Coding a price/volume-based momentum rank

Author: Yuyu

Creation Date: 1/25/2014 9:22 AM

Wealth Lab » WealthScript (.NET) » Coding a price/volume-based momentum rank

Yuyu

1/25/2014 9:22 AM

I would like to create a technical indicator to do backtest, however, I am still in learner stage and try to be intermediate level on coding. I hope I can get some helps and hints, please

the strategy is kind of momentum strategy that measure a stock for past 7 days

there are four criteria
1. if the price and volume today both are greater than yesterday, the stock get 2 points
2. if the price is greater than yesterday but the volume is lower than yesterday, the stock get 1 points
3.if the price is lower than yesterday but the volume is greater than yesterday, the stock get -2 points
4. if the price and volume today both are lower than yesterday, the stock get -1 points

then, the system will sum up the total point of a stock in past 7 days so that I can know which stock has better performance in past 7 days

Hope the explanation is clear. Please give me some hints.

Eugene

1/25/2014 10:56 AM

Give this a try:

CODE:
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Give this a try:

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

namespace WealthLab.Strategies
{
	public class PriceVolumeRank : WealthScript
	{
		private StrategyParameter paramBars;
		
		public PriceVolumeRank()
		{
			paramBars = CreateParameter("Bars", 7, 2, 50, 1);
		}
		
		protected override void Execute()
		{
			int n = paramBars.ValueInt;
			DataSeries raw = new DataSeries(Bars,"PriceVolumeRank");
			DataSeries ds = new DataSeries(Bars,"RawPriceVolumeRank");
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
//				1. if the price and volume today both are greater than yesterday, the stock get 2 points
//				2. if the price is greater than yesterday but the volume is lower than yesterday, the stock get 1 points
//				3.if the price is lower than yesterday but the volume is greater than yesterday, the stock get -2 points
//				4. if the price and volume today both are lower than yesterday, the stock get -1 points
				
				int cond1 = (Close[bar] > Close[bar-1] && Volume[bar] > Volume[bar-1]) ? 2 : 0;
				int cond2 = (Close[bar] > Close[bar-1] && Volume[bar] < Volume[bar-1]) ? 1 : 0;
				int cond3 = (Close[bar] < Close[bar-1] && Volume[bar] > Volume[bar-1]) ? -2 : 0;
				int cond4 = (Close[bar] < Close[bar-1] && Volume[bar] < Volume[bar-1]) ? -1 : 0;
				
//				then, the system will sum up the total point of a stock in past 7 days so that I can know which stock has better performance in past 7 days
				
				raw[bar] = cond1 + cond2 + cond3 + cond4;				
			}
			
			ds = Sum.Series( raw, n );
			ChartPane cp = CreatePane( 30,true,true );
			PlotSeries( cp, raw, Color.Blue, WealthLab.LineStyle.Solid, 1 );
			PlotSeries( cp, ds, Color.Red, WealthLab.LineStyle.Histogram, 3 );
			DrawHorzLine( cp, 7, Color.Orange, WealthLab.LineStyle.Dashed, 2 );
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				if (ds[bar] > 7)
				{
					SetBackgroundColor( bar, Color.FromArgb( 30, Color.Red ) );
				}
			}
		}
	}
}[/code]