How to create named series? - Wealth Lab Forum

redliontrader

#1

6/8/2008 9:40 AM

Wealth-Lab Version 5 (.NET) 5.0

I need a pointer to a thread or documentation or code snippet to on how to create a named series in WL5.

TIA

Eugene

#2

6/8/2008 9:45 AM

See WealthScript Programming Guide, "DataSeries".

I read through the programmer's guide. I am looking for the piece about how to register a dataseries to a bar object.

from quick ref:

Locates a "Named DataSeries" that exists within the Bars object. Named DataSeries can be registered with a Bars object by specific Data Providers. A common example of a possible Named DataSeries is open interest for futures data. Another example are additional data fields that are imported in ASCII files.

tia

Eugene

#4

6/8/2008 11:01 AM

I am looking for the piece about how to register a dataseries to a bar object.

Named DataSeries are "attached" to a Bars object by specific Data Providers. It's not an arbitrary operation. For example, suppose you were given a CSV file containing standard DataSeries e.g. Date, Close etc. plus a couple of specific columns like "Unadjusted close" and "Contract Expiration". If you choose to declare them rather than skip, Wealth-Lab will be able to find them later (using FindNamedSeries).

P.S.
Since you didn't specify why'd you want to register a DataSeries to a Bars object, maybe there's some specific task on your mind?

redliontrader

#5

6/8/2008 11:45 AM

I am trying to port the KaseDev stops and I want to do a dataseries "cache" like DrKoch does in the following example:

CODE:
Please log in to see this code.

But I don't know how to port the CreateSeries call from WL4

Eugene

#6

6/8/2008 12:17 PM

Here it goes:

CODE:
Please log in to see this code.

Size:

Color:

Here it goes:

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

namespace WealthLab.Strategies
{
	// True Range Two Days - Dr.Koch for WL4 & Eugene for WL5
	public class TR2DSeries : DataSeries
	{
		public TR2DSeries(Bars bars): base(bars, "True Range Two Days")
		{
			this.FirstValidValue = 2;
			for (int bar = FirstValidValue; bar < bars.Count; bar++)
			{
				double h3 = Math.Max( Highest.Series( bars.High, 2 )[bar], bars.Close[bar-2] );
				double l3 = Math.Min( Lowest.Series( bars.Low, 2 )[bar], bars.Close[bar-2] );
				this[bar] = h3 - l3;
			}
		}

public static TR2DSeries Series(Bars bars)
		{
			string description = string.Concat(new object[] { "TR2DSeries" });
			if (bars.Cache.ContainsKey(description))
			{
				return (TR2DSeries)bars.Cache[description];
			}

TR2DSeries _TR2DSeries = new TR2DSeries(bars);
			bars.Cache[description] = _TR2DSeries;
			return _TR2DSeries;
		}
	}

// Kase Dev Stop Distance - Dr.Koch for WL4 & Eugene for WL5
	public class DevStops : DataSeries
	{
		public DevStops(Bars bars, int period, DataSeries TR2DSeries, 
			int trFactor, double sdFactor): base(bars, "Kase DevStops")
		{
			this.FirstValidValue = period;
			SMA avg = SMA.Series( TR2DSeries, period*2); 
			StdDev sd = StdDev.Series( TR2DSeries, period*2, StdDevCalculation.Sample);

for (int bar = FirstValidValue; bar < bars.Count; bar++)
			{
				this[bar] = trFactor * avg[bar] + sdFactor * sd[bar];
			}
		}

public static DevStops Series(Bars bars, int period, 
			DataSeries TR2DSeries, int trFactor, double sdFactor)
		{
			string description = string.Concat(new object[] { "DevStops(", period, ")" });
			if (bars.Cache.ContainsKey(description))
			{
				return (DevStops)bars.Cache[description];
			}

DevStops _DevStops = new DevStops(bars, period, TR2DSeries, trFactor, sdFactor);
			bars.Cache[description] = _DevStops;
			return _DevStops;
		}
	}
	
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			LineStyle dots = LineStyle.Dots;
			ChartPane distPane = CreatePane( 40, true, true );
			
			TR2DSeries TR2D = new TR2DSeries( Bars );
			DevStops WarningLine = new DevStops( Bars, 10, TR2D, 1, 0 );
			DevStops Dev1 = new DevStops( Bars, 10, TR2D, 1, 1 );
			DevStops Dev2 = new DevStops( Bars, 10, TR2D, 1, 2.2 );
			DevStops Dev3 = new DevStops( Bars, 10, TR2D, 1, 3.6 );
			
			PlotSeries( distPane, WarningLine, Color.Red, dots, 3 );
			PlotSeries( distPane, Dev1, Color.Red, dots, 3 );
			PlotSeries( distPane, Dev2, Color.Red, dots, 3 );
			PlotSeries( distPane, Dev3, Color.Red, dots, 3 );
		}
	}
}[/code]

redliontrader

#7

6/8/2008 1:43 PM

Thank you Eugene!
Even better than a pointer.

richard1000

#8

12/2/2010 4:14 PM

So can I turn the DevStops into sell at trailing stops? I tried SellingAtTrailingStop(bar +1, p, Dev1, "Dev") but I get an error stating DevStops cannot be converted to 'double'. I also tried

public double DevStops(Bars bars, int period, DataSeries TR2DSeries, int trFactor, double sdFactor): base(bars, "Kase DevStops")

but still get an error.

BTW, this thread should be transferred to WL .NET forum.

Eugene

#9

12/2/2010 4:27 PM

Please read any basic C# 101 book/resource from the Wealth-Lab Wiki FAQ (Support - Knowledge Base) first, then check out the WealthScript Programming Guide on DataSeries and how to get a single value.