Time of day condition in Rules?

appressman

#1

2/24/2009 8:06 AM

Hi y'all,
Pardon the hopefully easy question by a noobe. I saw a strategy in Active Trader that employs a time of day requirement for entering a position after 1PM. While I see date specific conditions in the rules available I don't see how to check for a specific time of day.

1. Go long at 1 p.m. ET if the market’s current price is
above its opening price.
2. Sell short at 1 p.m. ET if the market’s current price is
below its opening price.
3. Exit with a profit of 10 points
($2,500) or with a stop-loss of
10 points. If the profit target or
stop-loss isn’t reached, exit the
trade when the S&P 500 pit
closes at 4:15 p.m.

Thanks in advance

Eugene

#2

2/24/2009 8:33 AM

Time-of-day conditions are not available in rule-based strategies. Here's the strategy (untested):

CODE:
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Size:

Color:

Time-of-day conditions are not available in rule-based strategies. Here's the strategy (untested):
[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()
		{
			/*
			1. Go long at 1 p.m. ET if the market’s current price is
				above its opening price.
			2. Sell short at 1 p.m. ET if the market’s current price is
				below its opening price.
			3. Exit with a profit of 10 points ($2,500) or with a stop-loss of
			10 points. If the profit target or stop-loss isn’t reached, exit the
			trade when the S&P 500 pit closes at 4:15 p.m.
			*/
			
			if( Bars.Scale == BarScale.Minute )
			{
				int firstBar = -1;
				
				for(int bar = 1; bar < Bars.Count; bar++)
				{
					if ( Bars.IntradayBarNumber( bar ) == 0 )
						firstBar = bar;
				
					if (IsLastPositionActive)
					{
						Position p = LastPosition;
						double Stop = ( p.PositionType == PositionType.Long ) ? p.EntryPrice - 10d : p.EntryPrice + 10d;
						double Target = ( p.PositionType == PositionType.Long ) ? p.EntryPrice + 10d : p.EntryPrice - 10d;
						if( !ExitAtStop( bar+1, p, Stop, "Stop" ) )
							if( !ExitAtLimit( bar+1, p, Target, "Target" ) )
								if( Bars.IsLastBarOfDay( bar ) )
									ExitAtClose( bar, p, "4:15pm" );
					}
					else
					{
						if( ( Date[bar+1].Hour == 13 ) & ( Date[bar+1].Minute == 00 ) )
						if( firstBar > -1 )
						{
							if( Close[bar] > Open[firstBar] )
								BuyAtMarket(bar+1); 
							else if( Close[bar] < Open[firstBar] )
								ShortAtMarket(bar+1);
						}
					}
				}
			}
			else
			{
				DrawLabel( PricePane, "Requires intraday data" );			
			}
		}
	}
}[/CODE]

appressman

#3

2/26/2009 5:34 PM

Thanks Eugene. I appreciate your coding an example for me. I notice, unlike other snippets that indent nicely when I cut from the forum and paste into WL, the code here all appeared on one line of the editor. It still compiled fine but I wonder if that's an issue with WL latest update as that's the only change since last time I tried it.

appressman

#4

2/26/2009 5:37 PM

Another NOOBE question... I suspect it's in the programming reference but is there a rule condition that I can set to a given percentage or dollar amount above/below the price of entry?

I can see that I set a condition for a certain value above/below the close but I'd like to use the price actually paid for a position to set stops.

Thanks in advance again.

Cone

#5

2/26/2009 6:33 PM

CODE:
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TrendCatcher

#6

2/26/2009 6:57 PM

What if we use this for SPY. except the closing time would be at 4 pm.

Eugene

#7

2/27/2009 1:06 AM

There's no fixed closing time in the strategy code:

CODE:
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Also see IsLastBarOfDay in the QuickRef.

DartboardTrader

#8

2/27/2009 2:37 PM

CODE:
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The above code triggers a "Runtime error: Index was out of range. Must be non-negative and less than the size of the collection."

Which brings up a good question, how can we inspect 'future' trading dates for seasonal or trading week cyclical strategies?

The article on "Peeking" and "Valid Peeking #1" punts on the fact they generate false-positive alerts.

AddCalendarDays adds the whole calendar. I am interested only in valid trading days, including intraday bars for short-session trading days. Any ideas?