Data-add-new-filtered-data-from-a-strategy

QUOTE:
Another example of use: I want to test a 5min strategy over 10 years, I create a daily data filter to take only the key moments and delete the rest so as not to take all the data (lighten/alleviate the machine).

QUOTE:
For this, I propose to be able to create new datasets from a strategy.

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

namespace WealthScript7 
{
    public class MyStrategy : UserStrategyBase
    {
        //create indicators and other objects here, this is executed prior to the main trading loop
        public override void Initialize(BarHistory bars)
        {
         _daily = WLHost.Instance.GetHistory(bars.Symbol, HistoryScale.Daily, DateTime.MinValue, DateTime.MaxValue, 0, null);
         _sma20 = SMA.Series(_daily.Close, 20);
         _sma20 = TimeSeriesSynchronizer.Synchronize(_sma20, bars);
         _sma50 = SMA.Series(_daily.Close, 50);
         _sma50 = TimeSeriesSynchronizer.Synchronize(_sma50, bars);

         PlotTimeSeries(_sma20, "SMA20", "Price", WLColor.NeonGreen);
         PlotTimeSeries(_sma50, "SMA50", "Price", WLColor.NeonRed);
        }

        //execute the strategy rules here, this is executed once for each bar in the backtest history
        public override void Execute(BarHistory bars, int idx)
        {
            if (!HasOpenPosition(bars, PositionType.Long))
            {
            //code your buy conditions here
            if (bars.Close[idx] > _sma20[idx] && bars.Close[idx] > _sma50[idx])
            {
               // do something here
            }
            }
            else
            {
                //code your sell conditions here
            }
        }

      //declare private variables below
      BarHistory _daily;
      TimeSeries _sma50;
      TimeSeries _sma20;

    }
}