End of trading day stop - Wealth Lab Forum

End of trading day stop

Author: lucadelucia

Creation Date: 4/15/2011 9:57 AM

Wealth Lab » WealthScript (.NET) » End of trading day stop

lucadelucia

4/15/2011 9:57 AM

Does anyone know how to write this rule, I am trading on intraday futures so:

if it is 21:00 place a stop at entry price +4 ticks for longs and -4 ticks for shorts.

Thank you

Eugene

4/15/2011 10:12 AM

CODE:
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Intraday | Building blocks of Intraday trading strategies

lucadelucia

4/15/2011 10:23 AM

Clearly I did something wrong

CODE:
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Clearly I did something wrong
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	public class StochasticPop : WealthScript
	{		
		public int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}
		protected override void Execute()
		{
			PositionHelper a = new PositionHelper(this);
			
			// Select AutoStop mode: AsPercent or AsPoint
			PositionHelper.AutoStopMode AsPercent = Community.Components.
				PositionHelper.AutoStopMode.AsPoint;
			
			StochD sd = StochD.Series(Bars, 14, 3);
			double sdu = 75; double sdl = 25;
			
			a.SetAutoStopMode(AsPercent); // choose AutoStopMode 
		
			a.InstallStopLoss(5);
			
			PlotStops();
		
		
			
			
			ChartPane sp = CreatePane(75,true,true);
			PlotSeries(sp, sd, Color.Black, LineStyle.Dotted, 2);
			DrawHorzLine(sp, sdu, Color.Red, LineStyle.Solid, 1);
			DrawHorzLine(sp, sdl, Color.Green, LineStyle.Solid, 1);
			
			// Enough data to create a 14-period 15-minute unstable indicator?
			int barsRequired = 15 * (14*3 + 1) / Bars.BarInterval;

for(int bar = barsRequired; bar < Bars.Count; bar++)
			{ a.ApplyAutoStops(bar);
				if (IsLastPositionActive)
				{
					Position p = LastPosition;

if ( Bars.IsLastBarOfDay( bar ) )
						ExitAtClose( bar-1, LastPosition, "At Close" );
					double ticks = p.PositionType == PositionType.Long ? 4.0 : -4.0;
					
					if( ( GetTime(bar) >= 2100 ) )
						ExitAtStop( bar+1, p, p.EntryPrice - ticks );
				}
					else
					{
						if( p.PositionType == PositionType.Long & CrossUnder(bar, sd, sdu) )
							if( SellAtMarket(bar + 1, p, "XU OB" ) )
								AnnotateBar( "Sell", bar, false, Color.DarkGreen );
						//	else
						if( p.PositionType == PositionType.Short & CrossOver(bar, sd, sdl) )
							if( CoverAtMarket(bar + 1, p, "XO OS" ) )
								AnnotateBar( "Cover", bar, true, Color.DarkMagenta );
					}
				}
				else
				{
					if (bar < Bars.Count - 1)
						if ( !Bars.IsLastBarOfDay( bar+1 ) )
						{
							if (CrossUnder(bar, sd, sdl))
								if( ShortAtMarket(bar + 1, "Short SP") != null )
								{
									LastPosition.Priority = -sd[bar];
									AnnotateBar( "Short", bar, true, Color.Red );
								}

if (CrossOver(bar, sd, sdu))								
								if( BuyAtMarket(bar + 1, "Long SP") != null )
								{
									LastPosition.Priority = +sd[bar];
									AnnotateBar( "Buy", bar, false, Color.Blue );
								}
						}
				}
			}
		}
	}
}
}[/CODE]

Eugene

4/15/2011 10:33 AM

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

namespace WealthLab.Strategies
{
	public class StochasticPop : WealthScript
	{		
		public int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}
		protected override void Execute()
		{
			PositionHelper a = new PositionHelper(this);
			
			// Select AutoStop mode: AsPercent or AsPoint
			PositionHelper.AutoStopMode AsPercent = Community.Components.
				PositionHelper.AutoStopMode.AsPoint;
			
			StochD sd = StochD.Series(Bars, 14, 3);
			double sdu = 75; double sdl = 25;
			
			a.SetAutoStopMode(AsPercent); // choose AutoStopMode 		
			a.InstallStopLoss(5);			
			PlotStops();
			
			ChartPane sp = CreatePane(75,true,true);
			PlotSeries(sp, sd, Color.Black, LineStyle.Dotted, 2);
			DrawHorzLine(sp, sdu, Color.Red, LineStyle.Solid, 1);
			DrawHorzLine(sp, sdl, Color.Green, LineStyle.Solid, 1);
			
			// Enough data to create a 14-period 15-minute unstable indicator?
			int barsRequired = 15 * (14*3 + 1) / Bars.BarInterval;

for(int bar = barsRequired; bar < Bars.Count; bar++)
			{
				a.ApplyAutoStops(bar);
				
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					double ticks = p.PositionType == PositionType.Long ? 4.0 : -4.0;

if ( Bars.IsLastBarOfDay( bar ) )
						ExitAtClose( bar-1, LastPosition, "At Close" );
					else
						if( p.PositionType == PositionType.Long & CrossUnder(bar, sd, sdu) )
						if( SellAtMarket(bar + 1, p, "XU OB" ) )
							AnnotateBar( "Sell", bar, false, Color.DarkGreen );
						else
							if( p.PositionType == PositionType.Short & CrossOver(bar, sd, sdl) )
							if( CoverAtMarket(bar + 1, p, "XO OS" ) )
								AnnotateBar( "Cover", bar, true, Color.DarkMagenta );
							else
								if( ( GetTime(bar) >= 2100 ) )
								ExitAtStop( bar+1, p, p.EntryPrice - ticks );

}
				else
				{
					if (bar < Bars.Count - 1)
						if ( !Bars.IsLastBarOfDay( bar+1 ) )
						{
							if (CrossUnder(bar, sd, sdl))
								if( ShortAtMarket(bar + 1, "Short SP") != null )
								{
									LastPosition.Priority = -sd[bar];
									AnnotateBar( "Short", bar, true, Color.Red );
								}

if (CrossOver(bar, sd, sdu))								
								if( BuyAtMarket(bar + 1, "Long SP") != null )
								{
									LastPosition.Priority = +sd[bar];
									AnnotateBar( "Buy", bar, false, Color.Blue );
								}
						}
				}
			}
		}
	}
}[/CODE]

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