Overbought strategy - Wealth Lab Forum

topcat77

#1

10/13/2008 7:50 PM

I've been using a modified form of RSI Agita (on an intraday basis) and would now like to work the short (overbought) side as well. To that end I "edited" the script to reverse directions. The script "compiles" properly but I've obviously missed something / done something in error b/c I can get no performance data;( I don't understand the function of the line:

which I took to mean the lowest Rsi level that the program would buy )

Here is my "amended script" - please could somebody shoot down my bugs

Thanks

Size:

Color:

I've been using a modified form of RSI Agita (on an intraday basis) and would now like to work the short (overbought) side as well. To that end I "edited" the script to reverse directions. The script "compiles" properly but I've obviously missed something / done something in error b/c I can get no performance data;( I don't understand the function of the line:

[CODE]level -= 5;[/CODE]

which I took to mean the lowest Rsi level that the program would buy )

Here is my "amended script" -  please could somebody shoot down my bugs

[CODE]/*
    RSIAgita
    RSI Agita Strategy
*/

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
    public class RSIAgita : WealthScript
    {
        //Create parameters
        private StrategyParameter rsiPeriod;
        private StrategyParameter overbought;
        private StrategyParameter oversold;

public RSIAgita()
        {
            rsiPeriod = CreateParameter("RSI Period", 20, 10, 60, 5);
            oversold = CreateParameter("Oversold", 30, 10, 55, 5);
            overbought = CreateParameter("Overbought", 70, 40, 95, 5);
        }

protected override void Execute()
        {
            int level;
            int period = rsiPeriod.ValueInt;

//Create and plot 20 period RSI
            RSI rsi20 = RSI.Series(Close, period);
            ChartPane rsiPane = CreatePane(50, true, true);
            PlotSeries(rsiPane, rsi20, Color.Navy, LineStyle.Solid, 3);
            DrawHorzLine(rsiPane, oversold.Value, Color.Red, LineStyle.Dotted, 2);
            DrawHorzLine(rsiPane, overbought.Value, Color.Green, LineStyle.Dotted, 2);

//Trading system main loop
            for (int bar = period + 1; bar < Bars.Count; bar++)
            {
                //Entries are allowed only if price is above last entry price
                double lastEntryPrice = IsLastPositionActive ? LastPosition.EntryPrice : Double.MaxValue;

//Check penetration of RSI above levels 75 to 95
                level = overbought.ValueInt;
                while (level > 0)
                {
                    if (CrossOver(bar, rsi20, level))
                        if (Bars.Close[bar] > lastEntryPrice)
						if(Volume[bar] <= (Volume[bar-1]*1.1))	
                            ShortAtMarket(bar + 1);
                    level += 95;
                }

//Exit all short positions if RSI crosses below 45
                if (CrossUnder(bar, rsi20, oversold.ValueInt))
                    foreach (Position pos in Positions)
                        if (pos.Active)
                            CoverAtMarket(bar + 1, pos);
            }
        }        
    }
}

[/CODE]

Thanks

Eugene

#2

10/14/2008 1:42 AM

No, this is an alternate way of saying "level = level - 5" in C#. You may want to take a look at the C# resources enumerated under "How do I start with C# ?" in WL5Wiki FAQs.

Therefore the following line will be adding 95 to level on every iteration of the loop instead of setting the upper boundary:

topcat77

#3

10/14/2008 8:32 AM

I'll carve some time out to invest in a C++ tutorial

Does that line instruct the program to add to positions for each 5 level change down?
(where "level" means rsi?)
So, if the script above were to be changed to :
level+=5;
would that be correct for a program which was looking to short overbought "levels"
Is there anything else that is incorrect in my script?

Cone

#4

10/14/2008 12:05 PM

Here are the corrections (there are several)

Size:

Color:

Here are the corrections (there are several)

[CODE]/*
    RSI Agita Strategy (Short)
*/

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
    public class RSIAgitaShort : WealthScript
    {
        //Create parameters
        private StrategyParameter rsiPeriod;
        private StrategyParameter overbought;
        private StrategyParameter oversold;

public RSIAgitaShort()
        {
            rsiPeriod = CreateParameter("RSI Period", 20, 10, 60, 5);
            oversold = CreateParameter("Oversold", 30, 10, 55, 5);
            overbought = CreateParameter("Overbought", 70, 40, 95, 5);
        }

protected override void Execute()
        {            
            int period = rsiPeriod.ValueInt;

//Create and plot 20 period RSI
            RSI rsi20 = RSI.Series(Close, period);
            ChartPane rsiPane = CreatePane(50, true, true);
            PlotSeries(rsiPane, rsi20, Color.Navy, LineStyle.Solid, 3);
            DrawHorzLine(rsiPane, oversold.Value, Color.Red, LineStyle.Dotted, 2);
            DrawHorzLine(rsiPane, overbought.Value, Color.Green, LineStyle.Dotted, 2);

//Trading system main loop
            for (int bar = period + 1; bar < Bars.Count; bar++)
            {
                //Entries are allowed only if price is above last entry price
                double lastEntryPrice = Positions.Count > 0 ? LastPosition.EntryPrice : 0d;

//Check penetration of RSI above the Overbought level to 95
                int level = overbought.ValueInt;
                while (level < 100)
                {
                    if (CrossOver(bar, rsi20, level))
						if (Bars.Close[bar] > lastEntryPrice)
							if(Volume[bar] <= (Volume[bar-1]*1.1))	
                            	ShortAtMarket(bar + 1);
                    level += 5;
                }

//Exit all short positions if RSI crosses below 45
                if (CrossUnder(bar, rsi20, oversold.ValueInt))
                    foreach (Position pos in Positions)
                        if (pos.Active)
                            CoverAtMarket(bar + 1, pos);
            }
        }        
    }
}[/CODE]

topcat77

#5

10/14/2008 12:35 PM

Brilliant

except the compiler would not let the script say:

int level = overbought.ValueInt;

so, I changed it to:

level = overbought.ValueInt;

and it seems to work well

Thanks

Cone

#6

10/14/2008 1:23 PM

It's because you didn't copy the entire script that I posted. You should.

Jojo142

#16

2/2/2009 2:13 AM

Thank you for sending us your data file.

The CrossOver condition is not unique - apart from it, there are more rules that affect will the trade triggered or not. The Volume comparison rule is not applicable in your case, since your data series has no volume.

The key condition is that closing prices should be higher than last position entry price.
Add this line right below the int level = ... declaration:

And you'll see that your lastEntryPrice is equal to 74230 when the trades stopped. Your futures market has dropped to 30,000-40,000 since then, so taking new trades is not an option.

P.S. Another strong reason for not taking trades can usually be in position sizing settings, but here it's not the case.

Jojo142

#17

2/2/2009 7:06 AM

Hi Eugene, tkx for your help...I ve forgotten to tell you that I had suppress the condition of volume because has you said, I don t use this data, so you re right.
I understand what you tell me about "the key condition is that closing prices should be higher than last position entry price"... Ok, so I would like to change it, as it is in the RSI AGITA (inicial strategy for long positions)...If you see the first strategy , the closing price should be lower than last position entry price but only DURING THE TRADE...so what must I modify in this way?

Eugene

#18

2/2/2009 7:31 AM

Jojo142

#19

2/2/2009 7:43 AM

Eugene..no trades are done now...where is the problem?

Size:

Color:

Eugene..no trades are done now...where is the problem?

[CODE]/*
	RSI Agita Strategy (Short)
*/
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
namespace WealthLab.Strategies
{
	public class RSIAgitaShort : WealthScript
	{
		//Create parameters
		private StrategyParameter rsiPeriod;
		private StrategyParameter overbought;
		private StrategyParameter oversold;
		public RSIAgitaShort()
		{
			rsiPeriod = CreateParameter("RSI Period", 20, 10, 60, 5);
			oversold = CreateParameter("Oversold", 30, 10, 55, 5);
			overbought = CreateParameter("Overbought", 70, 40, 95, 5);
		}
		protected override void Execute()
		{
			int period = rsiPeriod.ValueInt;
            //Create and plot 20 period RSI
            RSI rsi20 = RSI.Series(Close, period);
			ChartPane rsiPane = CreatePane(50, true, true);
			PlotSeries(rsiPane, rsi20, Color.Navy, LineStyle.Solid, 3);
			DrawHorzLine(rsiPane, oversold.Value, Color.Red, LineStyle.Dotted, 2);
			DrawHorzLine(rsiPane, overbought.Value, Color.Green, LineStyle.Dotted, 2);
            //Trading system main loop
            for (int bar = period + 1; bar < Bars.Count; bar++)
			{
                //the closing price should be higher than last position entry price but only DURING THE TRADE
				double lastEntryPrice = IsLastPositionActive ? LastPosition.EntryPrice : Double.MaxValue;
				//Check penetration of RSI above the Overbought level to 95
                int level = overbought.ValueInt;
				if (CrossOver(bar, rsi20, level))
					AnnotateBar( lastEntryPrice.ToString(), bar, true, Color.Blue );
				while (level < 100)
				{
					if (CrossOver(bar, rsi20, level))
						if (Bars.Close[bar] > lastEntryPrice)
								ShortAtClose(bar);
					level += 5;
				}
                //Exit all short positions if RSI crosses below 45
                if (CrossUnder(bar, rsi20, oversold.ValueInt))
					foreach (Position pos in Positions)
						if (pos.Active)
							CoverAtClose(bar , pos);
			}
		}
	}
}
[/CODE]

Cone

#20

2/2/2009 8:05 AM

Well, I'm not following this entire thread, but the problem has to do with the lastEntryPrice filter condition.

Jojo142

#21

2/2/2009 8:10 AM

Wonderful :-))...
One more question...if I run a strategy the performance is always very superior os the Profit$ shown in the "trades"...could you say me why?

Eugene

#22

2/2/2009 8:16 AM

Oops. I mistakenly read Jojo142's idea the other way as "last position entry price should be lower than the closing price..." - therefore the .MaxValue and not .MinValue.

Good that Jojo142 noticed that and ignored my incorrect change:

Jojo142

#23

2/2/2009 8:32 AM

Wonderful :-))...
One more question...if I run a strategy the performance is always very superior os the Profit$ shown in the "trades"...could you say me why?
for example in this strategy : Performance shown 119000 points, if I look at the trades, only 2500 points...why the diference?

Eugene

#24

2/2/2009 8:45 AM

In the Trades list, what you see is a per-trade profit. On the other hand, the Performance tab shows an aggregated figure.

P.S. When copying to Excel/OpenOffice/whatever, make sure that all values are numerical and not marked as textual.