BarHistoryCompressor (Wealth-Lab Framework)

BarHistoryCompressor is a static utility class containing methods that compress a BarHistory from a more granular scale to a less granular scale. For example, you can use ToWeekly to compress a daily BarHistory into weekly bars. Compression preserves the first Open, highest High, lowest Low, last Close, and sums Volume for each resulting bar. Named TimeSeries registered with the source BarHistory are also carried into the compressed BarHistory. If you want to use data calculated from a compressed BarHistory on a chart or Strategy running at the original scale, synchronize the resulting TimeSeries back to the original scale using TimeSeriesSynchronizer.

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");
            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);
            _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");
            BarHistory h2Bars = BarHistoryCompressor.ToHour(bars, 2);
            _rsi2hour = RSI.Series(h2Bars.Low, 14);
            _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))
            {
                if (_rsi2hour.CrossesUnder(30, idx))
                    PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
            }
            else
            {
                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
    {
        public override void Initialize(BarHistory bars)
        {
            BarHistory weekly = BarHistoryCompressor.ToWeekly(bars);
            RSI rsiWeekly = new RSI(weekly.Close, 4);
            TimeSeries rsiWeeklySynched = TimeSeriesSynchronizer.Synchronize(rsiWeekly, bars);
            PlotTimeSeries(rsiWeeklySynched, "RSI(Weekly4)", "RSI", WLColor.Blue);
        }
        public override void Execute(BarHistory bars, int idx)
        {
        }
    }
}