Setting priority for an AtLimit order (LDL strategy)

Author: Carloseta

Creation Date: 10/31/2010 4:41 PM

Wealth Lab » Trading Strategies » Setting priority for an AtLimit order (LDL strategy)

Carloseta

10/31/2010 4:41 PM

I'm trying to add parts of 2 scripts together but I'm getting a host of errors.
Any help is welcome.

Trying to add this ROC code:

CODE:
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to the LDL2 script

CODE:
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I'm trying to add parts of 2 scripts together but I'm getting a host of errors.
Any help is welcome.

Trying to add this ROC code:

[CODE]	for(int bar = GetTradingLoopStartBar(119); bar < Bars.Count; bar++)
			{
				if (Close[bar] > Close[bar - 118])
					if( BuyAtMarket(bar + 1) != null )
						LastPosition.Priority = ROC.Series( Close,118 )[bar];[/CODE]

to the LDL2 script

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

namespace WealthLabCompile
{
    class LDL2 : WealthScript
    {
		private StrategyParameter limitMultiplierParam;
		private StrategyParameter maxBarsToHoldParam;
		private StrategyParameter profitTargetParam;
		double	limitPrice;

public LDL2()
		{
			limitMultiplierParam = this.CreateParameter("Limit Mulitpiler", 0.94, 0.8, 0.99, 0.01);
			maxBarsToHoldParam = this.CreateParameter("Bars to Hold", 2, 2, 25, 1);
			profitTargetParam = this.CreateParameter("Exit Profit %", 3, 1, 25, 1);
		}

protected override void Execute()
		{
			double	limitMultiplier = limitMultiplierParam.Value;
			int		maxBarsToHold = maxBarsToHoldParam.ValueInt;
			double	profitTarget = profitTargetParam.Value * 0.01;	// calc percentage value on whole number

for (int bar = 5; bar < this.Bars.Count; bar++)
			{
				limitPrice = ( (Low[bar] + Close[bar] ) / 2 ) * limitMultiplier;

if ( Close[bar] > 5 )
				{
					BuyAtLimit(bar + 1, limitPrice );
				}
				
				for (int p = ActivePositions.Count - 1; p > -1; p-- )
				{
					Position pos = ActivePositions[p];
					if (bar + 1 - pos.EntryBar >= maxBarsToHold)	// sell if position held for X bars
						SellAtMarket(bar + 1, pos, "Hold Days Expired");
					else if ( bar + 1 > pos.EntryBar )
					{
						// sell if position hits profit target percentage
						if (Close[bar] >= (pos.EntryPrice + (pos.EntryPrice * profitTarget)))
							SellAtMarket(bar + 1, pos, "Profit Target Reached");
					}				
				}			
			}
		}
   }	
}
[/CODE]

Eugene

11/1/2010 7:42 AM

There are 2 different entries, AtMarket and AtLimit. How exactly do you plan to merge/combine these parts? Replace the LDL entry with that ROC code, or take a new Position once the condition is true?

Carloseta

11/1/2010 8:00 AM

I wan to keep the LDL limit but have priority given to the highest ROC.

Eugene

11/1/2010 8:46 AM

To quote the WealthScript Programming Guide:

QUOTE:
Generally speaking, Position.Priority is difficult to apply when backtesting end-of-day stop and limit Strategies. That's because the actual trade sequence should be prioritized by the time of day at which the actual price attains the order price.

So you may want to look at one of these solutions:

Setting Priority for AtStop/AtLimit Orders