WealthLab - Enums | WealthLab Framework

Frequency

public enum Frequency

Represents the frequency of historical data. Possible values are:

Daily
Weekly
Monthly
Quarterly
Yearly
Tick
Second
Minute
Volume
Hour
NDays
WeeklyStartDay
SemiAnnually
BiWeekly

LineStyle

public enum LineStyle

Specifies how lines are rendered by WealthLab charting and drawing methods. Possible values are:

Solid
Dashed
Dotted

OptimizationRunType

public enum OptimizationRunType

Specifies the type of optimization run. Possible values are:

None
Standard
WFO
SymbolBySymbol

OptionSymbolFormat

public enum OptionSymbolFormat

Identifies supported option symbol formats. Possible values are:

Compact
OCC
LegacyMonthCode
TDAmeritrade
LegacyPadded

Remarks

Compact - Compact option symbol format. Example: TTD230712C75. Used by providers such as Interactive Brokers.
OCC - Standard OCC/OSI format using a padded strike price. Example: TTD230721C00075000. Used by providers such as Tradier and TradeStation.
LegacyMonthCode - Legacy format using a month letter code, day, and year. Example: TTD2321G75, where G represents July. Used by platforms such as TradingView, IQFeed, and Collective2.
TDAmeritrade - Obsolete TD Ameritrade format using an mmyydd date. Example: TTD_072123C75.
LegacyPadded - Legacy OCC format using a six-character space-padded underlying symbol. Example: TTD 230721C00075000. Used by Schwab.

OrderType

public enum OrderType

Specifies the type of order submitted to the Backtester or a Broker. Possible values are:

Market
Limit
Stop
FixedPrice
LimitMove
MarketClose
LimitClose
StopLimit

Remarks

Limit - Executes the simulated order if the bar's price reaches or penetrates the limit price in the favorable direction. If the bar opens beyond the limit price, the simulated order fills at the opening price.
Stop - Executes the simulated order if the bar's price reaches or penetrates the stop price. If the bar opens beyond the stop price, the simulated order fills at the opening price.
StopLimit - Works like a Stop order but adds a Limit price constraint. Assign the limit price to the Transaction's StopLimitLimitPrice property. Brokers can impose restrictions on the relationship between the Stop and Limit prices.
LimitMove - Works like a Limit order, but for entry orders the Backtester will not execute the simulated order if the bar opens beyond the order price. WealthLab's Quotes & Price Triggers tool also suppresses LimitMove triggers whose first recorded tick is already beyond the Price.
MarketClose - Executes the simulated order at the bar's closing price. See the usage notes below for same-bar and live-trading considerations.
LimitClose - Similar to MarketClose but with a Limit price constraint. If the closing price is not at or better than the Limit price, the order does not fill.
FixedPrice - A pseudo order type used primarily for backtest analysis. It executes at exactly the specified order price, which should fall within the bar's OHLC range. Market-On-Close and Limit-On-Close Usage Notes

WealthLab can place Market On Close (MOC) and Limit On Close (LOC) orders with Brokers that support them. As a general rule, On-Close orders should be submitted sufficiently before the end of the session to participate in the closing auction. Brokers can reject or cancel orders submitted too late.
The Backtester executes MarketClose and LimitClose orders on the following bar regardless of time scale. An intraday Strategy using On-Close orders for session-close logic should therefore place the order on the penultimate bar before the regular session close.
Intraday Strategies generally should not use On-Close orders for ordinary midday trading. Use Market and Limit orders instead.
For live trading behavior, see Preferences > Trading > Special Order Types > Use MOC/LOC when Possible. For hypothetical backtesting, you might want to analyze a completed bar and execute a MarketClose order on that same bar. This requires intentionally peeking at the following bar because Strategy logic normally cannot know the current bar's final values before its close. The example below demonstrates this technique. It suppresses the exit Signal on the final chart bar because no future bar exists to inspect.

using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Drawing;
namespace WealthScript1
{
    public class MarketClosePeekingExitStrategy : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
            smaShort = SMA.Series(bars.Close, 20);
            smaLong = SMA.Series(bars.Close, 50);
            PlotIndicator(smaShort, WLColor.Gold);
            PlotIndicator(smaLong, WLColor.Red);
            PlotStopsAndLimits(3);
        }
        public override void Execute(BarHistory bars, int idx)
        {
            if (!HasOpenPosition(bars, PositionType.Long))
            {
                if (bars.Close[idx] < smaShort[idx] && bars.Close[idx] < smaLong[idx])
                {
                    Transaction t = PlaceTrade(bars, TransactionType.Buy, OrderType.StopLimit, smaShort[idx], "StpLmt");
                    t.StopLimitLimitPrice = smaShort[idx] * 1.005;
                }
            }
            else
            {
                if (idx == bars.Count - 1)
                    return;
                if (smaShort.CrossesOver(smaLong, idx + 1))
                    PlaceTrade(bars, TransactionType.Sell, OrderType.MarketClose);
            }
        }
        private SMA smaShort;
        private SMA smaLong;
    }
}

ParameterType

public enum ParameterType

Represents the type of a Parameter used by WealthLab components such as Strategies and Indicators. Parameters are instances of the Parameter class. Possible values are:

Int32
Double
String
Boolean
TimeSeries
BarHistory
Color
LineStyle
Text
Font
StringChoice
Indicator
Smoother
IndicatorSource
PriceComponent
DataSet
ColorWpfDeprecated
HistoryScale
Date
Password
Label
SmootherType
IndicatorTSSource
DataRange

Remarks

Text - Exposes a string using a multiline text field in the user interface.
StringChoice - Exposes a string with a discrete set of possible values using a drop-down control.
IndicatorSource - Used internally to indicate that a Parameter obtains its source from another Indicator.
PriceComponent - Represents Open, High, Low, Close, Volume, or one of the calculated average-price components represented by the PriceComponent enum.

PeakTroughReversalType

public enum PeakTroughReversalType

Specifies the method a PeakTroughCalculator uses to determine peak and trough reversals. Possible values are:

Percent
Point
ATR
ATRPercent

PeakTroughType

public enum PeakTroughType

Specifies whether a PeakTrough instance represents a peak or a trough. PeakTrough instances are generated by the PeakTroughCalculator utility class. Possible values are:

Peak
Trough

PlotStyle

public enum PlotStyle

Specifies the plotting style used to render an Indicator or TimeSeries on a chart. Possible values are:

Line
Histogram
Dots
ThickLine
ThickHistogram
DottedLine
DashedLine
BooleanDots
Bands
ZigZag
Blocks
GradientBlocks
BarHistory
BarChart
HistogramTwoColor
Oscillator
Cloud
Mountain

Remarks

BooleanDots - Always plots in the price pane and draws a dot above a price bar whenever the Indicator value is greater than zero.
Bands - Renders filled bands based on the source Indicator and its BandCompanion. The companion Indicators should have their Bars property assigned to the same BarHistory. If a BandCompanion cannot be found, the Indicator plots as a line. You can alternatively use PlotIndicatorBands.
ZigZag - Intended for Indicators such as ZigZag that contain sporadic values separated by Double.NaN. WealthLab draws lines between the non-NaN values.
Blocks - Plots outlined blocks, with each block spanning a range of identical values. This style is useful for fundamental or regime data.
GradientBlocks - Similar to Blocks, but fills each block using a gradient.

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;
namespace WealthScript123
{
    public class FilledBBands : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
            bbl = BBLower.Series(bars.Close, 20, 2);
            bbu = BBUpper.Series(bars.Close, 20, 2);
            bbl.Bars = bars;
            bbu.Bars = bars;
            PlotIndicator(bbl, WLColor.Pink, PlotStyle.Bands);
            PlotIndicator(bbu, WLColor.Pink);
        }
        public override void Execute(BarHistory bars, int idx)
        {
        }
        private BBLower bbl;
        private BBUpper bbu;
    }
}

PositionType

public enum PositionType

Specifies whether a Position is Long or Short. Possible values are:

Long
Short

PriceComponent

public enum PriceComponent

Represents the components of historical market data and several price components derived by averaging the standard OHLC values. Possible values are:

Open
High
Low
Close
Volume
AveragePriceOHLC
AveragePriceHLC
AveragePriceHL
AveragePriceOC
AveragePriceHLCC

SignalStatus

public enum SignalStatus

Represents the possible states of an order during its lifetime while interacting with a Broker. Possible values are:

Staged
Placed
Active
Filled
PartialFilled
CancelPending
Canceled
Error
WaitForClose
Published
FinalOrder
HeldForReview
Killed

StrategyExecutionMode

public enum StrategyExecutionMode

Specifies the context in which the Backtester is executing a Strategy. The current value is available through the Backtester's ExecutionMode property. Possible values are:

Strategy
Optimization
StreamingChart
StrategyMonitor
Rankings
Evolver
SignalPublisher

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Drawing;
using System.Collections.Generic;
namespace WealthScript1
{
    public class MyStrategy : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
            DrawHeaderText(ExecutionMode.ToString(), WLColor.Blue, 16);
            switch (ExecutionMode)
            {
                case StrategyExecutionMode.Optimization:
                    _isOptimization = true;
                    break;
                case StrategyExecutionMode.Strategy:
                    _isStrategyWindow = true;
                    break;
                case StrategyExecutionMode.StrategyMonitor:
                    _isStrategyMonitor = true;
                    break;
                case StrategyExecutionMode.StreamingChart:
                    _isStreaming = true;
                    break;
                default:
                    break;
            }
        }
        public override void Execute(BarHistory bars, int idx)
        {
        }
        bool _isStreaming;
        bool _isOptimization;
        bool _isStrategyWindow;
        bool _isStrategyMonitor;
    }
}

TextShape

public enum TextShape

Provides special symbols that can be rendered with methods such as DrawBarAnnotation, including triangles, circles, squares, and stars. Possible values are:

TriangleUp
TriangleDown
TriangleHollowUp
TriangleHollowDown
SquareFilled
SquareHollow
SquareLeftTick
SquareRightTick
CircleHollow
CircleFilled
CircleCrosshair
CircleWithX
DiamondFilled
DiamondHollow
HexagonFilled
HexagonHollow
ArrowUp
ArrowDown
ArrowRight
ArrowLeft
ArrowRightLeft
StarFilled
StarHollow
Star8Points

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;
namespace WealthScript1
{
    public class MyStrategy : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
            ptc = new PeakTroughCalculator(bars.Close, 5.0, PeakTroughReversalType.Percent);
            foreach (PeakTrough pt in ptc.PeakTroughs)
            {
                if (pt.Type == PeakTroughType.Trough)
                    DrawBarAnnotation(TextShape.TriangleHollowUp, pt.XIndex, false, WLColor.Lime, 16);
                else
                    DrawBarAnnotation(TextShape.TriangleHollowDown, pt.XIndex, true, WLColor.Red, 16);
            }
        }
        public override void Execute(BarHistory bars, int idx)
        {
        }
        PeakTroughCalculator ptc;
    }
}

TradingDayChoice

public enum TradingDayChoice

Identifies a calendar period used by trading-day utility methods that calculate elapsed or remaining trading days. Possible values are:

Weekly
Quarterly
Monthly

TrailingStopType

public enum TrailingStopType

Specifies how a trailing stop is calculated when using the CloseAtTrailingStop method of UserStrategyBase. Possible values are:

PercentC
PointC
PercentHL
PointHL
ATR

Remarks

PercentC - Uses a percentage distance above or below price and updates from closing prices.
PercentHL - Uses a percentage distance and updates from Highs for Long Positions and Lows for Short Positions.
PointC - Uses a fixed-point distance above or below price and updates from closing prices.
PointHL - Uses a fixed-point distance and updates from Highs for Long Positions and Lows for Short Positions.
ATR - Uses an ATR-based distance and updates from Highs for Long Positions and Lows for Short Positions. For a Chandelier-style exit, the distance from the highest or lowest point to the trailing stop is expressed in units of ATR.

TransactionType

public enum TransactionType

Specifies the type and direction of a Transaction or order. Possible values are:

Buy
Sell
Short
Cover

VerticalAlignment

public enum VerticalAlignment

Specifies the vertical alignment used by methods such as DrawTextVAlign. Possible values are:

Bottom
Center
Top

Enums | WealthLab Framework

Enums

Enumerated Types

Frequency

LineStyle

OptimizationRunType

OptionSymbolFormat

OrderType

ParameterType

PeakTroughReversalType

PeakTroughType

PlotStyle

PositionType

PriceComponent

SignalStatus

StrategyExecutionMode

TextShape

TradingDayChoice

TrailingStopType

TransactionType

VerticalAlignment

Need help with this API?