Price passes a peak, achieving new high

romaioi

#1

5/25/2015 11:18 AM

Back attempting to code after a second multi-year break - well the last attempt didn't last more than the week spent around the last thread I started. I've attempted to code up a translated script in version 6/C# based language. Below is where I came to. It still has some compile errors - I've made comments on the line where those sticking points arose. Is anyone able to provide me with some guidance on cleaning it up to make it work?

This one is around getting the peak functions to work. The aim was to identify when price passes a peak, effectively achieving a fresh high.

CODE:
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Back attempting to code after a second multi-year break - well the last attempt didn't last more than the week spent around the last thread I started. I've attempted to code up a translated script in version 6/C# based language. Below is where I came to. It still has some compile errors - I've made comments on the line where those sticking points arose. Is anyone able to provide me with some guidance on cleaning it up to make it work?

This one is around getting the peak functions to work. The aim was to identify when price passes a peak, effectively achieving a fresh high.

[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
	{
		protected override void Execute()
		{		    
			DataSeries EMA15 = EMAModern.Series(Close, 15);
			DataSeries EMA30 = EMAModern.Series(Close, 30);
	
			for (int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						SellAtClose(bar, p, "Group1");
					}
				}
				else
				{
					bool setupValid = false;
					/**DataSeries PB =  PeakBar.Series(High, 10, PeakTroughMode.Percent); /** Causes compile error*/
					PB = PeakBar.Value(bar, High, 10, PeakTroughMode.Percent); /** Causes compile error*/
					if (Peak.Value(bar, High, 10, PeakTroughMode.Percent) != Peak.Value(bar-1, High, 10,PeakTroughMode.Percent))
					{
					    setupValid = true;
				    }
					if (setupValid);
					int nobars_since_P = bar - PB; /** Causes compile error*/ 
					if (nobars_since_P > 1); /** Causes compile error*/ 
					
					if (CrossOver(bar, High, High[PB]));  /** Causes compile error*/ 
										
					BuyAtMarket(bar + 1, "Group1|");
				}
			}
		}
	}
}
[/code]

Eugene

#2

5/25/2015 11:52 AM

Gianluca,

Let's put WSTL out of the equation and focus at what rules/conditions you're trying to accomplish. Price exceeding the previous peak aiming at a new high:

CODE:
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romaioi

#3

5/25/2015 12:15 PM

Thanks for the suggestion Eugene. Much appreciated. It looks simpler. I'll play around with combining that with a number of other rules to see if I can arrive at equivalent scripts to some of my older ones and generate the same results.

romaioi

#4

5/31/2015 11:40 AM

Hi Eugene,

Hope you don't mind a follow up query. I added the following lines just above "BuyAtMarket(bar+1)" to introduce a rule to buy after price passes the peak. (Also used lower peak thresholds to be able to see more events.)

CODE:
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My read of the result is that all previous peaks are used a reference points for the price cross (rather than the last peak).....as multiple entry markers that are below the most recent peak (relative to the entry markers) are observed. Is this correct? Is there a smart way to ensure the last peak is considered (I was thinking a 10 bar lookback would work but its too arbitrary)? Or is there something I need to understand about how the code works in consideration to the example you provided?

Apologies for this being rather basic, but it will help me rebuild much more than what I am asking about.

Sincerely,

Gianluca

Eugene

#5

5/31/2015 12:20 PM

Gianluca,

A new peak can be discovered when the price has declined a defined percentage. This is just what my example code above showed. In plain English, what are your buy/sell rules - precisely? Is it buy all time high or something else? Please clarify what you want to achieve.

romaioi

#6

6/1/2015 3:50 AM

Hi Eugene,

Precise rules wrt to the query are in Italics. In the script attempted above, there was only one key rule: if price (intraday high in this case) crosses above than the most recent peak, then by at market.

Once that's working, the intention is to apply the following:
If price surpasses the previous peak within 12 days of the Close crossing above the 20 day moving average, then buy at market. Peak thresholds used are between 4 & 10%.

I managed to get this working in version 4, but am just trying to recode and expand in the v6 language. Getting the "price surpassing the most recent peak" test working was the key aspect I had trouble with back in v4 and now here.

I used the SellAtClose rule just to help with testing. But otherwise will use an initial stop just below the most recent trough followed by an ATR based trailing stop.

Sincerely, Gianluca

Eugene

#7

6/1/2015 4:53 AM

Here you go:

CODE:
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Keep in mind that a peak is detected once the price has already declined.

Size:

Color:

Here you go:

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

namespace WealthLab.Strategies
{
	public class romaioi_20150601: WealthScript
	{
		private StrategyParameter paramDays;
		private StrategyParameter paramPeak;

public romaioi_20150601()
		{
			paramDays = CreateParameter("Within days", 12, 2, 30, 2);
			paramPeak = CreateParameter("Peak %", 10, 4, 10, 1);      
		}
		
		protected override void Execute()
		{
			int Timeout = paramDays.ValueInt;
			bool SetupValid = false; int SetupBar = -1; double prevPeak = -1;
			Peak peak = Peak.Series( High, paramPeak.Value, PeakTroughMode.Percent);
			SMA sma = SMA.Series( Close, 20 );
			PlotSeries( PricePane, peak, Color.Red, LineStyle.Dots, 3 );
			PlotSeries( PricePane, sma, Color.Blue, LineStyle.Solid, 1 );
         
			for (int bar = 1; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{ 
					Position p = LastPosition;
					SellAtClose(bar, p);
				}
				else
				{
					if( !SetupValid )
					{
						if( CrossOver( bar, Close, sma ) )
						{
							SetupValid = true; SetupBar = bar; prevPeak = peak[bar];
							SetBackgroundColor(bar, Color.FromArgb( 30, Color.Cyan) );
						}
					}
					
					if( SetupValid )
					{
						//If price surpasses the previous peak within 12 days of the Close crossing above the 20 day moving average, then buy at market
						if( bar + 1 - SetupBar < Timeout )
						{
							if( peak[bar] > prevPeak && peak[bar] > 0 )
								if( BuyAtMarket(bar + 1) != null )
								{
									AnnotateBar( string.Concat("Previous peak = ", Bars.FormatValue(prevPeak), 
										"\r\nCurrent peak = ", Bars.FormatValue(peak[bar])), bar, true, Color.Black );
									SetupValid = false;
								}
						}
						else
							SetupValid = false;
					}
				}
			}
		}        
	}
}[/code]

Keep in mind that a peak is detected once the price has already declined.

WEALTHPRO25

#8

3/15/2018 12:32 PM

i wanted price pass a peak after new low and i modified the code, it works fine, however when i screen i do not get alert notification even though in the trades i can see all the trades and dates, i would like to get the alerts showing the trades when i screen, please help, thanks

CODE:
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Eugene

#9

3/15/2018 1:30 PM

It doesn't work fine - it badly peaks into the future. Same with alerts. That's what you get for breaking working code from post #2 and not reading the WealthScript Programming Guide. Solution: FAQ | Strategies and WealthScript > Alerts are not triggered

superticker

#10

3/15/2018 5:26 PM

Alerts are only created for the off-the-chart bar (i.e. "bar+1" when bar=Bars.Count-1 in the trading FOR loop). Change the code to:

CODE:
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I'm not sure why you want to unconditionally sell the LastPosition. This doesn't make sense to me unless you want to hold the position for only one bar. Why would you want to do that?... day trading?