Setting up a buying period within 10 days of a 21-day high

Tobey

#1

4/19/2017 2:52 PM

Hi Cone & Eugene,

I'd like to limit the buying time of a system to within 10 days of a 21 day high.

If Bars since last 21 day new high is less than 10
If Price is 5% less than 21 day high
BuyAtMarket

How would I create that 10 day window following the 21 day High?

Thanks again for your help
Tobey

Eugene

#2

4/19/2017 3:08 PM

Hi Tobey,

Here's an example of how to implement this:

Crossing within the last 5 days

Tobey

#3

4/19/2017 7:11 PM

Hi Eugene,

I tried to adapt the code you showed me but I didn't get all the way there. I'm not sure what the _howMany parameter is.

Here is my poor attempt. Is there more information, other examples or do you have another suggestion?

Thanks again for the help
Tobey

CODE:
Please log in to see this code.

Size:

Color:

Hi Eugene,

I tried to adapt the code you showed me but I didn't get all the way there.  I'm not sure what the _howMany parameter is.

Here is my poor attempt.  Is there more information, other examples or do you have another suggestion?

Thanks again for the help
Tobey

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{   
		StrategyParameter _num;
		StrategyParameter _howMany;
      
		public MyStrategy()
		{
			_num = CreateParameter("Last days", 10, 1, 20, 1);
			_howMany = CreateParameter("How many", 1, 1, 10, 1);
		}
      
		protected override void Execute()
		{            
			DataSeries LineHi = Highest.Series( Close, 21 );		//Creates 21 day High line
			LineHi.Description = "HiLn";
			PlotSeries ( PricePane, LineHi, Color.White, LineStyle.Solid, 2 );
			
			DataSeries LineHiClose = (Close - LineHi);  //Creates amount below LineHi
			LineHi.Description = "CloseHiLn";
			
			
			SeriesIsBelowValue CloseUnderHiLine = SeriesIsBelowValue.Series( LineHiClose, -1 , _num.ValueInt );  //??
		
/*
			ChartPane cp1 = CreatePane(25,true,true);
			PlotSeries(cp1,cci,Color.Blue,LineStyle.Solid,1);
			DrawHorzLine(cp1,-100,Color.Red,LineStyle.Dashed,1);
		
		
			ChartPane cp2 = CreatePane(25, true, true);
			PlotSeries(cp2, cciDebajoMenos100, Color.Blue, LineStyle.Histogram, 2);
*/
			for(int bar = GetTradingLoopStartBar(100); bar < Bars.Count; bar++)
			{
				if (CloseUnderHiLine[bar] <= _howMany.ValueInt )
				{
					SetBackgroundColor(bar, Color.FromArgb(25, Color.Red));
				}
			}
		}
	}
}[/code]

Eugene

#4

4/19/2017 8:21 PM

I think that CrossOverBar better applies to this case. Here's your entry with a dummy exit after N fixed bars:

CODE:
Please log in to see this code.

Another possibility is to declare a timeout: WealthScript Techniques | Setups, Triggers, Delays, and Timeouts.

Size:

Color:

I think that [link=http://www2.wealth-lab.com/WL5WIKI/CrossOverBar.ashx]CrossOverBar[/link] better applies to this case. Here's your entry with a dummy exit after N fixed bars:

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

namespace WealthLab.Strategies
{
	public class High21Strategy : WealthScript
	{
		private StrategyParameter paramHigh;
		private StrategyParameter paramWithin;
		private StrategyParameter paramDrop;
		private StrategyParameter paramExitAfter;
      
		public High21Strategy()
		{
			paramHigh = CreateParameter("High",21,2,50,1);
			paramWithin = CreateParameter("Within",10,1,20,1);
			paramDrop = CreateParameter("Drop %",5,1,20,1);
			paramExitAfter = CreateParameter("Fixed bars",10,1,50,1);
		}
		
		protected override void Execute()
		{
			var drop = 1.0 - paramDrop.Value / 100d;
			var hi = Highest.Series( High, paramHigh.ValueInt ) >> 1;
			var menos5 = hi * drop; 
			CrossOverBar xob = CrossOverBar.Series( High, hi );
			hi.Description = string.Format( "{0}-day High", paramHigh.ValueInt );
			menos5.Description = string.Format( "{0}% less than {1}-day High", paramDrop.Value, paramHigh.ValueInt );
			
			SetBarColors( Color.Silver, Color.Silver );
			
			for (int bar = xob.FirstValidValue; bar < Bars.Count; bar++)
			{
				if( xob[bar] == bar ) 
					SetBarColor(bar, Color.Red);
				if( xob[bar] > bar - 10 )
					SetBackgroundColor(bar, Color.FromArgb(10, Color.Green));
				
				if (IsLastPositionActive)	
				{          
					Position p = LastPosition;
					if ( bar+1 - p.EntryBar >= paramExitAfter.ValueInt )
						SellAtMarket( bar+1, p, "Timed" ); 
				} 
				else
				{
					if( ( Close[bar] <= hi[bar] * drop ) & ( xob[bar] > bar - paramWithin.ValueInt ) )
						BuyAtMarket( bar+1 );
				}
			}
			
			ChartPane xPane = CreatePane( 20, true, true );
			PlotSeries( xPane, xob, Color.Red, LineStyle.Dashed, 2 );
			PlotSeries( PricePane, hi, Color.Red, LineStyle.Solid, 1 );
			PlotSeries( PricePane, menos5, Color.DarkRed, LineStyle.Solid, 1 );
		}
	}
}[/code]

Another possibility is to declare a timeout: [link=http://www2.wealth-lab.com/WL5WIKI/kbSetupsTriggersDelaysTimeouts.ashx]WealthScript Techniques | Setups, Triggers, Delays, and Timeouts[/link].

Tobey

#5

4/21/2017 4:10 PM

Hi Eugene,

Thanks for the Code! Pretty fancy with variables in the Description. I hadn't seen that before.

It looks like the code is setting the 10 day buying window from the cross to a new high. This is OK even with a couple of new high days, but with a run up of a few days you're shorting the buy window. How could the count for the buying window be set to the most resent high?

CODE:
Please log in to see this code.

Once again thanks for the help and the fancy code!
Tobey

Eugene

#6

4/21/2017 4:45 PM

Tobey,

You're welcome.

A runup resets the condition, not shorting the buying window. It's always 10 days (or whatever the "Within" slider is set) since the last new high. Could you show me an example in some particular stock?

Tobey

#7

4/22/2017 2:37 PM

Hi Eugene,

Yes you are right. Every thing is working.

I did add your variable code to the green background

CODE:
Please log in to see this code.

I also added an additional line to your xPane just for looks.

CODE:
Please log in to see this code.

The attached chart of PVH shows what I am seeing. The detail chart show the last signal. In that case it did not pickup the 3/29/17 High of 104.28. But this could be a data issue not a code issue.

I really appreciate your help! This is fare better than where I started out.
Tobey

PVH_all.PNG

PVH_detail.PNG

Eugene

#8

4/22/2017 4:46 PM

Hi Tobey,

I see, good observation. I think this should get there. Set "Within" to 15 bars to get an alert for tomorrow on PVH:

CODE:
Please log in to see this code.

Size:

Color:

Hi Tobey,

I see, good observation. I think this should get there. Set "Within" to 15 bars to get an alert for tomorrow on PVH:

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

namespace WealthLab.Strategies
{
	public class High21Strategy : WealthScript
	{
		private StrategyParameter paramHigh;
		private StrategyParameter paramWithin;
		private StrategyParameter paramDrop;
		private StrategyParameter paramExitAfter;
      
		public High21Strategy()
		{
			paramHigh = CreateParameter("High",21,2,50,1);
			paramWithin = CreateParameter("Within",10,1,20,1);
			paramDrop = CreateParameter("Drop %",5,1,20,1);
			paramExitAfter = CreateParameter("Fixed bars",10,1,50,1);
		}
      
		protected override void Execute()
		{
			var drop = 1.0 - paramDrop.Value / 100d;
			var hi = Highest.Series( High, paramHigh.ValueInt ) >> 1;
			var menos5 = hi * drop; 
			var within = paramWithin.ValueInt;
			var xb = -1;
			hi.Description = string.Format( "{0}-day High", paramHigh.ValueInt );
			menos5.Description = string.Format( "{0}% less than {1}-day High", paramDrop.Value, paramHigh.ValueInt );
         
			SetBarColors( Color.Silver, Color.Silver );
			
			for (int bar = Math.Max(paramHigh.ValueInt,within); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)   
				{          
					Position p = LastPosition;
					if ( bar+1 - p.EntryBar >= paramExitAfter.ValueInt )
						SellAtMarket( bar+1, p, "Timed" ); 
				} 
				else
				{
					if( bar.CrossOverWithin (High, hi, within) )
					{
						SetBarColor(bar, Color.Red);
						xb = bar;
					}
					
					if( (Close[bar] <= hi[bar] * drop) && (bar <= xb + within) )
						BuyAtMarket(bar+1);
				}
			}
         
			PlotSeries( PricePane, hi, Color.Red, LineStyle.Solid, 1 );
			PlotSeries( PricePane, menos5, Color.DarkRed, LineStyle.Solid, 1 );
		}
	}
}[/code]