strategy to determine occurences of DAILY high and low prices

[SuperDriveGuy]

Hi All,
I am trying to write a simple strategy or indicator where I want to count the number of times the DAILY high/low closed at certain prices over the last 14(x) number of days e.g.

HIGHs
2601 - 3 times
2600 - 6 times
2595 - 5 times

LOWs
2533 - 4 times
2527 - 5 times
2520 - 5 times

This can on DAILY bars, but technically could be any bar 5 min, 30 min etc too

If someone has come across something like this before or has done it themselves, would appreciate pointing me in the right direction.

Thanks,

[NinjaTrader_ChrisL]

Hello SuperDriveGuy,

Thanks for the note.

You can use a loop to iterate through historical bars as your indicator/strategy runs.

Please see this indicator tutorial that demonstrates how to implement an SMA indicator:

https://ninjatrader.com/support/helpGuides/nt7/?intermediate___your_own_sma.htm

To count the number of occurrences, you can do something like the following:

int sum = 0; 
double threshold = 9999.99;
for (int barsAgo = 0; barsAgo < Period; barsAgo++) 
{ 
   if(Close[barsAgo] >= threshold)
   {
       ++sum;
   }
}

If you do not need to constantly check for this condition in real time, you can just check this condition as the indicator or strategy runs through all of the historical bars of the chart when you start up the script.

		int High2601 = 0;
		int High2600 = 0;
		//...
	protected override void OnBarUpdate()
        {
            if(Historical)
			{
				switch (Close[0])
				{
					case 2601:
						++High2601;
						break;
						
					case 2600:
						++High2600;
						break;
					//...
				}
			}
...

Below are links to all the material used here.

https://docs.microsoft.com/en-us/dot...e/keywords/for - For loop

https://docs.microsoft.com/en-us/dot...eywords/switch - Switch statement

https://ninjatrader.com/support/help...historical.htm - The Historical property

This page describes the difference between historical and real-time data:

https://ninjatrader.com/support/helpGuides/nt7/?historical_data.htm

Please let us know if you have any questions.

[SuperDriveGuy]

Hi Chris,
Thanks for the quick and helpful response.

I am indeed looking to collect these statistics on historical data and so the historical example is very useful.

As far as the case example is concerned, I think, the example I gave was misleading I don't have the numbers in mind before 2600, 2601 etc, those would depend on the instrument. The occurences would need to be picked from the within the data itself.

example output for FDAX would look something like..
HIGHs
12600 - 5 times
12590 - 1 times

LOWs
12400 - 4 times
12390 - 1 time

Thanks

[SuperDriveGuy]

Hi Chris,
Whilst researching, I came across https://msdn.microsoft.com/en-us/lib....aspx#Examples

Do you think, I can use this to store the Highs and Lows and then perform a count of the keys? is that possible?

Thanks

[NinjaTrader_ChrisL]

Hello SuperDriveGuy,

Thanks for the reply.

That is correct, a dictionary would be the ideal structure to use if you wanted to store values as they come in.

A good demonstration of this is the Volume Profile indicator. While that indicator only works in real time, you can gain some insight from the Dictionary that it uses to store arbitrary price values.

If we may be of any further assistance, please let us know.

[SuperDriveGuy]

Thanks Chris.

Very helpful. I am having a look.