BarHistoryCompressor (Wealth-Lab Framework)

BarHistoryCompressor is a static utility class containing methods that let you compress a BarHistory instance from one scale down to a more compressed scale. For example, you can call BarHistoryCompressor.ToWeekly to compress a daily BarHistory into a weekly one.

If you want to be able to plot a compressed BarHistory onto the chart, you would need to first expand it back to the original scale. You can use the BarHistorySynchronizer utility class to accomplish this.

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

namespace WealthScriptTest
{
	public class BarHistoryToDailyScaleExample : UserStrategyBase
	{
		TimeSeries _dailyAvgInBaseScale;
		TimeSeries _dailyLows;

		public override void Initialize(BarHistory bars)
		{
			if (!bars.IsIntraday)
			{
				throw new InvalidOperationException("Example is intended for an intraday BarHistory");
			}

			//create a 10-day average of the daily low prices
			BarHistory dayBar = BarHistoryCompressor.ToDaily(bars);
			IndicatorBase daySmaOfLows = SMA.Series(dayBar.Low, 10);
			_dailyAvgInBaseScale = TimeSeriesSynchronizer.Synchronize(daySmaOfLows, bars.Close);
			PlotTimeSeries(_dailyAvgInBaseScale, "SMA(10) of Daily Lows", "Price", WLColor.Blue, PlotStyle.Dots);

			//also plot the daily low prices
			_dailyLows = TimeSeriesSynchronizer.Synchronize(dayBar.Low, bars.Close);
			PlotTimeSeries(_dailyLows, "Daily Low", "Price", WLColor.Red, PlotStyle.Dots);

		}

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

		}
	}
}

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

namespace WealthScriptTest
{
	public class BarHistoryToHourlyExample : UserStrategyBase
	{
		TimeSeries _rsi2hour;

		public override void Initialize(BarHistory bars)
		{
			if (!bars.IsIntraday)
			{
				throw new InvalidOperationException("Example is intended for an intraday BarHistory");
			}

			//Compress to 2-hour bars
			BarHistory h2Bars = BarHistoryCompressor.ToHour(bars, 2);

			//Get a RSI(14) of the 2-hour low series
			_rsi2hour = RSI.Series(h2Bars.Low, 14);

			//synchronize the rsi
			_rsi2hour = TimeSeriesSynchronizer.Synchronize(_rsi2hour, bars.Close);

			PlotTimeSeries(_rsi2hour, "RSI(14) of 2 hour bars", "RSIPane", WLColor.Blue, PlotStyle.Line);
		}

		public override void Execute(BarHistory bars, int idx)
		{
			if (!HasOpenPosition(bars, PositionType.Long))
			{
				//buy when the 2-hr rsi of the lows drops below 30
				if (_rsi2hour.CrossesUnder(30, idx))
					PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
			}
			else
			{
				//sell when the 2-hr rsi of the lows rises above 50
				if (_rsi2hour.CrossesOver(50, idx))
					PlaceTrade(bars, TransactionType.Sell, OrderType.Market);
			}

		}
	}
}

using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Drawing;

namespace WealthLab
{
	public class MyStrategy1 : UserStrategyBase
	{
		//create indicators and other objects here, this is executed prior to the main trading loop
		public override void Initialize(BarHistory bars)
		{
			//get weekly data
			BarHistory weekly = BarHistoryCompressor.ToWeekly(bars);

			//get 4 week RSI
			RSI rsiWeekly = new RSI(weekly.Close, 4);

			//synchronize it back to the original (daily) scale
			TimeSeries rsiWeeklySynched = TimeSeriesSynchronizer.Synchronize(rsiWeekly, bars);

			//Plot the weekly RSI on the daily chart
			PlotTimeSeries(rsiWeeklySynched, "RSI(Weekly4)", "RSI", WLColor.Blue);
		}

		//execute the strategy rules here, this is executed once for each bar in the backtest history
		public override void Execute(BarHistory bars, int idx)
		{
		}

		//declare private variables below

	}
}