public Squeeze(Bars bars, DataSeries ds, int period, double dev, string description)
: base(bars, description)
{
base.FirstValidValue = period;
BBandUpper bbu = BBandUpper.Series(ds, period, dev);
BBandLower bbl = BBandLower.Series(ds, period, dev);
KeltnerUpper ku = KeltnerUpper.Series(bars, period, period);
KeltnerLower kl = KeltnerLower.Series(bars, period, period);
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
base[bar] = (bbu[bar] - bbl[bar]) - (ku[bar] - kl[bar]);
}
}
protected override void Execute()
{
SMA sma10 = SMA.Series(Close, 10);
EMA ema30 = EMA.Series(Close, 30, EMACalculation.Modern);
WilliamsR wlm = WilliamsR.Series(Bars, 3);
BBandLower LB = BBandLower.Series(Close, 29, 2.5);
BBandUpper UB = BBandUpper.Series(Close, 29, 2.5);
SolidBrush shadowBrush = new SolidBrush(Color.FromArgb(10, Color.FromArgb(102, 0, 0, 255)));
PlotSeriesFillBand(PricePane, LB, UB, Color.FromArgb(255, 176, 196, 222), shadowBrush, LineStyle.Solid, 2);
DateTime nextReportDate = new DateTime(2010, 1, 1);
FundamentalItem fi = GetFundamentalItem(Bars.Count - 1, Bars.Symbol, "earnings per share");
bool crossOver = false;
bool pullback = false;
bool crossUnder = false;
bool pullup = false;
for (int bar = 30; bar < Bars.Count; bar++)
{
SetContext("SPY", true);
bool signal = sma10[bar] > ema30[bar];
bool goLong = false;
bool goShort = false;
if (signal && wlm[bar] < 20)
{
goLong = true;
}
if (!signal && wlm[bar] > 80)
{
crossOver = false;
goShort = true;
}
RestoreContext();
//goLong = true;
if (!IsLastPositionActive)
{
if (goLong)
{
if (CrossOver(bar, sma10, ema30))
{
crossOver = true;
pullback = false;
crossUnder = false;
pullup = false;
continue;
}
if (crossOver && Close[bar] < sma10[bar] && pullback == false)
{
pullback = true;
}
if (pullback && Close[bar] > sma10[bar])
{
// DrawCircle( PricePane, 10, bar, High[bar], Color.Green, Color.DarkGreen, WealthLab.LineStyle.Solid, 2, true );
// crossOver = false;
pullback = false;
BuyAtMarket(bar + 1, "SMA 10 is above EMA 30 and pull back is done ");
}
}
else
if (goShort)
{
if (CrossUnder(bar, sma10, ema30))
{
crossUnder = true;
pullup = false;
crossOver = false;
pullback = false;
continue;
}
if (crossUnder && Close[bar] > sma10[bar] && pullup == false)
{
pullup = true;
}
if (pullup && Close[bar] < sma10[bar])
{
// DrawCircle( PricePane, 10, bar, High[bar], Color.Green, Color.DarkGreen, WealthLab.LineStyle.Solid, 2, true );
// crossOver = false;
pullup = false;
ShortAtMarket(bar + 1, "SMA 10 is below EMA 30 and pull back is done ");
}
// DrawCircle( PricePane, 10, bar, High[bar], Color.Blue, Color.Black, WealthLab.LineStyle.Solid, 2, true );
}
}
else
{
if (LastActivePosition.PositionType == PositionType.Long)
{
double b = LB[bar];
if (
LastActivePosition.EntryPrice > Close[bar] && Close[bar] < b &&
bar >= LastActivePosition.EntryBar
)
{
SellAtMarket(bar + 1, LastActivePosition, "stop lose");
crossOver = false;
pullback = false;
continue;
}
if (Bars.IntradayBarNumber(bar) == 0 && EarningsDate.InWindow(this, bar, "earnings per share", 365, 0))
{
//DrawLabel(PricePane, "Next Earnings: " + Date[bar].ToString());
PrintDebug(Date[bar].ToString());
}
if (Date[bar].Day > (LastActivePosition.EntryDate.Day + 4) && Bars.IsLastBarOfDay(bar))
{
SellAtMarket(bar + 1, LastActivePosition, "Close on 5th day");
crossOver = false;
pullback = false;
continue;
}
else
if (CrossUnder(bar, sma10, ema30))
{
SellAtMarket(bar + 1, LastActivePosition, "Take profit");
crossOver = false;
pullback = false;
continue;
}
}
else if (LastActivePosition.PositionType == PositionType.Short)
{
double b = UB[bar];
if (
LastActivePosition.EntryPrice < Close[bar] && Close[bar] > b &&
bar >= LastActivePosition.EntryBar
)
{
CoverAtMarket(bar + 1, LastActivePosition, "Short stop lose");
crossUnder = false;
pullup = false;
continue;
}
if (Date[bar].Day > (LastActivePosition.EntryDate.Day + 4) && Bars.IsLastBarOfDay(bar))
{
CoverAtMarket(bar + 1, LastActivePosition, "Close on 5th day");
crossUnder = false;
pullup = false;
continue;
}
else
if (CrossOver(bar, sma10, ema30))
{
CoverAtMarket(bar + 1, LastActivePosition, "Take profit");
crossUnder = false;
pullup = false;
continue;
}
}
}
}
//Pushed indicator ChartPane statements
ChartPane paneWilliamsR1 = CreatePane(40, true, true);
//Pushed indicator PlotSeries statements
PlotSeries(PricePane, sma10, Color.DarkGreen, LineStyle.Solid, 2);
PlotSeries(PricePane, ema30, Color.Blue, LineStyle.Solid, 2);
PlotSeries(paneWilliamsR1, wlm, Color.OliveDrab, LineStyle.Solid, 2);
}