Position.Priority to Sort Alerts

CemCalim

#1

10/14/2014 4:19 PM

Hy,

I would like the position priority for my Bollinger Band. I am not sure thats correct. I need it for sort my alerts. What is strange, in my Backtest there is much more Short Trades as Long Trades. Could they please check my code.

CODE:
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Hy,

I would like the position priority for my Bollinger Band. I am not sure thats correct. I need it for sort  my alerts. What is strange, in my Backtest there is much more Short Trades as Long Trades.  Could they please check 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
	{
		
		// Slider fuer LG
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		private StrategyParameter slider4;
		private StrategyParameter slider5;
		private StrategyParameter slider6;
		private StrategyParameter slider7;
		
		
		
		// Slider fuer SH
		private StrategyParameter slider8;
		private StrategyParameter slider9;
		private StrategyParameter slider10;
		private StrategyParameter slider11;
		private StrategyParameter slider12;
		private StrategyParameter slider13;
		private StrategyParameter slider14;
		
		public MyStrategy()
		{
			//Slider fuer LG 
			slider1 = CreateParameter("BBPeriodeLG",2,100,200,1);
			slider2 = CreateParameter("STDDEVLG",20,100,200,0.1);
			slider3 = CreateParameter("TBX-LG",1,100,200,1);
			slider4 = CreateParameter("ATRPerLG",10,90,90,1);
			slider5 = CreateParameter("ATR%LG",10,100,200,0.1);
			slider6 = CreateParameter("CMOPerLG",10,30,40 ,1);
			slider7 = CreateParameter("CMOLevelLG",10,-100,0, 1);
			
			
			//Slider fuer SH
		
			slider8 = CreateParameter("BBPeriodeSH",2,100,20,1);
			slider9 = CreateParameter("STDDEVSH",20,10,10,0.1);
			slider10 = CreateParameter("TBX-SH",1,1,10,1);	
			slider11 = CreateParameter("ATRPerSH",10,30,10,1);
			slider12 = CreateParameter("ATR%SH",10,4,10,0.1); 
			slider13 = CreateParameter("CMOPerSH",10,100,10,1);
			slider14 = CreateParameter("CMOLevelSH",10,100,80,1); 		
		
		}
		
		protected override void Execute()
		{
			//DataSeriesLG
			DataSeries BBDown = BBandLower.Series( Close, slider1.ValueInt, slider2.Value );
			DataSeries CMOLG = CMO.Series(Close, slider6.ValueInt);
			
			//DataSeriesSH
			DataSeries BBUp = BBandUpper.Series( Close, slider8.ValueInt, slider9.Value );
			DataSeries CMOSH = CMO.Series(Close, slider13.ValueInt);
			
			PlotSeries(PricePane, BBDown, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2 );
			
			ChartPane paneCMO = CreatePane(75,true,true);
			PlotSeries(paneCMO, CMOLG, Color.Blue, LineStyle.Solid, 2);
			DrawHorzLine(paneCMO, slider7.Value, Color.Red, LineStyle.Solid, 1);
			
			PlotSeries(paneCMO, CMOSH, Color.Blue, LineStyle.Solid, 2);
			DrawHorzLine(paneCMO, slider14.Value, Color.Red, LineStyle.Solid, 1);
			
			
			
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					// Long TimeBasedExit
					if ( bar - LastPosition.EntryBar >= slider3.ValueInt )
					{	
						SellAtMarket( bar+1, LastPosition, "Time-BasedLG" );
					}
					
					if (Close[bar] > LastPosition.EntryPrice)
					{
						SellAtMarket(bar + 1, LastPosition,"Exitover");
					}
					
					if	(SellAtLimit(bar + 1, LastPosition, Close[bar] + ATR.Value(bar, Bars, slider4.ValueInt) * slider5.Value));
					
					
					// Short TimeBasedExit
					if ( bar- LastPosition.EntryBar >= slider10.ValueInt )
					{
						CoverAtMarket( bar+1, LastPosition, "Time-BasedSH" );
					}
					
					if (Close[bar] <  LastPosition.EntryPrice)
					{
						CoverAtMarket(bar + 1, LastPosition,"ExitUnder");
					}				
					
					if	(CoverAtLimit(bar + 1, LastPosition, Close[bar] - ATR.Value(bar, Bars, slider11.ValueInt) * slider12.Value));
				
				
				}
				else
				{
					
					{
					if (CMOSH[bar] > slider14.Value)
					
						if (Close[bar] > BBUp[bar])
						
							if( ShortAtMarket(bar + 1) != null )
								LastPosition.Priority = Close[bar];
			    	       }	
					
					
					
					{
					if (CMOLG[bar] < slider7.Value)
					
						if (Close[bar] < BBDown[bar])
						
							 if( BuyAtMarket(bar + 1) != null )
								LastPosition.Priority = -Close[bar];
						
					}
				
				}
			}
		}
	}
}

[/code]

Eugene

#2

10/15/2014 1:42 AM

Looks OK on the surface. I haven't found any serious errors, only room for enhancements. Among its minor errors:

1. This parameter has the default value out of range:

CODE:
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2. For short trades, most of your strategy parameter are defined in an incorrect manner:

CODE:
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The minimum value should not be greater than the maximum value.

3. This should better be replaced with...

CODE:
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...because your strategy parameter values for indicator periods can take values exceeding the start bar (#20).

LenMoz

#3

10/15/2014 1:03 PM

Hi CemCalim,

Today is your lucky day. Your strategy caught my eye partly because it seemed promising, but mostly because of having 14 parameters and a very large solution space, impossible for the exhaustive optimizer. This made it a good strategy to test my new WL AddIn Particle Swarm Optimizer. (Advertisement: http://www.wealth-lab.com/Extensions/Details/56)

But your strategy had some logic problems, so I thought I'd try to fix it. Here's what I did...
1. Gave Slider1-14 meaningful tags and reworked Default/Start/Stop/Step values
2. Conditioned Sell vs. Cover by "if( LastPosition.PositionType == PositionType.Long ) {"
3. Restructured a few ifs and elses, especially to fix long/short imbalance
4. Incorporated Eugene's "for(int bar = GetTradingLoopStartBar(20); ..." (TODO "20" should be at least max of indicator periods)
5. Pre-calculated ATR.Series, unstead of using ATR.Value (long and short) for efficiency
6. Ran my new PSO optimizer (optimizing :Net Profit" on 430 S&P 500 non-financial symbols for 10 years)

Best parameters so far (it's still running) {8,0.3,16,26,178.1,24,19,17,19.5,13,16,69.4,12,-54}

Here is the source after my changes:

CODE:
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Size:

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Hi CemCalim,

Today is your lucky day.  Your strategy caught my eye partly because it seemed promising, but mostly because of having 14 parameters and a very large solution space, impossible for the exhaustive optimizer.  This made it a good strategy to test my new WL AddIn Particle Swarm Optimizer.  (Advertisement: [link]http://www.wealth-lab.com/Extensions/Details/56[/link])

But your strategy had some logic problems, so I thought I'd try to fix it.  Here's what I did...
1. Gave Slider1-14 meaningful tags and reworked Default/Start/Stop/Step values
2. Conditioned Sell vs. Cover by "if( LastPosition.PositionType == PositionType.Long ) {"
3. Restructured a few ifs and elses, especially to fix long/short imbalance
4. Incorporated Eugene's "for(int bar = GetTradingLoopStartBar(20); ..." (TODO "20" should be at least max of indicator periods)
5. Pre-calculated ATR.Series, unstead of using ATR.Value (long and short) for efficiency 
6. Ran my new PSO optimizer (optimizing :Net Profit" on 430 S&P 500 non-financial symbols for 10 years)

Best parameters so far (it's still running) {8,0.3,16,26,178.1,24,19,17,19.5,13,16,69.4,12,-54}

Here is the source after my changes:
[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
// LenMoz changes 10/15/2014:
// Gave Slider1-14 meaningful tags and reworked Default/Start/Stop/Step values
// Conditioned Sell vs. Cover by "if( LastPosition.PositionType == PositionType.Long ) {"
// Restructured a few ifs and elses
// Incorporated Eugene's "for(int bar = GetTradingLoopStartBar(20); ..." ("20" should be max of indicator periods)
// Precalculated ATR.Series, unstead of using ATR.Value (long and short) for efficiency 
namespace WealthLab.Strategies
{
	public class BB_CemCalim : WealthScript
	{
		bool debugging = false;
		// Slider fuer LG
		private StrategyParameter pBBPeriodeLG; // renamed all
		private StrategyParameter pSTDDEVLG;
		private StrategyParameter pTBX_LG;
		private StrategyParameter pATRPerLG;
		private StrategyParameter pATRPctLG;
		private StrategyParameter pCMOPerLG;
		private StrategyParameter pCMOLevelLG;
		// Slider fuer SH
		private StrategyParameter pBBPeriodeSH;
		private StrategyParameter pSTDDEVSH;
		private StrategyParameter pTBX_SH;
		private StrategyParameter pATRPerSH;
		private StrategyParameter pATRPctSH;
		private StrategyParameter pCMOPerSH;
		private StrategyParameter pCMOLevelSH;
      
		public BB_CemCalim()
		{
			//(New High)APR=13.35%, {8,0.3,16,26,178.1,24,19, 17,19.5,13,16,69.4,12,-54}
			// Reworked Default/Start/Stop/Step values
			//Slider fuer LG 
			pBBPeriodeLG = CreateParameter("BBPeriodeLG",8,5,20,1);
			pSTDDEVLG = CreateParameter("STDDEVLG",0.3,0.1,20,0.1);
			pTBX_LG = CreateParameter("TBX-LG",16,1,20,1);
			pATRPerLG = CreateParameter("ATRPerLG",26,2,50,1);
			pATRPctLG = CreateParameter("ATR%LG",178.1,5,200,0.1);
			pCMOPerLG = CreateParameter("CMOPerLG",24,10,30 ,1);
			pCMOLevelLG = CreateParameter("CMOLevelLG",19,-100,100, 1);
			//Slider fuer SH
			pBBPeriodeSH = CreateParameter("BBPeriodeSH",17,5,20,1);
			pSTDDEVSH = CreateParameter("STDDEVSH",19.5,0.1,20,0.1);
			pTBX_SH = CreateParameter("TBX-SH",13,1,20,1);   
			pATRPerSH = CreateParameter("ATRPerSH",16,2,50,1);
			pATRPctSH = CreateParameter("ATR%SH",69.4,5,200,0.1); 
			pCMOPerSH = CreateParameter("CMOPerSH",12,10,30,1);
			pCMOLevelSH = CreateParameter("CMOLevelSH",-54,-100,100,1);   
		}
      
		protected override void Execute()
		{
			//DataSeriesLG
			ClearDebug();
			DataSeries BBDown = BBandLower.Series( Close, pBBPeriodeLG.ValueInt, pSTDDEVLG.Value );
			DataSeries CMOLG = CMO.Series(Close, pCMOPerLG.ValueInt);
			//DataSeriesSH
			DataSeries BBUp = BBandUpper.Series( Close, pBBPeriodeSH.ValueInt, pSTDDEVSH.Value );
			DataSeries CMOSH = CMO.Series(Close, pCMOPerSH.ValueInt);
			PlotSeries(PricePane, BBDown, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2 );
			ChartPane paneCMO = CreatePane(75,true,true);
			PlotSeries(paneCMO, CMOLG, Color.Blue, LineStyle.Solid, 2);
			DrawHorzLine(paneCMO, pCMOLevelLG.Value, Color.Red, LineStyle.Solid, 1);
			PlotSeries(paneCMO, CMOSH, Color.Blue, LineStyle.Solid, 2);
			DrawHorzLine(paneCMO, pCMOLevelSH.Value, Color.Red, LineStyle.Solid, 1);
			// Precalculate 
			DataSeries ATRLG = ATR.Series(Bars, pATRPerLG.ValueInt);
			DataSeries ATRSH = ATR.Series(Bars, pATRPerSH.ValueInt);
			// for(int bar = 20; bar < Bars.Count; bar++)
			for(int bar = GetTradingLoopStartBar(20); bar < Bars.Count; bar++) // per Eugene
			{
				if (IsLastPositionActive) // Exit conditions
				{
					// Long TimeBasedExit
					if( LastPosition.PositionType == PositionType.Long ) {
						if ( bar - LastPosition.EntryBar >= pTBX_LG.ValueInt )
						{   
							SellAtMarket( bar+1, LastPosition, "Time-BasedLG" );
						}
               
						else if (Close[bar] > LastPosition.EntryPrice)
						{
							SellAtMarket(bar + 1, LastPosition,"Exitover");
						}
               			// ATR.Value(bar, Bars, pATRPerLG.ValueInt) // changed for speed
						else SellAtLimit(bar + 1, LastPosition, 
							Close[bar] + ATRLG[bar] * pATRPctLG.Value);
					}
					else {
						// Short TimeBasedExit
						if ( bar- LastPosition.EntryBar >= pTBX_SH.ValueInt )
						{
							CoverAtMarket( bar+1, LastPosition, "Time-BasedSH" );
						}
						else if (Close[bar] <  LastPosition.EntryPrice)
						{
							CoverAtMarket(bar + 1, LastPosition,"ExitUnder");
						}            
               			// ATR.Value(bar, Bars, pATRPerSH.ValueInt) // changed for speed
						else if   (CoverAtLimit(bar + 1, LastPosition, Close[bar] - ATRSH[bar] * pATRPctSH.Value));
					}
				}
				else
				{ // Entry conditions
					if (debugging) {
						PrintDebug("CMOLG["+bar+"]="+CMOLG[bar].ToString("F2")
							+" < pCMOLevelLG="+pCMOLevelLG.Value.ToString("F2")+", then "
							+"Close["+bar+"]=" + Close[bar].ToString("F2") 
							+" < BBDown["+bar+"]="+BBDown[bar].ToString("F2"));
					}
					// Restructure of next line to fix long/short unbalance
					if (CMOSH[bar] > pCMOLevelSH.Value && Close[bar] > BBUp[bar]) {
						// if (Close[bar] > BBUp[bar]) // this logic incorporated above
							if( ShortAtMarket(bar + 1) != null )
								LastPosition.Priority = Close[bar];
					}
					else {
						if (CMOLG[bar] < pCMOLevelLG.Value && Close[bar] < BBDown[bar])
							// if (Close[bar] < BBDown[bar]) // this logic incorporated above
								if( BuyAtMarket(bar + 1) != null )
									LastPosition.Priority = -Close[bar];
					}
                }
			}
		}
	}
}[/code]

CemCalim

#4

10/15/2014 3:50 PM

Hy,

LenMoz: I do not know exactly what you did, because my C # is not so good. I look at it more detail at.

thanks for the help Eugen und LenMoz.

CemCalim

#5

10/16/2015 5:14 AM

Hy ,

I would like in my strategy to use the priority. It should prioritize the signals in the alerts." See Image". How can I do that ?

CODE:
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Hy ,

I would like in my  strategy to use the priority. It should prioritize the signals in the alerts." See Image". How can I do that ?

[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
	{
		// Slider für LG
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		private StrategyParameter slider4;
		private StrategyParameter slider5;
		public MyStrategy()
		{
			//Slider für LG 
			slider1 = CreateParameter("BBandPerLB",20,1,20,2);
			slider2 = CreateParameter("BBandSTDLB",2,1,10,0.1);
			slider3 = CreateParameter("CMOPeriod",14,1,20,1);
			slider4 = CreateParameter("OversoldLevel",-50,-100,100,5);
			slider5 = CreateParameter("TBX",1,1,10,1);
		}

protected override void Execute()
		{
			// Data Series 
			
			DataSeries BBDown = BBandLower.Series( Close, slider1.ValueInt, slider2.Value );
			DataSeries CMOSeries = CMO.Series(Close, slider3.ValueInt);

// Grafische Darstellung 
			PlotSeries(PricePane, BBDown, Color.Blue, LineStyle.Solid, 2 );
			ChartPane paneCMO = CreatePane(75,true,true);
			PlotSeries(paneCMO, CMOSeries, Color.Blue, LineStyle.Solid, 2);
			DrawHorzLine(paneCMO, slider4.Value, Color.Red, LineStyle.Solid, 1);
          
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive) // Exit conditions
				{
					Position p = LastPosition;
					
					{
						    
						    if (bar - LastActivePosition.EntryBar >= slider5.ValueInt)
						{
							SellAtMarket(bar + 1,p);
						}
					}

}
				else
				{
					if (Close[bar] < BBDown[bar])
					{
						if (CMOSeries[bar] < slider4.Value)
						{
							BuyAtMarket(bar + 1 );
						}
					}

}
			}
		}
	}
}
[/code]