My script behaves unexpectedly

Author: alsilva86

Creation Date: 9/10/2017 7:39 AM

Wealth Lab » WealthScript (.NET) » My script behaves unexpectedly

alsilva86

9/10/2017 7:39 AM

HI All!

Have you ever experienced strange behaviour of scripts?

I am facing a very strange situation, using a daily data I am buying at bar opening and selling at bar closing, until there all is fine, but according with my business rules I CAN NOT have a sell order with same price of a buy order of limit, can any of you enlight me on this?
I am attaching the results of my test and my code:

CODE:
Please log in to see this code.

how's that possible.png

Size:

Color:

HI All!

Have you ever experienced strange behaviour of scripts?

I am facing a very strange situation, using a daily data I am buying at bar opening and selling at bar closing, until there all is fine, but according with my business rules I CAN NOT have a sell order with same price of a buy order of limit, can any of you enlight me on this?
I am attaching the results of my test and my 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 strategyParameter1;
		StrategyParameter strategyParameter2;
		public MyStrategy()
		{
			strategyParameter1 = CreateParameter("atrValue", 10, 10, 50, 1);
			strategyParameter2 = CreateParameter("tranchePerc", 5, 5, 50, 5);
		}

protected override void Execute()
		{
			EMA ema5 = EMA.Series(Close, 5, WealthLab.Indicators.EMACalculation.Modern);
			EMA ema10 = EMA.Series(Close, 10, WealthLab.Indicators.EMACalculation.Modern);
			EMA ema15 = EMA.Series(Close, 15, WealthLab.Indicators.EMACalculation.Modern);
			RSI rsiPregao = RSI.Series(Close, 14);
			var varTrancheLong = strategyParameter2.Value;
			var varTrancheShort = strategyParameter2.Value;
			double notionalPerOrder= 5000;
			int qty = 100;
			
		/*	if (notionalPerOrder/Close<=100)
			{
			qty = 100;	
			}
			else
			{
			qty = (notionalPerOrder/Close) - (notionalPerOrder/Close)%100;
			}*/
			
			SetShareSize(qty);
			
			
			
			var atrValue = strategyParameter1.ValueInt;
			DataSeries lb = (Close - ATR.Series(Bars, atrValue) * 1.0);
			DataSeries lbShort = (Close + ATR.Series(Bars, atrValue) * 1.0);
			var entries = 3;

PlotSeries(PricePane, lb >> 1, Color.Red, LineStyle.Solid, 1);

for(int bar = GetTradingLoopStartBar(11); bar < Bars.Count; bar++)
			{	
				if (Close[bar]<ema5[bar])
				{
					varTrancheLong = varTrancheLong + 2.5;
				}
				else
				{
					varTrancheShort = varTrancheShort + 2.5;
				}
				if (Close[bar]<ema10[bar])
				{
					varTrancheLong = varTrancheLong + 2.5;
				}
				else
				{
					varTrancheShort = varTrancheShort + 2.5;
				}	
				if (Close[bar]<ema15[bar])
				{
					varTrancheLong = varTrancheLong + 2.5;
				}
				else
				{
					varTrancheShort = varTrancheShort + 2.5;
				}	
								
				if (rsiPregao[bar]<35)
				{
					varTrancheLong = varTrancheLong + 2.5;
				}
				else if(rsiPregao[bar]>65) 
				{
					varTrancheShort = varTrancheShort + 2.5;
				}
				var price = lb[bar];
				var priceShort = lbShort[bar];
				double notionalPosicaoCompra = 0;
				double notionalPosicaoVenda = 0;
				while (notionalPosicaoCompra<=notionalPerOrder)
				{
					BuyAtLimit(bar + 1, price);
					price = price * (1 - (varTrancheLong/1000));
					notionalPosicaoCompra = notionalPosicaoCompra + (price * qty);
					qty = qty * 2;   
					SetShareSize(qty);
					PrintDebug("Compra: "+price+ "\n");
				}
				qty = 100;
				SetShareSize(qty);
				while (notionalPosicaoVenda<=notionalPerOrder)
				{
					ShortAtLimit(bar + 1, priceShort);
					priceShort = priceShort * (1 + (varTrancheShort/1000));
					notionalPosicaoVenda = notionalPosicaoVenda + (priceShort * qty);
					qty = qty * 2;       
					SetShareSize(qty);
				PrintDebug("Venda: "+priceShort+ "\n");
				}
				qty = 100;
				SetShareSize(qty);
				SellAtClose(bar+1, Position.AllPositions);           
				CoverAtClose(bar+1, Position.AllPositions);           
				varTrancheLong = strategyParameter2.Value;
				varTrancheShort = strategyParameter2.Value;
				
				
			}	
	
		}
	}
}[/code]

Eugene

9/10/2017 7:53 AM

QUOTE:
I CAN NOT have a sell order with same price of a buy order of limit,

So the problem is what? Neither one of the 3 highlighted orders has an entry price equal to the exit price. Please clarify your rules and what price/trade you expect not to have taken place.

Cone

9/10/2017 8:19 AM

While waiting for your clarification, here are some coding shortcuts:

CODE:
Please log in to see this code.

alsilva86

9/10/2017 2:09 PM

Eugene, thanks for answering!
Its not about exit prices, but the entry ones!

CODE:
Please log in to see this code.

How is this possible? How can be possible that Close - X value be the same as Close + X value on a limit order?

i.e 10.31 - 0.31 = 10 buy @ 10

10.31 + 0.31 = 10.62 sell @ 10

This is impossible to happen.