Compare post-setup average to benchmark average

Author: kenlokc1234

Creation Date: 4/4/2013 6:40 AM

Wealth Lab » WealthScript (.NET) » Compare post-setup average to benchmark average

kenlokc1234

4/4/2013 6:40 AM

Traders often like to know the avg performance after a specific price pattern (setup) occured, and how was it compare to the average move for the same stock.

I'm not sure if the above "feature" was already discussed or covered here before (probably yes, but I just can't find it :) )

so I coded the following and happy to share it here.

The setup used is actually from the AT Mag (Feb 2013) article 'Perception and deception in price charts'

CODE:
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Traders often like to know the avg performance after a specific price pattern (setup) occured, and how was it compare to the average move for the same stock.

I'm not sure if the above "feature" was already discussed or covered here before (probably yes, but I just can't find it :) )

so I coded the following and happy to share it here.

The setup used is actually from the AT Mag (Feb 2013) article 'Perception and deception in price charts'

[code]		
public bool IsValid(int bar){ // Code the specific setup here
			return (Open[bar]> High[bar-1] && Open[bar]>= Highest.Value(bar,Close,5) && High[bar]>High[bar-1] && Low[bar]>High[bar-1] && 
				Math.Abs(Open[bar]-Close[bar])/Open[bar] <= 0.001);
}
		
protected override void Execute()
{
			double rtn;
			double rtnBenchmark;
			int count;
			int countBenchmark;
			int maxDay = 5;  //Calculate the Post-pattern avg up to 5 days
			
			//Draw a custom pane to display the result
			bool abovePricePane = true;
			bool displayGrid = true;
			ChartPane myPane = CreatePane(40, abovePricePane, displayGrid);
	   
			//New two dataseries to store the result
			DataSeries ds1 = new DataSeries(Bars, "Close to close gain/loss (setup)");
			DataSeries ds2 = new DataSeries(Bars, "Close to close gain/loss (benchmark)");
			
			for(int day = 1; day < maxDay+1; day++){
				//Reset to 0 for each run
				rtn = 0;
				count = 0;
				rtnBenchmark = 0;
				countBenchmark = 0;
				
				//Main Loop
				for(int bar = 20; bar < Bars.Count-day-1; bar++)
				{		
					if (IsValid(bar)){ //Check if the setup is valid 
						rtn += (Close[bar+day+1]/Close[bar+1]);
						count++;
					}
					
					//Calculate the benchmark
					rtnBenchmark += (Close[bar+day+1]/Close[bar+1]);
					countBenchmark++;
				}
				
				//Assign the value to the dataseries 
				ds1[Bars.Count - maxDay + day - 1] = rtn/count-1; 
				ds2[Bars.Count - maxDay + day - 1] = rtnBenchmark/countBenchmark-1; 
			}

PlotSeries(myPane, ds1, Color.Blue, WealthLab.LineStyle.Solid, 2);         
			PlotSeries(myPane, ds2, Color.Red, WealthLab.LineStyle.Solid, 2);         
}
[/code]

Wealth Lab » WealthScript (.NET) » Compare post-setup average to benchmark average