Stock that have gapped down and then went down for 3 more intraday bars

Author: akar

Creation Date: 11/17/2018 1:09 AM

Wealth Lab » WealthScript (.NET) » Stock that have gapped down and then went down for 3 more intraday bars

akar

11/17/2018 1:09 AM

I'm trying to buy stocks that have gapped down and then went down for 3 more bars in a intraday basis. The first two conditions, find the gaps. However, if I include condition 3 and cond4 no trades are executed. What is the correct way to approach this. I can alternatively use time but would like to use the barnumber

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Thanks
akar

Eugene

11/17/2018 6:47 AM

Here's how. The code is self-documenting:

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akar

11/18/2018 3:04 AM

Eugene, thanks for the code.

Eugene

11/18/2018 6:03 AM

You're welcome. Thinking of it some more, you might want to make it more adaptive to the changing parameter with...

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So the resulting code is:

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Size:

Color:

You're welcome. Thinking of it some more, you might want to make it more adaptive to the changing parameter with...

[code]      protected override void Execute()
      {
            int consecutiveDeclineBars = 3; //or use a Strategy Parameter
            ...

...
            //bool _3down = ( Bars.IntradayBarNumber(bar) == 2 && CumDown.Series(Close,1)[bar] >= 3 );
            bool _3down = ( (Bars.IntradayBarNumber(bar) == consecutiveDeclineBars - 1) && CumDown.Series(Close,1)[bar] >= consecutiveDeclineBars );[/code]

So the resulting code is:

[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 paramDecline;
		
		public MyStrategy()
		{
			paramDecline = CreateParameter("Bars", 3, 2, 10, 1 );
		}
		
		protected override void Execute()
		{
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				//SetScaleDaily is not required for gap detection
				int firstBarToday = bar - Bars.IntradayBarNumber(bar);
				int lastBarYesterday = firstBarToday - 1;
				int consecutiveDeclineBars = paramDecline.ValueInt;
				
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					//Make sure the bar is valid
					if( lastBarYesterday > -1 )
					{
						//Detect the opening gap:
						bool _gap = ( Open[firstBarToday] < .95 * Close[lastBarYesterday] );

//Now on bar #2 detect a consecutive decline of the Close price for 3 bars using CumDown:
						//http://www2.wealth-lab.com/WL5WIKI/CumDown.ashx
						bool _xBarsDown = ( (Bars.IntradayBarNumber(bar) == consecutiveDeclineBars - 1) && CumDown.Series(Close,1)[bar] >= consecutiveDeclineBars );

if( _gap & _xBarsDown )
							SetBackgroundColor(bar, Color.FromArgb(30,Color.Red));
					}
				}
			}
		}
	}
}[/code]

Wealth Lab » WealthScript (.NET) » Stock that have gapped down and then went down for 3 more intraday bars