Fixing a Turtle-like strategy

Author: mvanbuhl

Creation Date: 10/19/2010 1:55 PM

Wealth Lab » Trading Strategies » Fixing a Turtle-like strategy

mvanbuhl

10/19/2010 1:55 PM

Hello,

I am new to Wealth-Lab and struggling with learning the system. Any recommended documentation beyond the user guide would be helpful. I two questions at this point:

1) What is the procedure for copying sample systems posted on this site into Wealth-Lab Pro?

2) I tried to create a very simple strategy (copied below), but when I test it in Wealth-Lab Pro, no trades are recorded. I called Fidelity, but they couldn't determine the error in the code, and suggested I post a question on this site. I read the user guide a couple of times, but couldn't find the problem.

Thanks for any guidance!

CODE:
Please log in to see this code.

Size:

Color:

Hello,

I am new to Wealth-Lab and struggling with learning the system.  Any recommended documentation beyond the user guide would be helpful.  I two questions at this point:

1) What is the procedure for copying sample systems posted on this site into Wealth-Lab Pro?

2) I tried to create a very simple strategy (copied below), but when I test it in Wealth-Lab Pro, no trades are recorded.  I called Fidelity, but they couldn't determine the error in the code, and suggested I post a question on this site.  I read the user guide a couple of times, but couldn't find the problem.

Thanks for any guidance!

[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
	{
		private StrategyParameter slider1;
		public MyStrategy()
		{
			slider1 = CreateParameter("Period",20,1,200,20);
		}

protected override void Execute()
		{

PlotSeries(PricePane, (Close + ATR.Series(Bars, 20) * 2.00) >> 1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, (Close - ATR.Series(Bars, 20) * 2.00) >> 1, Color.Red, LineStyle.Solid, 1);

for(int bar = GetTradingLoopStartBar(56); bar < Bars.Count; bar++)
			{
					if (High[bar] == Highest.Value(bar, High, 20))
					{
						if (Low[bar] == Lowest.Value(bar, Low, 55))
						{
							ShortAtMarket(bar + 1, "Group2|");
						}
					}
					if (High[bar] == Highest.Value(bar, High, slider1.ValueInt))
					{
						if (Low[bar] == Lowest.Value(bar, Low, 20))
						{
							BuyAtMarket(bar + 1, "Group1|");
						}
					}
				
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					if (p.Active)
						{
					if (p.EntrySignal.Contains("Group2|"))
					{
						CoverAtLimit(bar + 1, p, Close[bar] - ATR.Value(bar, Bars, 20) * 2.00, "Group2");
					}
					if (p.EntrySignal.Contains("Group1|"))
					{
						SellAtLimit(bar + 1, p, Close[bar] + ATR.Value(bar, Bars, 20) * 2.00, "Group1");
					}

}
				}
			}
		}
	}
}[/CODE]

Cone

10/19/2010 2:03 PM

1. Copy and paste with any browser except IE. If you use IE, then paste to Word (or similar) first and copy from there.

2. There's nothing wrong with the Strategy. It works and trades if one of the trade conditions is true.

NOTE! When posting code, click the CODE button first and paste between the tags.

Edit: Well, "the problem" with the Strategy is that you're look for a HighestHigh and LowestLow on the same bar.. this is an unlikely condition, but it can occur.

And as for learning code.. keep in mind that the WealthScript PRogramming Guide (Help menu) is available, and there are some handy C# links about halfway down this page in the WealthScript section. See How do I start with C# ?

Eugene

10/19/2010 3:37 PM

QUOTE:
1) What is the procedure for copying sample systems posted on this site into Wealth-Lab Pro?

The procedure for those strategies posted in "Published Strategies" is... to not copy them. Just invoke the "Open Strategy" dialog and Download them.

Cone

10/19/2010 4:55 PM

1. Right! My mistake for thinking that "posted" meant "posted in the forum".

You know, I was thinking why we don't show those instructions about downloading using the Strategy Explorer Download feature... but it's already there!

Below are the Strategies that have been submitted by Wealth-Lab.com members and are free to download using the Strategy Explorer Download feature.

The words are getting missed, so maybe a picture would help.

mvanbuhl

10/19/2010 8:13 PM

Eugene - thanks for the instructions on downloading the published strategies, it worked!

Cone - thanks for reviewing my strategy. I did not intend to try to identify a highest high and a lowest low on the same day. I am trying to create a simple version of the Turtle strategy of opening above or below the 55 day and exiting below or above the 20 day. How can I fix the strategy?

Thanks!

Eugene

10/20/2010 2:15 AM

QUOTE:
I am trying to create a simple version of the Turtle strategy of opening above or below the 55 day and exiting below or above the 20 day. How can I fix the strategy?

Among the downloaded strategies, there's a complete Turtles strategy code. If this is not an option due to its complexity, why not resort to the Rule Wizard again for now and start from scratch?

Although the "Channel Breakouts" group there is a natural choice for Turtle-like strategies, if your intention is to make trades on the next open vs. on breakout, then:

* "Buy At Market"
"Price Volume Action" - "Price Makes a New High" - High, 55
* "Short At Market"
"Price Volume Action" - "Price Makes a New Low" - Low, 20
* "Sell at ATR Limit"
* "Cover at ATR Limit"