HiLoLimit Indicator - Wealth Lab Forum

Mockasino

#1

5/13/2012 2:08 PM

Hello,

does anybody know exactly how the HiLoLimit-Indicator of Mr. Koch
is working or calculated? Does anybody know the exact formula?
The existing documentation is not so informative.

What other indictors are possibly comparable to the HiLoLimit?

Thanks a lot,
Mockasino

Eugene

#2

5/13/2012 2:41 PM

Hello,

Re: "exact formula" -- keep in mind that the community projects' code is open source. Not sure why the forum search feature isn't popular but it would also reveal the original code by thodder:

DrKoch's HiLoLimit Indicator

EJoub

#3

6/16/2012 8:47 AM

Hi Eugene

Sorry for starting a new thread on HiLoLimit but I didn't know about this rule and I hope
I'm now at the correct place.

I,m looking at the latest HiLoLimit strategy of tHoddler which you have loaded on
2009/09/27. There has been many discussions on this type strategy for many years and some
mentioned problems with previous WL versions.From DrKoch

QUOTE:
The original scripts (mine) do not, but who knows waht variant you are looking on.
AND: There is a subtle "bug" in WL4's $imulator which generates unrealistic results when backtest are conducted with limit order scripts against EOD data and there are more orders than available money. See discussions about "IDBars" for details.

QUOTE:
I referred more to the fact, that a limit order strategy is not backtestable with WL because of a well-known "glitch" in WL's $imulator.

Summary of Explanation: $imulator's random trade selection prefers "better" trades than realizable with realtime execution. This creates backtest results which are too optimistic.

In the light of this are there any guidance/warnings you can give me backtesting? It's
running ok.

Eugene

#4

6/16/2012 9:08 AM

Hi Ernst,

I'd recommend carefully digesting anything you can find on the forums regarding realistic testing of stop/limit order based systems. You can start right here:

Setting Priority for AtStop/AtLimit Orders

EJoub

#5

6/16/2012 9:53 AM

Thanks for the ref...I hoped that the problems would have been solved by now. I see that
it is not that simple.

Eugene

#6

6/16/2012 10:18 AM

Hint: going with the IntradayFillPriorityEstimate function should be easier than SetTimeOfDayPriority.

It has no intraday data requirement, and would take just 3 lines of code to add as per the Wiki code snippet:

1) using Community.Components; on top
2) The "PositionHelper" line - before the bars loop
3) and modifying the BuyAtLimit... with "if (BuyAtLimit..." as per the Wiki

EJoub

#7

6/16/2012 6:53 PM

CODE:
Please log in to see this code.

Error message; It says the price and IntradayFillPriorityEstimate
names in above code snippet does not exits in this context. Please assist.

Eugene

#8

6/17/2012 12:03 AM

That's because you skipped #1 and/or #2 of my steps above. Re-read the procedure and take all all the mentioned steps.

The "price" should not exist until you explicitly added this variable. This is the entry/exit signal price. Make sure you've read the Parameter Description box on the Wiki page. Read the Strategy code and try to find which variable is in charge of it in the HiLoLimit strategy.

P.S. I feel it will be appropriate to leave a pointer to this FAQ here: How do I start with C# ?

EJoub

#9

6/17/2012 5:39 PM

EDITED 04/117/2017 by Eugene: Code updated to reflect a bug fix in C.Components' version of AutoStops. Update C.Components to v2017.05 or higher.

CODE:
Please log in to see this code.

Please indicate where I made mistakes with above insertions. Sorry, the same errors appear.

QUOTE:
The "price" should not exist until you explicitly added this variable. This is the entry/exit signal price.

In theory I understand but don't know where and how to
add...and I had only the three lines to add in mind.

I have read the Parameter Description box but don't know what to do with it.

Variable in charge? I have tried to figure that out before my first post but to no avail
I know that the RSI is directing the strategy to the best area to attempt an order
on the next day that may or may not actually strike a limit price. The code for the HiLoLimit variable is not known to me and I know it is the actual trigger. After the modification we are working on, is implimented, WL will incorporate another code to direct the strategy to more realistic results.

I have done all the recommended studying but my shortommings above indicate my level.

I thank you, you are a wonderful supporter.

Size:

Color:

[color=#ff00ea][b]EDITED 04/117/2017 by Eugene:[/b] Code updated to reflect a bug fix in C.Components' version of AutoStops. Update C.Components to v2017.05 or higher.[/color]

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;
using Community.Components;///// 1) using Community.Components; on top/////

namespace WealthLab.Strategies
{
	public class HiLoLimitTrader : WealthScript
	{
		public enum AutoStopMode { AsPercent, AsPoint };
		
		StrategyParameter spPeriod;
		StrategyParameter spHiLoLevel;
		StrategyParameter spProfitTarget;
		StrategyParameter spTimeout;
		
		public HiLoLimitTrader()
		{
			spPeriod = CreateParameter("Period", 6, 5, 50, 1);
			spHiLoLevel = CreateParameter("Hi Lo Level", -11, -50, 50, 1);
			spProfitTarget = CreateParameter("Profit Target", 1.9, 1.0, 30.0, 0.1);
			spTimeout = CreateParameter("Timeout bars", 3, 1, 50, 1);
		}
		
		protected override void Execute()
		{
			// Variables
			int HLRSI_length = 6;
			double HLRSI_Buy = 35.0;
			double HLRSI_Sell = 52.0;

// Parameters
			int lookback_period = spPeriod.ValueInt;
			int hilo_level = spHiLoLevel.ValueInt;
			double minrange = 0.0;
			double profit_target = spProfitTarget.Value;
			int timeout = spTimeout.ValueInt;

DataSeries hs = Highest.Series(High, lookback_period);
			DataSeries ls = Lowest.Series(Low, lookback_period);

DataSeries hilo_s = HiLoLimit.Series(Bars, lookback_period, hilo_level, minrange);

HideVolume();

PlotSeries(PricePane, hs, Color.Green, WealthLab.LineStyle.Solid, 1);
			PlotSeries(PricePane, ls, Color.Blue, WealthLab.LineStyle.Solid, 1);

PlotSeries(PricePane, hilo_s, Color.Pink, WealthLab.LineStyle.Solid, 1);

DataSeries LimitPrice_s = hilo_s >> 1;
			LimitPrice_s.Description = "Limit Price";
			PlotSeries(PricePane, LimitPrice_s, Color.Red, WealthLab.LineStyle.Dotted, 3);
			
			// BandTrader expanded - begin
			InstallProfitTarget ( profit_target );
			
		   /////2) The "PositionHelper" line - before the bars loop//////
			// Create an instance of the PositionHelper class
			PositionHelper ph = new PositionHelper( this );

for(int bar = lookback_period; bar < Bars.Count; bar++)
			{
				ApplyAutoStops(bar);
				
				double limitPrice = hilo_s[bar];
				if (limitPrice == 0.0) continue;
				
				
			   /////// 3) and modifying the BuyAtLimit... with "if (BuyAtLimit..." as per the Wiki//////
				if (BuyAtLimit(bar + 1,price, "") != null) {
					LastActivePosition.Priority = IntradayFillPriorityEstimate(true, true, price, bar + 1);
				}

BuyAtLimit(bar + 1, limitPrice, "");
			
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					if ( (bar + 1 - p.EntryBar) > timeout )
					{
						SellAtMarket(bar + 1, p, "DaysExpired");
					}
				}
			}

ph.OnProcessingComplete();
[/CODE]

Please indicate where I made mistakes with above insertions. Sorry, the same errors appear.

[QUOTE]The "price" should not exist until you explicitly added this variable. This is the entry/exit signal price.   [/QUOTE] In theory I understand but don't know where and how to
add...and I had only the three lines to add in mind.

I have read the Parameter Description box but don't know what to do with it.

Variable in charge? I have tried to figure that out before my first post but to no avail
I know that the RSI is directing the strategy to the best area to attempt an order
on the next day that may or may not actually strike a limit price. The code for the HiLoLimit variable is not known to me and I know it is the actual trigger. After the modification we are working on, is implimented, WL will incorporate another code to direct the strategy to more realistic results.

I have done all the recommended studying but my shortommings above indicate my level.

I thank you, you are a wonderful supporter.

Eugene

#10

6/18/2012 12:04 AM

You've almost made it, just a little tweak to the final step is required:

CODE:
Please log in to see this code.

The idea is to replace/adjust the original BuyAtLimit entry line with the line you pasted just before it, not to drop it nearby. Here's how it will work:

CODE:
Please log in to see this code.

The "price" parameter in our case of the HiLoLimit script is the "limitPrice" variable. You can always clear a WealthScript syntax question by taking a look at the QuickRef entry for BuyAtLimit and other trading methods.

Eugene

#11

6/18/2012 3:47 AM

P.S. And make sure you have Community Components installed on your system.

EJoub

#12

6/18/2012 10:25 AM

Hi Eugene

It's running now. Thanks a bunch.

Tested once on one symbol in Raw mode and I see no change in profit.

Before serious testing begin I would/should know how this mod works and how the HiLo works, cals or code or method would be appreciated. I have read most of the HiLo and the modifiaction threads but no dice. What does better mean iro this mod...is there a number? Ok, If the numbers come up good I will have to use intraday and the other option.

Thanks again
Ernst