Using PlotSeries to plot trailing stops

jackmanjls

#1

8/10/2009 10:18 PM

I am using PlotSeries to plot my trailing stop loss(sl). I can plot the sl but there are 2 issues that I would like to clean up.

1. I init the dataseries using the following: DataSeries stopLossValue = Close - Close and then run my strategy to populate the stopLossValue series, this all works fine. When I look at the resultant chart on the left side I see 20 to 30 lines of the text "Close - Close". I suspect this is a init problem with the stopLossValue but I don't know how to fix.

2. Also, when I run my strategy and I enter a position I immediately set a stop loss and my dataseries (stopLossValue) starts getting values written to it. At the end of the strategy I run PlotSeries to plot the stopLossValues for the bars where my position was active. The problem is the from the bottom of the chart to the point where the position was entered there's a solid veritical line. Once this vertical line meets where I entered my trade it follows my stopLossValue as expected. When I close my trade I see a vertical line that falls back to the bottom of the chart. I would like to know how to eliminate the vertical lines when I enter and leave my position.

Thank You.

Cone

#2

8/11/2009 1:05 AM

1. The a more straightforward way to initialize an ad-hoc DataSeries is as follows:

CODE:
Please log in to see this code.

See also, DataSeries Object > Description in the QuickRef.

2. Use LineStyle.Dots instead of .Solid and make sure the Dots are thick enough to see; use a width of 3 or 4.

Although, the reason for the vertical line is that your series has zero values in it and that's what's being drawn. Even with Dots, the plot will probably distort your vertical axis, so, the full solution is to save the last value of your stop in a variable and make sure to assign it to your plotted series on every bar.

jackmanjls

#3

8/11/2009 12:47 PM

All did not work exactly as depicted but real close.

1. I init'd the stop lose using the following:
DataSeries stopLossValue = new DataSeries(Bars, "");
In the description if I put anything but "", for instance "Stop Loss", it shows up on the left side of the chart about 10-20 instances, each instance is a single line.

2. This works fine.

Any suggestions on #1?

Eugene

#4

8/11/2009 12:55 PM

QUOTE:
In the description if I put anything but "", for instance "Stop Loss", it shows up on the left side of the chart about 10-20 instances, each instance is a single line.

Sounds like you're unnecessarily creating the same data series over and over in the loop, many times. Instead, define it once outside of any loops and only fill it with values in the main loop.

jackmanjls

#5

8/11/2009 7:40 PM

I looked at the implementation and it is created immediately after: protected override void Execute()
so I don't think that's the issue.

Eugene

#6

8/12/2009 1:10 AM

Please show the code and we'll tell you what's causing the issue.

jackmanjls

#7

8/12/2009 9:45 AM

1. See line#130 for the ISSUE. I've labelled the statement:
DataSeries stopLossValue = new DataSeries(Bars, "ISSUE"); // <<==== this is the issue.

2. Also on line#135 there's the statement labelled ClearDebug(). For a data set having several symbols I want to execute this statement 1 time for the complete data set, this keeps the result of the data run in the debug buffer. Right now for each symbol it will clear the debug buffer and I loose all the info from the previous symbols. I think what I want is a constructor but I don't know where to put it. Can you advise where to put and the exact syntax?

CODE:
Please log in to see this code.

Size:

Color:

1. See line#130 for the ISSUE. I've labelled the statement:
	DataSeries stopLossValue = new DataSeries(Bars, "ISSUE"); // <<==== this is the issue.

2. Also on line#135 there's the statement labelled ClearDebug(). For a data set having several symbols I want to execute this statement 1 time for the complete data set, this keeps the result of the data run in the debug buffer. Right now for each symbol it will clear the debug buffer and I loose all the info from the previous symbols. I think what I want is a constructor but I don't know where to put it. Can you advise where to put and the exact syntax?

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

// Strategy: SpringBuySetup.
// This program will emulate the SpringBuySetup that was introduced by Dave Gagne in the 
// Master Trading Plan.
// Basically this program implements 3 items as part of its strategy, they are:
//		1. Count the number of declining red candles.
//		2. After 3 or more red candles and when the following candle
//		   is green then buy the stock at the previous days high + 5cents.
//		3. Set a stop loss at the previous days low - 5cents.
//
// Strategy: SpringBuy_SMAChk
// Expand on the above strategy by adding the following items.
//		1. Verify that the trend is in a overall phase 2.
//		2. If the price is below the 40SMA then do not buy.
//
// Strategy: SpringBuy_SMAChk (8-11-09)
// Add DataSeries to plot the stop loss in the price pane.

namespace WealthLab.Strategies
{
	public class PeriodSlide : WealthScript
	{
		StrategyParameter ATRPer;
		StrategyParameter SMAPer;
		public PeriodSlide()
		{
			// Args: Description, default, start, stop, step.
			ATRPer = CreateParameter("ATRPeriod", 20, 20, 20, -1);
			SMAPer = CreateParameter("SMAPeriod", 10, 10, 10, -1); // SMA10
//			SMAPer = CreateParameter("SMAPeriod", 20, 20, 20, -1); // SMA20
		}

int strategyStartDate()
		{
			int year = 2009;
			int month = 1;
			int day = 2;         
			DateTime dt = new DateTime(year, month, day);
			return(Bars.ConvertDateToBar(dt, false));
		}
		void AccessOHLCValues(int bar)
		{
		// This is used for debug.
			PrintDebug("Bar# = " + bar + 
				" Open = " + Bars.Open[bar] +
				" High = " + Bars.High[bar] + 
				" Low = " + Bars.Low[bar] + 
				" Close = " + Bars.Close[bar]);
		}
		int redCandleCount(int bar, int candleCount)
		{
//			PrintDebug(">>>>>bar= " + bar + ", candleCount= " + candleCount);
			// Increment candleCount each time there's a red candle.
			if(candleCount == 0 & Bars.Close[bar] < Bars.Open[bar] ||
				Bars.Close[bar] < Bars.Close[bar-1] ||
				Bars.Low[bar] < Bars.Low[bar-1] ||
				Bars.Open[bar] < Bars.Close[bar-1])
				return(++candleCount);
			else
				return(0);
		}
		bool buyAtPriorDayHighPlus5cents(int bar)
		{
		// Buy $.05 above the prior days high.
			double limitPrice;
			limitPrice = (High[bar-1]+0.05);
			if(BuyAtLimit(bar, limitPrice) == null)
				return(false);	// did not buy at bar
			else
				return(true);	// bought at bar
		}
		bool determineVolumeOverEMA(int bar, DataSeries volEMA, int candleCount)
		{
			string str = "";
			int volCnt = 0;
			bool volFlag = false;
			
			// Look at the volume before the BuyAtLimit is invoked.
			// Find the % the vol is above/below the EMA.
			for(int x = 0; x < candleCount; ++x)
			{
				if(((Volume[bar-x]/volEMA[bar-x])-1) > 0)
				{
					++volCnt;
				}
				str = str + (" %vol[" + (bar-x) + "]= ") + ((Volume[bar-x]/volEMA[bar-x])-1); 
			}

// If the previous red bars have a volume that's > the volEMA then
			// set the flag.
			if(volCnt > 0)
			{
				volFlag = true;
			}
			PrintDebug("(determineVolumeOverEMA)(" + Bars.Symbol + ")" +
				", bar= " + bar +
				", volFlag= " + volFlag +
				", " + str);

return(volFlag);
//			return(true);
		}
		
		protected override void Execute()
		{
			EMA volEMA = EMA.Series( Volume, 60, EMACalculation.Modern );
			bool retValue;
			bool candleBetween20SMA40SMA;
			bool candleStraddles20SMA;
			bool candleStraddles40SMA;
			bool FiveXMATaken = false;
			
			int successiveRedCandles = 0;
			int stopLossBar = 0;
			int ATRPeriod = 20;
			int SMAPeriod = 10;
			float sma40 = 0;
			float sma20 = 0;
			float FiveXMA = 0;
			float sma40Base;
			float sma40M20;

// These were developed for use with plot of stop loss.
			DataSeries stopLossValue = new DataSeries(Bars, "ISSUE"); // <<==== this is the issue.
			DataSeries sman = SMA.Series(Close, SMAPeriod);;
			double MAP;
			double atrn;

ClearDebug();
			
			for(int bar = strategyStartDate(); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					// If the stop loss is active then check the current bar to determine if an exit
					// should be done.
					atrn = ATR.Value(bar, Bars, ATRPeriod);
					
					// Set the trailing stop. Use the formula MAP = 20SMA - 20ATR - $.05.
					// Adjust the trailing stop, if needed.
					MAP = (sman[bar] - atrn - 0.05);
					if(stopLossValue[stopLossBar] <= MAP)
					{
						stopLossBar = bar;
						stopLossValue[stopLossBar] = MAP;
					}
					else
					{
						stopLossValue[bar] = stopLossValue[stopLossBar];
					}
					
					
					// 5XMA = (5*20ATR)+20SMA, if the price of the stock reaches this value then take 
					// half of the position off the table.
					if(FiveXMA < Low[bar] & FiveXMATaken == false)
					{
						PrintDebug("bar= "+bar+", >>>>>  FiveXMA  <<<<<<<");
						FiveXMATaken = true;
					}
					
					retValue = SellAtStop(bar, LastActivePosition, stopLossValue[bar], "Trailing Stop Sell");
					PlotSeries(PricePane, stopLossValue, Color.Black, LineStyle.Dots,4);
				}	// if (IsLastPositionActive)
				else
				{
					// If the close > open then this is a green candle and don't continue processing.
					if (Bars.Close[bar] <= Bars.Open[bar])	// red candle
					{			
						successiveRedCandles = redCandleCount(bar, successiveRedCandles);
					}
					else
					{
						if(successiveRedCandles >= 3)
						{
							PrintDebug("===============================("+Bars.Symbol+")= Trough at bar# = " + bar);

// Before buying the stock determine if the current bar straddles either
							// the 20SMA or 40SMA. If it straddles then set the flag to true.
							// If it's not then abort the buy.
							sma20 = (float)SMA.Value(bar, Close, 20);
							sma40 = (float)SMA.Value(bar, Close, 40);
							candleBetween20SMA40SMA = (bool)((Low[bar] < sma20 & Low[bar] > sma40) ||
														(Low[bar] > sma20 & Low[bar] < sma40));
							candleStraddles20SMA = (bool)((Low[bar] < sma20 & High[bar] > sma20));
							candleStraddles40SMA = (bool)((Low[bar] < sma40 & High[bar] > sma40));
							PrintDebug("candleBetween20SMA40SMA= " + candleBetween20SMA40SMA +
									",candleStraddles20SMA = " + candleStraddles20SMA +
									", candleStraddles40SMA= " + candleStraddles40SMA);
							if(candleBetween20SMA40SMA || candleStraddles20SMA || candleStraddles40SMA)
							{

// Verify that this is an uptrend by looking at the 40SMA.
								sma40Base = (float)SMA.Value(bar, Close, 40);
								sma40M20 = (float)SMA.Value(bar-20, Close, 40);
								if((sma40Base - sma40M20) > 0)
								{
									if(determineVolumeOverEMA(bar-1, volEMA, successiveRedCandles) == true)
									{
										if (buyAtPriorDayHighPlus5cents(bar) == true)
										{
											determineVolumeOverEMA(bar-1, volEMA, successiveRedCandles);
											PrintDebug ("Bought stock at: " + (High[bar-1]+.05));
											stopLossBar = bar-1;
											stopLossValue[bar-1] = Low[bar-1]-.05;
											stopLossValue[bar] = stopLossValue[bar-1];
											PrintDebug("bar= " + bar + ", stopLossValue[stopLossBar]= " + stopLossValue[stopLossBar]);

// Determine what the 5XMA value is for early exit with half position.
											atrn = ATR.Value(bar, Bars, ATRPeriod);
											FiveXMA = (float)((5 * atrn) + sman[bar]);
										}
									}
								}
							}
						}
						successiveRedCandles = 0;
					}
				}
			}
			// Plot volume series.
			PlotSeries( VolumePane, volEMA, Color.Black, LineStyle.Solid, 2 );
			PlotStops();
		}
	}
}
[/CODE]

Eugene

#8

8/12/2009 10:19 AM

1. Almost like I said:

CODE:
Please log in to see this code.

You're unnecessarily plotting the stopLossValue series in the loop. Instead, use something like this:

CODE:
Please log in to see this code.

jackmanjls

#9

8/12/2009 10:44 AM

The solution you offered works just fine, thanks for your effort. In the process I now see the diff between the PlotSeries and DrawCircle, I wasn't clear on these prior to this. Thanks.

Do you have any comments on my second question?

2. Also on line#135 there's the statement labelled ClearDebug(). For a data set having several symbols I want to execute this statement 1 time for the complete data set, this keeps the result of the data run in the debug buffer. Right now for each symbol it will clear the debug buffer and I loose all the info from the previous symbols. I think what I want is a constructor but I don't know where to put it. Can you advise where to put and the exact syntax?

I'm not sure of the syntax nor exactly where it would be placed.

Eugene

#10

3/3/2017 6:36 PM

QUOTE:
For a data set having several symbols I want to execute this statement 1 time for the complete data set, this keeps the result of the data run in the debug buffer.

I was busy with some forum management task and thought to myself, "Let's do some necroposting here":

Executing some code only once

In case somebody stumbles onto this question. ;)