Scanning outside bar pattern - Wealth Lab Forum

pichu_1972

#1

4/8/2016 10:18 AM

Hello everybody, this is my first post, my name is Juan, from Spain and I must say THANKS for this wonderful software.

I am programming with monthly bars and I can detect outside bars:
-High > Previous High
-Low < Previous Low
But I need to know what happens first.

"Ascending" outside bar(inMonthly): First L < Previous L and then H > Previous H
"Descending" outside bar(inMonthly): First H > Previous H and then L < Previous L

As I am working with monthly bars, I can not set scale weekly, dayly..... and have a look inside the outside bar.

Any help to know what happens first??
For example If I find an "ascending" outsidebar I would relocate my stop loss to the LOW of the outsidebar but if the outsidebar is "descending" my stops loss remains where it was located (this is only an example)
Thanks

Eugene

#2

4/8/2016 10:27 AM

¡Hola y bienvenido al forum Juan! We appreciate that you like the product.

What do you mean that you can not set Weekly/EOD scale?

1. Is the data available in Monthly scale exclusively? In this case, you could only make biased assumptions like, for example, LimitPriorityLong from Community Components is making. Check out PositionEx.cs in the source code. On the other hand if it were a fundamental/sentiment series it would have Close only, but since it's an OHLC there must be a lower bar scale.

2. If the EOD data is available there is an easy way to peek inside it from Monthly by analogy: Accessing Intraday data from Daily

pichu_1972

#3

4/8/2016 10:46 AM

Hola Eugene, EOD data is avalaible so I will try to peek inside it from Monthly as you write in 2.

This idea is part of a strategy which runs with Monthly bars so Multi-Time Frame Analysis does not allow me to access data and indicators based on lower timeframes,(SetScaleWeekly(), SetScaledaily().....)

Cone

#4

4/8/2016 12:31 PM

If you need to see what happens in the daily or weekly time frame, you should run the strategy using daily bars and create your monthly bars/indicators with SetScaleMonthly() and return to the base scale (daily) with RestoreScale() to execute the trading system.

QUOTE:
"Ascending" outside bar(inMonthly): First L < Previous L and then H > Previous H
"Descending" outside bar(inMonthly): First H > Previous H and then L < Previous L

The strategy isn't clear to me, but if you can explain more clearly what this means, I'd be glad to help.

pichu_1972

#5

4/8/2016 2:24 PM

Hi Cone, I am making a complete strategy based in Monthly bars, but there is a case I need lower timeframes.
This single case is when I find a Monthly outsidebar and I need to know what hapen fist, I try to explain it with some pics, one "ascending" outside bar, one decending, and the last it can be ascending or descending you need lower timeframe to see it.
Thanks again.

ascending.jpg

descending.jpg

unkown outsidebar.jpg

Eugene

#6

4/8/2016 4:06 PM

Here's how you can determine what happened first, a High or a Low. To be run on Daily data, not Monthly:

CODE:
Please log in to see this code.

Size:

Color:

Here's how you can determine what happened first, a High or a Low. To be run on Daily data, not Monthly:

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			SetScaleMonthly();            
			DataSeries CompBar = new DataSeries(Bars, "Compressed Bar Numbers");
			for (int bar = 0; bar < Bars.Count; bar++)
				CompBar[bar] = bar;
			RestoreScale();

var GetMonthlyBar = Synchronize(CompBar);
			var MonthlyStartBar = new DataSeries(Bars,"Month Start Bar");
			
			SetBarColors( Color.Silver, Color.Silver );
			HideVolume();
			
			int msb = -1, monthlyBarLengthToEOD = -1, barWithHighestHighToEOD = -1, barWithLowestLowToEOD = -1;
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				int gmb = (int)GetMonthlyBar[bar];
				if( gmb != (int)GetMonthlyBar[bar-1] )
				{
					MonthlyStartBar[bar] = bar;
					monthlyBarLengthToEOD = (int)(MonthlyStartBar[bar] - MonthlyStartBar[bar-1]);
					barWithHighestHighToEOD = (int)HighestBar2.Value(bar,High,monthlyBarLengthToEOD);
					barWithLowestLowToEOD = (int)LowestBar2.Value(bar,Low,monthlyBarLengthToEOD);

var verdict = barWithHighestHighToEOD > barWithLowestLowToEOD ? 
						"Lowest bar#" + barWithLowestLowToEOD + " before highest bar#" + barWithHighestHighToEOD : 
						"Highest bar#" + barWithHighestHighToEOD + " before lowest bar#" + barWithLowestLowToEOD; 
					AnnotateBar(verdict, bar, false, Color.Black,Color.Transparent);

}
				else
					MonthlyStartBar[bar] = MonthlyStartBar[bar - 1];
			}
		}
	}
}[/code]

Cone

#7

4/8/2016 7:57 PM

Here's another solution that will be easier to follow, and you can use the boolean variables isOutsidebar and highWasFirst.

Use Daily bars.

CODE:
Please log in to see this code.

Size:

Color:

Here's another solution that will be easier to follow, and you can use the boolean variables [i]isOutsidebar[/i] and [i]highWasFirst[/i].

Use Daily bars.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		protected override void Execute()
		{
			int firstbarofmonth = -1;
			bool highWasFirst = false;
			bool isOutsideMonthlyBar = false;
			
			SetScaleMonthly();
			Bars mBars = Bars;
			RestoreScale();
			
			mBars = Synchronize(mBars);
			
			// so that you can see what mBars are and how they are synchornized...
			ChartPane mpane = CreatePane(50, true, true);
			PlotSymbol(mpane, mBars, Color.LightBlue, Color.LightPink);
			
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				if (Date[bar].Month != Date[bar-1].Month)
				{
					firstbarofmonth = bar;
					isOutsideMonthlyBar = false;
				}
				else if (firstbarofmonth == -1)
					continue;
				
				int remaining = Date[bar].GetRemainingTradingDays();
				//int remaining = Date[bar].GetRemainingTradingDays(this);  // Accounts for holidays; requires Community.Components 2016.05
				if (remaining == 0)  // true if last trading day of month
				{
					int period = bar - firstbarofmonth + 1;
					int Hbar = (int)HighestBar.Value(bar, High, period);
					int Lbar = (int)LowestBar.Value(bar, Low, period);
					
					highWasFirst = (Hbar < Lbar);
						
					// Color the Low or High bar of the month - whichever was first
					if (highWasFirst)
						SetBarColor(Hbar, Color.Fuchsia);
					else
						SetBarColor(Lbar, Color.Fuchsia);
					
					bool isOutsidebar = (mBars.High[bar] > mBars.High[bar-1]) &&
						(mBars.Low[bar] < mBars.Low[bar-1]);
					
					if (isOutsidebar)
						SetBackgroundColor(bar, Color.FromArgb(50, Color.Gray));
					
					
					/* This is the decision day! Trading strategy goes here */	
					if (IsLastPositionActive)
					{
						//code your exit rules here
					}
					else
					{
						//code your entry rules here
					}
					
				}
			}
		}
	}
}[/code]

pichu_1972

#8

4/9/2016 6:30 AM

Thank you Eugene and Cone!!!!
Trying to understand how your codes work.
I suppose I should run the whole strategy using daily bars so I will need help again

Eugene

#9

4/9/2016 7:14 AM

Right, daily bars.

pichu_1972

#10

4/10/2016 9:17 AM

Hello, I undestood what your codes do, thank you very much, this is what I needed.

One trouble again about how I can paint my strategy, I have programmed in daily scale, but it is really a monthly strategy.
Is it posible to draw any chart with monthly bars (not the chart with 20 constant bars every day of the same month) programming in daily scale?
For example I need draw a monthly trendline but with monthly bars, not with 20 constants bars).

Thanks again,really valuable your help.

Eugene

#11

4/10/2016 10:13 AM

There's almost always a way. In order of complexity:

1. As a visual aid, overlay monthly candlesticks on the daily chart. For what I mean, see the WealthScript Programming Guide: Multi-Time Frame Analysis > Intraday/Daily > How to: Overlay Daily Candlesticks on an Intraday Chart.

2. Recode your original strategy to peek inside daily bars as exemplified in a link from my post #2

3. Using the "daily" strategy, build a list of month/highWasFirst pairs. Pass it for use in the monthly strategy somehow e.g. read/import a text file, Wealth-Lab's global memory (GOP), clipboard etc.

pichu_1972

#12

4/10/2016 12:09 PM

Hola Eugene and thank you very much.

1. Done!!!

But I would try 3.

I am not sure if I have understood it perfectly (I began with C# 2 months ago)

I can make one code (something like Eugene or Cone Code), daily scale that seeks outside bars, and this code can also create a txt writing these 3 infos (Bars.Symbol, date of outside bar and highWasFirst or lowWasFirst) for each symbol and outsidebar.

Then I create a new program with a new code, monthly scale with my whole strategy and when this code finds a monthly outside bar goes to the txt and finds out with the Bars.Symbol and the date I pass if it is a highWasFirst or lowWasFirst outsidebar.
Is it OK?

Thanks again.

Eugene

#13

4/10/2016 2:21 PM

Correct. Here's a quick (read: not too elegant) example for you using global memory. The donor strategy's selected date range reflects how many items will be processed by the recipient strategy.

1. Donor strategy using Cone's code - to be run on daily:

CODE:
Please log in to see this code.

2. Recipient strategy code - to be run on Monthly scale:

CODE:
Please log in to see this code.

Size:

Color:

Correct. Here's a quick (read: not too elegant) example for you using global memory. The donor strategy's selected date range reflects how many items will be processed by the recipient strategy.

1. Donor strategy using Cone's code - to be run on daily:

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

namespace WealthLab.Strategies
{
	public class DonorStrategy : WealthScript
	{      
		protected override void Execute()
		{
			int firstbarofmonth = -1;
			bool highWasFirst = false, isOutsideMonthlyBar = false;
         
			SetScaleMonthly();
			Bars mBars = Bars;
			RestoreScale();         
			mBars = Synchronize(mBars);
         
			ChartPane mpane = CreatePane(50, true, true);
			PlotSymbol(mpane, mBars, Color.LightBlue, Color.LightPink);         
         
			var lst = new List<Tuple<DateTime,string,bool,bool>>();
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				if (Date[bar].Month != Date[bar-1].Month)
				{
					firstbarofmonth = bar;
					isOutsideMonthlyBar = false;
				}
				else if (firstbarofmonth == -1)
					continue;
            
				int remaining = Date[bar].GetRemainingTradingDays();
				if (remaining == 0)  // true if last trading day of month
				{
					int period = bar - firstbarofmonth + 1;
					int Hbar = (int)HighestBar.Value(bar, High, period);
					int Lbar = (int)LowestBar.Value(bar, Low, period);
               
					highWasFirst = (Hbar < Lbar);
                  
					// Color the Low or High bar of the month - whichever was first
					if (highWasFirst)
						SetBarColor(Hbar, Color.Fuchsia);
					else
						SetBarColor(Lbar, Color.Fuchsia);
               
					bool isOutsidebar = (mBars.High[bar] > mBars.High[bar-1]) &&
						(mBars.Low[bar] < mBars.Low[bar-1]);
               
					if (isOutsidebar)
						SetBackgroundColor(bar, Color.FromArgb(50, Color.Gray));
               
					var t = new Tuple<DateTime,string,bool,bool>(Date[bar].Date,Bars.Symbol,highWasFirst,isOutsidebar);
					lst.Add(t);
				}
			}
			
			SetGlobal("lstTuple",(object)lst);
		}
	}
}[/code]

2. Recipient strategy code - to be run on Monthly scale:

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

namespace WealthLab.Strategies
{
	public class RecipientStrategy : WealthScript
	{
		protected override void Execute()
		{
			var o = GetGlobal("lstTuple");
			var lst = (List<Tuple<DateTime,string,bool,bool>>)o;
			// Tuple format: bar date, Bars.Symbol, highWasFirst, isOutsidebar
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				foreach(var t in lst )
				{
					// matching month and symbol found
					if (Date[bar].Date == t.Item1 && Bars.Symbol == t.Item2)
					{
						// isOutsideBar = .Item4
						if( t.Item4 == true )
						{
							SetBackgroundColor(bar, Color.FromArgb(50, Color.Gray));
							
							if( t.Item3 == true )
							{
								//Do something if "highWasFirst" == true
								// ...
							}
						}
					}
				}
			}
		}
	}
}[/code]

pichu_1972

#14

4/11/2016 6:42 AM

Absolutely great SetGlobal//GetGlobal.
Trying to understand again, they are a really fast (and usefull) C# lessons.
Thanks,thanks,thanks.

pichu_1972

#15

4/11/2016 1:20 PM

Well, done and understood.
But a little problem.
When you run Donor strategy for a single symbol it works OK.
But when you run Donor strategy for a whole dataset it only works for the last symbol of the dataset. Is it supposed that SetGlobal is rewritten each symbol so the last one only remains??

I found a solution but I dont know if it is the best one as I dont know how exactly SetGloblal//GetGlobal works

SetGlobal("lstTuple"+Bars.Symbol , (objet) lst);

GetGlobal("lstTuple"+Bars.Symbol);

Eugene

#16

4/11/2016 1:40 PM

Your understanding is correct. Glad you found the solution:

Donor:

CODE:
Please log in to see this code.

Recipient:

CODE:
Please log in to see this code.

pichu_1972

#17

4/13/2016 9:28 AM

Hello I have everything working perfectly.
Fist I execute Donor strategy
2nd I execute Recipient Strategy
My question is:
Is there any possibility in C# that I only execute Recipient Strategy calling the Donor strategy from the Recipient Strategy??

Of course I have no problem doing 1st and 2st.

Thanks again