"KeltnerFlippo classic plus shorting": exit signals

Author: tradercn

Creation Date: 9/5/2014 11:06 PM

Wealth Lab » WealthScript Translator » "KeltnerFlippo classic plus shorting": exit signals

tradercn

9/5/2014 11:06 PM

Recently I converted several strategies on WL4 to be C#. KeltnerFlippo classic plus shorting, after I tune its parameters, it works wonderful. Here is the link:http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=11444
Unfortunately, there is a problem so far. It has two statements regarding exit:
1, InstallProfitTarget(1.3);
2, SellAtMarket((Bar + 1), P, "DaysExpired");
Since I changed Days Expired to be 1, in my understanding, that means today I buy stock and tomorrow it will be sold at market open. However, I saw many trades were sold with the first statement rather than the second statement. I am wondering how it could be done with the first statement. My understanding might be wrong. Could you please help? Thanks.

Eugene

9/6/2014 1:46 AM

Having not seen the actual converted code, we're wondering too. ;)

tradercn

9/6/2014 7:47 AM

Sorry, here is the code. It included Long and Short previously. Short was removed in the below code.

CODE:
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Sorry, here is the code. It included Long and Short previously. Short was removed in the below code.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using System.Threading; // Sleep()
using System.Windows.Forms;
using WealthLab;
using WealthLab.Indicators;
using finantic.TL; // WealthScriptTL

namespace WealthLabCompile2
{
	class Strategy : WealthScriptTL
	{
		// OptVars
		private StrategyParameter OptVar2, OptVar1;
		public Strategy()
		{
			//OptVar2 = CreateParameter("OptVar2", 10, 5, 20, 1);
			OptVar2 = CreateParameter("OptVar2", 5, 5, 20, 1);
			OptVar1 = CreateParameter("OptVar1", 22, 11, 44, 1);
			//OptVar1 = CreateParameter("OptVar1", 44, 11, 44, 1);
		}
		#region file ChartScript

// start of prolog: This is a comment at the top of each file
		public new void Init(){
			base.Init();
			//optional settings
			UseUpdatedEMA(true);
			SetStdDevCalculation(StdDevCalculation.Population);
		}
		// end of prolog: This is a comment at the top of each file

public int Days, Bar, Start, KUp, KDown, factor1, factor2, factor3, factor4 = 0;
		public double xUp, xDown, x = 0.0;
		public double limitPriceA, limitPriceB = 0.0;
		public int P = 0;

/** This method contains the meat of your script,
    i.e, any statements that are not inside a user defined class or function/procedure. */
		protected override void Execute(){
			Init();
			// [declaration for class ChartScript used to be here] 
    
			//Days = (int)2;
			Days = (int)1;
			Start = (int)((int) OptVar1.Value + (int) OptVar2.Value);
			limitPriceA = (double)0.0;
			limitPriceB = (double)0.0;
			KUp = (int)CreateSeries();
			KDown = (int)CreateSeries();
			factor1 = (int)CreateSeries();
			factor2 = (int)CreateSeries();
			factor3 = (int)CreateSeries();
			factor4 = (int)CreateSeries();
			xUp = (double)0.0;
			xDown = (double)0.0;
			for (Bar = (Start + 1); Bar <= (Bars.Count - 1); Bar++) {
				x = (double)((PriceHigh(Bar) - PriceLow(Bar)));
				SetSeriesValue(Bar, factor1, x);
				x = (double)(((((PriceClose(Bar) + PriceHigh(Bar)) + PriceLow(Bar))) / 3));
				SetSeriesValue(Bar, factor2, x);
        
			}
			for (Bar = (Start + 1); Bar <= (Bars.Count - 1); Bar++) {
				SetSeriesValue(Bar, factor3, EMA(Bar, factor1, (int) OptVar1.Value));
				SetSeriesValue(Bar, factor4, EMA(Bar, factor2, (int) OptVar2.Value));
				xUp = (double)(GetSeriesValue(Bar, factor4) + (GetSeriesValue(Bar, factor3) * 1.2));
				SetSeriesValue(Bar, KUp, xUp);
				xDown = (double)(GetSeriesValue(Bar, factor4) - GetSeriesValue(Bar, factor3));
				SetSeriesValue(Bar, KDown, xDown);
        
			}
			//InstallProfitTarget(1.3);
			InstallProfitTarget(2.5);
			for (Bar = (Start + 1); Bar <= (Bars.Count - 1); Bar++) {
				limitPriceA = (double)((BBandLower(Bar, WL_CLOSE, 10, 1.5) * 0.93));
				limitPriceB = (double)((GetSeriesValue(Bar, KDown) * 0.93));
				ApplyAutoStops(Bar);
				
				if ((limitPriceA > 2)) {
					if ((limitPriceA >= limitPriceB)) {
							BuyAtLimit((Bar + 1), limitPriceA, "");
					}
					else {
						if(limitPriceB/PriceClose(Bar)>0.90)
							BuyAtLimit((Bar + 1), limitPriceB, "");
					}
            
				}
				for (P = 0; P <= (PositionCount - 1); P++) {
					if (PositionActive(P)) {
						if ((((((Bar + 1) - PositionEntryBar(P)) >= Days)))) {
							if (PositionLong(P)) {
								//SellAtMarket((Bar + 1), P, "DaysExpired");
								SellAtMarket((Bar + 1), P, "DaysExpired");
							}
						}
                
					}
            
				}
        
			}
    
		}

// start of epilog: This is a comment at the end of each file
	} // class Strategy
} // namespace
	// end of epilog

#endregion file ChartScript
[/code]

Eugene

9/6/2014 8:33 AM

To tell the truth, it's not worth the trouble to get to the bottom of it since WSTL is unsupported. As a workaround, simply install a time-based exit on top of your profit target and (optionally) comment out the whole SellAtMarket segment below it:

CODE:
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As you can see, WSTL reacts to exit precedence - no more incorrect triggering of profit target.

However, the best solution would be to rewrite the code from scratch.