Exit after n periods - Wealth Lab Forum

topcat77

#1

1/21/2009 8:14 PM

Hello all and (since this is my first post this year) a prosperous 2009

I'm trying to install an additional exit condition - in a modified form of RSI Agita- that will exit after n periods if the Rsi-exit has not trigerred

So,to command an exit say 14 periods after the Signal Bar, I first set up the Signal Bar using:

and then installed the additional exit condition . the compiler tells me " operator || cannot be applied to operands of type 'bool' and 'int'

How do I do this correctly ?
Thanks

Size:

Color:

Hello all and (since this is my first post this year) a prosperous 2009
 
 I'm trying to install an additional exit condition - in a modified form of RSI Agita- that will exit after n periods if the Rsi-exit has not trigerred

So,to command an exit say 14 periods after the Signal Bar, I first set up the Signal Bar using:
[QUOTE]int signalBar=0[/QUOTE]

and then installed the additional exit condition . the compiler tells me " operator || cannot be applied to operands of type 'bool' and 'int'

[CODE]/*
    RSIAgita
    RSI Agita Strategy
*/

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
    public class RSIAgita : WealthScript
    {
        //Create parameters
        private StrategyParameter rsiPeriod;
        private StrategyParameter overbought;
        private StrategyParameter oversold;

public RSIAgita()
        {
            rsiPeriod = CreateParameter("RSI Period", 14, 9, 56, 5);
            oversold = CreateParameter("Oversold", 30, 10, 60, 5);
            overbought = CreateParameter("Overbought", 70, 40, 95, 5);
        }

protected override void Execute()
        {
            int level;
            int period = rsiPeriod.ValueInt;
			int signalBar=0;
			
            //Create and plot 20 period RSI
            RSI rsi20 = RSI.Series(Close, period);
            ChartPane rsiPane = CreatePane(50, true, true);
            PlotSeries(rsiPane, rsi20, Color.Navy, LineStyle.Solid, 3);
            DrawHorzLine(rsiPane, oversold.Value, Color.Red, LineStyle.Dotted, 2);
            DrawHorzLine(rsiPane, overbought.Value, Color.Green, LineStyle.Dotted, 2);
			
			// create and plot the BBand
			DataSeries bbL = BBandLower.Series(Close, 20, 2);
			PlotSeries(PricePane, bbL, Color.Gray, LineStyle.Solid, 2);
			DataSeries bbU = BBandUpper.Series(Close, 20, 2);
			PlotSeries(PricePane, bbU, Color.Gray, LineStyle.Solid, 2);	
			
			
            //Trading system main loop
            for (int bar = period + 1; bar < Bars.Count; bar++)
            {
                //Entries are allowed only if price is above last entry price
                double lastEntryPrice = IsLastPositionActive ? LastPosition.EntryPrice : 0d;

//Check penetration of RSI above the Overbought level to 95
                level = overbought.ValueInt;
                while (level < 100)
                {
                    if (CrossOver(bar, rsi20, level))
                        if (Bars.Close[bar] > lastEntryPrice)
						if(Volume[bar] <= (Volume[bar-1]))	
                            ShortAtMarket(bar + 1);
                    level +=5;
                }

//Exit all short positions if RSI crosses below 45
                if (CrossUnder(bar, rsi20, oversold.ValueInt)
					||bar-signalBar=14)
					
                    foreach (Position pos in Positions)
                        if (pos.Active)
                            CoverAtMarket(bar + 1, pos);
            }
        }        
    }
}

[/CODE]

How do I do this correctly ?
Thanks

jsmith2007z

#2

1/21/2009 10:42 PM

If you change the assignment statement giving the error, bar-signalBar=14, to an equality test statement of the form bar-signalBar==14, which is what you probably intended, it compiles.

jsmith2007z

#3

1/21/2009 10:53 PM

By the way, I (not very experienced in C# and even less so in WL5 coding) do not understand the syntax of the following statement in the above code:

Can someone explain it? The baffling parts are
?
:
0d

Eugene

#4

1/22/2009 3:39 AM

jsmith2007z

This is the so called ternary operator "?": you may take a look at MSDN for details.

In short, it's an elegant C# shortcut for saying "if IsLastPositionActive is true, then lastEntryPrice = LastPosition.EntryPrice otherwise make it zero".

0d means zero where the suffix "d" asserts that an integer value should be treated as type double. Again, more details here at MSDN.

Eugene

#5

1/22/2009 3:45 AM

topcat77

jsmith2007z hit the nail on the head here. For the compiler, it looks as if you were doing some math in a boolean condition.

Therefore you need to enclose the snippet in braces: || (bar-signalBar=14) )

Cone

#6

1/22/2009 5:52 AM

Actually it should be: bar-signalBar == 14

= is for assignment
== is for comparison

(Of course the parentheses don't hurt)

Eugene

#7

1/22/2009 6:49 AM

Good catch, thanks. Am I getting old?

topcat77

#8

1/22/2009 7:05 PM

jsmith, Eugene, Cone thank you - this was many lessons rolled into one
now I can go back into my corner and trade

topcat77

#9

1/27/2009 3:07 PM

If only life were simpler:

The script (see first post)is not at impressed with the new snippet :
(bar-signalBar)==14
The (additional) exit does nothing (although it compiles ok)
Moreover, if it is made the only exit condition it also does nothing; that is, all positions remain open.

To be clear I am attempting to exit each position at the 14th bar afer the Signal bar if it has not already exited through the Rsi condition. (The script allows multiple positions, if this is the complication)

Eugene

#10

1/27/2009 3:46 PM

That's right. The script works exactly as programmed: signalBar is initialized with 0 and is never changed or assigned later on. To make it work, just assign the entry bar value if entry was successful.

topcat77

#11

1/27/2009 8:45 PM

Eugene, please could you give me an example. Thanks

Eugene

#12

1/28/2009 1:40 AM

Well, in multi-position script the single variable is less helpful. Let's instead use the Position.Tag property to hold the signal bar, then loop through only active positions and compare current bar with the one we saved at entry. Note that we could as well use the Position.EntryBar property instead of .Tag for that.

Size:

Color:

Well, in multi-position script the single variable is less helpful. Let's instead use the Position.Tag property to hold the signal bar, then loop through only active positions and compare current bar with the one we saved at entry. Note that we could as well use the Position.EntryBar property instead of .Tag for that.

[CODE]/*
    RSIAgita
    RSI Agita Strategy
*/

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class RSIAgita : WealthScript
	{
		//Create parameters
		private StrategyParameter rsiPeriod;
		private StrategyParameter overbought;
		private StrategyParameter oversold;

public RSIAgita()
		{
			rsiPeriod = CreateParameter("RSI Period", 14, 9, 56, 5);
			oversold = CreateParameter("Oversold", 30, 10, 60, 5);
			overbought = CreateParameter("Overbought", 70, 40, 95, 5);
		}

protected override void Execute()
		{
			int level;
			int period = rsiPeriod.ValueInt;
			int signalBar=0;
			
			//Create and plot 20 period RSI
			RSI rsi20 = RSI.Series(Close, period);
			ChartPane rsiPane = CreatePane(50, true, true);
			PlotSeries(rsiPane, rsi20, Color.Navy, LineStyle.Solid, 3);
			DrawHorzLine(rsiPane, oversold.Value, Color.Red, LineStyle.Dotted, 2);
			DrawHorzLine(rsiPane, overbought.Value, Color.Green, LineStyle.Dotted, 2);
			
			// create and plot the BBand
			DataSeries bbL = BBandLower.Series(Close, 20, 2);
			PlotSeries(PricePane, bbL, Color.Gray, LineStyle.Solid, 2);
			DataSeries bbU = BBandUpper.Series(Close, 20, 2);
			PlotSeries(PricePane, bbU, Color.Gray, LineStyle.Solid, 2);	
			
			
			//Trading system main loop
			for (int bar = period + 1; bar < Bars.Count; bar++)
			{
				//Entries are allowed only if price is above last entry price
				double lastEntryPrice = IsLastPositionActive ? LastPosition.EntryPrice : 0d;

//Check penetration of RSI above the Overbought level to 95
				level = overbought.ValueInt;
				while (level < 100)
				{
					if (CrossOver(bar, rsi20, level))
						if (Bars.Close[bar] > lastEntryPrice)
							if(Volume[bar] <= (Volume[bar-1]))	
								if( ShortAtMarket(bar + 1) != null )
									LastActivePosition.Tag = bar;
					level +=5;
				}

//Exit all short positions if RSI crosses below 45
				if ( ActivePositions.Count > 0 )
				{
					// Let's work directly with the list of active positions, introduced in WL5
					for( int p = ActivePositions.Count - 1; p > -1 ; p-- )
					{
						Position pos = ActivePositions[p];
						if( CrossUnder(bar, rsi20, oversold.ValueInt) ||
							(bar-(int)pos.Tag >= 14 ) )
							// (bar + 1 - (int)pos.EntryBar >= 14 ) )
							CoverAtMarket( bar+1, pos );
					}
				}				
			}
		}        
	}
}
[/CODE]

topcat77

#13

2/2/2009 8:11 PM

Eugene

This is brilliant, thx
. . . . there's a lot to digest in here, it will tug me
up my learning curve

emskiphoto

#14

10/6/2017 11:02 PM

Hello,

Please help enable the "Exit after n periods" in the code below. Different than the example above, this strategy uses an "or" exit signal, either selling because the Sell at profit target/loss criteria was met OR after holding one of multiple positions for X bars.

The overall strategy here is to eliminate trades that hold for too many bars (and show up as winners in results because of patience holding a stock in a long uptrend, not necessarily because of ability to pick a great entry point).

Size:

Color:

Hello,

Please help enable the "Exit after n periods" in the code below.   Different than the example above, this strategy uses an "or" exit signal, either selling because the Sell at profit target/loss criteria was met OR after holding one of multiple positions for X bars.

The overall strategy here is to eliminate trades that hold for too many bars (and show up as winners in results because of patience holding a stock in a long uptrend, not necessarily because of ability to pick a great entry point).

[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
	{

StrategyParameter slider1;
		StrategyParameter slider2;
		StrategyParameter slider3;
		StrategyParameter slider4;
		StrategyParameter slider5;
		public MyStrategy()
		{
			slider1 = CreateParameter("EMA Period", 11, 8, 14, 1);
			slider2 = CreateParameter("Percent Price Rel to EMA", 1.75, 0.25, 4.75, 0.75);
			slider3 = CreateParameter("Profit Target %", 5, 5, 13, 2);
			slider4 = CreateParameter("Stop Loss %", 11, 5, 13, 2);
			slider5 = CreateParameter("OHLC Series", 3, 1, 5, 1);
		}
      
		protected override void Execute()
		{
			DataSeries DataSeriesCrossBelow = 
				EMA.Series(Close,slider1.ValueInt,EMACalculation.Modern) * (1 - slider2.Value/100d);

PlotSeries(PricePane,EMA.Series(Close,slider1.ValueInt,EMACalculation.Modern),Color.Indigo,LineStyle.Solid,1);
			PlotSeries(PricePane,  DataSeriesCrossBelow, Color.Red, LineStyle.Dotted,2 );

for(int bar = GetTradingLoopStartBar(10); bar < Bars.Count; bar++)
			{
				var ds = Open;
				switch (slider5.ValueInt)
				{
					case 1: ds = Open; break;
					case 2: ds = High; break;
					case 3: ds = Low; break;
					case 4: ds = Close; break;
					default: break;
				}
				if (CrossUnder(bar,ds,DataSeriesCrossBelow))
					(BuyAtMarket(bar + 1) != null)
						LastActivePosition.Tag = bar;
					level +=5;
				}
            
			//Exit all short positions if sell criteria met
				if ( ActivePositions.Count > 0 )
				{
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					double Stop = p.EntryPrice * (1 - slider4.Value / 100.0d);
					double Target = p.EntryPrice * (1 + slider3.Value / 100.0d);
					if(!SellAtStop(bar + 1, p, Stop, "Group2"))
						SellAtLimit(bar + 1, p, Target, "Group1");
				}
			}
		}
	}
} [/code]

Eugene

#15

10/7/2017 6:36 AM

Matt,

Here you go.

P.S.Note that the strategy will require more "seed data" to stabilize than before since it uses EMA so make sure you load enough bars:

Size:

Color:

Matt,

Here you go.

P.S.Note that the strategy will require more "seed data" to stabilize than before since it uses EMA so make sure you load enough bars:
[code]GetTradingLoopStartBar(emaPeriod * 3)[/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
	{
		StrategyParameter slider1;
		StrategyParameter slider2;
		StrategyParameter slider3;
		StrategyParameter slider4;
		StrategyParameter slider5;
		StrategyParameter slider6;
		
		public MyStrategy()
		{
			slider1 = CreateParameter("EMA Period", 11, 8, 14, 1);
			slider2 = CreateParameter("Percent Price Rel to EMA", 1.75, 0.25, 4.75, 0.75);
			slider3 = CreateParameter("Profit Target %", 5, 5, 13, 2);
			slider4 = CreateParameter("Stop Loss %", 11, 5, 13, 2);
			slider5 = CreateParameter("OHLC Series", 3, 1, 5, 1);
			slider6 = CreateParameter("Exit after", 5, 1, 50, 1);
		}
      
		protected override void Execute()
		{
			var exitAfter = slider6.ValueInt;
			var emaPeriod = slider1.ValueInt;
			
			var ema = EMAModern.Series(Close,emaPeriod);
			DataSeries DataSeriesCrossBelow = ema * (1 - slider2.Value/100d);

PlotSeries(PricePane,ema,Color.Indigo,LineStyle.Solid,1);
			PlotSeries(PricePane,DataSeriesCrossBelow,Color.Red,LineStyle.Dotted,2 );

for(int bar = GetTradingLoopStartBar(emaPeriod * 3); bar < Bars.Count; bar++)
			{
				var ds = Open;
				switch (slider5.ValueInt)
				{
					case 1: ds = Open; break;
					case 2: ds = High; break;
					case 3: ds = Low; break;
					case 4: ds = Close; break;
					default: break;
				}
				
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					double Stop = p.EntryPrice * (1 - slider4.Value / 100.0d);
					double Target = p.EntryPrice * (1 + slider3.Value / 100.0d);					
					
					if(bar-(int)p.Tag >= exitAfter)
					// (bar + 1 - (int)p.EntryBar >= exitAfter ) )
						SellAtMarket( bar+1, p, string.Format("After {0} bars",exitAfter) );
					else					
						if(!SellAtStop(bar + 1, p, Stop, string.Format("At {0} stop",Bars.FormatValue(slider4.Value))))
							SellAtLimit(bar + 1, p, Target, string.Format("At {0} limit", Bars.FormatValue(slider3.Value)));
				}
				
				if (CrossUnder(bar,ds,DataSeriesCrossBelow))
					if(BuyAtMarket(bar + 1) != null)
						LastActivePosition.Tag = bar;
			}
		}
	}
}[/code]