TimeSeriesCompressor (Wealth-Lab Framework)

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

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

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

namespace WealthScript3
{
	public class IntradayToDailyScaleExample : UserStrategyBase
	{
		//create indicators and other objects here, this is executed prior to the main trading loop
		public override void Initialize(BarHistory bars)
		{
			if (!bars.IsIntraday)
			{
				throw new InvalidOperationException("Example is intended for an intraday BarHistory");
			}

			TimeSeries dayCloses = TimeSeriesCompressor.ToDaily(bars.Close);
			IndicatorBase daySma = SMA.Series(dayCloses, 10);
			_dailyAvgInBaseScale = TimeSeriesSynchronizer.Synchronize(daySma, bars.Close);
			PlotTimeSeries(_dailyAvgInBaseScale, "Daily SMA(10)", "Price", WLColor.Blue, PlotStyle.Dots);

		}

		public override void Execute(BarHistory bars, int idx)
		{
			if (!HasOpenPosition(bars, PositionType.Long))
			{
				//buy at market when the intraday price crosses over the daily moving average
				if (bars.Close.CrossesOver(_dailyAvgInBaseScale, idx))
					PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
			}
			else
			{
				//sell using a stop at the daily moving average price
				PlaceTrade(bars, TransactionType.Sell, OrderType.Stop, _dailyAvgInBaseScale[idx]);
			}
		}

		TimeSeries _dailyAvgInBaseScale;
	}
}

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

namespace WealthScript123
{
    public class IntradayCompressionSample : UserStrategyBase
    {
        //create indicators and other objects here, this is executed prior to the main trading loop
        public override void Initialize(BarHistory bars)
        {
			if (!bars.IsIntraday || bars.Scale.Interval > 15)
			{
				throw new InvalidOperationException("Example is intended for an intraday BarHistory - 1, 2, 3, 5, 10, or 15 minute bars");
			}

			// RSI(10) in the base (chart) intraday scale			
			_rsi = RSI.Series(bars.Close, 10);
			PlotIndicatorLine(_rsi);
			
			// create an RSI(10) from 30 minute compressed bars
			TimeSeries compClose = TimeSeriesCompressor.ToMinute(bars.Close, 30, bars.Market);
			_rsi2 = RSI.Series(compClose, 10);

			// expand to the base scale and plot
			_rsi2 = TimeSeriesSynchronizer.Synchronize(_rsi2, bars); 	
			PlotTimeSeriesLine(_rsi2, _rsi2.Description, _rsi.PaneTag, WLColor.Fuchsia);

		}

        //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 (!HasOpenPosition(bars, PositionType.Long))
            {
                // buy when rsi crosses over 35, but only if the compressed rsi is below 40
	            if (_rsi2[idx] < 40)
					if (_rsi.CrossesOver(35, idx))
						PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
            }
            else
            {
				//code your sell conditions here
				if (_rsi.CrossesOver(60, idx))
					PlaceTrade(bars, TransactionType.Sell, OrderType.Market);
            }
        }

		//declare private variables below
		RSI _rsi;
		TimeSeries _rsi2;

    }
}

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

namespace WealthScript4
{
	public class BaseToMonthlyScaleExample : UserStrategyBase
	{
		//create indicators and other objects here, this is executed prior to the main trading loop
		public override void Initialize(BarHistory bars)
		{

			TimeSeries monthCloses = TimeSeriesCompressor.ToMonthly(bars.Close);
			IndicatorBase monthSma = SMA.Series(monthCloses, 12);
			_monthSmaInBaseScale = TimeSeriesSynchronizer.Synchronize(monthSma, bars.Close);
			PlotTimeSeries(_monthSmaInBaseScale, "Monthly SMA(12)", "Price", WLColor.Blue, PlotStyle.Dots);
		}

		public override void Execute(BarHistory bars, int idx)
		{
			if (!HasOpenPosition(bars, PositionType.Long))
			{
				//buy at market when the base scale's price is above the monthly moving average
				if (bars.Close[idx] > _monthSmaInBaseScale[idx])
					PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
			}
			else
			{
				//sell at market when price is below the monthly moving average
				if (bars.Close[idx] < _monthSmaInBaseScale[idx])
					PlaceTrade(bars, TransactionType.Sell, OrderType.Market);
			}
		}

		TimeSeries _monthSmaInBaseScale;
	}
}

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

namespace WealthScript5
{
	public class BaseToQtrlyScaleExample : UserStrategyBase
	{
		//create indicators and other objects here, this is executed prior to the main trading loop
		public override void Initialize(BarHistory bars)
		{			
			TimeSeries qtrCloses = TimeSeriesCompressor.ToQuarterly(bars.Close);
			IndicatorBase qtrSma = SMA.Series(qtrCloses, 4);
			_qtrSmaInBaseScale = TimeSeriesSynchronizer.Synchronize(qtrSma, bars.Close);
			PlotTimeSeries(_qtrSmaInBaseScale, "Quarterly SMA(4)", "Price", WLColor.Blue, PlotStyle.Dots);
		}

		public override void Execute(BarHistory bars, int idx)
		{
			if (!HasOpenPosition(bars, PositionType.Long))
			{
				//buy at market when the base scale's price is above the quarterly moving average
				if (bars.Close[idx] > _qtrSmaInBaseScale[idx])
					PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
			}
			else
			{
				//sell at market when price is below the quarterly moving average
				if (bars.Close[idx] < _qtrSmaInBaseScale[idx])
					PlaceTrade(bars, TransactionType.Sell, OrderType.Market);
			}
		}

		TimeSeries _qtrSmaInBaseScale;
	}
}

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 closing price
			TimeSeries weeklyClose = TimeSeriesCompressor.ToWeekly(bars.Close);

			//calculate 4-week RSI
			RSI rsiWeekly = RSI.Series(weeklyClose, 4);

			//expand it back to daily scale
			TimeSeries expandedRSI = TimeSeriesSynchronizer.Synchronize(rsiWeekly, bars);

			//plot it
			PlotTimeSeries(expandedRSI, "RSI(4-week)", "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

	}
}