How to create a new technical indicator with WLD 6.1

lookingbackon

#1

3/5/2011 11:34 AM

Hello,
I failed to find the function of "new indicator wizard"to create some new indicator for strategy development. Could you pls advice whether the function is still available with WLD 6.1 or not? Or any other solution to address the issue?
Thanks a lot for the support in advance.
Regards

Barry

Eugene

#2

3/5/2011 11:54 AM

Hello Barry,

No, this feature is no longer available in WL6. Custom indicators that you drag and drop or use in the rule wizard ("formal" indicators) are developed in an IDE like Visual Studio or SharpDevelop and then used in WL6 as compiled libraries.

May I ask what kind of new indicator is on your mind? Could we help with coding it?

lookingbackon

#3

3/6/2011 4:22 AM

Hello Eugene,
Thanks for the reply. Would be great if you help with coding some new indicators not available in the WLD6.1.

Basically, the idea is to create K,D and J indicators based on the Stoch%K, Stoch%D with 3 days. The calculation formula are as below:

Stoch%K=(Cn-Ln)/(Hn-Ln)*100

K = 3-day SMA of stoch%K
D = 3-day SMA of K
J = 3*K - 2*D

Would appreciate if you can help on the coding of those and find me a solution on how to add these indicators into "indicator" library of WLD6.1,so that I can drag/drop them to create specific strategy coding.
Regards
Barry

Eugene

#4

3/6/2011 5:16 AM

Here's how you can code this oscillator on the fly:

CODE:
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The resulting indicator doesn't fit in our criterias on including in Community Indicators (i.e. less than four math operations). Let me know if you need assistance on building your own library of compiled indicators that will include the K,D and J oscillators.

lookingbackon

#5

3/6/2011 5:41 AM

Thanks a lot Eugene. It's really helpful.
Now I do need your assistance on how to add these indicators into my own library which can be used for drag/drop upon strategy develop/coding. ( This is actually my intention of my last post:))
Thanks
Barry

Eugene

#6

3/6/2011 7:25 AM

The K and D indicators doesn't require including in an indicator library. Just drop a SMA over your StochK, and then drop another SMA on top of the first indicator.

Once you download the Community.Indicators source code from the Wiki (see your open ticket), get familiar with the IDE of choice, with the API manual (see "Create an Indicator Library"), here's the complete 'formal' indicator code to drop in your custom project. The StochK averaging period, the two coefficients etc. -- all variables are made configurable.

CODE:
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The K and D indicators doesn't require including in an indicator library. Just drop a SMA over your StochK, and then drop another SMA on top of the first indicator.

Once you download the Community.Indicators source code from the Wiki (see your open ticket), get familiar with the IDE of choice, with the [LINK=http://www2.wealth-lab.com/WL5WIKI/apiDevelopmentGuide.ashx]API manual[/LINK] (see "Create an Indicator Library"), here's the complete 'formal' indicator code to drop in your custom project. The StochK averaging period, the two coefficients etc. -- all variables are made configurable.
[CODE]public class J_Oscillator : DataSeries
{
    private Bars bars;
    private int period;
    private int avg;
    private double mult1;
    private double mult2;

public J_Oscillator(Bars bars, int period, int avg, double mult1, double mult2, string description)
        : base(bars, description)
    {
        this.bars = bars;
        this.period = period;
        this.avg = avg;
        this.mult1 = mult1;
        this.mult2 = mult2;

FirstValidValue = period;
        if (FirstValidValue < 2) FirstValidValue = 2;

StochK k = StochK.Series(bars, period);
        DataSeries K = SMA.Series(k, avg);
        DataSeries D = SMA.Series(K, avg);
        DataSeries J = mult1 * K - mult2 * D;

for (int bar = FirstValidValue; bar < bars.Count; bar++)
        {
            base[bar] = J[bar];
        }
    }

public static J_Oscillator Series(Bars bars, int period, int avg, double mult1, double mult2)
    {
        string description = string.Concat(new object[] { "J(", period, ",", avg, ",", mult1, ",", mult2, ")" });

if (bars.Cache.ContainsKey(description))
        {
            return (J_Oscillator)bars.Cache[description];
        }

J_Oscillator _J_Oscillator = new J_Oscillator(bars, period, avg, mult1, mult2, description);
        bars.Cache[description] = _J_Oscillator;
        return _J_Oscillator;
    }
}

public class J_OscillatorHelper : IndicatorHelper
{
    private static object[] _paramDefaults;
    private static string[] _paramNames;

static J_OscillatorHelper()
    {
        _paramDefaults = new object[] { BarDataType.Bars, new RangeBoundInt32(12, 2, 300), new RangeBoundInt32(3, 2, 100), 
            new RangeBoundDouble(3.0,0.5,10.0), new RangeBoundDouble(2.0,0.5,10.0) };
        _paramNames = new string[] { "Bars", "Period", "Average", "Coeff.1", "Coeff.2" };
    }

public override Color DefaultColor
    {
        get
        {
            return Color.Blue;
        }
    }

public override int DefaultWidth
    {
        get
        {
            return 1;
        }
    }

public override LineStyle DefaultStyle
    {
        get
        {
            return LineStyle.Solid;
        }

}

public override string Description
    {
        get
        {
            return "J oscillator";
        }
    }

public override Type IndicatorType
    {
        get
        {
            return typeof(J_Oscillator);
        }
    }

public override IList<object> ParameterDefaultValues
    {
        get
        {
            return _paramDefaults;
        }
    }

public override IList<string> ParameterDescriptions
    {
        get
        {
            return _paramNames;
        }
    }

public override string TargetPane
    {
        get
        {
            return "Jpane";
        }
    }

public override bool IsOscillator
    {
        get
        {
            return true;
        }
    }

public override double OscillatorOverboughtValue
    {
        get
        {
            return 80;
        }
    }

public override double OscillatorOversoldValue
    {
        get
        {
            return 20;
        }
    }
}
[/CODE]

lookingbackon

#7

3/6/2011 10:35 AM

Thanks, got it.
Another question for your help:

within a strategy coding,is it possible to use weekly KDJ data for long term trend judgment then use daily KDJ data for entry/exit trigger? I mean whether it is allowable to quote weekly and daily data in one strategy?
e.g.: the idea is that(for instance):
(1)If Weekly J > weekly K
(2)And Daily J up cross over Daily K
Then Enter Long at market price
Thanks

Eugene

#8

3/6/2011 10:50 AM

QUOTE:
I mean whether it is allowable to quote weekly and daily data in one strategy?

Sure it's possible. Check out the WealthScript Programming Guide (section "Multi-Time Frame Analysis") and the QuickRef, "Time Frames".

CODE:
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[QUOTE]I mean whether it is allowable to quote weekly and daily data in one strategy?[/QUOTE]
Sure it's possible. Check out the WealthScript Programming Guide (section "Multi-Time Frame Analysis") and the QuickRef, "Time Frames".
[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
	{
		private StrategyParameter paramPeriod;
		
		public MyStrategy()
		{
			paramPeriod = CreateParameter("Period", 10, 1, 300, 1);
		}
		
		protected override void Execute()
		{
			StochK k = StochK.Series( Bars,paramPeriod.ValueInt );
			DataSeries K = SMA.Series(k,3); K.Description = "Daily K";
			DataSeries D = SMA.Series(K,3); D.Description = "Daily D";
			DataSeries J = 3*K - 2*D; J.Description = "Daily J";
			
			SetScaleWeekly();
			DataSeries wK = SMA.Series(StochK.Series( Bars,paramPeriod.ValueInt ),3);
			DataSeries wD = SMA.Series(wK,3); wK.Description = "Weekly K"; wD.Description = "Weekly D";
			DataSeries WeeklyJ = 3*wK - 2*wD; WeeklyJ.Description = "WeeklyJ";
			RestoreScale();
			wK = Synchronize(wK);
			wD = Synchronize(wD);
			WeeklyJ = Synchronize(WeeklyJ);
			
			ChartPane jPane = CreatePane( 25,true,true );
			DrawHorzLine( jPane, 80.0, Color.Plum, LineStyle.Dashed, 1 );
			DrawHorzLine( jPane, 20.0, Color.LightGreen, LineStyle.Dashed, 1 );
			PlotSeriesOscillator( jPane, J, 80.0, 20.0, Color.FromArgb(50,Color.Red), 
				Color.FromArgb(50,Color.Green), Color.Blue, LineStyle.Solid, 1 );
			PlotSeries( jPane, K, Color.Red, LineStyle.Dashed, 1 );
			
			ChartPane wjPane = CreatePane( 25,true,true );
			DrawHorzLine( wjPane, 80.0, Color.Plum, LineStyle.Dashed, 1 );
			DrawHorzLine( wjPane, 20.0, Color.LightGreen, LineStyle.Dashed, 1 );
			PlotSeriesOscillator( wjPane, WeeklyJ, 80.0, 20.0, Color.FromArgb(50,Color.Red), 
				Color.FromArgb(50,Color.Green), Color.Blue, LineStyle.Solid, 1 );
			PlotSeries( wjPane, wK, Color.Red, LineStyle.Dashed, 1 );
			
			for(int bar = paramPeriod.ValueInt; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					SellAtMarket( bar+1, LastPosition, "test" );
				}
				else
				{
					//(1)If Weekly J > weekly K
					//	(2)And Daily J up cross over Daily K
					//Then Enter Long at market price
					
					if( WeeklyJ[bar] > wK[bar] )
						if( CrossOver( bar, J, K ) )
							BuyAtMarket( bar+1 );

}
			}
		}
	}
}[/CODE]

lookingbackon

#9

3/6/2011 11:01 AM

It's really great. Thanks a lot Eugene.
Look forward to receive further support/help from you.
Regards
Barry

lookingbackon

#10

3/6/2011 1:24 PM

Hello Eugene,

I got difficultes to transfer the follwoing entry and exit idea into correct strategy coding:

Entry rules
(1)If Weekly J > weekly K
(2)and If Daily D < paramOversold (Oversold,50,1,100,1)
(3)and If Daily J up CrossOver Daily K
Then buy at market price

Exit Rules
(1)If Weekly J down CrossOver Weekly K
Then sell at market price

Could you pls help on that? Thanks
Barry

Eugene

#11

3/6/2011 1:32 PM

What exact difficulties have you got?

lookingbackon

#12

3/7/2011 4:09 AM

I formulated the following draft trading system, but looks like can't properly run accordingly to the criterion. Could you pls help to check whether there is something wrong with syntax or others?

CODE:
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Below is the whole draft strategy coding for reference.

CODE:
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I formulated the following draft trading system, but looks like can't properly run accordingly to the criterion. Could you pls help to check whether there is something wrong with syntax or others?
[CODE]for(int bar = paramPeriodDaily.ValueInt; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				
				
					//Determing enter Long criterion
					//(1)If Weekly J > weekly K
					//(2)And Daily D < paramDailyD (oversold level)
					//(3)And Daily J up cross over Daily K
					//Then Enter Long at market price
					
					if( WeeklyJ[bar] > wK[bar] )
						if( D[bar] < paramDailyD )
							if( CrossOver( bar, J, K ) )
							  BuyAtMarket( bar+1 );
				else
				{	
					//Determing exit long criterion
					//(1)If weely J down cross over weekly K
					//Then sell all position
					if(	CrossOver (bar, wK, WeeklyJ ) )
								SellAtMarket( bar+1,LastPosition );
                }   
            }  
		}
	}
 }
[/CODE]
Below is the whole draft strategy coding for reference.
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class KDJcrossover: WealthScript
	{
		//Creat Parameters
		StrategyParameter paramPeriodDaily;
		StrategyParameter paramPeriodWeekly;
		StrategyParameter paramDailyD;
	
		
		public KDJcrossover()
		{
			paramPeriodDaily = CreateParameter("Period-Daily", 19, 1, 300, 1);
			paramPeriodWeekly = CreateParameter("Period-Weekly", 9, 1, 300, 1);
			paramDailyD = CreateParameter("DailyD", 30, 0, 100, 1);			
			
		}
		
		protected override void Execute()
		{
			StochK k = StochK.Series( Bars,paramPeriodDaily.ValueInt );
			DataSeries K = SMA.Series(k,3); K.Description = "Daily K";
			DataSeries D = SMA.Series(K,3); D.Description = "Daily D";
			DataSeries J = 3*K - 2*D; J.Description = "Daily J";
			
			
			SetScaleWeekly();
			DataSeries wK = SMA.Series(StochK.Series( Bars,paramPeriodWeekly.ValueInt ),3);wK.Description = "Weekly K";
			DataSeries wD = SMA.Series(wK,3);wD.Description = "Weekly D";
			DataSeries WeeklyJ = 3*wK - 2*wD; WeeklyJ.Description = "WeeklyJ";
			RestoreScale();
			wK = Synchronize(wK);
			wD = Synchronize(wD);
			WeeklyJ = Synchronize(WeeklyJ);			
			
			ChartPane jPane = CreatePane( 50,false,true );
			DrawHorzLine( jPane, 80.0, Color.Plum, LineStyle.Dashed, 1 );
			DrawHorzLine( jPane, 20.0, Color.LightGreen, LineStyle.Dashed, 1 );
			PlotSeriesOscillator( jPane, J, 80.0, 20.0, Color.FromArgb(50,Color.Red), 
				Color.FromArgb(50,Color.Green), Color.Red, LineStyle.Solid, 2 );
			PlotSeries( jPane, K, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries( jPane, D, Color.Green, LineStyle.Solid, 2 );
			
			ChartPane wjPane = CreatePane( 50,false,true );
			DrawHorzLine( wjPane, 80.0, Color.Plum, LineStyle.Dashed, 1 );
			DrawHorzLine( wjPane, 20.0, Color.LightGreen, LineStyle.Dashed, 1 );
			PlotSeriesOscillator( wjPane, WeeklyJ, 80.0, 20.0, Color.FromArgb(50,Color.Red), 
				Color.FromArgb(50,Color.Green), Color.Red, LineStyle.Solid, 2 );
			PlotSeries( wjPane, wK, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries( wjPane, wD, Color.Green, LineStyle.Solid, 2 );
			
			for(int bar = paramPeriodDaily.ValueInt; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				
				
					//Determing enter Long criterion
					//(1)If Weekly J > weekly K
					//(2)And Daily D < paramDailyD (oversold level)
					//(3)And Daily J up cross over Daily K
					//Then Enter Long at market price
					
					if( WeeklyJ[bar] > wK[bar] )
						if( D[bar] < paramDailyD )
							if( CrossOver( bar, J, K ) )
							  BuyAtMarket( bar+1 );
				else
				{	
					//Determing exit long criterion
					//(1)If weely J down cross over weekly K
					//Then sell all position
					if(	CrossOver (bar, wK, WeeklyJ ) )
								SellAtMarket( bar+1,LastPosition );
                }   
            }  
		}
	}
 }
[/CODE]