Code to identify bars in price range

[GeorgeW]

Hello,
I am trying to develop an indicator that picks up when 4 or more bars move within a price range of say 2.5pts etc. I have used MAX and MIN and look back, and the code compiles, but I am getting too many results as the look back returns results for when any bar falls within the 2.5pts price range, rather than when a minimum of 4 bars and then any additional bars fall within the range. How do I get my code to pick up when a minimum of 4+ bars meets the criteria?
I have pasted my code below:

Thank you!

public class MyFlagsRange3 : Indicator
{
#region Variables
// Wizard generated variables
private double flagPriceRangeMultiplier = 10; // Default setting for FlagRange 10 x TickSize = 2.5pts
private double mediumPriceRangeMultiplier = 14; // Default setting for MediumRange 14 x TickSize = 3.5pts
private double largePriceRangeMultiplier = 18; // Default setting for LargeRange 18 x TickSize = 4.5pts
// User defined variables (add any user defined variables below)
private int minLookBackPeriod = 4; //Default setting for minimum look back period
private string TagBullVol = "bullVol";
private string TagBearVol = "bearVol";

bool maxMinWithinFlag; //Set to true below if all bars in minimum look back period (currently 4 for ES) are within the defined price range
int maxMinWithinFlagBar; //below it defines the 1st bar of the minimum look back period (currently 4 for ES) within the defined price range

#endregion

/// <summary>
/// This method is used to configure the indicator and is called once before any bar data is loaded.
/// </summary>
protected override void Initialize()
{
Overlay = true;

}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Use this method for calculating your indicator values. Assign a value to each
if (CurrentBar < 3)
{
return;
}

//Picks up if all bars in minimum look back period (currently 4 for ES) are within the defined price range
if (MAX(High, minLookBackPeriod)[0] <= (flagPriceRangeMultiplier * TickSize) + MIN(Low, minLookBackPeriod)[0])
{
maxMinWithinFlag = true; //Set the bool variable to true
maxMinWithinFlagBar = CurrentBar - (CurrentBar - 1); //Save the current bar number of the 1st of the 4 bars
}
Print(Time.ToString()+"Minimum 4 bars within flag");
// plot below by replacing 'Close[0]' with your own formula.

//Once all bars in minimum look back period (currently 4 for ES) are within the defined price range,
//look back picks up other subsequent bars in that range before it is broken
if (MAX(High, maxMinWithinFlagBar)[0] <= (flagPriceRangeMultiplier * TickSize) + MIN(Low, maxMinWithinFlagBar)[0])
{
DrawText (TagBullVol + CurrentBar, "Flag Region", 0, Low[0] - 5 * TickSize, Color.Red);
}
else
{
}
Print(Time.ToString()+"More than 4 bars within flag");

[NinjaTrader_BobbyY]

GeorgeW,

After reviewing your inquiry and code, here's some sample code that should point you in the right direction:

protected override void OnBarUpdate()
{
    if (CurrentBar < 3) return;

    if (FirstTickOfBar)
    {
        int counter = 0;

        for (int i = 1; i <= minLookBackPeriod; i++)
        {
            if (High[i] - Low[i] >= flagPriceRangeMultiplier * TickSize) counter++;
            /*
            In case you want open-close instead of high-low.
            if (Math.Abs(Open[i] - Close[i]) >= flagPriceRangeMultiplier * TickSize) counter++;
            */
        }

        if (counter >= minLookBackPeriod) DrawDot(TagBullVol + CurrentBar, AutoScale, 1, Low[1] - 5 * TickSize, Color.Red);
    }
}

[GeorgeW]

Thanks for the help on this BobbyY.

When I commented out my code and inserted yours, the Output Screen showed:

Error on calling 'OnBarUpdate' method for indicator 'MyFlagsRange3' on bar 3: You are accessing an index with a value that is invalid since its out of range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.

I had to change the 2nd argument in the 1st for loop i <= minLookBackPeriod; (which I think means it wouldn't do anything until 5 bars but was waiting for a minimum of 4, so I think it may have conflicted with the CurrentBar statement which was waiting for 4 bars) to i < minLookBackPeriod; for that error to stop.

I am still not seeing any of the dots on the charts, although when I put my DrawText below the DrawDot, I do see the text. I have tried printing the counter to the Output Screen, but there is no count, just the time: Print(Time.ToString()+counter.ToString());

Is there a way of restricting the text or the dots to once for each range, as opposed to once every time it sees a Bar[1] in that range?

Also, in this line: if (High[i] - Low[i] >= flagPriceRangeMultiplier * TickSize) counter++;
If I am only looking for bars within the range <= 2.5pts, shouldn't the sign be reversed?



Thanks again.

[GeorgeW]

The problem appears to be that the counter is never getting to equal or exceed the minLookBackPeriod, so there is a problem in the earlier logic for it. If I change the DrawDot line to display the dots if (counter <= minLookBackPeriod), then the dots are displayed, whereas what is wanted is for them to display when (counter >= minLookBackPeriod).

[GeorgeW]

I have gotten it to work for 4 bars, but the counter does not go past that to pick up other bars that fall within the same range. Any ideas? Also, how do I get it to DrawDot once for each range of bars that falls within the same spread?

protected override void OnBarUpdate()
        {
            // Use this method for calculating your indicator values. Assign a value to each

    if (CurrentBar < 3) return;

    if (FirstTickOfBar)
    {
        	int counter = 0;
		
		//Had to change 2nd argument from i <= minLookBackPeriod; (which means it wouldn't do anything until 5 bars but was
		//waiting for a minimum of 4, to i < minLookBackPeriod; for it to stop: "Error on calling 'OnBarUpdate' method for indicator 
		//'MyFlagsRange3' on bar 3: You are accessing an index with a value that is invalid since its out of range. I.E. accessing a 
		//series [barsAgo] with a value of 5 when there are only 4 bars on the chart."
		//But still would not DrawDots until changed int i = 1, to 0, so that it matched the start of the counter.
        for (int i = 0; i < minLookBackPeriod; i++)
        {
            	//if (High[i] - Low[i] <= flagPriceRangeMultiplier * TickSize) counter++;
		//Changed because the above code was considering each bar independently, & I want all the bars counted to be within the same range.
		if (MAX(High, minLookBackPeriod)[i] - MIN(Low, minLookBackPeriod)[i] <= flagPriceRangeMultiplier * TickSize) counter++;
            
        }

        if (counter >= minLookBackPeriod) DrawDot(TagBullVol + CurrentBar, AutoScale, 1, Low[1] - 6 * TickSize, Color.Blue);

[NinjaTrader_BobbyY]

GeorgeW,

Try setting a maxLookBackPeriod as well.

Example: minLookBackPeriod = 4, maxLookBackPeriod = 10. It will find 4+ Bars in 10 bars period and if true will show the dot.

[GeorgeW]

Thanks for that, Bobby Y. That occurred to me when I went for a walk to clear my head, and it now works. Is there a way to define that maxLookBackPeriod as some infinite number?

Also, let's say I have 12 bars which form a 2.5pt range, and they are marked with a dot, then immediately after, there is another bar that forms a range with the last four of the previous 12, so that gives me a dot, is there a way to code it to not put a dot for that one?

protected override void Initialize()
        {
            Overlay				= true;
			
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Use this method for calculating your indicator values. Assign a value to each

    if (CurrentBar < (minLookBackPeriod - 1)) return;

    if (FirstTickOfBar)
    {
       		int counter = 0;
		
		//Had to change 2nd argument from i <= minLookBackPeriod; (which means it wouldn;t do anything until 5 bars but was
		//waiting for a minimum of 4) to i < minLookBackPeriod; for it to stop: Error on calling 'OnBarUpdate' method for indicator 
		//'MyFlagsRange3' on bar 3: You are accessing an index with a value that is invalid since its out of range. I.E. accessing a 
		//series [barsAgo] with a value of 5 when there are only 4 bars on the chart.
		//But still would not DrawDots until changed int i = 1, to 0, so that it matched the start of the counter.
        for (int i = 0; i < minLookBackPeriod; i++)
        {
            //Changed the > sign here to <
			//if (High[i] - Low[i] <= flagPriceRangeMultiplier * TickSize) counter++;
			//Also MAX and MIN used, so that it is the range of all the bars considered together that is being tested, 
			//and not just the range of individual bars
			if (MAX(High, minLookBackPeriod)[i] - MIN(Low, minLookBackPeriod)[i] <= flagPriceRangeMultiplier * TickSize) counter++;

            /*
            In case you want open-close instead of high-low.
            if (Math.Abs(Open[i] - Close[i]) >= flagPriceRangeMultiplier * TickSize) counter++;
            */
        }
		
		//My addition (4 lines) for where it exceeds minLookBackPeriod, need to keep including the bars
		//Had to define a maxLookBackPeriod for it to work
		for (int i = 0; i >= minLookBackPeriod; i++)
		{
		if (MAX(High, maxLookBackPeriod)[i] - MIN(Low, maxLookBackPeriod)[i] <= flagPriceRangeMultiplier * TickSize) counter++;
		}

        if (counter >= minLookBackPeriod) DrawDot(TagBullVol + CurrentBar, AutoScale, 1, Low[1] - 6 * TickSize, Color.Blue);

[GeorgeW]

Essentially what I am saying is that a bar cannot be a part of 2 ranges.

[GeorgeW]

Unfortunately this is still not working to identify between 4 to 15 bars in a 2.5pt range. I am getting the following error with the code below: Error on calling 'OnBarUpdate' method for indicator 'MyFlagsRange5' on bar 5: You are accessing an index with a value that is invalid since its out of range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.

If I substitute minLookBackPeriod for all the maxLookBackPeriod, I do get the dots on the chart, but only for the minLookBackPeriod. I don't understand why it will go past the CurrentBar when I include minLookBackPeriod in the arguments below it, but it will not go past it when I include max below it, and the CurrentBar line is not changed. Does anyone have any ideas?

Also, is there a way of marking bars already included in an earlier range, so that they can be excluded from later ranges?

Thanks!

protected override void OnBarUpdate()
        {
            // Use this method for calculating your indicator values. Assign a value to each

    if (CurrentBar < (minLookBackPeriod - 1)) return;

    if (FirstTickOfBar)
    {
       
		int counter = 0;
		
		for (int i = 0; i < maxLookBackPeriod; i++)
        {
            if (MAX(High, maxLookBackPeriod)[i] - MIN(Low, maxLookBackPeriod)[i] <= flagPriceRangeMultiplier * TickSize) counter++;

        }
		
        if (counter >= minLookBackPeriod) DrawDot(TagBullVol + CurrentBar, AutoScale, 0, Low[1] - 6 * TickSize, Color.Blue);