Strategy Monitor/alerts ? Me 2!
Author: rhino
Creation Date: 1/30/2009 3:21 PM
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rhino

#1
Eugene and I built a dandy strategy, and in a Chart Window one ticker environment it trades.

When I ask it to monitor an entire data set, it never alerts or trades. When I run a static backtest,

there is a bucket o' trades. All trades haves 'on the hour' datestamps. When live and streamin'

all updates are 'on the half-hour'. 'Ts Up?

Thanks in Advance,

rhino

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Cone

#2
In WLP5, the convention is that all 60-minute bars end on the half hour mark except for the 4pm bar, which is the market close. That's what I observe for trades in streaming and backtests. Can you be more specific about the 'on the hour' trades for your backtests? Are those 4pm trades?.
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rhino

#3
Cone

The Strategy is designed for hrly charting and backtesting.

My Workspace has four one hour streaming instances, a

quote monitor, and the Strat monitor. On the hour every

hour the four charts update, sometimes alert or trade.

on the half hour 10:30-3:30 and at 4:00 the strat updates

(134 symbols). Never freezes, never alerts, never trades.

Next Morning I open the Strategy as a chart and look for

trades reflected in the 'streaming off' chart, provided when

a data set is selected. Then it shows that, f'rinstance,

200 shares of SPY bot at 2:00. 1000 bars loaded produced

maybe 250 backtest trades in a 34 symbol data set.

I've tried Raw Profit and 5% portfolio and the backtests are

impressive. But never a peep realtime streaming.

The single charts with the same code have produced alerts

and trades, not staged, but actionable nonetheless.

Since I noticed you were entertaining community commentary

on the subject, my 2 centavos.

Gratefully,

rhino

p.s. The Code is in the Trading Strategy Forum under Candle Code

my authorship if you want to verify, use some ETF's (SPY,QQQQ,EEM,SDS,QID,EEV).
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Cone

#4
1. What data provider are you using?
2. What build are you using?

I'll look at both streaming and Strat Mon cases on Monday with 60 minute bars, but I can't imagine a case in Version 5 in which you could get trades on the hour (excluding 4pm) using the WLP5 Fidelity static/streaming Providers since it doesn't build bars that way for the 60 minute interval.

Now, if your static DataSets are using the WL4 Provider, meaning that you're updating the data with Version 4 and using that data in Version 5, then that's your problem. Let me know if that's the case, and then I'll take the time to tell you why that's a big mistake.
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rhino

#5
Cone,

Fidelity Investments Streaming Data is checked. Likewise Fidelity is the

only selected provider in the Data Manager. Build is WLP5.3.37.0. So in summary WL4 contributes the symbols and I will migrate to Fidelity Data Sets.

In addition to contributing datasets, I rely upon the Index Lab from WL4. Is there an iteration of that In WL5.3.37.0?

As I migrate, I notice that 60 minute bars are not an option (30 min. max in my build). Is that the expected result?

TIA

rhino
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Eugene

#6
QUOTE:
As I migrate, I notice that 60 minute bars are not an option (30 min. max in my build). Is that the expected result?


Yes. The Wealth-Lab User Guide mentions it: Data > Data Manager > Create New DataSet > Data Providers > Fidelity.
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rhino

#7
Eugene,

Thanks. I shoulda known. Read the docs. For my purpose (hourly trades and alerts) is 30 min Fidelity optimum?

Or would you suggest a finer slice?

On the CC strategy, I successfully mimiced your 'new series smaUS' to new series 'US' upper shadow at instant, and it compiled,

but when I entry bracket for crossover or under one of the other, it filters trades to zero. Where is my logic flaw, please?

rhino
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Eugene

#8
QUOTE:
On the CC strategy, I successfully mimiced your 'new series smaUS' to new series 'US' upper shadow at instant, and it compiled,

but when I entry bracket for crossover or under one of the other, it filters trades to zero. Where is my logic flaw, please?

As I said in the thread, I'm not familiar with the CandleCode (or its components). Anyway a good idea would be not to split discussion in separate threads but keep conversation in one place.
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rhino

#9
Eugene,

Of Course. 'Scuse the lapse.

Wilco

rhino
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Cone

#10
QUOTE:
For my purpose (hourly trades and alerts) is 30 min Fidelity optimum?
For 60-min bars, clearly yes.

QUOTE:
Fidelity is the only selected provider in the Data Manager...
...in summary WL4 contributes the symbols
You're giving me mixed signals here. What exactly do you mean? If you're using Fidelity WLP4 data for 60 min bars, it's a mistake. Those data are timestamped on the hour mark.
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rhino

#11
Cone,

I hadn't apprised myself of the enhancements and functionalities afforded by WPL5.3.37.0. I've since ditched all WL4 data sets.

I am so gratified to have you and Eugene there to point out the optimizations of the strategies that have eluded me. In the end, its real

money and attention to detail matters.

Mille Grazie,

rhino
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Cone

#12
Hi rhino, you're right. Streaming charts aren't building 60-minute bars properly in 5.3. With some luck, Fidelity can squeeze a fix for that too in the 5.3 patch.

Incidentally, I don't see a problem with Alerting for 60-min intervals in the Strategy Monitor.
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rhino

#13
Hey Cone,

Removing the WL4 Data Sets solved the alert problem. So I got that goin' for me. <g>

thanks,

rhino
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Cone

#14
Yes, for sure. The WL4 Provider will only read your WL4 DataSources for backtesting - it won't update them!