Trades exceed the timeout - Wealth Lab Forum

Trades exceed the timeout

Author: mikesblack

Creation Date: 2/7/2016 2:19 PM

Wealth Lab » WealthScript (.NET) » Trades exceed the timeout

mikesblack

2/7/2016 2:19 PM

After some time examining my code, I believe the issue might have been in the line

CODE:
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. Given my suspicion, I commented that line as well as removing one of the 3 trailing curly braces. Now when I run the program, bars held on the trades tab seem more reasonable, e.g. 8 vs 100 plus bars.

Still not entirely sure how this system will run on other data sets. I ran my last trial on the S and P 500 All data, with Position Priority sizer.

I am curious why I was returning Bars Held well in excess of what I was expecting. I would appreciate feedback on this prior to making similar changes to my other systems with Position.Priority.

Thanks very much for help on this topic.

CODE:
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After some time examining my code, I believe the issue might have been in the line [code] if (p.EntrySignal.Contains(Bars.FormatValue(atrp[bar]))[/code] . Given my suspicion, I commented that line as well as removing one of the 3 trailing curly braces. Now when I run the program, bars held on the trades tab seem more reasonable, e.g. 8 vs 100 plus bars.

Still not entirely sure how this system will run on other data sets. I ran my last trial on the S and P 500 All data, with Position Priority sizer.

I am curious why I was returning Bars Held well in excess of what I was expecting. I would appreciate feedback on this prior to making similar changes to my other systems with Position.Priority.

Thanks very much for help on this topic.

[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
	{
		
		protected override void Execute()
		{
			DataSeries DataSeriesGreaterPct = SMA.Series(Close,200) * (1 - 0/100d);
			DataSeries DataSeriesCrossAbove = SMA.Series(Close,5) * (1 + 0/100d);

ChartPane pane1 = CreatePane(75,true,true);
			PlotSeries(pane1,RSI.Series(Close,2),Color.Navy,LineStyle.Solid,2);
			ChartPane pane2 = CreatePane(75,true,true);
			PlotSeries(pane2,ATRP.Series(Bars,4),Color.Aquamarine,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,200),Color.Red,LineStyle.Solid,1);
			PlotSeries(PricePane,SMA.Series(Close,5),Color.Red,LineStyle.Solid,1);
			PlotSeries(PricePane,  DataSeriesGreaterPct, Color.Red, LineStyle.Dotted, 2 );
			PlotSeries(PricePane,  DataSeriesCrossAbove, Color.Red, LineStyle.Dotted, 2 );
			
			var atrp = ATRP.Series(Bars,4);

for(int bar = GetTradingLoopStartBar(201); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
				//	if (p.EntrySignal.Contains("Group1|"))
				//	{
						bool cond1 = false;
						if (CrossOver(bar,Close,DataSeriesCrossAbove))
						{
							cond1 = true;
						}
						bool cond2 = false;
						if (LastActivePosition != null && LastActivePosition.Active)
							if (bar - LastActivePosition.EntryBar >= 6)
							{
								cond2 = true;
							}
						if (cond1 || cond2)
						{
							SellAtMarket(bar + 1, p, "Group1");
						}
					}

else
				{
					if (RSI.Series(Close,2)[bar] < 5)
					{
						if (ATRP.Series(Bars,4)[bar] > 1.0)
						{
							if( Close[bar] > DataSeriesGreaterPct[bar])
							{
								if( BuyAtMarket(bar + 1, Bars.FormatValue(atrp[bar])) != null)
																										
									LastActivePosition.Priority = ATRP.Series(Bars,4)[bar];
								
							}
						}
					}

}
			}
		}
	}
}

[/code]

Eugene

2/7/2016 2:52 PM

Re:

CODE:
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Just give it a thought. At the time the exit is evaluated, atrp[bar] is different from its value at the time of entry. So you'll get an exit that never triggers.

Here's your code cleaned up for clarity:

CODE:
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Size:

Color:

Re:
[code] if (p.EntrySignal.Contains(Bars.FormatValue(atrp[bar]))[/code]

Just give it a thought. At the time the exit is evaluated, atrp[bar] is different from its value at the time of entry. So you'll get an exit that never triggers.

Here's your code cleaned up for clarity:

[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
	{      
		protected override void Execute()
		{
			var sma200 = SMA.Series(Close,200);
			var sma5 = SMA.Series(Close,5);
			var DataSeriesGreaterPct = sma200 * (1 - 0/100d);
			var DataSeriesCrossAbove = sma5 * (1 + 0/100d);
			var atrp = ATRP.Series(Bars,4);
			var rsi = RSI.Series(Close,2);
			var ls = LineStyle.Solid;

ChartPane pane1 = CreatePane(25,true,true);
			PlotSeries(pane1,rsi,Color.Navy,ls,2);
			ChartPane pane2 = CreatePane(25,true,true);
			PlotSeries(pane2,atrp,Color.Aquamarine,ls,2);
			PlotSeries(PricePane,sma200,Color.Red,ls,1);
			PlotSeries(PricePane,sma5,Color.Red,ls,1);
			PlotSeries(PricePane,DataSeriesGreaterPct,Color.Red,ls,2);
			PlotSeries(PricePane,DataSeriesCrossAbove,Color.Red,ls,2);

for(int bar = GetTradingLoopStartBar(201); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					
					if ( bar+1 - p.EntryBar >= 6 )
						SellAtMarket( bar+1, p, "Timed" );
					else
						if (CrossOver(bar,Close,DataSeriesCrossAbove))
						SellAtMarket(bar + 1, p, "CrossOver");					
				}         
				else
				{
					if( (rsi[bar] < 5) && (atrp[bar] > 1.0) && 
						(Close[bar] > DataSeriesGreaterPct[bar]) )
					{
						if( BuyAtMarket(bar + 1, Bars.FormatValue(atrp[bar])) != null)                                                                              
							LastPosition.Priority = atrp[bar];
                        
					}
				}
			}
		}
	}
}[/code]