Counting bars up with greater than 150% of average volume

Tobey

#1

2/16/2019 6:24 PM

Hi Cone & Eugene,

I'd like to count & graph the number of days a stock was up on volume greater than 150% of the average volume for the last 50 days.

This link looks like it is close to what I am trying to do.
https://www.wealth-lab.com/Forum/Posts/Using-Multi-Condition-Group-for-consecutive-condition-quot-Volume-above-below-SMA-quot-36724

But in the code below I'm not getting it to work. Hope I'm on the right track.

Thanks again for all your help
Tobey

New code starts at //Count Heavy Volume Days

CODE:
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Hi Cone & Eugene,

I'd like to count & graph the number of days a stock was up on volume greater than 150% of the average volume for the last 50 days.

This link looks like it is close to what I am trying to do.
[link]https://www.wealth-lab.com/Forum/Posts/Using-Multi-Condition-Group-for-consecutive-condition-quot-Volume-above-below-SMA-quot-36724 [/link]

But in the code below I'm not getting it to work.  Hope I'm on the right track.

Thanks again for all your help
Tobey

New code starts at  //Count Heavy Volume Days

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			
			//Start Chart Design
			
			//Scale Graph
			PadBars ( 10 );
			SetLogScale( PricePane, true );
			SetLogScale( VolumePane, true );
	
			//Plot Moving Averages
			DataSeries ema10 = EMAModern.Series( Close, 10 );
			ema10.Description = "EMA10d";
			DataSeries ema21 = EMAModern.Series( Close, 21 );
			ema21.Description = "EMA21d";
			DataSeries sma50 = SMA.Series( Close, 50 );
			sma50.Description = "SMA50d";
			DataSeries ema65 = EMAModern.Series( Close, 65 );
			ema65.Description = "EMA65d";
			DataSeries ema195 = EMAModern.Series( Close, 195 );
			ema195.Description = "EMA195d";
			PlotSeries( PricePane, ema10, Color.Black, LineStyle.Solid, 1 );
			PlotSeries( PricePane, ema21, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries( PricePane, sma50, Color.Red, LineStyle.Solid, 1 );
			PlotSeries( PricePane, ema65, Color.Red, LineStyle.Solid, 2 );
			PlotSeries( PricePane, ema195, Color.Navy, LineStyle.Solid, 2 );

//Plot Hi13wLines
			DataSeries Hi13wLn = Highest.Series( Close, 65 ) >> 21;
			Hi13wLn.Description = "13wHi";
			DataSeries Hi13wLnP5 = Highest.Series( Close, 65 )* 1.05 >> 21;
			Hi13wLnP5.Description = "13wHi+5%";
			DataSeries Hi13wLnP1 = Highest.Series( Close, 65 )* 1.01 >> 21;
			Hi13wLnP1.Description = "13wHi+1%";
			DataSeries Hi13wLnM3 = Highest.Series( Close, 65 )* 0.97 >> 21;
			Hi13wLnM3.Description = "13wHi-3%";
			PlotSeries ( PricePane, Hi13wLn, Color.Yellow, LineStyle.Solid, 3 );
			PlotSeries ( PricePane, Hi13wLnP5, Color.Yellow, LineStyle.Solid, 2 );
			PlotSeries ( PricePane, Hi13wLnP1, Color.Teal, LineStyle.Solid, 1 );
			PlotSeries ( PricePane, Hi13wLnM3, Color.Teal, LineStyle.Solid, 1 );

//Plot Line85
			DataSeries Line85 = Highest.Series( Close, 65 ) * 0.85;
			Line85.Description = "85Line";
			PlotSeries ( PricePane, Line85, Color.Maroon, LineStyle.Solid, 2 );

//Volume Pane
			//Plot 50Day Average Volume }
			DataSeries Vol50 = SMA.Series( Volume, 50 );
			Vol50.Description = "vSMA50";
			DataSeries Vol50u50 = SMA.Series( Volume, 50 )*1.5;
			Vol50u50.Description = "Vol+50%";
			PlotSeries( VolumePane, Vol50, Color.Navy, LineStyle.Solid, 2 );
			PlotSeries( VolumePane, Vol50u50, Color.Teal, LineStyle.Solid, 1 );
			DrawHorzLine( VolumePane, 500000, Color.Gray, LineStyle.Solid, 2 );			
			
			
			
			// Indicator Panes
			bool abovePricePane = true;
			bool displayGrid = true;
			
			
//Count Heavy Volume Days
			abovePricePane = false;
			ChartPane VolHvyPane = CreatePane( 20, abovePricePane, displayGrid );
			DrawHorzLine( VolHvyPane, 0, Color.Blue, LineStyle.Solid, 3 );
			
			DataSeries Vol50u50Up = new DataSeries(Volume,"Counter");
				
			for (int bar = 50; bar < Bars.Count; bar++)
			{
				if (Volume[bar] > Vol50u50[bar])
					i = 1;
				else
					i = 0;
				Vol50u50Up[bar] = i;
			}

//End Chart Design
			
			
			//Start Strategy
			
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					//code your entry rules here
				}
			}
		}
	}
}
[/code]

Eugene

#2

2/16/2019 7:50 PM

Tobey, this should get the job done:

CODE:
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Tobey, this should get the job done:

[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
	{      
		//I'd like to count & graph the number of days a stock was up 
		//on volume greater than 150% of the average volume for the last 50 days.
		
		protected override void Execute()
		{
			// Volume is X% > SMA(Volume)
			double volumePct = 150;

// For how many days did SMA of Volume decline?
			int forHowManyDays = 5, i = 0;
         
			DataSeries SMAVolumeGt = SMA.Series(Volume,50);
			DataSeries SMAVolumeGtPct = SMAVolumeGt * ( volumePct/100d);
			DataSeries SMAVolumePctCount = new DataSeries(Volume,"Counter");

for (int bar = 20; bar < Bars.Count; bar++)
			{
				if(SMAVolumeGtPct[bar] > 0)
				{
					if (Volume[bar] > SMAVolumeGtPct[bar])
						i++;
					else
						i = 0;
				}
				
				SMAVolumePctCount[bar] = i;
			}

// Count the number of days when SMA of Volume increased in a row
			CumUp cdv = CumUp.Series(SMAVolumePctCount,1);

// Plot series
			ChartPane pv = CreatePane(30,true,true);
			PlotSeries(pv, cdv, Color.Red, LineStyle.Histogram, 3 );
			PlotSeries(VolumePane, SMAVolumeGtPct, Color.Red, LineStyle.Dotted, 2 );
			DrawHorzLine(pv,forHowManyDays-1,Color.Blue,LineStyle.Dashed,1);
         
			for(int bar = GetTradingLoopStartBar(21); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					SellAtStop(bar + 1, LastPosition, Lowest.Series(Low,20)[bar]);
				}
				else
				{
					if (cdv[bar] >= forHowManyDays)
						BuyAtMarket(bar + 1);
				}
			}
		}
	}
}[/code]

Tobey

#3

2/18/2019 7:54 PM

Hi Eugene,

The code above is counting consecutive days the stock move on Heavy Volume.

I am looking to count the total number of days a stock was up on heavy volume (greater than 150% of its 50 day volume average) over the last 30 days.

Once I got that figured out I want to reverse it and count the number of days it was down on heavy volume. And then subtract Up from down. The HvyVol.jpg is an example of what it might look like. Red tracks the number of down days on heavy volume in the past 30 days. Green tracks Up days on heavy volume. White is Up Days less down days.

So at the end of the graph you can see in the last 30 days the stock was up 4 day on heavy volume and down 2 days on Heavy volume. So Up days less down days gives us a white line of 2.

I'm hoping this can be used to scan beaten down stock to find where buyers are coming back into the stock.

I hope this makes things clear.

As always thanks for your help!
Tobey

HvyVol.jpg

Eugene

#4

2/18/2019 8:54 PM

Hi Tobey,

Makes sense. Thanks for the clarification. Is this closer to what you're looking for?

CODE:
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Hi Tobey,

Makes sense. Thanks for the clarification. Is this closer to what you're looking for?

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

namespace WealthLab.Strategies
{
	//count the total number of days a stock was up on heavy volume 
	//(greater than 150% of its 50 day volume average) over the last 30 days
		
	public class MyStrategy : WealthScript
	{
		private StrategyParameter paramLookback;
		private StrategyParameter paramVolume;
		
		public MyStrategy()
		{
			paramLookback  = CreateParameter("Days", 30, 10, 100, 10);
			paramVolume  = CreateParameter("Volume %", 150, 100, 400, 50);
		}
		
		protected override void Execute()
		{
			//over the last 30 days
			int lookback = paramLookback.ValueInt;

// Volume is X% > SMA(Volume)
			double volumePct = paramVolume.Value;

int u = 0, d = 0;
			
			DataSeries SMAVolumeGtPct = SMA.Series(Volume,lookback) * ( volumePct/100d);
			DataSeries CounterUp = new DataSeries(Volume, string.Format("Up bars on heavy volume over {0} bars", lookback));
			DataSeries CounterDn = new DataSeries(Volume, string.Format("Down bars on heavy volume over {0} bars", lookback));

for (int bar = lookback; bar < Bars.Count; bar++)
			{
				u = 0; d = 0;
				
				//Count occurrences over 30 {i.e. lookback} days back
				for (int b = bar; b > bar - lookback; b--)
				{
					if(Volume[b] > SMAVolumeGtPct[b])	//heavy vol
					{
						if(Close[b] > Close[b - 1])		//stock was up
							u++;
						if( (Close[b] < Close[b - 1]) )	//down
							d++;
					}
				}
				
				CounterUp[bar] = u;
				CounterDn[bar] = d;
			}

// Plot series
			ChartPane pc2 = CreatePane(30,true,true);
			ChartPane pc1 = CreatePane(30,true,true);
			PlotSeries(pc1, CounterUp, Color.DarkGreen, LineStyle.Histogram, 3 );
			PlotSeries(pc2, CounterDn, Color.Red, LineStyle.Histogram, 3 );
			PlotSeries(VolumePane, SMAVolumeGtPct, Color.Red, LineStyle.Dotted, 2 );
		}
	}
}[/code]

Tobey

#5

2/18/2019 10:05 PM

Hi Eugene,

This is great! I added a variable for the moving average seperate from the lookback period. And put it all in one indicator panel. I think my changes to the code are working.

Thanks so much for the help
Tobey

CODE:
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Hi Eugene,

This is great!  I added a variable for the moving average seperate from the lookback period.  And put it all in one indicator panel.  I think my changes to the code are working.

Thanks so much for the help
Tobey

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

namespace WealthLab.Strategies
{
	//count the total number of days a stock was up on heavy volume 
	//(greater than 150% of its 50 day volume average) over the last 30 days
      
	public class MyStrategy : WealthScript
	{
		private StrategyParameter paramLookback;
		private StrategyParameter paramVolumeAvg;
		private StrategyParameter paramVolumeHi;
      
		public MyStrategy()
		{
			paramLookback  = CreateParameter("LookBack", 30, 10, 100, 10);
			paramVolumeAvg  = CreateParameter("AvgVol", 50, 10, 100, 10);
			paramVolumeHi  = CreateParameter("HiVol%", 150, 100, 400, 50);
		}
      
		protected override void Execute()
		{
			//over the last 30 days
			int lookback = paramLookback.ValueInt;
			
			//Average Volume Days
			int VolumeAvg = paramVolumeAvg.ValueInt;

// Volume is X% > SMA(Volume)
			double volumePct = paramVolumeHi.Value;

int u = 0, d = 0;
         
			DataSeries SMAVolumeGtPct = SMA.Series(Volume,VolumeAvg) * ( volumePct/100d);
			DataSeries CounterUp = new DataSeries(Volume, string.Format("Up bars on heavy volume over {0} bars", lookback));
			DataSeries CounterDn = new DataSeries(Volume, string.Format("Down bars on heavy volume over {0} bars", lookback));

for (int bar = lookback; bar < Bars.Count; bar++)
			{
				u = 0; d = 0;
				for (int b = bar; b > bar - lookback; b--)
				{
					if(Volume[b] > SMAVolumeGtPct[b])
					{
						if(Close[b] > Close[b - 1])
							u++;
						if( (Close[b] < Close[b - 1]) )
							d++;
					}
				}
            
				CounterUp[bar] = u;
				CounterDn[bar] = d;
			}
			
			DataSeries UpLessDn = CounterUp - CounterDn ;

// Plot series
			// ChartPane pc2 = CreatePane(30,true,true);
			ChartPane pc1 = CreatePane(30,true,true);
			PlotSeries(pc1, CounterUp, Color.DarkGreen, LineStyle.Solid, 3 );
			PlotSeries(pc1, CounterDn, Color.Red, LineStyle.Solid, 3 );
			PlotSeries(pc1, UpLessDn, Color.White, LineStyle.Solid, 3 );
			PlotSeries(VolumePane, SMAVolumeGtPct, Color.Red, LineStyle.Dotted, 2 );
		}
	}
}
[/code]