Different backtest results each run

sunyata

#1

4/24/2009 2:24 PM

Hullo everyone,

Quick question haven't been able to find the answer to. I am running an intraday strategy on Wealth-Lab (not Pro) on 200+ symbols with 5-min data. If I run this backtest consecutively, I receive the same results, HOWEVER if after running this strategy on all data, I proceed to run in on a single symbol, and then run it again on all data, the all-data backtest outputs a different P&L! I notice that the trades taken on the former and latter all-data backtests are completely different. What am I missing? Is there a maximum number of symbols that you can backtest at once on intraday data?

Thanks!

Jake

Eugene

#2

4/24/2009 2:47 PM

Reason: your Strategy runs out of capital to execute all the signals.

For the explanation and workaround, please see this item on our WL5 Wiki FAQ:
Every time I run a Strategy I get a different result. What am I missing?

sunyata

#3

4/24/2009 3:47 PM

Eugene,

Thank you for your response. However, I would like to see the result of taking EVERY trade in one backtest. So to do this I did a little test. There should be about 4000 trades in an all-data backtest and most of the stocks are under $20. So I set my capital at $20M and a fixed position size of 100 shares. Yet, the backtest still only generates about 50 trades. At an average cost of $20/share, each position requires $2000 about. With $20M in capital, I should roughly be able to handle 2000 positions at once. But the test doesn't come near that.

Maybe I am still missing something? Do I still need to work with "priorities" even if the capital is so large?

Thanks for your help.

Best,
Jake

sunyata

#4

4/24/2009 3:49 PM

Also, if I run in "Raw Profit Mode" I still only get about 50 trades. Hmm.... Maybe something's up with my code.

Eugene

#5

4/25/2009 1:29 AM

This could be the reason; if you're not sure, please post the code.

sunyata

#6

4/25/2009 9:29 AM

Thanks Eugene for your help. Here's the code. It's a little lengthy I believe.

CODE:
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Thanks Eugene for your help.  Here's the code.  It's a little lengthy I believe.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		//System Parameters
		int startTime = 1005; //Set trading window
		int endTime = 1145;
		
		int emaPeriod = 18; //Indicator parameters
		int bbPeriod = 8;
		double bbStDev = 1.8;
		int atrPeriod = 4;
		
		double relStrengthThreshold = 0.03; //Determine level of strength/weakness off open
		
		double atrTFMultiplier = 1.5;
		
		double volMultiplier = 0.5; //Acceptable increase in volatility on pullback
		int maxHighVolCount = 1; //Number of high vol bars allowed
		
		double minPrice = 10;
		
		//Other Variables
		bool loadedIndicators;
		
		DataSeries ema;
		BBandUpper bbUpper;
		BBandLower bbLower;
		ATR atr;
		
		double openPrice;
		double highPrice;
		double lowPrice;
		int currentTime;
		bool tradingTime;
		bool strong;
		bool weak;
		int closeCount = 0;
		bool breakeven;
		bool trailingStop;
		int bar;
		
		double entry;
		double stop;
		double moveStopPrice;
		
		bool buySetup;
		bool shortSetup;
		bool buySignal;
		bool shortSignal;
		
		bool pierce;
		bool emaRising;
		bool volatilityOK;
		int highVolatilityCount = 0;
		
		double dailyHigh = 0;
		double dailyLow = 9999;
		int backSet = 0;
		
		protected override void Execute()
		{
			ClearDebug();
			
			//Abort test if not 5-min data
			if(Bars.BarInterval != 5)
			{
				DrawLabel(PricePane, "5-min scale not selected", Color.Red);
				return;
			}
			PrintDebug("got here1");
			//Load indicators onto chart
			if(!loadedIndicators)
			{
				ema = EMAModern.Series(Close, emaPeriod);
				bbUpper = new BBandUpper(Close, bbPeriod, bbStDev, "Upper BB," + bbPeriod + "-pd, " + bbStDev + " StDev");
				bbLower = new BBandLower(Close, bbPeriod, bbStDev, "Lower BB," + bbPeriod + "-pd, " + bbStDev + " StDev");
				atr = new ATR(Bars, atrPeriod, atrPeriod + "-pd ATR");

PlotSeries(PricePane, ema, Color.Fuchsia, LineStyle.Solid, 2);
				PlotSeries(PricePane, bbUpper, Color.Aqua, WealthLab.LineStyle.Solid, 1);
				PlotSeries(PricePane, bbLower, Color.Aqua, WealthLab.LineStyle.Solid, 1);
				loadedIndicators = true;
			}			
			PrintDebug("got here2");
			for(bar = 19; bar < Bars.Count; bar++)
			{
				CheckTradeTime();
					
				CheckRelativeStrength();
		
				//Exits
				if (IsLastPositionActive)
				{
					shortSetup = false;
					buySetup = false;
								
					//Set trend-following exits
					if(LastPosition.PositionType == PositionType.Long && breakeven == true)
					{
						//stop = Math.Max(stop, Low[bar - 1] - (atrTFMultiplier * atr[bar - 1]));
						//stop = Math.Round(stop * 100) / 100;
						//trailingStop = true;
						
						if(Low[bar - 6] > Low[bar - 5] && Low[bar - 5] >= Low[bar - 3] && Low[bar - 4] >= Low[bar - 3] && Low[bar - 3] <= Low[bar - 2] 
							&& Low[bar - 3] <= Low[bar - 1])
						{
							stop = Math.Max(stop, Math.Round((Low[bar - 3] - (0.5 * atr[bar - 1])) * 100) / 100);
							trailingStop = true;
						}
					}
						
					if(LastPosition.PositionType == PositionType.Short && breakeven == true)
					{
						//stop = Math.Min(stop, High[bar - 1] + (atrTFMultiplier * atr[bar - 1]));
						//stop = Math.Round(stop * 100) / 100;
						//trailingStop = true;
						
						if(High[bar - 6] < High[bar - 5] && High[bar - 5] <= High[bar - 3] && High[bar - 4] <= High[bar - 3] && High[bar - 3] >= High[bar - 2] 
							&& High[bar - 3] >= High[bar - 1])
						{
							stop = Math.Min(stop, Math.Round((High[bar - 3] + (0.5 * atr[bar - 1])) * 100) / 100);
							trailingStop = true;
						}
					}
					
					if(trailingStop)
					{
						DrawLine(PricePane, bar - 1, stop, bar + 1, stop, Color.DarkBlue, WealthLab.LineStyle.Dots, 2);
						PrintDebug("stop = " + stop);
					}
					
					
					//Check stops
					if(LastPosition.PositionType == PositionType.Long && Low[bar] <= stop)
					{
						if(trailingStop)
						{
							SellAtStop(bar, LastPosition, stop, "Sell");
							trailingStop = false;
							breakeven = false;
							
							PrintDebug("Selling long");
						}
						else
						{
							SellAtStop(bar, LastPosition, stop, "Stopped out long");
							breakeven = false;
							
							PrintDebug("Stopping out long");
						}
							
						DrawLine(PricePane, bar - 3, stop, bar + 3, stop, Color.DarkGray, WealthLab.LineStyle.Solid, 4);						
					}
						
					if(LastPosition.PositionType == PositionType.Short && High[bar] >= stop)
					{
						if(trailingStop)
						{
							CoverAtStop(bar, LastPosition, stop, "Cover");
							trailingStop = false;
							breakeven = false;
							
							PrintDebug("Covering short");
							PrintDebug("IsLastPositionActive = " + IsLastPositionActive);
						}
						else
						{
							CoverAtStop(bar, LastPosition, stop, "Stopped out short");
							breakeven = false;
							
							PrintDebug("Stopping out short");
						}
							
						DrawLine(PricePane, bar - 3, stop, bar + 3, stop, Color.DarkGray, WealthLab.LineStyle.Solid, 4);	
					}
					
					//Move stop to breakeven if stock advances 2x initial setup
					if(LastPosition.PositionType == PositionType.Long && High[bar] > moveStopPrice && breakeven == false)
					{
						//stop = entry;
						breakeven = true;
					}
						
					if(LastPosition.PositionType == PositionType.Short && Low[bar] < moveStopPrice && breakeven == false)
					{
						//stop = entry;
						breakeven = true;
					}
						
					//Close out any open positions if end-of-day and reset values
					CloseOutEOD();
					
					SetBackgroundColor(bar, Color.White);
				}		
			    //Entries
				if(!IsLastPositionActive)
				{
					//Enter positions only if trading window is open
					if(tradingTime)
					{
						//Check if bar breaks high or low if valid setup is present
						if(buySetup)
						{
							entry = High[bar - 1] + 0.01;
							if(High[bar] >= entry)
								buySignal = true;
						}
						
						if(shortSetup)
						{
							entry = Low[bar - 1] - 0.01;
							if(Low[bar] <= entry)
								shortSignal = true;
						}
						
						PrintDebug("buySignal = " + buySignal);
						PrintDebug("shortSignal = " + shortSignal);
					
						//Enter position
						if(buySignal)
						{
							stop = Low[bar - 1] - 0.01;
							//stop = lowPrice - 0.01;
							RiskStopLevel = stop;
							BuyAtStop(bar, entry, "Buy");		
							moveStopPrice = 2 * (High[bar - 1] - Low[bar - 1]) + entry;
												
							buySignal = false;
							buySetup = false;
							
							PrintDebug("Going long");
							
							DrawLine(PricePane, bar - 3, entry, bar + 3, entry, Color.Green, WealthLab.LineStyle.Solid, 4);
						}
						
						if(shortSignal)
						{
							stop = High[bar - 1] + 0.01;
							//stop = highPrice + 0.01;
							RiskStopLevel = stop;
							ShortAtStop(bar, entry, "Short");					
							moveStopPrice = entry - (2 * (High[bar - 1] - Low[bar - 1]));
							
							shortSignal = false;
							shortSetup = false;
							
							PrintDebug("Going short");
							
							DrawLine(PricePane, bar - 3, entry, bar + 3, entry, Color.Red, WealthLab.LineStyle.Solid, 4);
						}
						
						//Check for a valid trade setup
						CheckTradeSetup();
					}
						
					//Reset values at end-of-day
					CloseOutEOD();
				}
			}
		}
		
		//Check if trading window is open
		protected void CheckTradeTime()
		{	
			PrintDebug(String.Format( "{0:M/d/yyyy HH:mm }", Date[bar]));
			currentTime = Date[bar].Hour * 100 + Date[bar].Minute;
			if(currentTime >= startTime && currentTime < endTime)
				tradingTime = true;
			else 
				tradingTime = false;
			PrintDebug("tradingTime = " + tradingTime);
		}
		
		//Establish if stock is strong or weak
		protected void CheckRelativeStrength()
		{
			if(currentTime == 930)
			{
				openPrice = Open[bar];
				highPrice = High[bar];
				lowPrice = Low[bar];
			}
			
			if(currentTime >= 935 && currentTime <= 950)
			{
				if(Close[bar - 1] > openPrice)
				{
					double strongCalculation = (Close[bar - 1] - openPrice) / openPrice;
					if(strongCalculation >= relStrengthThreshold)
						strong = true;
				}
				
				if(Close[bar - 1] < openPrice)
				{
					double weakCalculation = (openPrice - Close[bar - 1]) / openPrice;
					if(weakCalculation >= relStrengthThreshold)
						weak = true;
				}
			}
			
			if(strong)
			{
				if(Open[bar] < ema[bar] && Close[bar] < ema[bar]) //Omit any stocks that show weakness by crossing under EMA
					strong = false;
				if(Close[bar] < ema[bar])
					closeCount++;
				if(closeCount > 1)
					strong = false;
			}
			
			if(weak)
			{
				if(Open[bar] > ema[bar] && Close[bar] > ema[bar]) //Omit any stocks that show strength by crossing over EMA
					weak = false;
				if(Close[bar] > ema[bar])
					closeCount++;
				if(closeCount > 1)
					weak = false;
			}
			
			PrintDebug("strong = " + strong);
			PrintDebug("weak = " + weak);
			PrintDebug("buySetup = " + buySetup);
			PrintDebug("shortSetup = " + shortSetup);
		}
		
		//Close out any open positions at end-of-day
		protected void CloseOutEOD()
		{
			if(Bars.IsLastBarOfDay(bar) == true && IsLastPositionActive == true)
			{
				if(LastPosition.PositionType == PositionType.Long)
				{
					PrintDebug("got here10");
					SellAtClose(bar, LastPosition, "Closeout long at EOD");
					DrawLine(PricePane, bar - 2, Close[bar], bar, Close[bar], Color.DarkGray, WealthLab.LineStyle.Solid, 4);
				}
				else
				{
					PrintDebug("got here11");
					CoverAtClose(bar, LastPosition, "Closeout short at EOD");
					DrawLine(PricePane, bar - 2, Close[bar], bar, Close[bar], Color.DarkGray, WealthLab.LineStyle.Solid, 4);
				}
			}	
			
			//Reset values
			if(Bars.IsLastBarOfDay(bar))
			{
				strong = false;
				weak = false;
				shortSetup = false;
				buySetup = false;
				trailingStop = false;
				breakeven = false;
				dailyHigh = 0;
				dailyLow = 9999;
				backSet = 0;
				closeCount = 0;
			}
		}
		
		protected void CheckTradeSetup()
		{
			if(strong == true || weak == true)
			{
				//Check if EMA or BB is pierced
				if(strong)
				{
					if(Low[bar] <= bbLower[bar] + (0.2 * atr[bar]) || Low[bar] <= ema[bar])
					{
						if(Close[bar] >= ema[bar] || Open[bar] >= ema[bar]) //Make sure price does not overshoot EMA
							pierce = true;
						else
							pierce = false;
					}
				}
			
				if(weak)
				{
					if(High[bar] >= bbUpper[bar] - (0.2 * atr[bar]) || High[bar] >= ema[bar])
					{
						if(Close[bar] <= ema[bar] || Open[bar] <= ema[bar])
							pierce = true;
						else 
							pierce = false;
					}
					
					PrintDebug("bb threshold = " + (bbUpper[bar] - (0.2 * atr[bar])));
					PrintDebug("ema = " + ema[bar]);
				}
				
				PrintDebug("pierce = " + pierce);
			
				//Establish direction of EMA
				if(ema[bar] - ema[bar - 1] > 0)
					emaRising = true;
				else 
					emaRising = false;
				
				PrintDebug("emaRising = " + emaRising);
			
				//Check volatility of pullback 
				if(strong == true && pierce == true && emaRising == true)
				{
					int firstBar = bar;
					while(Date[bar].Day == Date[firstBar].Day)
						firstBar--;
					firstBar++;
				
					for(int i = bar; i >= firstBar; i--)
					{
						double tempHigh = High[i];
						if(tempHigh >= dailyHigh)
						{
							dailyHigh = tempHigh;
							backSet = i;
						}
					}
					
					int pullbackBar = backSet + 1;
				
					double pullbackBarRange = 0;
					if(dailyHigh == High[backSet])
						pullbackBarRange = High[pullbackBar] - Low[pullbackBar];
				
					for(int i = pullbackBar; i <= bar; i++)
					{
						if(High[i] - Low[i] > pullbackBarRange + (volMultiplier * pullbackBarRange))
							highVolatilityCount++;
					}
					
					if(highVolatilityCount <= maxHighVolCount)
						volatilityOK = true;
					else
						volatilityOK = false;
											
					PrintDebug("highVolatilityCount = " + highVolatilityCount);
					PrintDebug("volatilityOK = " + volatilityOK);
				}
			
				if(weak == true && pierce == true && emaRising == false)
				{
					int firstBar = bar;
					while(Date[bar].Day == Date[firstBar].Day)
						firstBar--;
					firstBar++;
				
					for(int i = bar; i >= firstBar; i--)
					{
						double tempLow = Low[i];
						if(tempLow <= dailyLow)
						{
							dailyLow = tempLow;
							backSet = i;
						}
					}
				
					int pullbackBar = backSet + 1;
				
					double pullbackBarRange = 0;
					if(dailyLow == Low[backSet])
						pullbackBarRange = High[pullbackBar] - Low[pullbackBar];
				
					for(int i = pullbackBar; i <= bar; i++)
					{
						if(High[i] - Low[i] > pullbackBarRange + (volMultiplier * pullbackBarRange))
							highVolatilityCount++;
					}
					
					if(highVolatilityCount <= maxHighVolCount)
						volatilityOK = true;
					else
						volatilityOK = false;
				
					PrintDebug("highVolatilityCount = " + highVolatilityCount);
					PrintDebug("volatilityOK = " + volatilityOK);
				}
				
				buySetup = false;
				shortSetup = false;			
				//Set setup variables to true if all conditions met
				if(volatilityOK == true && emaRising == true)
				{
					if((Low[bar] - openPrice) / openPrice > 0.01) //Check depth of pullback cannot bring stock < |1%| off open
						buySetup = true;
				}
			
				if(volatilityOK == true && emaRising == false)
				{
					if((High[bar] - openPrice) / openPrice < -0.01)
						shortSetup = true;
				}
				
				PrintDebug("pierce = " + pierce);
				PrintDebug("emaRising = " + emaRising);
				PrintDebug("volatilityOK = " + volatilityOK);
				PrintDebug("buySetup = " + buySetup);
				PrintDebug("shortSetup = " + shortSetup);
			}
			else
			{
				buySetup = false;
				shortSetup = false;
			}			
			
			//Reset variables for next bar
			pierce = false;
			volatilityOK = false;
			dailyHigh = 0;
			dailyLow = 9999;
			backSet = 0;
			highVolatilityCount = 0;
			PrintDebug("pierce = " + pierce);
			PrintDebug("emaRising = " + emaRising);
			PrintDebug("volatilityOK = " + volatilityOK);
			PrintDebug("buySetup = " + buySetup);
			PrintDebug("shortSetup = " + shortSetup);
		}
	}
}[/CODE]

Eugene

#7

4/25/2009 9:58 AM

First of all, your strategy peeks into the future. You can't just use *AtStop(bar) the way you did that in real life because the High/Low prices of the bar are not available until close. I mean, for example, lines 142 and 163. Please see this KB article for more:
Bars, Loops, and Bar + 1

sunyata

#8

4/25/2009 11:56 AM

Ok. I will work on fixing that. Do you think this could contribute to the backtesting issue I described?

sunyata

#9

4/29/2009 3:58 PM

Okay. I have adjusted my code so that it does not peek into the future. However, I am still unable to backtest every single trade at once, even in Raw Profit Mode.

CODE:
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Size:

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Okay.  I have adjusted my code so that it does not peek into the future.  However, I am still unable to backtest every single trade at once, even in Raw Profit Mode.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		//System Parameters
		int startTime = 1005; //Set trading window
		int endTime = 1530;
		
		int emaPeriod = 18; //Indicator parameters
		int bbPeriod = 8;
		double bbStDev = 1.8;
		int atrPeriod = 4;
		
		double relStrengthThreshold = 0.03; //Determine level of strength/weakness off open
		
		double atrTFMultiplier = 1.5;
		
		double volMultiplier = 0.5; //Acceptable increase in volatility on pullback
		int maxHighVolCount = 1; //Number of high vol bars allowed
		
		double minPrice = 10;
		
		//Other Variables
		bool loadedIndicators;
		
		DataSeries ema;
		BBandUpper bbUpper;
		BBandLower bbLower;
		ATR atr;
		
		double openPrice;
		double highPrice;
		double lowPrice;
		int currentTime;
		bool tradingTime;
		bool strong;
		bool weak;
		int closeCount = 0;
		bool breakeven;
		bool trailingStop;
		int bar;
		
		double entry;
		double stop;
		double moveStopPrice;
		
		bool buySetup;
		bool shortSetup;
		bool buySignal;
		bool shortSignal;
		
		bool pierce;
		bool emaRising;
		bool volatilityOK;
		int highVolatilityCount = 0;
		
		double dailyHigh = 0;
		double dailyLow = 9999;
		int backSet = 0;
		
		protected override void Execute()
		{
			ClearDebug();
			
			//Abort test if not 5-min data
			if(Bars.BarInterval != 5)
			{
				DrawLabel(PricePane, "5-min scale not selected", Color.Red);
				return;
			}
			PrintDebug("got here1");
			//Load indicators onto chart
			if(!loadedIndicators)
			{
				ema = EMAModern.Series(Close, emaPeriod);
				bbUpper = new BBandUpper(Close, bbPeriod, bbStDev, "Upper BB," + bbPeriod + "-pd, " + bbStDev + " StDev");
				bbLower = new BBandLower(Close, bbPeriod, bbStDev, "Lower BB," + bbPeriod + "-pd, " + bbStDev + " StDev");
				atr = new ATR(Bars, atrPeriod, atrPeriod + "-pd ATR");

PlotSeries(PricePane, ema, Color.Fuchsia, LineStyle.Solid, 2);
				PlotSeries(PricePane, bbUpper, Color.Aqua, WealthLab.LineStyle.Solid, 1);
				PlotSeries(PricePane, bbLower, Color.Aqua, WealthLab.LineStyle.Solid, 1);
				loadedIndicators = true;
			}			
			PrintDebug("got here2");
			for(bar = 19; bar < Bars.Count; bar++)
			{
				CheckTradeTime();
					
				CheckRelativeStrength();
		
				//Exits
				if (IsLastPositionActive)
				{
					shortSetup = false;
					buySetup = false;
								
					//Set trend-following exits
					if(LastPosition.PositionType == PositionType.Long && breakeven == true)
					{
						//stop = Math.Max(stop, Low[bar - 1] - (atrTFMultiplier * atr[bar - 1]));
						//stop = Math.Round(stop * 100) / 100;
						//trailingStop = true;
						
						if(Low[bar - 6] > Low[bar - 3] && Low[bar - 5] >= Low[bar - 3] && Low[bar - 4] >= Low[bar - 3] && Low[bar - 3] <= Low[bar - 2] 
							&& Low[bar - 3] <= Low[bar - 1])
						{
							stop = Math.Max(stop, Math.Round((Low[bar - 3] - (1 * atr[bar - 1])) * 100) / 100);
							trailingStop = true;
						}
					}
						
					if(LastPosition.PositionType == PositionType.Short && breakeven == true)
					{
						//stop = Math.Min(stop, High[bar - 1] + (atrTFMultiplier * atr[bar - 1]));
						//stop = Math.Round(stop * 100) / 100;
						//trailingStop = true;
						
						if(High[bar - 6] < High[bar - 3] && High[bar - 5] <= High[bar - 3] && High[bar - 4] <= High[bar - 3] && High[bar - 3] >= High[bar - 2] 
							&& High[bar - 3] >= High[bar - 1])
						{
							stop = Math.Min(stop, Math.Round((High[bar - 3] + (1 * atr[bar - 1])) * 100) / 100);
							trailingStop = true;
						}
					}
					
					if(trailingStop)
					{
						DrawLine(PricePane, bar - 1, stop, bar + 1, stop, Color.DarkBlue, WealthLab.LineStyle.Dots, 2);
						PrintDebug("stop = " + stop);
					}
					
					
					//Check stops
					if(LastPosition.PositionType == PositionType.Long && Low[bar - 1] <= stop)
					{
						if(trailingStop)
						{
							SellAtStop(bar - 1, LastPosition, stop, "Sell");
							trailingStop = false;
							breakeven = false;
							
							PrintDebug("Selling long");
						}
						else
						{
							SellAtStop(bar - 1, LastPosition, stop, "Stopped out long");
							breakeven = false;
							
							PrintDebug("Stopping out long");
						}
							
						DrawLine(PricePane, bar - 3, stop, bar + 3, stop, Color.DarkGray, WealthLab.LineStyle.Solid, 4);						
					}
						
					if(LastPosition.PositionType == PositionType.Short && High[bar - 1] >= stop)
					{
						if(trailingStop)
						{
							CoverAtStop(bar - 1, LastPosition, stop, "Cover");
							trailingStop = false;
							breakeven = false;
							
							PrintDebug("Covering short");
							PrintDebug("IsLastPositionActive = " + IsLastPositionActive);
						}
						else
						{
							CoverAtStop(bar - 1, LastPosition, stop, "Stopped out short");
							breakeven = false;
							
							PrintDebug("Stopping out short");
						}
							
						DrawLine(PricePane, bar - 3, stop, bar + 3, stop, Color.DarkGray, WealthLab.LineStyle.Solid, 4);	
					}
					
					//Move stop to breakeven if stock advances 2x initial setup
					if(LastPosition.PositionType == PositionType.Long && High[bar - 1] > moveStopPrice && breakeven == false)
					{
						//stop = entry;
						breakeven = true;
					}
						
					if(LastPosition.PositionType == PositionType.Short && Low[bar - 1] < moveStopPrice && breakeven == false)
					{
						//stop = entry;
						breakeven = true;
					}
						
					//Close out any open positions if end-of-day and reset values
					CloseOutEOD();
					
					SetBackgroundColor(bar - 1, Color.White);
				}		
			    //Entries
				if(!IsLastPositionActive)
				{
					//Enter positions only if trading window is open
					if(tradingTime)
					{				
						//Check for a valid trade setup
						CheckTradeSetup();
						
						//Check if bar breaks high or low if valid setup is present
						if(buySetup)
						{
							entry = High[bar - 1] + 0.01;
							if(High[bar] >= entry)
								buySignal = true;
						}
						
						if(shortSetup)
						{
							entry = Low[bar - 1] - 0.01;
							if(Low[bar] <= entry)
								shortSignal = true;
						}
						
						PrintDebug("buySignal = " + buySignal);
						PrintDebug("shortSignal = " + shortSignal);
					
						//Enter position
						if(buySignal)
						{
							stop = Low[bar - 1] - 0.01;
							//stop = lowPrice - 0.01;
							RiskStopLevel = stop;
							BuyAtStop(bar, entry, "Buy");		
							moveStopPrice = 2 * (High[bar - 1] - Low[bar - 1]) + entry;
												
							buySignal = false;
							buySetup = false;
							
							PrintDebug("Going long");
							
							DrawLine(PricePane, bar - 3, entry, bar + 3, entry, Color.Green, WealthLab.LineStyle.Solid, 4);
						}
						
						if(shortSignal)
						{
							stop = High[bar - 1] + 0.01;
							//stop = highPrice + 0.01;
							RiskStopLevel = stop;
							ShortAtStop(bar, entry, "Short");					
							moveStopPrice = entry - (2 * (High[bar - 1] - Low[bar - 1]));
							
							shortSignal = false;
							shortSetup = false;
							
							PrintDebug("Going short");
							
							DrawLine(PricePane, bar - 3, entry, bar + 3, entry, Color.Red, WealthLab.LineStyle.Solid, 4);
						}
						
						
					}
						
					//Reset values at end-of-day
					CloseOutEOD();
				}
			}
		}
		
		//Check if trading window is open
		protected void CheckTradeTime()
		{	
			PrintDebug(String.Format( "{0:M/d/yyyy HH:mm }", Date[bar]));
			currentTime = Date[bar].Hour * 100 + Date[bar].Minute;
			if(currentTime >= startTime && currentTime < endTime)
				tradingTime = true;
			else 
				tradingTime = false;
			PrintDebug("tradingTime = " + tradingTime);
		}
		
		//Establish if stock is strong or weak
		protected void CheckRelativeStrength()
		{
			if(currentTime == 930)
			{
				openPrice = Open[bar];
				highPrice = High[bar];
				lowPrice = Low[bar];
			}
			
			if(currentTime >= 940 && currentTime <= 955)
			{
				if(Close[bar - 1] > openPrice)
				{
					double strongCalculation = (Close[bar - 1] - openPrice) / openPrice;
					if(strongCalculation >= relStrengthThreshold)
						strong = true;
				}
				
				if(Close[bar - 1] < openPrice)
				{
					double weakCalculation = (openPrice - Close[bar - 1]) / openPrice;
					if(weakCalculation >= relStrengthThreshold)
						weak = true;
				}
			}
			
			if(strong)
			{
				if(Open[bar - 1] < ema[bar - 1] && Close[bar - 1] < ema[bar - 1]) //Omit any stocks that show weakness by crossing under EMA
					strong = false;
				if(Close[bar - 1] < ema[bar - 1])
					closeCount++;
				if(closeCount > 1)
					strong = false;
			}
			
			if(weak)
			{
				if(Open[bar - 1] > ema[bar - 1] && Close[bar - 1] > ema[bar - 1]) //Omit any stocks that show strength by crossing over EMA
					weak = false;
				if(Close[bar - 1] > ema[bar - 1])
					closeCount++;
				if(closeCount > 1)
					weak = false;
			}
			
			PrintDebug("strong = " + strong);
			PrintDebug("weak = " + weak);
			PrintDebug("buySetup = " + buySetup);
			PrintDebug("shortSetup = " + shortSetup);
		}
		
		//Close out any open positions at end-of-day
		protected void CloseOutEOD()
		{
			if(Bars.IsLastBarOfDay(bar) == true && IsLastPositionActive == true)
			{
				if(LastPosition.PositionType == PositionType.Long)
				{
					PrintDebug("got here10");
					SellAtClose(bar, LastPosition, "Closeout long at EOD");
					DrawLine(PricePane, bar - 2, Close[bar], bar, Close[bar], Color.DarkGray, WealthLab.LineStyle.Solid, 4);
				}
				else
				{
					PrintDebug("got here11");
					CoverAtClose(bar, LastPosition, "Closeout short at EOD");
					DrawLine(PricePane, bar - 2, Close[bar], bar, Close[bar], Color.DarkGray, WealthLab.LineStyle.Solid, 4);
				}
			}	
			
			//Reset values
			if(Bars.IsLastBarOfDay(bar))
			{
				strong = false;
				weak = false;
				shortSetup = false;
				buySetup = false;
				trailingStop = false;
				breakeven = false;
				dailyHigh = 0;
				dailyLow = 9999;
				backSet = 0;
				closeCount = 0;
			}
		}
		
		protected void CheckTradeSetup()
		{
			if(strong == true || weak == true)
			{
				//Check if EMA or BB is pierced
				if(strong)
				{
					if(Low[bar - 1] <= bbLower[bar - 1] + (0.2 * atr[bar - 1]) || Low[bar] <= ema[bar - 1])
					{
						if(Close[bar - 1] >= ema[bar - 1] || Open[bar - 1] >= ema[bar - 1]) //Make sure price does not overshoot EMA
							pierce = true;
						else
							pierce = false;
					}
				}
			
				if(weak)
				{
					if(High[bar - 1] >= bbUpper[bar - 1] - (0.2 * atr[bar - 1]) || High[bar - 1] >= ema[bar - 1])
					{
						if(Close[bar - 1] <= ema[bar - 1] || Open[bar - 1] <= ema[bar - 1])
							pierce = true;
						else 
							pierce = false;
					}
					
					PrintDebug("bb threshold = " + (bbUpper[bar - 1] - (0.2 * atr[bar - 1])));
					PrintDebug("ema = " + ema[bar - 1]);
				}
				
				PrintDebug("pierce = " + pierce);
			
				//Establish direction of EMA
				if(ema[bar - 1] - ema[bar - 2] > 0)
					emaRising = true;
				else 
					emaRising = false;
				
				PrintDebug("emaRising = " + emaRising);
			
				//Check volatility of pullback 
				if(strong == true && pierce == true && emaRising == true)
				{
					int firstBar = bar - 1;
					while(Date[bar - 1].Day == Date[firstBar].Day)
						firstBar--;
					firstBar++;
				
					for(int i = bar - 1; i >= firstBar; i--)
					{
						double tempHigh = High[i];
						if(tempHigh >= dailyHigh)
						{
							dailyHigh = tempHigh;
							backSet = i;
						}
					}
					
					int pullbackBar = backSet + 1;
				
					double pullbackBarRange = 0;
					if(dailyHigh == High[backSet])
						pullbackBarRange = High[pullbackBar] - Low[pullbackBar];
				
					for(int i = pullbackBar; i <= bar - 1; i++)
					{
						if(High[i] - Low[i] > pullbackBarRange + (volMultiplier * pullbackBarRange))
							highVolatilityCount++;
					}
					
					if(highVolatilityCount <= maxHighVolCount)
						volatilityOK = true;
					else
						volatilityOK = false;
											
					PrintDebug("highVolatilityCount = " + highVolatilityCount);
					PrintDebug("volatilityOK = " + volatilityOK);
				}
			
				if(weak == true && pierce == true && emaRising == false)
				{
					int firstBar = bar - 1;
					while(Date[bar - 1].Day == Date[firstBar].Day)
						firstBar--;
					firstBar++;
				
					for(int i = bar - 1; i >= firstBar; i--)
					{
						double tempLow = Low[i];
						if(tempLow <= dailyLow)
						{
							dailyLow = tempLow;
							backSet = i;
						}
					}
				
					int pullbackBar = backSet + 1;
				
					double pullbackBarRange = 0;
					if(dailyLow == Low[backSet])
						pullbackBarRange = High[pullbackBar] - Low[pullbackBar];
				
					for(int i = pullbackBar; i <= bar - 1; i++)
					{
						if(High[i] - Low[i] > pullbackBarRange + (volMultiplier * pullbackBarRange))
							highVolatilityCount++;
					}
					
					if(highVolatilityCount <= maxHighVolCount)
						volatilityOK = true;
					else
						volatilityOK = false;
				
					PrintDebug("highVolatilityCount = " + highVolatilityCount);
					PrintDebug("volatilityOK = " + volatilityOK);
				}
				
				buySetup = false;
				shortSetup = false;			
				//Set setup variables to true if all conditions met
				if(volatilityOK == true && emaRising == true)
				{
					if((Low[bar - 1] - openPrice) / openPrice > 0.01) //Check depth of pullback cannot bring stock < |1%| off open
						buySetup = true;
				}
			
				if(volatilityOK == true && emaRising == false)
				{
					if((High[bar - 1] - openPrice) / openPrice < -0.01)
						shortSetup = true;
				}
				
				PrintDebug("pierce = " + pierce);
				PrintDebug("emaRising = " + emaRising);
				PrintDebug("volatilityOK = " + volatilityOK);
				PrintDebug("buySetup = " + buySetup);
				PrintDebug("shortSetup = " + shortSetup);
			}
			else
			{
				buySetup = false;
				shortSetup = false;
			}			
			
			//Reset variables for next bar
			pierce = false;
			volatilityOK = false;
			dailyHigh = 0;
			dailyLow = 9999;
			backSet = 0;
			highVolatilityCount = 0;
			PrintDebug("pierce = " + pierce);
			PrintDebug("emaRising = " + emaRising);
			PrintDebug("volatilityOK = " + volatilityOK);
			PrintDebug("buySetup = " + buySetup);
			PrintDebug("shortSetup = " + shortSetup);
		}
	}
}[/CODE]

Eugene

#10

4/29/2009 4:36 PM

Your code will not generate a single alert because you're passing bar-1 to the trading functions (instead of bar+1). Please review the KB article link above.

In addition, your code is somewhat too long to be readable, would you mind creating a more compact version for troubleshooting by creating dummy conditions instead of the actual production logic? Thank you.

Cone

#11

4/29/2009 5:01 PM

What is your Raw Profit setting?

- just check to make sure that it's sufficiently high to enable the purchase of at least 1 share. In other words, if your RP size is $1,000, you won't be able to create trades on BRK/B (trading around $3000/share), for example, since even in RP mode you cannot buy 1 share.

sunyata

#12

4/30/2009 9:38 AM

Hi Eugene,

I've created a simplified version, in some cases simply using written text to convey what I am trying to accomplish. This may be a start to help figure out the problem I having. And in response to Cone, I've attempted to use Raw Profit Mode by setting a Fixed Position Size to enter with on every trade, rather than setting a Fixed Dollar amount per trade. Because of this, I should not be having any problems related to lack of available funds. Thanks for your input though.

Here's the code:

CODE:
Please log in to see this code.

Size:

Color:

Hi Eugene,

I've created a simplified version, in some cases simply using written text to convey what I am trying to accomplish.  This may be a start to help figure out the problem I having.  And in response to Cone, I've attempted to use Raw Profit Mode by setting a Fixed Position Size to enter with on every trade, rather than setting a Fixed Dollar amount per trade.  Because of this, I should not be having any problems related to lack of available funds.  Thanks for your input though.

Here's the code:

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		//System Parameters
		int startTime = 1005; //Set trading window
		int endTime = 1530;
		
		int emaPeriod = 18; //Indicator parameters
		int bbPeriod = 8;
		double bbStDev = 1.8;
		int atrPeriod = 4;
		
		//Other Variables
		bool loadedIndicators;
		
		DataSeries ema;
		BBandUpper bbUpper;
		BBandLower bbLower;
		ATR atr;
		
		int currentTime;
		bool tradingWindowOpen;
		bool strong;
		bool weak;

bool breakeven;
		bool trailingStop;
		int bar;
		
		double entry;
		double stop;
		double moveStopPrice;
		
		bool buySetup;
		bool shortSetup;
		
		bool pierce;
		bool emaRising;
		bool volatilityOK;
		
		protected override void Execute()
		{
			ClearDebug();
			
			//Abort test if not 5-min data
			if(Bars.BarInterval != 5)
			{
				DrawLabel(PricePane, "5-min scale not selected", Color.Red);
				return;
			}
		
			//Load indicators onto chart
			if(!loadedIndicators)
			{
				ema = EMAModern.Series(Close, emaPeriod);
				bbUpper = new BBandUpper(Close, bbPeriod, bbStDev, "Upper BB," + bbPeriod + "-pd, " + bbStDev + " StDev");
				bbLower = new BBandLower(Close, bbPeriod, bbStDev, "Lower BB," + bbPeriod + "-pd, " + bbStDev + " StDev");
				atr = new ATR(Bars, atrPeriod, atrPeriod + "-pd ATR");

PlotSeries(PricePane, ema, Color.Fuchsia, LineStyle.Solid, 2);
				PlotSeries(PricePane, bbUpper, Color.Aqua, WealthLab.LineStyle.Solid, 1);
				PlotSeries(PricePane, bbLower, Color.Aqua, WealthLab.LineStyle.Solid, 1);
				loadedIndicators = true;
			}

for(bar = 19; bar < Bars.Count; bar++)
			{
				CheckTradeTime();
					
				CheckRelativeStrength();
		
				//Exits
				if (IsLastPositionActive)
				{
					shortSetup = false;
					buySetup = false;
								
					//Set trend-following exits
					if(LastPosition.PositionType == PositionType.Long && breakeven == true)
					{
						
						if(Down Fractal exists)
						{
							stop = 1 ATR below fractal
							trailingStop = true;
						}
					}
						
					if(LastPosition.PositionType == PositionType.Short && breakeven == true)
					{		
						if(Up Fractal exists)
						{
							stop = 1 ATR above fractal
							trailingStop = true;
						}
					}
					
					//Plot trailing stop on chart if trailing stop is true
					if(trailingStop)
					{
						Draw trailing stop on chart
					}
					
					
					//Check if stops are hit
					if(LastPosition.PositionType == PositionType.Long && Low[bar - 1] <= stop)
					{
						//Exit at trailing stop
						if(trailingStop)
						{
							SellAtStop(bar - 1, LastPosition, stop, "Sell");
							trailingStop = false;
							breakeven = false;
						}
						//Exit at initial stop-loss
						else
						{
							SellAtStop(bar - 1, LastPosition, stop, "Stopped out long");
							breakeven = false;
						}
							
						DrawLine(PricePane, bar - 3, stop, bar + 3, stop, Color.DarkGray, WealthLab.LineStyle.Solid, 4);						
					}
						
					if(LastPosition.PositionType == PositionType.Short && High[bar - 1] >= stop)
					{
						if(trailingStop)
						{
							CoverAtStop(bar - 1, LastPosition, stop, "Cover");
							trailingStop = false;
							breakeven = false;
						}
						else
						{
							CoverAtStop(bar - 1, LastPosition, stop, "Stopped out short");
							breakeven = false;
						}
							
						DrawLine(PricePane, bar - 3, stop, bar + 3, stop, Color.DarkGray, WealthLab.LineStyle.Solid, 4);	
					}
					
					//Move stop to breakeven if stock advances 2x initial setup
					if(LastPosition.PositionType == PositionType.Long && High[bar - 1] > moveStopPrice && breakeven == false)
					{
						stop = entry;
						breakeven = true;
					}
						
					if(LastPosition.PositionType == PositionType.Short && Low[bar - 1] < moveStopPrice && breakeven == false)
					{
						stop = entry;
						breakeven = true;
					}
						
					//Close out any open positions if end-of-day and reset values
					CloseOutEOD();
					
					SetBackgroundColor(bar - 1, Color.White);
				}		
				//Entries
				if(!IsLastPositionActive)
				{
					//Enter positions only if trading window is open
					if(tradingWindowOpen)
					{				
						//Check for a valid trade setup
						CheckTradeSetup();
						
						//Enter if current bar breaks high/low of setup bar
						if(buySetup)
						{
							entry = High[bar - 1] + 0.01;
							if(High[bar] >= entry)
							{
								stop = Low[bar - 1] - 0.01;
								RiskStopLevel = stop;
								BuyAtStop(bar, entry, "Buy");		
								moveStopPrice = 2 * (High[bar - 1] - Low[bar - 1]) + entry;
												
								buySetup = false;
								
								DrawLine(PricePane, bar - 3, entry, bar + 3, entry, Color.Green, WealthLab.LineStyle.Solid, 4);
							}
						}
						
						if(shortSetup)
						{
							entry = Low[bar - 1] - 0.01;
							if(Low[bar] <= entry)
							{
								stop = High[bar - 1] + 0.01;
								RiskStopLevel = stop;
								ShortAtStop(bar, entry, "Short");					
								moveStopPrice = entry - (2 * (High[bar - 1] - Low[bar - 1]));
							
								shortSetup = false;
							
								DrawLine(PricePane, bar - 3, entry, bar + 3, entry, Color.Red, WealthLab.LineStyle.Solid, 4);
							}					
						}
					}
						
					//Reset values if end-of-day
					CloseOutEOD();
				}
			}
		}
		
		//Check if trading window is open
		protected void CheckTradeTime()
		{	
			currentTime = Date[bar].Hour * 100 + Date[bar].Minute;
			if(currentTime >= startTime && currentTime < endTime)
				tradingWindowOpen = true;
			else 
				tradingWindowOpen = false;
		}
		
		//Establish if stock is strong or weak
		protected void CheckRelativeStrength()
		{
			If stock is >= 3% off open by 9:50am, then
				strong = true;
			else
				strong = false;
			
			If stock is <= -3% off open by 9:50am, then
				weak = true;
			else
				weak = false;
		}
		
		//Close out any open positions at end-of-day
		protected void CloseOutEOD()
		{
			
			Close any open positions at end of the day
			
			}	
			
			//Reset all values at end of the day
			if(Bars.IsLastBarOfDay(bar))
			{
				strong = false;
				weak = false;
				shortSetup = false;
				buySetup = false;
				trailingStop = false;
				breakeven = false;
			}
		}
		
		protected void CheckTradeSetup()
		{
			if(strong == true || weak == true)
			{
				//Check if EMA or BB is pierced
				if(strong)
				{
					If low of the prior bar pierces either the lower Bollinger Band or the EMA, then
						pierce = true;
					else
						pierce = false;
				}
			
				if(weak)
				{
					If high of the prior bar pierces either the higher Bollinger Band or the EMA, then
						pierce = true;
					else
						pierce = false;
				}
			
				//Establish direction of EMA
				if(the EMA is rising)
					emaRising = true;
				else 
					emaRising = false;
			
				//Check volatility of pullback 
				if(strong == true && pierce == true && emaRising == true)
				{
					If pullback to the Bollinger Band/EMA is on low volatility
						volatilityOK = true;
					else 
						volatilityOK = false;
				}
			
				if(weak == true && pierce == true && emaRising == false)
				{
					If pullback to the Bollinger Band/EMA is on low volatility
						volatilityOK = true;
					else 
						volatilityOK = false;
				}
				
				buySetup = false;
				shortSetup = false;			
				//Set setup variables to true if all conditions met
				if(volatilityOK == true && emaRising == true)
					buySetup = true;
			
				if(volatilityOK == true && emaRising == false)
					shortSetup = true;
			}
			else
			{
				buySetup = false;
				shortSetup = false;
			}			
			
			//Reset variables for next bar
			pierce = false;
			volatilityOK = false;
		}
	}
}[/CODE]

sunyata

#13

4/30/2009 9:42 AM

Also, as of now, I am not too interested in having the strategy generate alerts. I just want to be able to generate a backtest with every single trade so that I can determine if the strategy is even profitable across a broad range of securities.

Eugene

#14

4/30/2009 10:11 AM

Jacob,

Probably I wasn't clear on the code readability. Let me first quote the excellent advice given by Robert (Cone):

Best way to implement the following trading strate

QUOTE:
It turns out that this is a good technique to developing a program or application - break it down into small parts so that you can concentrate on a manageable piece. Start with one piece, define the specific requirements, and think about how you'll integrate it into the finished product.

What was on my mind is not explaining the rules in plain English, but rather stripping them out completely, leaving just a skeleton with the structure. Rules are well could be random entries and exits. Anyway, it's not important. To generate a backtest with every single trade, you need to fix the obvious peeking errors (SellAtStop(bar-1), BuyAtStop(bar) etc). This is a prerequisite to determine the number of signals in Raw Profit mode. After troubleshooting your code and verifying that it works according to your design, it becomes reasonable to approach the portfolio backtest mode.

sunyata

#15

4/30/2009 11:19 AM

Hey Eugene,

Thanks for your patience with this. In regards to peeking, I am a bit confused. How is "SellAtStop(bar - 1)" considered code that peeks, given that the referenced bar has already closed. Although, admittedly, it seems unorthodox to me, given that the position is not closed until the ensuing bar, it does not seem to be an example of peeking. Am I incorrect here? Having read the KB article you sent me, I understand passing "bar + 1" to a trading signal to avoid entering a position on the open, while utilizing an indicator value that is calculated at the close. I certainly understand this as peeking. But I am not quite sure I understand "peeking" in reference to how I have utilized "bar - 1".

Also, I certainly agree that building a program in increments is more simple to manage. In fact, I did just that with this program, starting with the trade setup, working to entries, and then finishing off with exits. How would you like me to better convey the skeleton of the program?

Thanks again.

jake

Eugene

#16

4/30/2009 11:36 AM

QUOTE:
But I am not quite sure I understand "peeking" in reference to how I have utilized "bar - 1".

Imagine you have created a position today (bar) on a stop (let's put aside the fact that it's impossible to enter on a stop at bar, utilizing the high(bar) price), how could you close that position yesterday with sellatstop(bar-1) ?

sunyata

#17

4/30/2009 2:37 PM

Eugene,

How would you suggest entering a position on a stop? Could you do the following:

CODE:
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What I don't like about this solution is that although the position is recorded as entered on the correct bar, the strategy does not actually record the entry until the following bar. It does not seem possible to me to utilize the bar + 1 setup when entering on stops.

Cone

#18

4/30/2009 4:34 PM

Did you review Bars, Loops, and Bar + 1?

Okay, it's Thursday night, and lets say you want to buy on a stop if MSFT hits 21 on Friday. Further, lets assume that MSFT does cross 21 tomorrow and closes at 22. How will you enter this order with your broker?

Are you going wait until Monday to place your order for the previous bar (bar - 1), or, are you going to enter your stop order tonight (or any time on or before the opening bell) so that it can be live tomorrow when the price event takes place?

sunyata

#19

5/4/2009 3:07 PM

Oh, I think Cone's comment sparked a realization! Prior to using WealthLab, I used eSignal, whose broker language required that I enter the prices at which positions were either opened and closed. This language had no way to decide if my stop price was hit or not; it simply executed and I had to use conditional statements to control access to this broker language. But with WealthLab, it seems as though the broker terms, such as BuyAtStop and SellAtStop, will only execute if the indicated price is hit. Am I correct about this?

Thanks again for your help.

Jake

Eugene

#20

5/4/2009 3:14 PM

*AtStop (as well as other trading functions) will execute if the price is hit, and you will know when it happen by the fact a Position object is returned (or not).

ss161

#21

5/4/2009 6:13 PM

sunyata, i was looking at your code and thought for a second i was looking at some of my code with all of the PrintDebug("got here") messages. fwiw, i downloaded and installed SharpDevelop (it's free) and followed Eugene's very well written links on how to debug strategy code using SharpDevelop. It's saved me hours since. Just in case your not familiar with it. At the top of this forum post are the links to the directions:
/Forum/Posts/Is-it-possible-to-debug-into-stepping-the-code-lik-29198

sunyata

#22

5/4/2009 8:50 PM

Thanks so much for everyone's help. I will rewrite the code per my newfound understanding and see if I can't get WealthLab to record all the trades. And thanks ss161 for the SharpDevelop tip.

Jake