IndicatorBase (Wealth-Lab Framework)

IndicatorBase is the base class for indicators in WealthLab. It is derived from TimeSeries, and basically contains a list of floating point double Values keyed off a list of DateTimes. The class contains additional methods and properties that let it work with the indicator management subsystem of WealthLab, and will be most useful for developers creating their own custom indicators.

//calculate partial value
        public override bool CalculatePartialValue()
        {
            StreamingValue = Double.NaN;
            TimeSeries source = Parameters[0].AsTimeSeries;
            if (Double.IsNaN(source.StreamingValue))
                return false;
            Int32 period = Parameters[1].AsInt;
            if (period >= source.Count)
                return false;
            double sum = 0;
            for (int n = 0; n < period - 1; n++)
            {
                var i = source.Count - 1 - n;
                sum += source[i];
            }
            sum += source.StreamingValue;
            StreamingValue = sum / period;
            return true;
        }

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

namespace WealthScript4
{
	public class MyStrategy : UserStrategyBase
	{
		TimeSeries _barsAboveSMA;

		public override void Initialize(BarHistory bars)
		{
			//calculate the number of days the Close is above the 10-day SMA for the last 20 bars
			TimeSeries sma = SMA.Series(bars.Close, 10);
			PlotTimeSeriesLine(sma, "SMA(10)", "Price", WLColor.Blue, 2);
			TimeSeries tmp = bars.Close - sma;
			tmp = tmp / tmp.Abs();
			tmp = (tmp + 1d) / 2d;

			_barsAboveSMA = tmp.Sum(20);
			PlotTimeSeries(_barsAboveSMA, "Closes Above SMA for last 20 bars", "BarsAbovePane", WLColor.Blue, PlotStyle.Histogram);
		}

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

		}
	}
}

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//the list of symbols that we should buy each bar
		private static List<BarHistory> buys = new List<BarHistory>();

		//create the weight indicator and stash it into the BarHistory object for reference in PreExecute
		public override void Initialize(BarHistory bars)
		{
			rsi = new RSI(bars.Close, 14);
			//store the RSI indicator in the cache, so it can be accessed when PreExecute is called
			bars.Cache["RSI"] = rsi;
		}

		//this is called prior to the Execute loop, determine which symbols have the lowest RSI
		public override void PreExecute(DateTime dt, List<BarHistory> participants)
		{
			//store the symbols' RSI value in their BarHistory instances
			foreach (BarHistory bh in participants)
			{
				RSI rsi = (RSI)bh.Cache["RSI"];
				int idx = GetCurrentIndex(bh);  //this returns the index of the BarHistory for the bar currently being processed
				double rsiVal = rsi[idx];
				bh.UserData = rsiVal; //save the current RSI value along with the BarHistory instance
			}

			//sort the participants by RSI value (lowest to highest)
			participants.Sort((a, b) => a.UserDataAsDouble.CompareTo(b.UserDataAsDouble));

			//keep the top 3 symbols
			buys.Clear();
			for (int n = 0; n < 3; n++)
			{
				if (n >= participants.Count)
					break;
				buys.Add(participants[n]);
			}
		}

		//execute the strategy rules here, this is executed once for each bar in the backtest history
		public override void Execute(BarHistory bars, int idx)
		{
			bool inBuyList = buys.Contains(bars);
			if (!HasOpenPosition(bars, PositionType.Long))
			{
				//buy logic - buy if it's in the buys list
				if (inBuyList)
					PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
			}
			else
			{
				//sell logic, sell if it's not in the buys list
				if (!inBuyList)
					PlaceTrade(bars, TransactionType.Sell, OrderType.Market);
			}
		}

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

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//do some analysis of 10, 20, 50, 100 bars ago
		public override void Initialize(BarHistory bars)
		{
			SetTextDrawingOptions(WLColor.Beige, WLColor.Black, 1);
			ReportGainAfterNBars(bars, 10);
			ReportGainAfterNBars(bars, 20);
			ReportGainAfterNBars(bars, 50);
			ReportGainAfterNBars(bars, 100);
		}
		private void ReportGainAfterNBars(BarHistory bars, int numBars)
		{
			int idx = bars.Count - numBars;
			if (idx >= 0)
			{
				double gain = bars.Close[bars.Count - 1] - bars.Close[idx];
				gain = gain * 100.0 / bars.Close[idx];
				DrawBarAnnotation(numBars + " bar gain: " + gain.ToString("N2") + "%", idx, false, WLColor.Black, 7);
				DrawLine(idx, bars.Close[idx], bars.Count - 1, bars.Close[bars.Count - 1], WLColor.Gray, 2, LineStyle.Dotted);
			}
		}

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

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

namespace WealthScript4
{
	public class MyStrategy : UserStrategyBase
	{
		//Create indicators
		public override void Initialize(BarHistory bars)
		{
			macd = new MACD(bars.Close);
			macdHist = new MACDHist(bars.Close, 10);
			PlotIndicatorLine(macd);
			PlotIndicator(macdHist, WLColor.Blue, PlotStyle.Histogram);
		}

		//flag the bars where the MACD Histogram crosses above and below zero
		public override void Execute(BarHistory bars, int idx)
		{
			if (macdHist.CrossesOver(0, idx))
				SetBarColor(bars, idx, WLColor.Green);
			else if (macdHist.CrossesUnder(0, idx))
				SetBarColor(bars, idx, WLColor.Red);
			else
				SetBarColor(bars, idx, WLColor.Silver);
		}

		//declare variables
		private MACD macd;
		private MACDHist macdHist;
	}
}

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

namespace WealthScript4
{
	public class MyStrategy : UserStrategyBase
	{
		//Create indicators
		public override void Initialize(BarHistory bars)
		{
			macd = new MACD(bars.Close);
			macdHist = new MACDHist(bars.Close, 10);
			PlotIndicatorLine(macd);
			PlotIndicator(macdHist, WLColor.Blue, PlotStyle.Histogram);
		}

		//flag the bars where the MACD Histogram crosses above and below zero
		public override void Execute(BarHistory bars, int idx)
		{
			if (macdHist.CrossesOver(0, idx))
				SetBarColor(bars, idx, WLColor.Green);
			else if (macdHist.CrossesUnder(0, idx))
				SetBarColor(bars, idx, WLColor.Red);
			else
				SetBarColor(bars, idx, WLColor.Silver);
		}

		//declare variables
		private MACD macd;
		private MACDHist macdHist;
	}
}

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

namespace WealthLab
{
    public class MyStrategy : UserStrategyBase
    {
        //annotate the 100 bar high and low
        public override void Initialize(BarHistory bars)
        {
			double lowVal = Double.MaxValue;
			double highVal = Double.MinValue;
			int lowIdx = -1;
			int highIdx = -1;
			for (int n = bars.Count - 1; n > bars.Count - 100; n--)
			{
				if (n >= 0)
				{
					if (bars.Low[n] < lowVal)
					{
						lowVal = bars.Low[n];
						lowIdx = n;
					}
					if (bars.High[n] > highVal)
					{
						highVal = bars.High[n];
						highIdx = n;
					}
				}
			}
			if (lowIdx >= 0)
			{
				string txt = "100 bar low occurred on " + bars.DateTimes[lowIdx].ToLongDateString();
				DrawBarAnnotation(txt, lowIdx, false, WLColor.Red, 8);
			}
			if (highIdx >= 0)
			{
				string txt = "100 bar high occurred on " + bars.DateTimes[highIdx].ToLongDateString();
				DrawBarAnnotation(txt, highIdx, true, WLColor.Green, 8);
			}
        }

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

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

namespace WealthScript5
{
	public class MyStrategy : UserStrategyBase
	{
		//Display indicator's description
		public override void Initialize(BarHistory bars)
		{
			ADX adx = new ADX(bars, 20);
			PlotIndicatorLine(adx);
			DrawHeaderText("Plotted " + adx.Description);
		}

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

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

namespace WealthLab
{
    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)
        {
			SetTextDrawingOptions(WLColor.AliceBlue, WLColor.Black, 1);
			string s = "Chart end date is " + bars.EndDate.ToLongDateString();
			DrawHeaderText(s);   
        }
	    
        public override void Execute(BarHistory bars, int idx)
        {
        }
    }
}

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

namespace WealthLab
{
	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)
		{
			sma = new SMA(bars.Close, 200);
			PlotIndicatorLine(sma);
		}

		//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 < sma.FirstValidIndex)
				SetBackgroundColor(bars, idx, c);
		}

		//declare private variables below
		SMA sma;
		WLColor c = WLColor.FromArgb(32, 128, 0, 0);
	}
}

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//Flag 60 bar high and low
		public override void Initialize(BarHistory bars)
		{
			if (bars.Count < 60)
				return;
			double high60 = bars.High.GetHighest(bars.Count - 1, 60);
			double low60 = bars.Low.GetLowest(bars.Count - 1, 60);
			WLColor c = WLColor.FromArgb(32, 128, 128, 128);
			FillRectangle(bars.Count - 60, high60, bars.Count - 1, low60, c);
		}

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

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//Flag 60 bar high and low
		public override void Initialize(BarHistory bars)
		{
			if (bars.Count < 60)
				return;
			double high60 = bars.High.GetHighest(bars.Count - 1, 60);
			double low60 = bars.Low.GetLowest(bars.Count - 1, 60);
			WLColor c = WLColor.FromArgb(32, 128, 128, 128);
			FillRectangle(bars.Count - 60, high60, bars.Count - 1, low60, c);
		}

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

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

namespace WealthLab
{
    public class MyStrategy : UserStrategyBase
    {
        //whoever figures out the significance of this date will receive a one month free Premium membership credit
        public override void Initialize(BarHistory bars)
        {
			WLColor green = WLColor.FromArgb(128, 0, 255, 0);
	        if (bars.Count == 0)
				return;
			for (int yr = bars.StartDate.Year; yr <= bars.EndDate.Year; yr++)
			{
				DateTime dt = new DateTime(yr, 8, 25);
				int idx = bars.IndexOf(dt);
				if (idx >= 0)
					SetBackgroundColor(bars, idx, green);
			}
        }

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

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

namespace WealthLab
{
    public class MyStrategy : UserStrategyBase
    {
        //report on whether data needs updating
        public override void Initialize(BarHistory bars)
        {
			string txt;
			WLColor c;
			if (bars.IsUpToDate(DateTime.Now))
			{
				txt = "Data appears to be up to date";
				c = WLColor.Green;
			}
			else
			{
				txt = "Data appears to need updating!";
				c = WLColor.Red;
			}
			DrawHeaderText(txt, c);
        }

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

using WealthLab.Backtest;
using WealthLab.Core;
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)
		{
			double oneYearReturn = bars.Close.ReturnNDays(bars.Count - 1, 365);
			SetTextDrawingOptions(WLColor.White, WLColor.Black, 1);
			DrawHeaderText("One year return of " + bars.Symbol + " is: " + oneYearReturn.ToString("N2") + "%", WLColor.Black, 12);
		}

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

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

namespace WealthLab
{
    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)
        {
			SetTextDrawingOptions(WLColor.AliceBlue, WLColor.Black, 1);
			string s = "Chart start date is " + bars.StartDate.ToLongDateString();
			DrawHeaderText(s);   
        }
	    
        public override void Execute(BarHistory bars, int idx)
        {
        }
    }
}

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

namespace WealthLab
{
    public class MyStrategy : UserStrategyBase
    {
        //display total amount of time covered in chart
        public override void Initialize(BarHistory bars)
        {
			string txt = "Chart data comprised of " + bars.TimeSpan.TotalHours.ToString("N0") + " total hours";
			DrawHeaderText(txt);
        }

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

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//Create indicators
		public override void Initialize(BarHistory bars)
		{
			macd = new MACD(bars.Close);
			macdHist = new MACDHist(bars.Close, 5);
			PlotIndicatorLine(macd);
			PlotIndicator(macdHist, WLColor.Blue, PlotStyle.Histogram);
		}

		//flag the bars where the MACD Histogram turns up and down
		public override void Execute(BarHistory bars, int idx)
		{
			if (macdHist.TurnsUp(idx))
				SetBarColor(bars, idx, WLColor.Green);
			else if (macdHist.TurnsDown(idx))
				SetBarColor(bars, idx, WLColor.Red);
			else
				SetBarColor(bars, idx, WLColor.Silver);
		}

		//declare variables
		private MACD macd;
		private MACDHist macdHist;
	}
}

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//Create indicators
		public override void Initialize(BarHistory bars)
		{
			macd = new MACD(bars.Close);
			macdHist = new MACDHist(bars.Close, 5);
			PlotIndicatorLine(macd);
			PlotIndicator(macdHist, WLColor.Blue, PlotStyle.Histogram);
		}

		//flag the bars where the MACD Histogram turns up and down
		public override void Execute(BarHistory bars, int idx)
		{
			if (macdHist.TurnsUp(idx))
				SetBarColor(bars, idx, WLColor.Green);
			else if (macdHist.TurnsDown(idx))
				SetBarColor(bars, idx, WLColor.Red);
			else
				SetBarColor(bars, idx, WLColor.Silver);
		}

		//declare variables
		private MACD macd;
		private MACDHist macdHist;
	}
}

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//Show how to use the "default" property of TimeSeries
		public override void Initialize(BarHistory bars)
		{
			TimeSeries closingPrices = bars.Close;
			int lastIdx = closingPrices.Count - 1;

			//doing this ...
			double lastCloseA = closingPrices[lastIdx];

			//is the same as doing this, only shorter ...
			double lastCloseB = closingPrices.Values[lastIdx];

			DrawHeaderText("These two values should be equal: " + lastCloseA.ToString("N2") + " and " + lastCloseB.ToString("N2"));
		}

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

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//Create and plot a simple indicator that multiples closing price by volume
		public override void Initialize(BarHistory bars)
		{
			TimeSeries vc = bars.Close * bars.Volume;
			PlotTimeSeries(vc, "Volume x Close", "VC", WLColor.DarkOrchid, PlotStyle.ThickHistogram);
		}

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

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//Create and plot a simple indicator that gets the percentage of how much close is above/below average 5 bar close
		public override void Initialize(BarHistory bars)
		{
			SMA sma = new SMA(bars.Close, 5);
			PlotIndicatorLine(sma, WLColor.DarkBlue);
			TimeSeries cma = 100.0 - (sma * 100.0 / bars.Close);
			PlotTimeSeries(cma, "Volume x Close", "SMA", WLColor.DarkBlue, PlotStyle.ThickLine);
		}

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

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

namespace WealthLab
{
	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)
		{
			//highlight areas where price is above 2 moving averages
			SMA smaLong = new SMA(bars.Close, 200);
			SMA smaShort = new SMA(bars.Close, 50);
			TimeSeries aboveBoth = bars.Close > smaLong & bars.Close > smaShort;
			PlotIndicator(smaLong);
			PlotIndicator(smaShort);
			PlotTimeSeries(aboveBoth, "Above 2 SMAs", "Price", WLColor.DarkGreen, PlotStyle.BooleanDots);
		}

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

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//Take average of QID/QLD rate of changes and plot it
		public override void Initialize(BarHistory bars)
		{
			BarHistory qld = GetHistory(bars, "QLD");
			ROC qldRoc = new ROC(qld.Close, 20);
			BarHistory qid = GetHistory(bars, "QID");
			ROC qidRoc = new ROC(qid.Close, 20);
			TimeSeries rocAvg = (qldRoc + qidRoc) / 2;
			PlotTimeSeries(rocAvg, "QLD/QID ROC average", "Avg", WLColor.Navy, PlotStyle.ThickHistogram);
		}

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

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//Create an idealized "centered" moving average
		public override void Initialize(BarHistory bars)
		{
			SMA sma = new SMA(bars.Close, 13);
			TimeSeries shifted = sma << 6;
			PlotTimeSeries(shifted, "Idealized SMA", "Price", WLColor.DarkOrange, PlotStyle.ThickLine);
		}

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

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

namespace WealthLab
{
	public class MyStrategy : UserStrategyBase
	{
		//Create and plot an SMA and a right shifted version
		public override void Initialize(BarHistory bars)
		{
			SMA sma = new SMA(bars.Close, 50);
			PlotIndicator(sma, WLColor.DarkBlue, PlotStyle.ThickLine);
			TimeSeries shifted = sma >> 10;
			PlotTimeSeries(shifted, "Shifted SMA", "Price", WLColor.DarkGreen, PlotStyle.ThickLine);
		}

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

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

namespace WealthLab
{
	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)
		{
			//highlight areas where price is above either of 2 moving averages
			SMA smaLong = new SMA(bars.Close, 200);
			SMA smaShort = new SMA(bars.Close, 50);
			TimeSeries aboveBoth = bars.Close > smaLong | bars.Close > smaShort;
			PlotIndicator(smaLong);
			PlotIndicator(smaShort);
			PlotTimeSeries(aboveBoth, "Above one of 2 SMAs", "Price", WLColor.DarkGreen, PlotStyle.BooleanDots);
		}

		//execute the strategy rules here, this is executed once for each bar in the backtest history
		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 WealthScript4
{
	public class MyStrategy : UserStrategyBase
	{
		TimeSeries _barsAboveSMA;
		TimeSeries _barsAboveSMA2;

		public override void Initialize(BarHistory bars)
		{
			//calculate the number of days the Close is above the 10-day SMA for the last 20 bars
			TimeSeries sma = SMA.Series(bars.Close, 10);
			PlotTimeSeriesLine(sma, "SMA(10)", "Price", WLColor.Blue, 2);
			TimeSeries tmp = bars.Close - sma;
			tmp = tmp / tmp.Abs();
			tmp = (tmp + 1d) / 2d;

			//using the static method
			_barsAboveSMA = TimeSeries.Sum(tmp, 20);

			//or using the memeber method
			_barsAboveSMA2 = tmp.Sum(20);

			PlotTimeSeries(_barsAboveSMA, "Bars Above SMA 20 bars", "BarsAbovePane", WLColor.Blue, PlotStyle.Histogram);
			PlotTimeSeries(_barsAboveSMA2, "Bars Above Method 2", "BarsAbovePane", WLColor.Red, PlotStyle.ThickLine);
		}

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

		}
	}
}