Bullish-Percent-Index

This is set up for P&F based on Closes and Percentage Boxes. You can change the number of boxes and reversal box count in the parameters.

Run it on a Wealth-Data DataSet (e.g., Nasdaq 100, S&P 500, etc.) for a real historical BPI.

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;
using WealthLab.TrendChartStyles;


namespace WealthScript2 
{
    public class BullishPercentIndexDemo : UserStrategyBase
    {
      public BullishPercentIndexDemo()
      {
         _boxSize = AddParameter("Box Size %", ParameterType.Double, 2.0, 1, 3, 0.5); 
         _boxCount = AddParameter("Box Count", ParameterType.Int32, 3, 2, 5, 1); 
      }

        public override void Initialize(BarHistory bars)
        {
         
        }

        public override void PreExecute(DateTime dt, List<BarHistory> participants)
      {
         int bullishCount = 0;
         foreach (BarHistory bh in participants)
         {            
            PointAndFigure pnf = new PointAndFigure(bh, SourceDataType.CloseOnly, PointAndFigureBoxType.Percent, _boxSize.AsDouble, _boxCount.AsInt);
            if (pnf?.Events.Count == 0)
               continue;
               
            int bar = GetCurrentIndex(bh);
            PointAndFigureEvent pfev = pnf.Events[pnf.Events.Count - 1];
            for (int n = pnf.Events.Count - 2; n >= 0; n--)   
            {
               PointAndFigureEvent pfev1 = pnf.Events[n];
               if (pfev.Index <= bar && bar > pfev1.Index)
               {
                  if (pfev.IsUpsideReversal)
                     bullishCount++;
                  break;
               }
               pfev = pfev1;
            }            
         }

         double value = 100 * bullishCount / (double)participants.Count;
         _bpiSource.Add(value, dt);
        }

        public override void Execute(BarHistory bars, int idx)
        {
         
        }


      public override void Cleanup(BarHistory bars)
      {
         _bpi = TimeSeriesSynchronizer.Synchronize(_bpiSource, bars);
         PlotTimeSeriesLine(_bpi, "Bullish Percent Index", "BPI");
      }

      static TimeSeries _bpiSource = new TimeSeries();
      TimeSeries _bpi; 
      Parameter _boxSize; 
      Parameter _boxCount; 
   }
}

BPI is built during execution and synchronized in the Cleanup() method. To use the values the same Strategy in Execute(), you'd have to be careful with the synchronization. Probably it would be best to export the BPI data to a text file and consume it in another strategy. Other ideas?

Of course, since the calculation is performed in PreExecute, you can acess the current value of BPI in Execute like this:

CODE:
        public override void Execute(BarHistory bars, int idx)
        {
         double bpiToday = _bpiSource.LastValue; 
        }