Getting "Floor Trader Pivot" to work in WL5

Mac_Trader

#1

12/12/2008 12:40 PM

I translated "Floor Trader Pivot" to 5.1 and it doesn't work.(works fine in 4.5) I get 4 error messages "Error CS0103 the name 'IntraDayFromDaily' does not exist in the current context". Can anyone help me with this as I know very little about writting code. Thanks in advance

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I translated "Floor Trader Pivot" to 5.1 and it doesn't work.(works fine in 4.5)  I get 4 error messages "Error CS0103 the name 'IntraDayFromDaily' does not exist in the current context". Can anyone help me with this as I know very little about writting code. Thanks in advance

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using System.Threading; // Sleep()
using System.Windows.Forms;
using WealthLab;
using WealthLab.Indicators;
using finantic.TL; // WealthScriptTL

namespace WealthLabCompile2
{
    class Strategy : WealthScriptTL
    {
#region file ChartScript

// start of prolog: This is a comment at the top of each file
		public new void Init(){
			base.Init();
			//optional settings
			UseUpdatedEMA(true);
			SetStdDevCalculation(StdDevCalculation.Population);
		}
// end of prolog: This is a comment at the top of each file

/**  Floor Trader Pivots  */

public  /**  Floor Trader Pivots  */ 
 /**const*/ int NUMTICKS = 2;
public  /**  Number of ticks past the pivot */ 
int Bar, cnt, StartBar, p, hPivot, hDayHigh, hDayClose, hDayLow, hS1, hR1, hR2, hS2 = 0;
public double boVal = 0.0;
public bool NewPositionEntered = false;

/** This method contains the meat of your script,
    i.e, any statements that are not inside a user defined class or function/procedure. */
protected override void Execute(){
    Init();
    // [declaration for class ChartScript used to be here] 
    
    SetScaleDaily();
    hPivot = (int)IntraDayFromDaily(WL_AVERAGEC);
    hDayHigh = (int)IntraDayFromDaily(WL_HIGH);
    hDayClose = (int)IntraDayFromDaily(WL_CLOSE);
    hDayLow = (int)IntraDayFromDaily(WL_LOW);
    hR1 = (int)SubtractSeries(MultiplySeriesValue(hPivot, 2), hDayLow);
    hS1 = (int)SubtractSeries(MultiplySeriesValue(hPivot, 2), hDayHigh);
    hR2 = (int)AddSeries(SubtractSeries(hPivot, hS1), hR1);
    hS2 = (int)SubtractSeries(hPivot, SubtractSeries(hR1, hS1));
    RestoreContext();
    HideVolume();
    PlotSeriesLabel(hR2, 0, WL_MAROON, WL_DOTTED, "R2");
    PlotSeriesLabel(hR1, 0, WL_OLIVE, WL_THIN, "R1");
    PlotSeriesLabel(hPivot, 0, WL_BLUE, WL_THIN, "Pivot");
    PlotSeriesLabel(hS1, 0, WL_FUCHSIA, WL_DOTTED, "S1");
    PlotSeriesLabel(hS2, 0, WL_RED, WL_THIN, "S2");
    for (Bar = 0; Bar <= (Bars.Count - 1); Bar++) {
        if ((BarNum(Bar) == 0)) ++(cnt);
        if ((cnt == 2)) {
            StartBar = (int)Bar;
            break;
            
        }
        
    }
     /**  Breakout value to be added/subtracted from resistance/support  */ 
    boVal = (double)(Bars.SymbolInfo.Tick * NUMTICKS);
    for (Bar = StartBar; Bar <= (Bars.Count - 1); Bar++) {
         /**  Don't trade on the first 2 bars of the day, 0 and 1  */ 
        if ((BarNum(Bar) < 2)) continue;
         /**  Don't trade on the first 2 bars of the day, 0 and 1  */ 
        if (IsLastPositionActive) {
             /**  ---- Exit Rules ----  */ 
            p = (int)LastPosition;
            if (PositionLong(p)) {
                if ( ! SellAtStop((Bar + 1), GetSeries(hS1)[Bar], p, "StopLoss")) SellAtLimit((Bar + 1), GetSeries(hR2)[Bar], p, "PftTgt");
                
            }
            else if ( ! CoverAtStop((Bar + 1), GetSeries(hR1)[Bar], p, "StopLoss")) CoverAtLimit((Bar + 1), GetSeries(hS2)[Bar], p, "PftTgt");
            
        }
        else {
            if ( ! Bars.IsLastBarOfDay(Bar)) {
                NewPositionEntered = (bool)false;
                if ((PriceClose(Bar) < GetSeries(hR1)[Bar])) NewPositionEntered = (bool)BuyAtStop((Bar + 1), (GetSeries(hR1)[Bar] + boVal), "");
                if ( ! NewPositionEntered) if ((PriceClose(Bar) > GetSeries(hS1)[Bar])) ShortAtStop((Bar + 1), (GetSeries(hS1)[Bar] - boVal), "");
                
            }
            
        }
        
    }
    
}

// start of epilog: This is a comment at the end of each file
	} // class Strategy
} // namespace
// end of epilog

#endregion file ChartScript
[/CODE]

Cone

#2

12/12/2008 6:29 PM

I can't help with WSTL, but here's a manual translation that you can copy and paste -

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I can't help with WSTL, but here's a manual translation that you can copy and paste -

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class FloorTraderPivots : WealthScript
	{
		const int NumTicks = 2;  // Number of ticks past the pivot
		
		protected override void Execute()
		{		
			
			// Find the StartBar of the 2nd day
			int StartBar = 0;
			int cnt = 0;
			for(int bar = 0; bar < Bars.Count; bar++) 
			{
				if( Bars.IntradayBarNumber(bar) == 0 ) cnt++;
				if( cnt == 2 )
				{
					StartBar = bar;
					break;
				}
			}

SetScaleDaily();
			DataSeries hPivot = AveragePriceC.Series(Bars);
			DataSeries hDayHigh = High;
			DataSeries hDayClose = Close;
			DataSeries hDayLow = Low;
			RestoreScale();
			hPivot = Synchronize( hPivot ) >> 1;
			hDayHigh = Synchronize( hDayHigh ) >> 1;
			hDayClose = Synchronize( hDayClose ) >> 1;
			hDayLow = Synchronize( hDayLow ) >> 1;
			
			hPivot.Description = "Pivot";
			DataSeries hR1 =  ( 2 * hPivot - hDayLow );
			hR1.Description = "R1";
			DataSeries hS1 = ( 2 * hPivot - hDayHigh );
			hS1.Description = "S1";
			DataSeries hR2 = ( hPivot - ( hS1 - hR1 ) );
			hR2.Description = "R2";
			DataSeries hS2 = ( hPivot - ( hR1 - hS1 ) );
			hS2.Description = "S2";
			
			
			HideVolume();
			PlotSeries( PricePane, hR2, Color.Maroon, LineStyle.Dotted, 1);
			PlotSeries( PricePane, hR1, Color.Olive, LineStyle.Solid, 1 );
			PlotSeries( PricePane, hPivot, Color.Blue, LineStyle.Solid, 1 );
			PlotSeries( PricePane, hS1, Color.Fuchsia, LineStyle.Dotted, 1 );
			PlotSeries( PricePane, hS2, Color.Red, LineStyle.Solid, 1 );			
			
			// Breakout value to be added/subtracted from resistance/support
			double boVal = Bars.SymbolInfo.Tick * NumTicks;
			
			for(int bar = StartBar; bar < Bars.Count; bar++)
			{
				// Don't trade on the first 2 bars of the day, 0 and 1
				if( Bars.IntradayBarNumber(bar) < 2 ) continue;

if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( p.PositionType == PositionType.Long )
					{
						if( !SellAtStop(bar + 1, p, hS1[bar], "StopLoss" ) )
							SellAtLimit(bar + 1, p, hR2[bar], "PftTgt" );
					}
					else if( !CoverAtStop(bar + 1, p, hR1[bar], "StopLoss" ) )
						CoverAtLimit(bar + 1, p, hS2[bar], "PftTgt" );						
				}
				else if( Bars.IsLastBarOfDay( bar ) == false )
				{
					bool NewPositionEntered = false;
					if( Close[bar] < hR1[bar] )
						NewPositionEntered = BuyAtStop(bar + 1, hR1[bar] + boVal) != null;
					if( !NewPositionEntered )
						if( Close[bar] > hS1[bar] )
							ShortAtStop(bar + 1, hS1[bar] - boVal);
				}
			}
		}
	}
}[/CODE]

Mac_Trader

#3

12/13/2008 10:30 AM

Thanks for the help Cone!!..I'll work on it this weekend and let you know the results. I probably should have included the original 4.5 code in my original post..so here it is

t NUMTICKS = 2; // Number of ticks past the pivot
{ Floor Trader Pivots }
consvar
Bar, cnt, StartBar, p,
hPivot, hDayHigh, hDayClose, hDayLow,
hS1, hR1, hR2, hS2: integer;
var
boVal: float;

SetScaleDaily;
hPivot := IntraDayFromDaily( #AverageC );
hDayHigh := IntraDayFromDaily( #High );
hDayClose := IntraDayFromDaily( #Close );
hDayLow := IntraDayFromDaily( #Low );
hR1 := SubtractSeries( MultiplySeriesValue( hPivot, 2 ), hDayLow );
hS1 := SubtractSeries( MultiplySeriesValue( hPivot, 2 ), hDayHigh );
hR2 := AddSeries( SubtractSeries( hPivot, hS1 ), hR1 );
hS2 := SubtractSeries( hPivot, SubtractSeries( hR1, hS1 ) );
RestorePrimarySeries;

HideVolume;
PlotSeriesLabel( hR2, 0, #Maroon, #Dotted, 'R2' );
PlotSeriesLabel( hR1, 0, #Olive, #Thin, 'R1' );
PlotSeriesLabel( hPivot, 0, #Blue, #Thin, 'Pivot' );
PlotSeriesLabel( hS1, 0, #Fuchsia, #Dotted, 'S1' );
PlotSeriesLabel( hS2, 0, #Red, #Thin, 'S2' );

{ Find the StartBar of the 2nd day }
for Bar := 0 to BarCount - 1 do
begin
if BarNum( Bar ) = 0 then
Inc(cnt);
if cnt = 2 then
begin
StartBar := Bar;
break;
end;
end;

{ Breakout value to be added/subtracted from resistance/support }
boVal := GetTick * NUMTICKS;

{ Trading loop }
for Bar := StartBar to BarCount - 1 do
begin
{ Don't trade on the first 2 bars of the day, 0 and 1 }
if BarNum( Bar ) < 2 then
continue;

if LastPositionActive then
begin { ---- Exit Rules ---- }
p := LastPosition;
if PositionLong( p ) then
begin
if not SellAtStop( Bar + 1, @hS1[Bar], p, 'StopLoss' ) then
SellAtLimit( Bar + 1, @hR2[Bar], p, 'PftTgt' );
end
else
if not CoverAtStop( Bar + 1, @hR1[Bar], p, 'StopLoss' ) then
CoverAtLimit( Bar + 1, @hS2[Bar], p, 'PftTgt' );
end
else { ---- Entry Rules ---- }
begin
if not LastBar( Bar ) then
begin
var NewPositionEntered: boolean = false;
if PriceClose( Bar ) < @hR1[Bar] then
NewPositionEntered := BuyAtStop( Bar + 1, @hR1[Bar] + boVal, '' );
if not NewPositionEntered then
if PriceClose( Bar ) > @hS1[Bar] then
ShortAtStop( Bar + 1, @hS1[Bar] - boVal, '' );
end;
end;
end;

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[b]Thanks for the help Cone!!..[/b]I'll work on it this weekend and let you know the results. I probably should have included the original 4.5 code in my original post..so here it is

t NUMTICKS = 2;  // Number of ticks past the pivot
{ Floor Trader Pivots }
consvar
  Bar, cnt, StartBar, p,
  hPivot, hDayHigh, hDayClose, hDayLow,
  hS1, hR1, hR2, hS2: integer;
var
  boVal: float;

SetScaleDaily;
hPivot := IntraDayFromDaily( #AverageC );
hDayHigh := IntraDayFromDaily( #High );
hDayClose := IntraDayFromDaily( #Close );
hDayLow := IntraDayFromDaily( #Low );
hR1 := SubtractSeries( MultiplySeriesValue( hPivot, 2 ), hDayLow );
hS1 := SubtractSeries( MultiplySeriesValue( hPivot, 2 ), hDayHigh );
hR2 := AddSeries( SubtractSeries( hPivot, hS1 ), hR1 );
hS2 := SubtractSeries( hPivot, SubtractSeries( hR1, hS1 ) );
RestorePrimarySeries;

HideVolume;
PlotSeriesLabel( hR2, 0, #Maroon, #Dotted, 'R2' );
PlotSeriesLabel( hR1, 0, #Olive, #Thin, 'R1' );
PlotSeriesLabel( hPivot, 0, #Blue, #Thin, 'Pivot' );
PlotSeriesLabel( hS1, 0, #Fuchsia, #Dotted, 'S1' );
PlotSeriesLabel( hS2, 0, #Red, #Thin, 'S2' );

{ Find the StartBar of the 2nd day }
for Bar := 0 to BarCount - 1 do
begin
  if BarNum( Bar ) = 0 then
    Inc(cnt);
  if cnt = 2 then
  begin
    StartBar := Bar;
    break;
  end;
end;

{ Breakout value to be added/subtracted from resistance/support }
boVal := GetTick * NUMTICKS;

{ Trading loop }
for Bar := StartBar to BarCount - 1 do
begin
{ Don't trade on the first 2 bars of the day, 0 and 1 }
  if BarNum( Bar ) < 2 then
    continue;

if LastPositionActive then
  begin     { ---- Exit Rules ---- }
    p := LastPosition;
    if PositionLong( p ) then
    begin
      if not SellAtStop( Bar + 1, @hS1[Bar], p, 'StopLoss' ) then
        SellAtLimit( Bar + 1, @hR2[Bar], p, 'PftTgt' );
    end
    else
      if not CoverAtStop( Bar + 1, @hR1[Bar], p, 'StopLoss' ) then
        CoverAtLimit( Bar + 1, @hS2[Bar], p, 'PftTgt' );
  end
  else      { ---- Entry Rules ---- }
  begin
    if not LastBar( Bar ) then
    begin
      var NewPositionEntered: boolean = false;
      if PriceClose( Bar ) < @hR1[Bar] then
        NewPositionEntered := BuyAtStop( Bar + 1, @hR1[Bar] + boVal, '' );
      if not NewPositionEntered then
        if PriceClose( Bar ) > @hS1[Bar] then
          ShortAtStop( Bar + 1, @hS1[Bar] - boVal, '' );
    end;
  end;
end;

Mac_Trader

#4

12/13/2008 1:34 PM

Cone.when I copy paste your code it pastes everything on the first line..a very long first line. probably something I'm doing wrong..Here is the 4.5 code again only inside CODE this time

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Cone.when I copy paste your code it pastes everything on the first line..a very long first line. probably something I'm doing wrong..Here is the 4.5 code again only inside CODE this time

[CODE]Floor Trader Pivots }
const NUMTICKS = 2;  // Number of ticks past the pivot
var
  Bar, cnt, StartBar, p,
  hPivot, hDayHigh, hDayClose, hDayLow,
  hS1, hR1,{  hR2, hS2: integer;
var
  boVal: float;

SetScaleDaily;
hPivot := IntraDayFromDaily( #AverageC );
hDayHigh := IntraDayFromDaily( #High );
hDayClose := IntraDayFromDaily( #Close );
hDayLow := IntraDayFromDaily( #Low );
hR1 := SubtractSeries( MultiplySeriesValue( hPivot, 2 ), hDayLow );
hS1 := SubtractSeries( MultiplySeriesValue( hPivot, 2 ), hDayHigh );
hR2 := AddSeries( SubtractSeries( hPivot, hS1 ), hR1 );
hS2 := SubtractSeries( hPivot, SubtractSeries( hR1, hS1 ) );
RestorePrimarySeries;

HideVolume;
PlotSeriesLabel( hR2, 0, #Maroon, #Dotted, 'R2' );
PlotSeriesLabel( hR1, 0, #Olive, #Thin, 'R1' );
PlotSeriesLabel( hPivot, 0, #Blue, #Thin, 'Pivot' );
PlotSeriesLabel( hS1, 0, #Fuchsia, #Dotted, 'S1' );
PlotSeriesLabel( hS2, 0, #Red, #Thin, 'S2' );

{ Find the StartBar of the 2nd day }
for Bar := 0 to BarCount - 1 do
begin
  if BarNum( Bar ) = 0 then
    Inc(cnt);
  if cnt = 2 then
  begin
    StartBar := Bar;
    break;
  end;
end;

{ Breakout value to be added/subtracted from resistance/support }
boVal := GetTick * NUMTICKS;

{ Trading loop }
for Bar := StartBar to BarCount - 1 do
begin
{ Don't trade on the first 2 bars of the day, 0 and 1 }
  if BarNum( Bar ) < 2 then
    continue;

if LastPositionActive then
  begin     { ---- Exit Rules ---- }
    p := LastPosition;
    if PositionLong( p ) then
    begin
      if not SellAtStop( Bar + 1, @hS1[Bar], p, 'StopLoss' ) then
        SellAtLimit( Bar + 1, @hR2[Bar], p, 'PftTgt' );
    end
    else
      if not CoverAtStop( Bar + 1, @hR1[Bar], p, 'StopLoss' ) then
        CoverAtLimit( Bar + 1, @hS2[Bar], p, 'PftTgt' );
  end
  else      { ---- Entry Rules ---- }
  begin
    if not LastBar( Bar ) then
    begin
      var NewPositionEntered: boolean = false;
      if PriceClose( Bar ) < @hR1[Bar] then
        NewPositionEntered := BuyAtStop( Bar + 1, @hR1[Bar] + boVal, '' );
      if not NewPositionEntered then
        if PriceClose( Bar ) > @hS1[Bar] then
          ShortAtStop( Bar + 1, @hS1[Bar] - boVal, '' );
    end;
  end;
end;
[/CODE]

Eugene

#5

12/13/2008 1:36 PM

QUOTE:
Cone.when I copy paste your code it pastes everything on the first line..a very long first line. probably something I'm doing wrong..

You're a IE7 user. This forum has a known bug when copying/pasting directly from IE7.

Two workarounds:

1. Use Firefox (preferred, as it makes your browsing more secure).
2. Copy, paste in Wordpad, copy from Wordpad, paste in WLD.

Mac_Trader

#6

12/13/2008 1:45 PM

Thanks Eugene guess it's easy to tell I'm new around here :-)).. I'm off to Firefox

Mac_Trader

#7

12/13/2008 2:26 PM

Firefox worked a lot better. Thanks again

I just ran the 4.5 and 5.1 systems on the same equity and could not get every trade to correlate. One difference was that the 5.1 version would trade on the first 2 bars even though it is not supposed to.
I'll work on that tomorrow. Enough progress for today....

Cone

#8

12/13/2008 3:56 PM

It's impossible for it to trade on the first or second bar of the day because the following snippet skips trade processing on those bars -

CODE:
Please log in to see this code.

Maybe you still didn't copy the code correctly.

Mac_Trader

#9

12/14/2008 10:57 AM

I have just recopied the code, updated and reran the 2 systems on a 1 month,10 minute chart, of EEV and still get differing results. I am going to include the trades. You can see that 4.5 has an open long and 5.1 has no open trades. Also 5.1 entered a long trade on 12/9 at 9:40, the first tick of the day. I would be glad to post the charts, but I haven't figured out how to do that and haven't found any FAQ.

Version 4.5 trades for EEV 10 Min from 11/13 until 12/14

Position Symbol Shares Entry Date Entry Price Exit Date Exit Price % Change Net Profit Bars Held Profit/Bar Entry Signal Exit Signal Cum Profit MAE % MFE %
Long EEV 108 11/17/2008 10:20:00 AM 92.53 11/18/2008 1:50:00 PM 100.74 8.87 886.68 61 14.54 PftTgt 886.68 -7.06 8.87
Long EEV 111 11/18/2008 4:00:00 PM 97.35 11/19/2008 3:40:00 PM 108.49 11.45 1,237.28 38 32.56 PftTgt 2,123.96 -1.45 11.45
Long EEV 104 11/20/2008 11:00:00 AM 116.52 11/20/2008 3:20:00 PM 121.80 4.54 549.81 26 21.15 PftTgt 2,673.77 -7.18 4.54
Short EEV 111 11/21/2008 10:40:00 AM 113.48 11/21/2008 3:40:00 PM 100.89 11.09 1,397.49 30 46.58 PftTgt 4,071.27 -4.42 11.09
Short EEV 165 11/24/2008 10:10:00 AM 85.08 11/26/2008 3:00:00 PM 72.17 15.18 2,130.48 109 19.55 PftTgt 6,201.75 -1.34 15.18
Short EEV 202 12/2/2008 10:10:00 AM 80.20 12/3/2008 9:40:00 AM 81.83 -2.04 -329.93 37 -8.92 StopLoss 5,871.81 -3.37 6.34
Long EEV 196 12/3/2008 10:10:00 AM 80.93 12/5/2008 2:50:00 PM 75.13 -7.17 -1,137.51 108 -10.53 StopLoss 4,734.31 -9.49 2.87
Short EEV 196 12/5/2008 3:20:00 PM 75.13 12/5/2008 4:00:00 PM 70.81 5.74 845.41 4 211.35 PftTgt 5,579.72 0.00 5.74
Long EEV 243 12/9/2008 2:40:00 PM 63.95 12/10/2008 9:40:00 AM 59.98 -6.21 -965.52 10 -96.55 StopLoss 4,614.20 -6.21 0.42
Short EEV 269 12/11/2008 10:30:00 AM 54.18 12/11/2008 3:40:00 PM 58.76 -8.45 -1,232.02 31 -39.74 StopLoss 3,382.18 -8.45 1.85
Long EEV 227 12/11/2008 3:50:00 PM 58.76 Open Open -3.06 -408.60 43 -9.50 2,973.58 -5.19 5.48

Version 5.1 trades for EEV 10 Min from 11/13 until 12/14

Position Symbol Quantity Entry Date Entry Price Exit Date Exit Price Profit % Profit $ Bars Held Profit per Bar Entry Name Exit Name MAE % MFE %
Long EEV 102 11/18/2008 4:00 PM 97.17 11/19/2008 3:40 PM 108.65 11.65 $1,154.96 38 $30.39 PftTgt -0.87 11.73
Long EEV 95 11/20/2008 12:10 PM 117.07 11/20/2008 3:20 PM 122.07 4.13 $459.00 20 $22.95 PftTgt -7.69 4.20
Short EEV 102 11/21/2008 9:40 AM 104.42 11/21/2008 3:40 PM 100.89 3.23 $344.06 37 $9.30 PftTgt -13.56 3.31
Short EEV 140 11/24/2008 10:10 AM 85.06 11/26/2008 3:00 PM 72.18 15.01 $1,787.20 108 $16.55 PftTgt -1.43 15.08
Short EEV 171 12/2/2008 9:40 AM 79.33 12/3/2008 9:40 AM 81.83 -3.27 ($443.50) 40 ($11.09) StopLoss -4.56 5.26
Long EEV 167 12/4/2008 3:20 PM 79.51 12/5/2008 2:50 PM 75.36 -5.34 ($709.05) 37 ($19.16) StopLoss -5.28 4.64
Short EEV 188 12/8/2008 9:40 AM 64.51 12/8/2008 10:40 AM 62.58 2.86 $346.84 7 $49.55 PftTgt -0.51 2.93
Long EEV 200 12/9/2008 9:40 AM 64.44 12/10/2008 9:40 AM 59.98 -7.05 ($908.00) 40 ($22.70) StopLoss -6.98 1.07
Short EEV 222 12/11/2008 10:30 AM 54.13 12/11/2008 3:40 PM 58.74 -8.65 ($1,039.42) 32 ($32.48) StopLoss -8.58 1.69

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I have just recopied the code, updated and reran the 2 systems on a 1 month,10 minute chart, of EEV and still get differing results. I am going to include the trades. You can see that 4.5 has an open long and 5.1 has no open trades. Also 5.1 entered a long trade on 12/9 at 9:40, the first tick of the day. I would be glad to post the charts, but I haven't figured out how to do that and haven't found any FAQ.

Version [b]4.5[/b] trades for EEV 10 Min from 11/13 until 12/14

Position	Symbol	Shares	Entry Date	Entry Price	Exit Date	Exit Price	% Change	Net Profit	Bars Held	Profit/Bar	Entry Signal	Exit Signal	Cum Profit	MAE %	MFE %	
Long	EEV	108	11/17/2008 10:20:00 AM	92.53	11/18/2008 1:50:00 PM	100.74	8.87	886.68	61	14.54		PftTgt	886.68	-7.06	8.87
Long	EEV	111	11/18/2008 4:00:00 PM	97.35	11/19/2008 3:40:00 PM	108.49	11.45	1,237.28	38	32.56		PftTgt	2,123.96	-1.45	11.45
Long	EEV	104	11/20/2008 11:00:00 AM	116.52	11/20/2008 3:20:00 PM	121.80	4.54	549.81	26	21.15		PftTgt	2,673.77	-7.18	4.54
Short	EEV	111	11/21/2008 10:40:00 AM	113.48	11/21/2008 3:40:00 PM	100.89	11.09	1,397.49	30	46.58		PftTgt	4,071.27	-4.42	11.09
Short	EEV	165	11/24/2008 10:10:00 AM	85.08	11/26/2008 3:00:00 PM	72.17	15.18	2,130.48	109	19.55		PftTgt	6,201.75	-1.34	15.18
Short	EEV	202	12/2/2008 10:10:00 AM	80.20	12/3/2008 9:40:00 AM	81.83	-2.04	-329.93	37	-8.92		StopLoss	5,871.81	-3.37	6.34
Long	EEV	196	12/3/2008 10:10:00 AM	80.93	12/5/2008 2:50:00 PM	75.13	-7.17	-1,137.51	108	-10.53		StopLoss	4,734.31	-9.49	2.87
Short	EEV	196	12/5/2008 3:20:00 PM	75.13	12/5/2008 4:00:00 PM	70.81	5.74	845.41	4	211.35		PftTgt	5,579.72	0.00	5.74
Long	EEV	243	12/9/2008 2:40:00 PM	63.95	12/10/2008 9:40:00 AM	59.98	-6.21	-965.52	10	-96.55		StopLoss	4,614.20	-6.21	0.42
Short	EEV	269	12/11/2008 10:30:00 AM	54.18	12/11/2008 3:40:00 PM	58.76	-8.45	-1,232.02	31	-39.74		StopLoss	3,382.18	-8.45	1.85
Long	EEV	227	12/11/2008 3:50:00 PM	58.76	Open	Open	-3.06	-408.60	43	-9.50			2,973.58	-5.19	5.48

Version [b]5.1[/b] trades for EEV 10 Min from 11/13 until 12/14

Position	Symbol	Quantity	Entry Date	Entry Price	Exit Date	Exit Price	Profit %	Profit $	Bars Held	Profit per Bar	Entry Name	Exit Name	MAE %	MFE %	
Long	EEV	102	11/18/2008 4:00 PM	97.17	11/19/2008 3:40 PM	108.65	11.65	$1,154.96	38	$30.39		PftTgt	-0.87	11.73
Long	EEV	95	11/20/2008 12:10 PM	117.07	11/20/2008 3:20 PM	122.07	4.13	$459.00	20	$22.95		PftTgt	-7.69	4.20
Short	EEV	102	11/21/2008 9:40 AM	104.42	11/21/2008 3:40 PM	100.89	3.23	$344.06	37	$9.30		PftTgt	-13.56	3.31
Short	EEV	140	11/24/2008 10:10 AM	85.06	11/26/2008 3:00 PM	72.18	15.01	$1,787.20	108	$16.55		PftTgt	-1.43	15.08
Short	EEV	171	12/2/2008 9:40 AM	79.33	12/3/2008 9:40 AM	81.83	-3.27	($443.50)	40	($11.09)		StopLoss	-4.56	5.26
Long	EEV	167	12/4/2008 3:20 PM	79.51	12/5/2008 2:50 PM	75.36	-5.34	($709.05)	37	($19.16)		StopLoss	-5.28	4.64
Short	EEV	188	12/8/2008 9:40 AM	64.51	12/8/2008 10:40 AM	62.58	2.86	$346.84	7	$49.55		PftTgt	-0.51	2.93
Long	EEV	200	12/9/2008 9:40 AM	64.44	12/10/2008 9:40 AM	59.98	-7.05	($908.00)	40	($22.70)		StopLoss	-6.98	1.07
Short	EEV	222	12/11/2008 10:30 AM	54.13	12/11/2008 3:40 PM	58.74	-8.65	($1,039.42)	32	($32.48)		StopLoss	-8.58	1.69

Cone

#10

12/14/2008 6:52 PM

The problem was from not blocking the order from the close of the previous day. I added this condition to entry logic in the code above -

CODE:
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Mac_Trader

#11

12/15/2008 11:42 AM

Thanks again Cone I appreciate your help.
I copied and tried the revised system this morning. real time.
Now the support and resistance levels adjust with each new bar instead of just on the last bar of the day. I didn't do any more analysis after that happened.
Looks like I'll stick w/4.5

Cone

#12

12/15/2008 12:51 PM

Do you always give up so easily? Try it again.

Mac_Trader

#13

12/15/2008 4:17 PM

Thanks again Cone
You cured that problem. Support and resistance now steady through the day.

Next:
4.5 adjusts the S/R to the next days locations at the 4:00 bar.
5.1 waits until the 9:40 AM bar and it skews the trades. Even though the program is not supposed to trade the first two bars.

And I haven't given up on 5.1 but I don't have the confidence in it to use for trading.

Cone

#14

12/15/2008 5:48 PM

This isn't really a "4.5 vs. 5.1". It's just a matter of getting the script translated to C# such that it's equivalent to "WealthScript 2", and I think we've got it now.

One difference that you'll see in 5.1 is that it automatically filters out data after the 4:00pm bar that's returned by the Fidelity history feed. Those "mini bars" after 4pm were not expected by 4.5, so they got through, but shouldn't be there in the first place.

With 4.5's Synchronization to Option #1, you probably see the change occurring on the 4:10 bar, and then S/R is held constant through the 9:40 bar. But if you change 4.5's Synchronization to Option #3 (F12), you'll see that 4.5 synch's to that last 4:10 bar and transitions on the 9:40 too.

The "problem" is that those 4:10 ticks are not there in 5.1. That's the difference.

Mac_Trader

#15

12/16/2008 8:21 AM

Still have a failure to replicate trades..In the original the S/R lines adjust at exactly 4:00 when the bar is complete, I don't know if this causes the difference. Is there a way to post copies of the charts here?

Original/EEV 10 min 400bars

Position Symbol Shares Entry Date Entry Price Exit Date Exit Price % Change Net Profit Bars Held Profit/Bar Entry Signal Exit Signal Cum Profit MAE % MFE %
Long EEV 125 12/4/2008 3:20:00 PM 79.48 12/5/2008 2:50:00 PM 75.37 -5.18 -514.58 36 -14.29 StopLoss -514.58 -5.18 4.74
Short EEV 175 12/11/2008 10:30:00 AM 54.15 12/11/2008 3:40:00 PM 58.73 -8.46 -801.50 31 -25.85 StopLoss -1,316.08 -8.46 1.80
Long EEV 147 12/11/2008 3:50:00 PM 58.73 Open Open -1.23 -106.31 80 -1.33 -1,422.40 -5.15 5.53

C#

Position Symbol Quantity Entry Date Entry Price Exit Date Exit Price Profit % Profit $ Bars Held Profit per Bar Entry Name Exit Name MAE % MFE %
Long EEV 125 12/4/2008 3:20 PM 79.51 12/5/2008 2:50 PM 75.36 -5.38 ($534.75) 37 ($14.45) StopLoss -5.30 4.62
Short EEV 174 12/11/2008 10:30 AM 54.13 12/11/2008 3:40 PM 58.74 -8.69 ($818.14) 32 ($25.57) StopLoss -8.60 1.67
Long EEV 147 12/11/2008 3:50 PM 58.76 12/12/2008 9:40 AM 61.98 5.29 $457.34 3 $152.45 PftTgt -2.51 5.39

Cone

#16

12/16/2008 10:39 AM

Those trades are approximately the same, but those 4:10 bars (post market trades) in Version 4.5 influence the Pivot results slightly. Since 5.1 filters out those post-market trades, the pivot calculations won't be precisely them. Ok?

Mac_Trader

#17

12/16/2008 4:40 PM

Pivot is one of my primary tools. This will work fine. The lines are more important to me than the system trades. Thanks again for your help..Mac

Mac_Trader

#18

7/1/2009 2:20 PM

Hi Guys..I'm back with the pivot again. I'm running 5.4.20.0 Error msgs I don't understand. Would appreciate any help.

CODE:
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Thanks
Mac

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Hi Guys..I'm back with the pivot again. I'm running 5.4.20.0 Error msgs I don't understand. Would appreciate any help.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class FloorTraderPivots : WealthScript
	{
		const int NumTicks = 2;  // Number of ticks past the pivot
		
		protected override void Execute()
		{		
			
			// Find the StartBar of the 2nd day
			int StartBar = 0;
			int cnt = 0;
			for(int bar = 0; bar < Bars.Count; bar++) 
			{
				if( Bars.IntradayBarNumber(bar) == 0 ) cnt++;
				if( cnt == 2 )
				{
					StartBar = bar;
					break;
				}
			}

SetScaleDaily();
			DataSeries hPivot = AveragePriceC.Series(Bars);
			DataSeries hDayHigh = High;
			DataSeries hDayClose = Close;
			DataSeries hDayLow = Low;
			RestoreScale();
			hPivot = Synchronize( hPivot ) >> 1;
			hDayHigh = Synchronize( hDayHigh ) >> 1;
			hDayClose = Synchronize( hDayClose ) >> 1;
			hDayLow = Synchronize( hDayLow ) >> 1;
			
			hPivot.Description = "Pivot";
			DataSeries hR1 =  ( 2 * hPivot - hDayLow );
			hR1.Description = "R1";
			DataSeries hS1 = ( 2 * hPivot - hDayHigh );
			hS1.Description = "S1";
			DataSeries hR2 = ( hPivot - ( hS1 - hR1 ) );
			hR2.Description = "R2";
			DataSeries hS2 = ( hPivot - ( hR1 - hS1 ) );
			hS2.Description = "S2";
			DataSeries hR3 = ( hDayHigh +  2 * ( hPivot - hDayLow ) );
			hR3.Description = "R3";
			DataSeries hS3 = ( hDayLow -  2 * ( hDayHigh - hPivot ) );
			hS3.Description = "S3"; 
			
			HideVolume();
			PlotSeries( PricePane, hR2, Color.Maroon, LineStyle.Solid, 1);
			PlotSeries( PricePane, hR1, Color.Olive, LineStyle.Solid, 1 );
			PlotSeries( PricePane, hPivot, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries( PricePane, hS1, Color.Fuchsia, LineStyle.Solid, 1 );
			PlotSeries( PricePane, hS2, Color.Red, LineStyle.Solid, 1 );			
			PlotSeries( PricePane, hR3, Color.Fuchsia, LineStyle.Dotted, 1 );
			PlotSeries( PricePane, hS3, Color.Green, LineStyle.Dotted, 1 );
			
			// Breakout value to be added/subtracted from resistance/support
			double boVal = Bars.SymbolInfo.Tick * NumTicks;
			
			for(int bar = StartBar; bar < Bars.Count; bar++)
			{
				// Don't trade on the first 2 bars of the day, 0 and 1
				if( Bars.IntradayBarNumber(bar) < 2 ) continue;

if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( p.PositionType == PositionType.Long )
					{
						if( !SellAtStop(bar + 1, p, hS1[bar], "StopLoss" ) )
							SellAtLimit(bar + 1, p, hR2[bar], "PftTgt" );
					}
					else if( !CoverAtStop(bar + 1, p, hR1[bar], "StopLoss" ) )
						CoverAtLimit(bar + 1, p, hS2[bar], "PftTgt" );						
				}
				else if( Bars.IsLastBarOfDay( bar ) == false )
				{
					bool NewPositionEntered = false;
					if( Close[bar] < hR1[bar] )
						NewPositionEntered = BuyAtStop(bar + 1, hR1[bar] + boVal) != null;
					if( !NewPositionEntered )
						if( Close[bar] > hS1[bar] )
							ShortAtStop(bar + 1, hS1[bar] - boVal);
				}
			}
		}
	}
}[/CODE]

Thanks
Mac

Cone

#19

7/1/2009 2:47 PM

I'm afraid it's a problem with synchronization that was broken when fixing other synch problems. This one is a different twist, however, so I'd appreciate it if you would create a support ticket for this one.

If you wish to downgrade to 5.3, please contact Fidelity phone support. Sorry for the inconvenience.

Mac_Trader

#20

7/1/2009 3:19 PM

Support ticket created. I quoted you. LOL
Thanks Cone
Mac

Cone

#21

7/1/2009 3:48 PM

Hi Mac,
I've got a work-around on this one for you. In a sense, it might actually be more efficient.

CODE:
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Hi Mac, 
I've got a work-around on this one for you.  In a sense, it might actually be more efficient.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class FloorTraderPivotsWorkaround : WealthScript
	{
		protected override void Execute()
		{					
			const int NumTicks = 2;  // Number of ticks past the pivot		
			SetScaleDaily();
			DataSeries hPivot = AveragePriceC.Series(Bars);
			DataSeries hDayHigh = High;
			DataSeries hDayClose = Close;
			DataSeries hDayLow = Low;
			RestoreScale();
			hPivot = Synchronize( hPivot ) >> 1;
			hDayHigh = Synchronize( hDayHigh ) >> 1;
			hDayClose = Synchronize( hDayClose ) >> 1;
			hDayLow = Synchronize( hDayLow ) >> 1;
			hPivot.Description = "Pivot";
			
			DataSeries hR1 = new DataSeries(Bars, "R1");
			DataSeries hS1 = new DataSeries(Bars, "S1");
			DataSeries hR2 = new DataSeries(Bars, "R2");
			DataSeries hS2 = new DataSeries(Bars, "S2");
			for (int bar = 0; bar < Bars.Count; bar++)
			{
				hR1[bar] = 2 * hPivot[bar] - hDayLow[bar];
				hS1[bar] = 2 * hPivot[bar] - hDayHigh[bar];
				hR2[bar] = hPivot[bar] - ( hS1[bar] - hR1[bar] );
				hS2[bar] = hPivot[bar] - ( hR1[bar] - hS1[bar] );
			}
			
			HideVolume();
			PlotSeries( PricePane, hR2, Color.Maroon, LineStyle.Dotted, 1);
			PlotSeries( PricePane, hR1, Color.Olive, LineStyle.Solid, 1 );
			PlotSeries( PricePane, hPivot, Color.Blue, LineStyle.Solid, 1 );
			PlotSeries( PricePane, hS1, Color.Fuchsia, LineStyle.Dotted, 1 );
			PlotSeries( PricePane, hS2, Color.Red, LineStyle.Solid, 1 );			
			
			// Breakout value to be added/subtracted from resistance/support
			double boVal = Bars.SymbolInfo.Tick * NumTicks;
			
			// Find the StartBar of the 2nd day
			int StartBar = 0;
			int cnt = 0;
			for(int bar = 0; bar < Bars.Count; bar++) 
			{
				if( Bars.IntradayBarNumber(bar) == 0 ) cnt++;
				if( cnt == 2 )
				{
					StartBar = bar;
					break;
				}
			}			
			for(int bar = StartBar; bar < Bars.Count; bar++)
			{
				// Don't trade on the first 2 bars of the day, 0 and 1
				if( Bars.IntradayBarNumber(bar) < 2 ) continue;
				
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( p.PositionType == PositionType.Long )
					{
						if( !SellAtStop(bar + 1, p, hS1[bar], "StopLoss" ) )
							SellAtLimit(bar + 1, p, hR2[bar], "PftTgt" );
					}
					else if( !CoverAtStop(bar + 1, p, hR1[bar], "StopLoss" ) )
						CoverAtLimit(bar + 1, p, hS2[bar], "PftTgt" );						
				}
				else if( Bars.IsLastBarOfDay( bar ) == false )
				{
					bool NewPositionEntered = false;
					if( Close[bar] < hR1[bar] )
						NewPositionEntered = BuyAtStop(bar + 1, hR1[bar] + boVal) != null;
					if( !NewPositionEntered )
						if( Close[bar] > hS1[bar] )
							ShortAtStop(bar + 1, hS1[bar] - boVal);
				}
			}
		}
	}
}[/CODE]