Synchronization: Intraday Bar Compression in WL5

Author: abate

Creation Date: 8/22/2009 6:13 AM

Wealth Lab » WealthScript (.NET) » Synchronization: Intraday Bar Compression in WL5

abate

8/22/2009 6:13 AM

In WL4 there is an option for 'Intraday Bar Compression', how do you enable this option in WL5. It looks like I am not getting trigger singals in Strategy Monitor that I should be getting using 60m and I am suspecting maybe its because this option is not on.

Abate

Eugene

8/22/2009 6:52 AM

Here's how it's transformed in WL5:

Intraday / Multi-Time Frame | Compressed price series alignment

However, the problem you're facing can be caused by a different thing. Please consider posting the symbol, a sufficient code snippet etc.

abate

8/23/2009 4:48 AM

Eugene,

This is the code. I ran the same code to do the back test and also on the strategy monitor of 60m bar.

CODE:
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Color:

Eugene,

This is the code. I ran the same code to do the back test and also on the strategy monitor of 60m bar.

[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()
		{	//Look for a Daily SMA CrossOver in our intraday chart
			if ( Bars.IsIntraday )
			{
				SetScaleDaily();
				DataSeries dCMO = CMO.Series(Close,14);
				DataSeries dStochRSIK=StochRSI.Series(Close,14);
				DataSeries dStochRSID=SMA.Series(dStochRSIK,3);
				RestoreScale();
				dCMO = Synchronize( dCMO );
				dStochRSIK=Synchronize( dStochRSIK );
				dStochRSID=Synchronize( dStochRSID );
				
				ChartPane CMOPane = CreatePane( 50, true, true );
				PlotSeries( CMOPane, dCMO, Color.Red, WealthLab.LineStyle.Solid, 1 );
				ChartPane StochRSIPane = CreatePane( 50, true, true );
				PlotSeries( StochRSIPane, dStochRSIK, Color.Red, WealthLab.LineStyle.Solid, 1 );
				PlotSeries( StochRSIPane, dStochRSID, Color.Blue, WealthLab.LineStyle.Solid, 1 );
				
				DataSeries bbupper = BBandUpper.Series(Close,10,1.5);
				DataSeries bblower = BBandLower.Series(Close,10,1.5);
				DataSeries keltnerupper = KeltnerUpper.Series(Bars,10,10 );
				DataSeries keltnerlower = KeltnerLower.Series(Bars,10,10 );
				
				SolidBrush shadowBrush = new SolidBrush(Color.FromArgb(50, Color.Red));
				SolidBrush shadowBrush2 = new SolidBrush(Color.FromArgb(50, Color.Silver));
				PlotSeriesFillBand(PricePane, bbupper, bblower, Color.Red, shadowBrush, LineStyle.Solid, 2);
				PlotSeriesFillBand(PricePane, keltnerupper, keltnerlower, Color.Blue, shadowBrush, LineStyle.Solid, 2);
				int numberOfBars = 24;  // specify max number of Bars to hold Position
			
				//PlotSeries( PricePane, bbupper, Color.Red, WealthLab.LineStyle.Solid,1 );
				//PlotSeries( PricePane, bblower, Color.Red, WealthLab.LineStyle.Solid,1 );	
				//PlotSeries( PricePane, keltnerupper, Color.Blue, WealthLab.LineStyle.Solid,1);
			
				for(int bar = 20; bar < Bars.Count; bar++)
				{
					if( !IsLastPositionActive )
					{	
						if( (CrossOver( bar-3, bbupper, keltnerupper ))&&
							(bbupper[bar]>keltnerupper[bar])&&
							(dStochRSIK[bar]<=dStochRSID[bar])&&
							(dStochRSIK[bar]>20)&&
							(dCMO[bar]<0)
						  )
							BuyAtMarket( bar+1,"dCMO(<-20) "+ Bars.FormatValue(dCMO[bar])+
								" (dK<=dD) dK "+Bars.FormatValue(dStochRSIK[bar])+
								" dD "+Bars.FormatValue(dStochRSID[bar])+
								" dK>20 "+Bars.FormatValue(dStochRSIK[bar])+
								" bbu(bar-4) "+Bars.FormatValue(bbupper[bar-4])+
								" kltu(bar-4) "+Bars.FormatValue(keltnerupper[bar-4])+
								" bbu(bar-3) "+Bars.FormatValue(bbupper[bar-3])+
								" kltu(bar-3) "+Bars.FormatValue(keltnerupper[bar-3]));
					}else
					
					{
						Position p = LastPosition;			
					
						{

if( bar + 1 - p.EntryBar >= numberOfBars )
							if
							(
								((dCMO[bar]<20 )&&
								(CrossUnder(bar,dStochRSIK,dStochRSID)))|
								(dCMO[bar]>30) 
							)	
								SellAtMarket( bar+1, Position.AllPositions, "BOL" );
							
						}
					}
				}
			}
		}
	}
}
[/CODE]

Wealth Lab » WealthScript (.NET) » Synchronization: Intraday Bar Compression in WL5