.25);        
			bbSqueezeLookback = CreateParameter("Squeeze lookback", 100, 5, 150, 1 );        
		}
		
		protected override void Execute()
		{
			
			int counter = 0; // how long does the lowest condition holds up
			
			int BBAvg = bbPeriod.ValueInt;
			double BBStdev = bbStdDev.Value;
			int SqueezeLen = bbSqueezeLookback.ValueInt;
			double PctBBWMin = new double();
			
			//Obtain parameter values
			int bbPer = bbPeriod.ValueInt;
			double bbSD = bbStdDev.Value;
      
			BBandLower bbL = BBandLower.Series( Close, bbPer, bbSD );
			BBandUpper bbU = BBandUpper.Series( Close, bbPer, bbSD );
			DataSeries PctBBW = ( ( bbU - bbL ) / SMA.Series( Close, BBAvg ) ) * 100;
			PctBBW.Description = "% BB Width";
			DataSeries sma = SMA.Series( Close, BBAvg );

ChartPane PctBBWPane = CreatePane( 20, true, true );
			PlotSeries( PctBBWPane, PctBBW, Color.Blue, WealthLab.LineStyle.Solid, 2 );
			PlotSeries( PctBBWPane, Lowest.Series( PctBBW, SqueezeLen ), Color.Gray, WealthLab.LineStyle.Dashed, 2 );
			PlotSeries( PricePane, sma, Color.Silver, WealthLab.LineStyle.Solid, 2 );
			Color fillColor = Color.FromArgb(16, 0, 0, 255);
			PlotSeriesFillBand( PricePane, bbU, bbL, Color.Blue, fillColor, LineStyle.Solid, 1);
			HideVolume();

for(int bar = Math.Max( SqueezeLen, BBAvg ); bar < Bars.Count; bar++)
			{
				PctBBWMin = Lowest.Series( PctBBW, SqueezeLen )[bar];
				
				if (IsLastPositionActive)
				{
					// Exit trade after N bars
					if ( bar+1 - LastPosition.EntryBar >= 10 )
						ExitAtMarket( bar+1, LastPosition, "Time-Based" );
					// Exit at profit target
					ExitAtLimit( bar+1, LastPosition, (double) LastPosition.Tag, "Limit" );
				}
				else
				{
						if(	PctBBW[bar] == PctBBWMin )
						if( ( Date[bar].TimeOfDay.Hours < 17.0 ) &
						( Date[bar].TimeOfDay.Hours >= 13.0 ) )
						{
							SetBackgroundColor( bar, Color.FromArgb(231, 255, 231) );
							if( BuyAtMarket( bar+1, Date[bar].TimeOfDay.TotalHours.ToString() ) != null )
							{
								LastActivePosition.Priority = Close[bar];
								// Store target price in the position's tag property
								LastActivePosition.Tag = ( Close[bar]+3*ATR.Series( Bars,10 )[bar] );
							}
					}
				}
			}
		}
	}
}[/code]

Wealth Lab » Trading Strategies » Bollinger Band intraday breakout anticipation (ATM TSL 03-2008)