Scan for big move, pullback & rebound ?

Author: jaycoje

Creation Date: 2/26/2011 12:49 PM

Wealth Lab » Trading Strategies » Scan for big move, pullback & rebound ?

jaycoje

2/26/2011 12:49 PM

I've been searching the forums here to learn to write scans based on chart patterns but I mostly get WL4 threads, So far I've been using rule based strategies and tweaking the rules a bit to get close to what I want, but sometimes I will spot a pattern that looks interesting and would like to find more like it. For example on this daily

(hopefully chart shows up) 6 days ago it had a big x% move and continued the next day, then pulled back x% for a couple days and then price was within x% of approaching the previous high while above x day MA, with above average Volume, or the opposite in a down trend. That's just an example, could be any pattern or criteria. I guess I just want to learn to see a pattern I like and put it into a scan to find more like it. Hope I made since, I'm still very new to this. Thanks.

Also, If anybody has suggestions for any books or anything that can help somebody with no programing skills to make WL6 programing a little easier, please let me know.
Thanks.

Eugene

2/26/2011 12:58 PM

QUOTE:
...a big x% move...
...continued the next day...
...pulled back x% ...

Everyone may have their own definitions of what is "a big move", "continuation", and "pullback". Before attempting to program, you need to have clear definitions of these technical patterns in place. It might seem easy for the eye but the computer needs to have something unambiguous to work with.

jaycoje

2/26/2011 1:52 PM

Thanks, Eugene. I would like to be able to change the percentages of the moves to make the changes in the patterns. The Continuation can be % up or down in a certain amount of days or day.

Eugene

2/27/2011 9:31 AM

A setup like that might only look obvious but the code won't be so simple and intuitive. Nevertheless it catches the pattern of "big move, pullback and rebound" in TDC:

CODE:
Please log in to see this code.

Don't underestimate how many variables are there and the complexity behind all those "then this... then that..." ;)

Still, there's a lot of vague definitions: there are numerous ways of what defines a move that "continued", what means pulling back "for a couple days". I presented you a framework with many configurable options but all tweaks are up to you.

Size:

Color:

A setup like that might only look obvious but the code won't be so simple and intuitive. Nevertheless it catches the pattern of "big move, pullback and rebound" in TDC:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class jaycoje20110226 : WealthScript
	{
		private StrategyParameter paramBigMove;
		private StrategyParameter paramBigMoveBars;
		private StrategyParameter paramPullback;
		private StrategyParameter paramPullbackLasted;
		private StrategyParameter paramBackAgain;
		private StrategyParameter paramTimeout;
		
		public jaycoje20110226()
		{
			paramBigMove = CreateParameter("Big move %", 3, 2, 20, 1);
			paramBigMoveBars = CreateParameter("Over X bars", 1, 1, 5, 1);
			paramPullback = CreateParameter("Pullback %", 1, 1, 12, 1);
			paramPullbackLasted = CreateParameter("Pullback lasted", 2, 1, 6, 1);
			paramBackAgain = CreateParameter("Approaching %", 1, 1, 6, 1);
			paramTimeout = CreateParameter("Expires after Y bars", 10, 5, 20, 5);
		}
		
		protected override void Execute()
		{
			bool bigMove = false; int bmBar = -1;
			bool pullback = false; int pBar = -1;
			bool backAgain = false; int baBar = -1;
				
			for(int bar = 50; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					SellAtMarket( bar+1, LastPosition );
				}
				else
				{
					if( !bigMove ) {
						if( ROC.Series(Close,paramBigMoveBars.ValueInt)[bar] >= paramBigMove.Value ) {
							bigMove = true; bmBar = bar;
							SetBackgroundColor( bar, Color.FromArgb(50, Color.Blue) );
						}
					}
					if( !pullback ) {
						if( bigMove ) {
							if( bar >= bmBar + paramTimeout.ValueInt ) {
								bigMove = false;
							}
							else {
								if( ROC.Series(Close,paramPullbackLasted.ValueInt)[bar] <= -paramPullback.Value ) {
									pullback = true; pBar = bar;
									SetBackgroundColor( bar, Color.FromArgb(50, Color.Red) );
								}
							}
						}
					}
					if( !backAgain ) {						
						if( pullback ) 
						{
							if( bar >= pBar + paramTimeout.ValueInt ) {
								bigMove = false; pullback = false;
							}
							else {
								if( ( Close[bar] > SMA.Series( Close,50 )[bar] ) && ( High[bar] <= High[bmBar] ) && 
								( High[bar] >= (1 - paramBackAgain.Value/100d) * High[bmBar] )) {
									backAgain = true; baBar = bar;
									SetBackgroundColor( bar, Color.FromArgb(50, Color.Orange) );
								}
							}
						}
					}
					
					if( backAgain ){
						if( BuyAtMarket( bar + 1 ) != null ) {
							bigMove = false; pullback = false; backAgain = false;
						}
						else
							// reset if Setup has timed out
							backAgain = bar + 1 - bmBar < paramTimeout.ValueInt;
					}
				}
			}
		}
	}
}[/CODE]
Don't underestimate how many variables are there and the complexity behind all those "then this... then that..." ;)

Still, there's a lot of vague definitions: there are numerous ways of what defines a move that "continued", what means pulling back "for a couple days". I presented you a framework with many configurable options but all tweaks are up to you.