Peek-at-open-or-close

Glitch8

( 10.62% )

2024-09-25T19:50:49Z - 2024-09-25T19:50:49Z ago

#1

Building Blocks or C# Code?

0

gbullr8

2024-09-25T21:01:10Z - 2024-09-25T21:01:10Z ago

#2

C Code.

0

gbullr8

2024-09-25T21:12:48Z - 2024-09-25T21:12:48Z ago

#3

I want to peek and trade.

Thanks

0

Glitch8

( 10.62% )

2024-09-25T21:54:18Z - 2024-09-25T21:54:18Z ago

#4

Here is a minimal example. To learn how to trade such a system on daily data in the Strategy Monitor see the Build 99 video on our Youtube channel.

https://youtu.be/Z39A55OEudM

CODE:

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

namespace WealthScript1 
{
    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)
        {
         rsi4 = RSI.Series(bars.Close, 4);
         PlotIndicator(rsi4);
        }

        //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 (idx == bars.Count - 1)
            return;
            if (!HasOpenPosition(bars, PositionType.Long))
            {
            if (rsi4[idx + 1] < 20)
               PlaceTrade(bars, TransactionType.Buy, OrderType.MarketClose);
            }
            else
            {
            if (rsi4[idx + 1] > 70)
               PlaceTrade(bars, TransactionType.Sell, OrderType.MarketClose);
            }
        }

      //declare private variables below
      private RSI rsi4;
    }
}

1

gbullr8

2024-09-25T22:12:03Z - 2024-09-25T22:12:03Z ago

#5

Thanks VM!

0

gbullr8

2024-09-27T21:05:38Z - 2024-09-27T21:05:38Z ago

#6

How do I close on same day close.

So peek on open

and close on close of idx not idx+ 1

Thanks.

0

Glitch8

( 10.62% )

2024-09-27T21:33:21Z - 2024-09-27T21:33:21Z ago

#7

The code I shared above already peeks 1 bar ahead and exits at the close.

0

gbullr8

2024-10-01T02:46:51Z - 2024-10-01T02:46:51Z ago

#9

I have run your code and I have been unable to find an instance where a trade closes on the same day that the opening trade went on. There are a lot of trades, but I have scrolled down lets say 2 or 3 pages.

Thanks. Sorry if did not ask the question correctly.

Buy or short on open. sell or cover on close.

Thanks again.

0

Glitch8

( 10.62% )

2024-10-01T02:58:59Z - 2024-10-01T02:58:59Z ago

#10

The RSI4 will never close above 70 AND below 20 on the same day, so it will never happen. If you want to learn about WL8’s support for same bar exits you can watch this video.

I’ll try and mock up your revised rules tomorrow 👍

https://www.youtube.com/watch?v=eLHjUpUFGf8

0

Glitch8

( 10.62% )

2024-10-01T12:58:41Z - 2024-10-01T12:58:41Z ago

#11

Here's an implementation of the rules:

- Buy next bar at market open if RSI4 < 20
- Sell next bar at market close if that bar's RSI > 70 or the trade's profit is 1% or more.

Running with TQQQ here is a cluster of trades that exited on the same bar as entry.

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;
using ScottPlot.Plottable;

namespace WealthScript1 
{
    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)
        {
         rsi4 = RSI.Series(bars.Close, 4);
         PlotIndicator(rsi4);
        }

        //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 (idx == bars.Count - 1)
            return;
            if (!HasOpenPosition(bars, PositionType.Long))
            {
                //code your buy conditions here
            if (rsi4[idx] < 20)
            {
               entryPrice = bars.Open[idx + 1];
               PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
               PlaceExits(bars, idx);
            }
            }
            else
            {
            //code your sell conditions here
            PlaceExits(bars, idx);
            }
        }

      //place exit orders, peek one bar ahead
      private void PlaceExits(BarHistory bars, int idx)
      {
         //exit at close when trade has 1% profit, even on entry bar, or RSI4 closes above 70
         double profit = (bars.Close[idx + 1] - entryPrice) * 100 / entryPrice;
         if (profit > 1 || rsi4[idx + 1] > 70)
            PlaceTrade(bars, TransactionType.Sell, OrderType.MarketClose);
      }

      //declare private variables below
      private RSI rsi4;
      private double entryPrice;
    }
}

0

gbullr8

2024-10-01T19:20:04Z - 2024-10-01T19:20:04Z ago

#12

Thanks.

I don't want a closing condition. I want the trade to CLOSE on the Close of the bar that I Opened it in. Not subject to conditions.

0

Glitch8

( 10.62% )

2024-10-01T19:57:55Z - 2024-10-01T19:57:55Z ago

#13

I think I gave you enough to go on, if you want a lot more custom coding we offer a Concierge Support service where we can code your complete strategy based on your specs.

Here’s a hint though, you just need to place your exit trade at close on the line right after your entry.

0

gbullr8

2024-10-02T00:19:14Z - 2024-10-02T00:19:14Z ago

#15

Your code does not close on the date of entry.

But that is ok to go on.

Ok...

Thanks for your effort.

0

gbullr8

2024-10-02T00:34:50Z - 2024-10-02T00:34:50Z ago

#16

For all of you that want to trade on same bar, don't put anything on the else side of the HasOpenPosition

CODE:
{
               PlaceTrade(bars, TransactionType.Short, OrderType.Market, 0, "S@O");


            }
            
            {
               PlaceTrade(bars, TransactionType.Cover, OrderType.MarketClose, 0, "Having a Glitch is your code is Cool");


            }

0

Glitch8

( 10.62% )

2024-10-02T00:50:32Z - 2024-10-02T00:50:32Z ago

#17

>> Your code does not close on the date of entry.<<

Umm, take a look at the chart image I posted and the area surrounded in red. It most certainly does exit on the date of entry 🤷🏼‍♂️

0