Enter into trade over the next five days after a condition?

Author: chiswick451

Creation Date: 11/21/2013 4:39 PM

Wealth Lab » WealthScript (.NET) » Enter into trade over the next five days after a condition?

chiswick451

11/21/2013 4:39 PM

Hi

I am trying to back test a system that looks at a stock at its open on a particular day ---say " P- zero" and then enters into trades over the next five days based on how the stock has moved in relation to the stock at "P-zero". It then has a timed exit based on" P-zero1". Do i need to use a data series notation in order to do this or do i not have to be concerned about peeking when buying? Or am i altogether clueless!

Eugene

11/22/2013 12:05 AM

No. Here's a design pattern that you need to implement this sort of condition:

Tutorial: Setups, Triggers, Delays, and Timeouts

And below is an example of coding your strategy's rules based on that design pattern. Let's say your " P- zero" occurs when a stock is having a lowest open in 10 days. Then for 5 days you wait until the stock opens above the previous day's High. If that happens, you buy and install a 10-day timed exit; otherwise you don't enter and wait for next setup.

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No. Here's a design pattern that you need to implement this sort of condition:

[link=http://www2.wealth-lab.com/WL5WIKI/kbSetupsTriggersDelaysTimeouts.ashx]Tutorial: Setups, Triggers, Delays, and Timeouts[/link]

And below is an example of coding your strategy's rules based on that design pattern. Let's say your " P- zero" occurs when a stock is having a lowest open in 10 days. Then for 5 days you wait until the stock opens above the previous day's High. If that happens, you buy and install a 10-day timed exit; otherwise you don't enter and wait for next setup.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			int timedExit = 10;
			int timeout = 5;
			int setupBar = 0;
			bool isSetupValid = false;
			bool openWasLowerThanLowest10DayOpen = false;
			
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if ( bar+1 - p.EntryBar >= timedExit )
						SellAtMarket( bar+1, p, "Timed" ); 
				}
				else
				{
					if( !isSetupValid )
					{
						openWasLowerThanLowest10DayOpen = 
							Open[bar] < (Lowest.Series( Open,10 )>>1)[bar];
						if( openWasLowerThanLowest10DayOpen )
						{
							isSetupValid = true; setupBar = bar;
						}
					}
					
					if( isSetupValid )
					{
						if( Open[bar] > High[bar-1] )
							if( BuyAtMarket( bar+1 ) != null )
								isSetupValid = false;
							else
								isSetupValid = bar + 1 - setupBar < timeout;

SetPaneBackgroundColor( PricePane, bar, Color.FromArgb( 30, Color.Green ) );
					}
				}
			}
		}
	}
}[/code]

Wealth Lab » WealthScript (.NET) » Enter into trade over the next five days after a condition?