300 Bar Moving Average and reporting metrics

Author: rickraphael

Creation Date: 8/30/2009 1:48 PM

Wealth Lab » General » 300 Bar Moving Average and reporting metrics

rickraphael

8/30/2009 1:48 PM

The following strategy includes a 300 bar Moving average and therefor a 302 day look back period. When backtesting it enters the first trade 302 bars after the date specified, as expected. That creates certain inaccuracies in the reporting metrics such as Annual Gain, etc. due to the look back period being included in the time based reports. Is there a way to setup the code for backtesting that does not include the look back period in the reports?

Thanks

CODE:
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Thanks

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using WealthLab.Rules;

namespace WealthLab.Strategies

//Adds Split Adjustement
{
	public class MyStrategy : WealthScript
	{
		StrategyParameter slider1;
		StrategyParameter slider2;
		StrategyParameter slider3;
		public MyStrategy()
		{
			slider1 = CreateParameter("Fast Period", 32, 10, 40, 1);
			slider2 = CreateParameter("Slow Period", 56, 20, 60, 1);
			slider3 = CreateParameter("New Low", 68, 5, 80, 1);
		}

//Optimized Values for Sliders:
		//Fast 32 Slow 56 40.9% APR
		//Fast 35 Slow 55 40.64% APR
		//Fast 27 Slow 58 40.22% APR
		//Fast 25 Slow 29 39.25% APR
		//Fast 19 Slow 40 37.74% APR
		protected override void Execute()
		{
			DataSeries maFast = SMA.Series(Close, 50);
			DataSeries maSlow = SMA.Series(Close, 300);
			DataSeries maFast_1 = SMA.Series(Close, 20);
			DataSeries maSlow_2 = SMA.Series(Close, 50);
			DataSeries maFast_3 = SMA.Series(Close, 10);
			DataSeries maSlow_4 = SMA.Series(Close, 20);
			DataSeries maFast_5 = SMA.Series(Close, 5);
			DataSeries maSlow_6 = SMA.Series(Close, 10);
			DataSeries maFast_7 = SMA.Series(High, slider1.ValueInt);
			DataSeries maSlow_8 = SMA.Series(High, slider2.ValueInt);
			DataSeries reverseAdjustment;
			DataSeriesOp.SplitReverseFactor( this, "split", out reverseAdjustment);
			DataSeries highAdjusted = High * reverseAdjustment;

PlotSeries(PricePane,SMA.Series(Close,50),Color.Orange,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,300),Color.LightGreen,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,20),Color.Pink,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,50),Color.Blue,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,10),Color.Yellow,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,20),Color.Black,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,5),Color.Green,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,10),Color.Green,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(High,slider1.ValueInt),Color.Red,LineStyle.Dashed,2);
			PlotSeries(PricePane,SMA.Series(High,slider2.ValueInt),Color.Green,LineStyle.Dashed,2);

for(int bar = 301; bar < Bars.Count; bar++)
			{
				if (maFast[bar] > maSlow[bar])
				{
					if (maFast_1[bar] > maSlow_2[bar])
					{
						if (maFast_3[bar] > maSlow_4[bar])
						{
							if (maFast_5[bar] > maSlow_6[bar])				
							{
								if (maFast_7[bar] > maSlow_8[bar])
									
								{
									if (highAdjusted[bar] < 17.50)
									{
										if (High[bar] == Highest.Value(bar, High, 19))
										{
											BuyAtMarket(bar + 1, "Moving Avg 32-56|New 68 Day Low|");
										}
									}
								}
							}
						}
					}
				}
				
				
			
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					if (p.Active)
				
						if (p.EntrySignal.Contains("Moving Avg 32-56"))
						{
							if (CrossUnder(bar, maFast_7, maSlow_8))
							{
								SellAtMarket(bar + 1, p, "Moving Avg 32-56");
							}
						}
					if (p.EntrySignal.Contains("New 68 Day Low"))
					{
						if (Close[bar] == Lowest.Value(bar, Close, slider3.ValueInt))
						{
							SellAtMarket(bar + 1, p, "New 68 Day Low");
						}
					}
				}
			}
		}
	}
}[/CODE]

Eugene

8/30/2009 2:03 PM

QUOTE:
Is there a way to setup the code for backtesting that does not include the look back period in the reports?

No.

This has been answered many times, so to quote the Wealth-Lab 5 Wiki FAQ on Where did the Lead Bars go:

QUOTE:
This feature was purposely left out of Version 5 due to a multitude of reasons ranging from the difficulty that many users had in understanding it to the complexity in its implementation, which was a source of many bugs in Version 4.

Here's a discussion that provides more insight into the problem:

Lead Bars & Position Sizing Leeway

Cone

8/30/2009 2:08 PM

QUOTE:
Is there a way to setup the code for backtesting that does not include the look back period in the reports?

It's a common question, and, this is what we used to call "Lead Bars" in the Version 4 $imulator.

Some motivated programmer may be able figure a way to do something like Lead Bars in Version 5, but we left it out specifically to simplify the code base for more reliability. In fact, in the 5.5 User Guide, this is discussed, but I'm sorry that we're not going to be able to help you out with this :(.

---
If I'd have read this one minute later, I wouldn't have had to respond! Thanks Eugene, I think I'll take the rest of the day off now :)