Using intraday for entry timing but retain EOD scale for indicators

Author: 07nioe

Creation Date: 11/6/2016 3:32 PM

Wealth Lab » WealthScript (.NET) » Using intraday for entry timing but retain EOD scale for indicators

07nioe

11/6/2016 3:32 PM

Hello,

Giving the following strategy, I would like optimize market entry while entering to a certain time.

That means, instead of enter the market to market open, it opens at 10.00 oder 11.00 or 11.30. That has to be backtested.

Indicators still work on a daily basis.

How do I have to code it? I'm a little bit confused about the examples I found on Wiki.

Thank you for your help.

Best
07nioe

Here is the code:

CODE:
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Hello,

Giving the following strategy, I would like optimize market entry while entering to a certain time.

That means, instead of enter the market to market open, it opens at 10.00 oder 11.00 or 11.30. That has to be backtested.

Indicators still work on a daily basis.

How do I have to code it? I'm a little bit confused about the examples I found on Wiki.

Thank you for your help.

Best
07nioe

Here is the code:

[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab.Indicators;
using System.Windows.Forms;
using WealthLab.Rules;

namespace WealthLab.Strategies
{
	public class TestTrader : WealthScript
	{
		//Strategy Parameters
			
		//SignalFile
		private StrategyParameter input_SignalFile;				// 0 == Backtestmodus 1 == erzeugt Signaldatei
			
		//Filter CumUp & CumDown
		private StrategyParameter input_Cum_Up;                 //Anzahl Tage für CumUp
		private StrategyParameter input_Cum_Down;               //Anzahl Tage für CumDown
			
		//EXIT
		private StrategyParameter input_TBX_L;					//Time based exit für Long
		private StrategyParameter input_TBX_S;					//Time based exit für Short
			
		//RSI für Prio
		private StrategyParameter input_rsiPrio_L;				//RSI Periode für Prio Long
		private StrategyParameter input_rsiPrio_S;				//RSI Periode für Prio Short
			
		public TestTrader()
		{
			//SignalFile
			input_SignalFile 	= CreateParameter("Signal file", 0, 0, 1, 1);
				
			//CumUp & CumDown
			input_Cum_Up        = CreateParameter("CumUp", 3, 3, 3, -1);
			input_Cum_Down      = CreateParameter("CumDowm", 3, 3, 3, -1);
				
			//TBX
			input_TBX_L			= CreateParameter("TBX-L", 4, 2, 10, 1);	
			input_TBX_S			= CreateParameter("TBX-S", 2, 2, 5, 1);	
				
			//RSI für Prio
			input_rsiPrio_L		= CreateParameter("RSI Prio L", 3, 2, 3, 1);	
			input_rsiPrio_S		= CreateParameter("RSI Prio S", 2, 2, 3, 1);

}
		protected override void Execute()
		{
			ClearDebug();
			HideVolume();
				
			//WL Optimizer bug	protection
			if ( Bars.Count < 1 ) return;
			
		/*>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
		 * INPUT STRATEGIE PARAMETER
		 *<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<*/
		
			//Einstieg und Ausstieg
			bool enterLong;
			bool enterShort;
				
			//input Signalfile
			bool SignalFile 	    = (input_SignalFile.Value == 1) ? true : false;
				
			//CumUp & CumDown
			int cum_up              = input_Cum_Up.ValueInt;
			int cum_down            = input_Cum_Down.ValueInt;
				
			//TBX
			int tbx_long 		    = input_TBX_L.ValueInt;
			int tbx_short		    = input_TBX_S.ValueInt;
			
			//RSI für Prio
			int rsiPrio_L 		    = input_rsiPrio_L.ValueInt;
			int rsiPrio_S 		    = input_rsiPrio_S.ValueInt;
			
			/*>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
				* I N D I C A T O R S
			*<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<*/
			
			// get all data
			Bars b = Bars.Symbol.GetAllDataForSymbol( this.GetDataSetName(), Bars.Scale, Bars.BarInterval);
			
			//External Symbol ^GSPC
			Bars spx = GetExternalSymbol("^GSPC", true );
			ChartPane spxPane = CreatePane( 40, true, true );
			PlotSymbol( spxPane, spx, Color.Blue,Color.Red);
				
			//Indikator RSI für Prio			
			DataSeries rsiPrioL = Synchronize (RSI.Series(b.Close, rsiPrio_L));
			DataSeries rsiPrioS = Synchronize (RSI.Series(b.Close, rsiPrio_S));
						
		/*>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
		 * S T R A T E G Y  C A L C U L A T I O N
		 *<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<*/
			
			//Barloop:
			int startbar = GetTradingLoopStartBar(1);
			if (SignalFile) startbar = Bars.Count -1;
				
			for(int bar = startbar; bar < Bars.Count; bar++)
			{
				//Filters for Long
				enterLong	= CumDown.Value(bar, Close, 1) >= cum_down;
					
				//Filters for Short	
				enterShort 	= CumUp.Value(bar, Close, 1) >= cum_up;
					
				if (ActivePositions.Count > 0)
				{
					for(int PosIndex = ActivePositions.Count - 1 ; PosIndex >= 0 ; PosIndex-- )	
					{
						// Create position object and assign one of the last active positions
						Position p = ActivePositions [PosIndex];
							
				/*>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
				 * E X I T S 
				 *<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<*/
						
							// Exit Long Position
						if(p.PositionType == PositionType.Long)
						{		
							// Time Based Exit
							if (bar - p.EntryBar >= tbx_long)
							{
								SellAtMarket(bar + 1, p, "TBX Long");
							}
						}
						else
						{
							// //EXIT Short Position
							// Time Based Exit
							if (bar - p.EntryBar >= tbx_short)
							{
								CoverAtMarket(bar + 1, p, "TBX Short");
							}
						}		
					}
				}
				/*>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
				 * E N T R I E S 
				 *<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<*/
										
				// Entry Short Position
				if (enterShort)
				{
					if ( ShortAtMarket(bar + 1, ((rsiPrioS[bar]) * 1000).ToString("00000") + " Enter Short") != null)
					{
						LastPosition.Priority = rsiPrioS[bar];
					}
				}
				// Entry Long Position
				if (enterLong)
				{
					if ( BuyAtMarket(bar + 1,((100 - rsiPrioL[bar]) * 1000).ToString("00000") + " Enter Long") != null)
					{
						LastPosition.Priority = 100-rsiPrioL[bar];
					}
				}
			}
		}
	}
}
[/code]

Eugene

11/6/2016 4:26 PM

Hello,

Here's what you might focus on to pursue your project:

QUOTE:
That means, instead of enter the market to market open, it opens at 10.00 oder 11.00 or 11.30. That has to be backtested.

1. Building blocks of Intraday trading strategies > Function to easily determine and compare time of day

QUOTE:
Indicators still work on a daily basis.

2. All those DataSeries and Bars have to be scaled to daily to retain the daily values of the indicators. You'll find explanations and code examples in the WealthScript Programming Guide > Multi-Time Frame Analysis and in the QuickRef > Time Frames (SetScale, RestoreScale, Synchronize).

Hope that helps to get started.