Rewriting system as multiple position not producing trades

Author: mikesblack

Creation Date: 2/27/2016 1:00 PM

Wealth Lab » WealthScript (.NET) » Rewriting system as multiple position not producing trades

mikesblack

2/27/2016 1:00 PM

While rewriting a single position strategy to a multi position strategy I am able to compile without error; however there are no trades being produced. I'll provide the first, single position strategy and follow that with the code for the multi position strategy. Perhaps you can pin point where I might be going wrong. Thanks in advance.

Single Position system compiles and produces trades:

CODE:
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Multi Position code// Compiles, but produces no trades:

CODE:
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Single Position system compiles and produces trades:

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

for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
         {
            if (IsLastPositionActive)
            {
               Position p = LastPosition;
               
               {
               if( avgRatioS[bar] <= aRS )
                  SellAtMarket(bar + 1, p, "Group1");
                                                                           
               else
                                                                                          
                  if(bar + 1 - p.EntryBar >=16)
                  SellAtMarket( bar + 1,p,"Timed exit");
            }

}
            else
            {
               if( avgRatioB[bar] > aRB)
               {
                  if(BuyAtMarket(bar + 1, Bars.FormatValue(atrp[bar])) != null)
                     LastActivePosition.Priority = atrp[bar];
               }

}
         }
      }
   }
}

[/code]

Multi Position code// Compiles, but produces no trades:

[code]
// New Hi New Low rewriten multi position
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using WealthLab.Rules;

namespace WealthLab.Strategies
{
                public class MyStrategy : WealthScript
                {
                                StrategyParameter avgRatioBParam;
                                StrategyParameter avgRatioSParam;
                                StrategyParameter MAParam;
                                public MyStrategy()
                                {
                                                avgRatioBParam = CreateParameter("ratio Average Buy", 1, 0, 150, 0.25);
                                                avgRatioSParam = CreateParameter("ratio Average Sell", 1, 0, 150, 0.25);
                                                MAParam = CreateParameter("SMA", 40, 1, 200, 1);
                                }
                              
                                protected override void Execute()
                                {  
                                                double aRB = avgRatioBParam.Value;
                                                double aRS = avgRatioSParam.Value;
                                                int sMA = MAParam.ValueInt;
                                                NewHighLow nhl = new NewHighLow(this, "NYSE", "", 0, 0 );
                                                nhl.Threshold = 1;
                                                DataSeries dsNewHighLowRatio = nhl.NewHighLowRatioSeries; 
                              
                                                NewHighLow nhl_1 = new NewHighLow(this, "NYSE", "", 0, 0 );
                                                nhl_1.Threshold = 1;
                                                DataSeries dsNewHighLowRatio_2 = nhl_1.NewHighLowRatioSeries; 
                                                DataSeries avgRatioB = SMA.Series(dsNewHighLowRatio_2,sMA);
                                                DataSeries avgRatioS = SMA.Series(dsNewHighLowRatio_2,sMA);
                                             
                                                nhl.plotNewLows(50,true,true);
                                                nhl.plotNewHighs(50,true,true);
                                                nhl.plotNewHighLowRatio(50,true,true);
                                                nhl_1.plotNewLows(50,true,true);
                                                nhl_1.plotNewHighs(50,true,true);
                                                nhl_1.plotNewHighLowRatio(50,true,true);
                                                ChartPane AvgRatio = CreatePane(30, false, true);
                                                var atrp = ATRP.Series(Bars,5);
                                             
                                                PlotSeries(AvgRatio,avgRatioB, Color.Blue,LineStyle.Dashed,2);
          // Main Loop
                                                for(int bar = 60; bar < Bars.Count; bar++)
                                                {                              
                                                                //exit logic - test each active position
                                                                for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
                                                                {    
                                                                                // assign the Position using the list index
                                                                                Position p = ActivePositions[pos];             
                                                                                {
                                                                
                                                                                if( avgRatioS[bar] <= aRS )
                                                                                                ExitAtMarket(bar + 1, p, "avgRatioS");
                                                                           
                                                                                else
                                                                                          
                                                                                                if(bar + 1 - p.EntryBar >=16)
                                                                                                ExitAtMarket( bar + 1,p,"Timed exit");
                                                                }

/* entry rules here */
                                                
                                                                                
                                                                                if( avgRatioB[bar] > aRB)
                                                                                {
                                                                                                if(BuyAtMarket(bar + 1, Bars.FormatValue(atrp[bar])) != null)
                                                                                                                LastActivePosition.Priority = atrp[bar];
                                                                                }

}
                                                                                }
                                                }
                                }
                }

[/code]

Eugene

2/27/2016 1:34 PM

Move the entry logic outside the loop by ActivePosition. The erroneous placement will not let the script make entries.

P.S. Pay attention to the curly braces: they are unforgiving. ;)