DrKoch's HiLoLimit Indicator - Wealth Lab Forum

thodder

#1

9/9/2009 10:13 AM

I've ported DrKoch's HiLoLimit Indicator from WL4 to WLP5.4 (http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/libraryview?item=234). Could you add this to the Community.Indicator library?

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I've ported DrKoch's HiLoLimit Indicator from WL4 to WLP5.4 ([LINK]http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/libraryview?item=234[/LINK]).  Could you add this to the Community.Indicator library?

[CODE]
	public class HiLoRange : DataSeries
	{
		
		public HiLoRange(Bars bars, int period, string description)
			: base(bars, description)
		{
			for(int i = 0; i < bars.Count; i++)
			{
				this[i] = Value(i, bars, period);
			}
		}
		
		static public HiLoRange Series(Bars bars, int period)
		{
			return new HiLoRange(bars, period, string.Format("HiLoRange({0}, {1})", bars.Symbol, period.ToString()));
		}
		
		static public double Value(int bar, Bars bars, int period)
		{
			return Highest.Value(bar, bars.High, period) - Lowest.Value(bar, bars.Low, period);
		}
	}

public class HiLoLimit : DataSeries
	{
		public HiLoLimit(Bars bars, int period, double level, double minrange, string description)
			: base(bars, description)
		{
			for(int i = 0; i < bars.Count; i++)
			{
				this[i] =  Value(i, bars, period, level, minrange);
			}
		}
		
		static public HiLoLimit Series(Bars bars, int period, double level, double minrange)
		{
			return new HiLoLimit(bars, period, level, minrange, string.Format("HiLoLimit({0}, {1}, {2}, {3})", bars.Symbol, period.ToString(), level.ToString(), minrange.ToString()));
		}
		
		static public double Value(int bar, Bars bars, int period, double level, double minrange)
		{
			double result = 0.0;
			
			double ls = Lowest.Value(bar, bars.Low, period);
			double ds = HiLoRange.Value(bar, bars, period);
			
			if (minrange == 0.0)
			{
				result =  ls + (ds * (level / 100));
			}
			else
			{
				double l = ls;
				double range = ds;
				double mid = l + range / 2;
				double mrange = l * minrange / 100.0;
				
				if (range < mrange )
					range = mrange;
				
				result =  mid + (level/100.0 - 0.5) * range;
			}
			
			return result;
		}
	}
[/CODE]

Eugene

#2

9/9/2009 10:28 AM

Thanks again for sharing the work. Will be included in Community.Indicators 2009.10.

thodder

#3

9/9/2009 3:04 PM

I figured if DrKoch could share the original design, I could certainly share the port. You're welcome.

warren631

#4

9/27/2009 7:14 AM

Thodder - thank you for doing this conversion work for all of us.
Eugene - when will Community.Indicators 2009.10 be available? End of October?

Eugene

#5

9/27/2009 7:23 AM

I think today.

thodder

#6

9/28/2009 8:48 AM

Thanks Eugene!

You could use this as an example. I ported DrKoch's Basic HiLoLimit Trader to WLP5:

Basic HiLoLimit Trader: http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=28887
AutoStops: http://www2.wealth-lab.com/WL5Wiki/kbAutoStops.ashx

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Thanks Eugene!

You could use this as an example.  I ported DrKoch's Basic HiLoLimit Trader to WLP5:

Basic HiLoLimit Trader:  [LINK]http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=28887[/LINK]
AutoStops:  [LINK]http://www2.wealth-lab.com/WL5Wiki/kbAutoStops.ashx[/LINK]

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

namespace WealthLab.Strategies
{
	public class HiLoLimitTrader : WealthScript
	{
		public enum AutoStopMode { AsPercent, AsPoint };
		
		StrategyParameter spPeriod;
		StrategyParameter spHiLoLevel;
		StrategyParameter spProfitTarget;
		StrategyParameter spTimeout;
		
		public HiLoLimitTrader()
		{
			spPeriod = CreateParameter("Period", 6, 5, 50, 1);
			spHiLoLevel = CreateParameter("Hi Lo Level", -11, -50, 50, 1);
			spProfitTarget = CreateParameter("Profit Target", 1.9, 1.0, 30.0, 0.1);
			spTimeout = CreateParameter("Timeout bars", 3, 1, 50, 1);
		}
		
		protected override void Execute()
		{
			// Variables
			int HLRSI_length = 6;
			double HLRSI_Buy = 35.0;
			double HLRSI_Sell = 52.0;

// Parameters
			int lookback_period = spPeriod.ValueInt;
			int hilo_level = spHiLoLevel.ValueInt;
			double minrange = 0.0;
			double profit_target = spProfitTarget.Value;
			int timeout = spTimeout.ValueInt;

DataSeries hs = Highest.Series(High, lookback_period);
			DataSeries ls = Lowest.Series(Low, lookback_period);

DataSeries hilo_s = HiLoLimit.Series(Bars, lookback_period, hilo_level, minrange);

HideVolume();

PlotSeries(PricePane, hs, Color.Green, WealthLab.LineStyle.Solid, 1);
			PlotSeries(PricePane, ls, Color.Blue, WealthLab.LineStyle.Solid, 1);

PlotSeries(PricePane, hilo_s, Color.Pink, WealthLab.LineStyle.Solid, 1);

DataSeries LimitPrice_s = hilo_s >> 1;
			LimitPrice_s.Description = "Limit Price";
			PlotSeries(PricePane, LimitPrice_s, Color.Red, WealthLab.LineStyle.Dotted, 3);
			
			// BandTrader expanded - begin
			InstallProfitTarget ( profit_target );
			
			for(int bar = lookback_period; bar < Bars.Count; bar++)
			{
				ApplyAutoStops(bar);
				
				double limitPrice = hilo_s[bar];
				if (limitPrice == 0.0) continue;
				
				BuyAtLimit(bar + 1, limitPrice, "");
			
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					if ( (bar + 1 - p.EntryBar) > timeout )
					{
						SellAtMarket(bar + 1, p, "DaysExpired");
					}
				}
			}
			// BandTrader expanded - end

// Visualize Results
			// show profits as background color
			Community.Components.Utility u = new Community.Components.Utility(this);
			u.WinLossBackground(2);
		}

#region AutoStops
		
		//values greater than zero signal that an autostop method is enabled
		//(so pass -1 to the InstallXX methods to disable them)

private double stopLossAmt = -1;
		private double profitTarget = -1;
		private int timeBars = -1;
		private double revBreakevenStopLevel = -1;
		private double breakevenStopLevel = -1;
		private double trailingStopTriggerLevel = -1;
		private double trailingStopLevel = -1;
		private AutoStopMode _autoStopMode = AutoStopMode.AsPercent; //default is always percentage based
		
		protected virtual void ApplyAutoStops(int Bar)
		{
			for (int j = 0; j < this.ActivePositions.Count; j++)			
			{
				Position p = ActivePositions[j];
				if(Bar <= p.EntryBar)
					continue;

#region Time Based Exit
				if (timeBars > 0 && Bar + 1 - p.EntryBar >= timeBars)
				{
					if(ExitAtMarket(Bar, p, "Time-Based"))
						continue;
				}
				#endregion

#region Stop Loss
				if (stopLossAmt > 0)
				{
					double stopPrice = 0;
					switch (_autoStopMode)
					{
						case AutoStopMode.AsPercent:
						{
							if (p.PositionType == PositionType.Long)
								stopPrice = p.EntryPrice * (1.0 - (stopLossAmt / 100.0));
							else
								stopPrice = p.EntryPrice * (1.0 + (stopLossAmt / 100.0));
							break;
						}
						case AutoStopMode.AsPoint:
						{
							if (p.PositionType == PositionType.Long)
								stopPrice =	p.EntryPrice - stopLossAmt;
							else
								stopPrice =	p.EntryPrice + stopLossAmt;
							break;
						}
					}
					if (ExitAtStop(Bar, p, stopPrice, "Stop Loss"))
						continue;
				}
				#endregion

#region Trailing Stop
				if (trailingStopTriggerLevel > 0)
				{
					if(_autoStopMode == AutoStopMode.AsPercent)
					{
						//nice simple case, we can use the built-in function
						if(ExitAtAutoTrailingStop(Bar, p, trailingStopTriggerLevel, trailingStopLevel, "Trailing Stop"))
							continue;
					}
					else
					{
						bool triggerExit = false; //signals whether we want to call the AutoTrailingStop function
						if(p.PositionType == PositionType.Long)
						{
							if(p.HighestHighAsOfBar(Bar-1) - p.EntryPrice > trailingStopTriggerLevel)
								triggerExit = true;
						}
						else
						{
							if(p.EntryPrice - p.LowestLowAsOfBar(Bar-1) > trailingStopTriggerLevel)
								triggerExit = true;
						}
						if(triggerExit)
						{
							//call the AutoTrailingStop function passing zero as the trigger level since we 
							//already determined we want the stop to trigger
							if(ExitAtAutoTrailingStop(Bar, p, 0, trailingStopLevel, "Trailing Stop"))
								continue;
						}
					}
				}
				#endregion

#region Reverse Breakeven Stop
				if (revBreakevenStopLevel > 0)
				{
					bool triggerExit = false;
					switch (_autoStopMode)
					{
						case AutoStopMode.AsPercent:
						{
							if(p.MAEAsOfBarPercent(Bar-1) < -revBreakevenStopLevel)
								triggerExit = true;
							break;
						}
						case AutoStopMode.AsPoint:
						{
							if(p.PositionType == PositionType.Long)
							{
								if(p.EntryPrice - p.LowestLowAsOfBar(Bar-1) > revBreakevenStopLevel)
									triggerExit = true;
							}
							else
							{
								if(p.HighestHighAsOfBar(Bar-1) - p.EntryPrice  > revBreakevenStopLevel)
									triggerExit = true;
							}
							break;
						}
					}
					if(triggerExit)
						if (ExitAtLimit(Bar, p, p.EntryPrice, "Reverse BreakEven Stop"))
							continue;
				}
				#endregion

#region Breakeven Stop
				if (breakevenStopLevel > 0)
				{
					bool triggerExit = false;
					switch (_autoStopMode)
					{
						case AutoStopMode.AsPercent:
						{
							if(p.MFEAsOfBarPercent(Bar-1) > breakevenStopLevel)
								triggerExit = true;
							break;
						}
						case AutoStopMode.AsPoint:
						{
							if(p.PositionType == PositionType.Long)
							{
								if(p.HighestHighAsOfBar(Bar-1) - p.EntryPrice > breakevenStopLevel)
									triggerExit = true;
							}
							else
							{
								if(p.EntryPrice - p.LowestLowAsOfBar(Bar-1)  > breakevenStopLevel)
									triggerExit = true;
							}
							break;
						}
					}
					if(triggerExit)
						if (ExitAtStop(Bar, p, p.EntryPrice, "Breakeven Stop"))
							continue;
				}
				#endregion

#region Profit Target
				if (profitTarget > 0)
				{
					double targetPrice = 0;
					switch (_autoStopMode)
					{
						case AutoStopMode.AsPercent:
						{
							if (p.PositionType == PositionType.Long)
								targetPrice	= p.EntryPrice * (1.0 + (profitTarget / 100.0));
							else
								targetPrice	= p.EntryPrice * (1.0 - (profitTarget / 100.0));
							break;
						}
						case AutoStopMode.AsPoint:
						{
							if (p.PositionType == PositionType.Long)
								targetPrice = p.EntryPrice + profitTarget;
							else
								targetPrice	= p.EntryPrice - profitTarget;
							break;
						}
					}
					if (ExitAtLimit(Bar, p, targetPrice, "Profit Target"))
						continue;
				}
				#endregion
			}
			//for the final Bar of the script run we need to 
			//call for Bar + 1 to generate Bar + 1 alerts
			if(Bar == Bars.Count - 1)
				ApplyAutoStops(Bar + 1);			
		}

protected virtual void SetAutoStopMode(AutoStopMode mode)
		{
			_autoStopMode = mode;
		}

protected virtual void InstallTimeBasedExit(int Bars)
		{
			timeBars = Bars;
		}

protected virtual void InstallStopLoss(double StopLevel) 
		{
			stopLossAmt = StopLevel;
		}

protected virtual void InstallTrailingStop(double Trigger, double StopLevel) 
		{
			trailingStopTriggerLevel = Trigger;
			trailingStopLevel = StopLevel;
		}

protected virtual void InstallReverseBreakEvenStop(double LossLevel) 
		{
			revBreakevenStopLevel = LossLevel;
		}

protected virtual void InstallBreakEvenStop(double Trigger) 
		{
			breakevenStopLevel = Trigger;
		}

protected virtual void InstallProfitTarget(double TargetLevel) 
		{
			profitTarget = TargetLevel;
		}
		
		#endregion
	}
}
[/CODE]

Eugene

#7

9/28/2009 8:57 AM

Thanks Tim. I have a better idea - how about publishing the Strategy on the site?

thodder

#8

9/28/2009 9:02 AM

I could; however, there was a spot on the HiLoLimit page for an example (http://www2.wealth-lab.com/WL5WIKI/Default.aspx?Page=HiLoLimit). It just seemed appropriate for it to go there since this was DrKoch's example.

If I publish this strategy, you know there are going to be questions on why this does not work as some will not have the latest Community.Components and Community.Indicator libraries installed.

Eugene

#9

9/28/2009 9:12 AM

QUOTE:
It just seemed appropriate for it to go there since this was DrKoch's example.

That's right, but unless AutoStops are in Community.Components (and they aren't currently), including them in your code makes the example pretty difficult to read from screen. (We aim for quick concise examples in those indicator descriptions. And since the code is pretty long, everyone will rather copy/paste it in the editor, and here is where Strategy Downloads shine.)

QUOTE:
If I publish this strategy, you know there are going to be questions on why this does not work as some will not have the latest Community.Components and Community.Indicator libraries installed.

Highlighting this fact in Strategy Description is enough.

thodder

#10

9/28/2009 9:44 AM

Public strategy uploaded.

Eugene

#11

9/28/2009 10:10 AM

Thank you. It's available now.

kribel

#12

3/11/2015 9:54 AM

Hi,

I had a look at the HiLoLimit Indicator and I am convinced that it does nice things. I looked at some forum threads and the Wiki.

The problem is, that I understand the formula, but I do not understand what information the indicator is telling about the stock behind it. Can some body help to understand it in more detail?

Many thanks!

Cone

#13

3/11/2015 10:56 AM

Since "minrange" is 0 in the script, HiLoLimit is just the Low of the last n-period bars plus a percentage of the High-to-Low range over the same n-period. The percentage is set by the HiLowLevel slider, which can be negative. Since the result is used as the limit price for the next bar, the series is advanced by one bar in the plot to show the crossings.

LenMoz

#14

3/11/2015 11:47 AM

Is HiLowLimit a tradeable strategy? Like most of the "Dip Buyer" strategies, it issues a limit buy for every stock in the portfolio, at every single bar, but setting the limit price such that most will not be met. But on a sharply lower day like last Friday, a fair number of them may trigger.

I'll just ask the larger question. How would (all of) these orders be entered?