Strategy with 4 triggers to be followed in sequence doesn't generate trades

bcdxxx

#1

6/11/2019 2:51 PM

Hi all,
I was trying to create an RSI-based momentum oscillator strategy, but for some reason can't get it to generate trades...
I feel like I must be missing something very basic here.
I am using IQFeed for data, in case that makes any difference.

Thanks for any help anyone can provide!

-bd

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bcd - bf 0.82d.txt

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Hi all,
I was trying to create an RSI-based momentum oscillator strategy, but for some reason can't get it to generate trades...
I feel like I must be missing something very basic here.
I am using IQFeed for data, in case that makes any difference.

Thanks for any help anyone can provide!

-bd

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

//based on bottomfisher 0.76aat code
//added strategy parameters (profit only)
//added inhours method
//commented out constants
//removed strategy parameters

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		//constants declarations and optimizable parameters
				double dRSIlowtarget=30;
				double dRSIhightarget=70;
				double dRSIbuylow=40;
				double dRSIbuyready=50;
				int dPatience=5;
		//		int ivalleycounter=0;
		//		int ipeakcounter=0;
				int Lastvalleybar=0;
				int Lastpeakbar=0;
				double dprofitpct = 3;
				double dstoploss = 3;
				double dPriceFudgeFactor = 0.5;
		
		//*******************
	
		
		//*******************
		//methods
		//GetTime -- converts bar to military time
		//inmarkethours -- bool if between 0931 and 1600
		
		
		//Get time for the bar
		public int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}
		
		//bool if bar between 0931 and 1600
		public bool inmarkethours(int bar)
		{
			bool inhours=false;
			if ((GetTime(bar) > 0930) && (GetTime(bar) <1601))
				inhours=true;
			return inhours;
		}
		
		//color blue bars
		public int colorbluebars(int bar)
		{
			DataSeries rsiseries = RSI.Series(Close, 14);
			int lastvalleybar=Bars.Count;
			for (int blue = 3; blue <= (Bars.Count-1); blue++)
			{
				//*** Mark RSI valleys on chart
				
				if (((rsiseries[blue-1] < rsiseries[blue-2])&&(rsiseries[blue-1]<dRSIlowtarget)) &&(inmarkethours(blue) ))
				{
					SetBackgroundColor(blue-1, Color.LightSkyBlue );
					lastvalleybar=blue-1;
				}
			}
			return lastvalleybar;	
		}
		
		//color orange bars
		public int colororangebars(int bar)
		{
			DataSeries rsiseries = RSI.Series(Close, 14);
			int lastpeakbar=Bars.Count;
			for (int orange = 3; orange <= (Bars.Count-1); orange++)
			{
				//*** Mark RSI valleys on chart
				
				if (((rsiseries[orange-1] > rsiseries[orange-2])&&(rsiseries[orange-1]>dRSIhightarget) ) && (inmarkethours(orange) ))
				{
					SetBackgroundColor(orange-1, Color.Orange );
					lastpeakbar=orange-1;
				}
			}
			return lastpeakbar;	
		}
		
			
		//*********************************************************************************************************************************************	
		//**************************************  Actual program
		protected override void Execute()
		{
			//initialize global variables
			ClearDebug();
			bool posactive=false;
			int posrecentclear=3;
			int selltimestop=0;
			
			int bar = Bars.Count - 1;
			DataSeries rsi = RSI.Series(Close, 14);
			DataSeries rsiseries = RSI.Series(Close, 14);
			DataSeries mfiseries = MFI.Series( Bars, 14 );
			
			//draw chart panes
			ChartPane pane3 = CreatePane( 35, false, true );
			PlotSeries(pane3, rsi, Color.Green, WealthLab.LineStyle.Solid, 1);
			SetPaneMinMax( pane3, 30, 70 );
			ChartPane mfipane = CreatePane( 35, false, true );
			PlotSeries(mfipane, mfiseries, Color.LightGreen, WealthLab.LineStyle.Solid, 1);
			SetPaneMinMax( mfipane, 30, 70 );
			
			//*** Mark RSI valleys on chart			
			Lastvalleybar=colorbluebars(Bars.Count-1);
			Lastpeakbar=colororangebars(Bars.Count-1);
						
			//Main loop - rsi valleys & peaks 
			//			for (int i = 3; i <= (Bars.Count-1); i++)
			if ( (Lastpeakbar<Lastvalleybar) || (IsLastPositionActive) )
				for (int i = Lastpeakbar; i <= (Bars.Count-1); i++)
				{

//				if ( GetTime(i) == 1601 )
					if ( inmarkethours(i+1) )
					{
							
						//****** Find good low target for historical days
						double runninglow=High[i];
						int runninglowbar=i;
						bool readytobuy=false;
						for (int d=(i-(Bars.IntradayBarNumber( i-2 ))); d <= i; d++) 
						{
							if ((rsiseries[d-1] < rsiseries[d-2])&&(rsiseries[d-1]<dRSIlowtarget))
							{
								if (Close[d] < runninglow)
								{
									runninglow = Low[d];
									runninglowbar = d;
								}
							}

if ((rsiseries[d]>(dRSIbuyready))&&(d>(runninglowbar+dPatience)))
							{
								readytobuy = true;
							}
							if ( (IsLastPositionActive)
								&& (inmarkethours(d+2)) )
							{
								Position p = LastPosition;    
								if (SellAtStop( d+1, p, p.EntryPrice * (1-(dstoploss/100)), "% Stop" ))
									PrintDebug("sold   "+LastPosition+" - $"+Close[d] +" at "+ Date[d] +" // RSI: "+ rsiseries[d] +"(Stop loss sell)");
								//							dprofitpct=	(profitpct);
								if (SellAtLimit( d+1, LastPosition, p.EntryPrice*(1+((dprofitpct))/100), "% Profit Limit Sell" ))
								{
									PrintDebug("sold   "+LastPosition+" - $"+Close[d] +" at "+ Date[d] +" // RSI: "+ rsiseries[d]+"(Target Profit sell)" );
									i=Bars.Count-1;
									d=Bars.Count-1;
								}
								//if (Bars.IsLastBarOfDay(d+1))
								if (GetTime(d+2)==1559)
								{								
									SellAtMarket(d+1, p, "Day End Sell");
									PrintDebug("sold   "+LastPosition+" - $"+Close[d+1] +" at "+ Date[d+1] +" // RSI: "+ rsiseries[d+1] +"(End of day sell)" );
									i=Bars.Count-1;
									d=Bars.Count-1;
								}
							}

if ((Close[d] < (runninglow*(1+dPriceFudgeFactor/100) ) )&&((readytobuy==true)&&(rsiseries[d]<dRSIbuylow))
								&& (inmarkethours(d+2))  )
							{
								if (!(IsLastPositionActive)&&(Bars.IntradayBarNumber(d+1)>5))
								{
									BuyAtMarket(d+1, "bought at expected RSI divergence" );
									PrintDebug("bought "+LastPosition+" - $"+Close[d] +" at "+ Date[d] +" // RSI: "+ rsiseries[d] );
									readytobuy = false;
								}
							}
						}
					}	
				}
		}
	}
}[/code]

Eugene

#2

6/11/2019 3:16 PM

Hi Bryan,

You must have converted it from another platform as the entire code is clearly far from being "Wealth-Lab style". In particular, putting the cart (IsLastPositionActive) before the horse (main trading loop):

CODE:
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Anyway there are other errors which prevent the not so readable code from running. If you wish to get anywhere with it you might want to express your trading rules in plain English. Looks like helping you code it from scratch may get it done faster.

bcdxxx

#3

6/11/2019 3:45 PM

Hi Eugene,
Thanks for your help!
Actually, I am trying to teach myself how to code, so some of it is modified from "Rules-generated" code, and the rest is hand-coded by me. Somewhat analogous to trying to write a short story using a dictionary. :)
That last bit that you quoted was a last-second addition that I thought I could skate by and throw in there to decrease computing cycles by eliminating extraneous cycles. I should have structured it more appropriately with curly braces before posting, my apologies.

The idea is this:
Exit Criteria (3 of them):
Stop loss of x% (let's just say 3% in the example)
Profit of y% (3% in this example also)
Sell at end of day

Entry Criteria (1 entry criteria with 5 steps):
I'll describe below is a series of 4 triggers to be followed in sequence:
1) If RSI is falling (RSI[t]<RSI[t-1]), and RSI < Trigger 1 variable (Trigger 1 default 30)
2) Next trigger is RSI > Trigger 2 variable (Trigger 2 default 50)
3) 3rd trigger is RSI < Trigger 3 variable (Trigger 3 default 40)
4) 4th Trigger is waiting time delay (default 5 minutes/bars) to be sure no further dropping of price beyond the daily low (thus far)
After hitting all 4 triggers in order, time for action (buy). If RSI < Trigger 1, need to start back at Trigger 1.
5) Buy price set at the Daily Low (thus far) * (a fudge factor) . (default fudge factor 0.5%)

thanks again.
-bd

Eugene

#4

6/11/2019 3:54 PM

Thanks, it starts to make sense now.

QUOTE:
I'll describe below is a series of 4 triggers to be followed in sequence:

Could you clarify what does "in sequence" mean? They all have to trigger in the exact order, right? (e.g. RSI falls below 30, then jumps above 50, then again drops below 40 etc.

bcdxxx

#5

6/11/2019 4:13 PM

Yes, they have to trigger in order 1->2->3->4, then set buy price

Eugene

#6

6/11/2019 6:20 PM

OK I'm on it. Will get back to you with code soon.

bcdxxx

#7

6/11/2019 6:46 PM

Thanks so much Eugene! You're the best!

Eugene

#8

6/11/2019 8:23 PM

Here you have it. When it comes to sequenced conditions (1->2->3->4), the natural solution is to apply this design pattern: Tutorial: Setups, Triggers, Delays, and Timeouts. Your conditions are nested which makes the resulting code a bit less readable. Hope this helps.

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Here you have it. When it comes to sequenced conditions (1->2->3->4), the natural solution is to apply this design pattern: [link=http://www2.wealth-lab.com/WL5WIKI/kbSetupsTriggersDelaysTimeouts.ashx]Tutorial: Setups, Triggers, Delays, and Timeouts[/link]. Your conditions are nested which makes the resulting code a bit less readable. Hope this helps.

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

namespace WealthLab.Strategies
{
	public class bcdxxx : WealthScript
	{
		void Reset(ref bool criteria1, ref bool criteria2, ref bool criteria3, ref bool criteria4,
			ref int critBar1, ref int critBar2, ref int critBar3, ref int critBar4)
		{
			criteria1 = criteria2 = criteria3 = criteria4 = false;
			critBar1 = critBar2 = critBar3 = critBar4 = 0;
		}

protected override void Execute()
		{
			int critBar1 = 0, critBar2 = 0, critBar3 = 0, critBar4 = 0;
			int trigger1 = 30, trigger2 = 50, trigger3 = 40;
			bool criteria1 = false, criteria2 = false, criteria3 = false, criteria4 = false;
			double lowestLowToday = -1;
			var rsi = RSI.Series(Close, 14);

var rp = CreatePane(30, true, true); HideVolume();
			PlotSeries(rp, rsi, Color.BlueViolet, LineStyle.Solid, 2);

// Prevent from criteria spanning over different days
			SetScaleDaily();
			DataSeries dailyBar = new DataSeries(Bars, "Daily Bar Numbers");
			for (int bar = 0; bar < Bars.Count; bar++)  // load the bar numbers
				dailyBar[bar] = bar;
			RestoreScale();
			DataSeries GetIntradayBar = Synchronize(dailyBar);

for (int bar = GetTradingLoopStartBar(14); bar < Bars.Count; bar++)
			{
				if (Bars.IntradayBarNumber(bar) == 0)
				{
					Reset(ref criteria1, ref criteria2, ref criteria3, ref criteria4, ref critBar1, ref critBar2, ref critBar3, ref critBar4);
					lowestLowToday = Low[bar];
				}
				else
					if (Low[bar] < lowestLowToday) lowestLowToday = Low[bar];

if (IsLastPositionActive)
				{
					Position p = LastPosition;

//Sell at end of day
					//NOTE: demo exit not compatible with live trading, see http://www2.wealth-lab.com/WL5WIKI/kbIntradayOvernight.ashx
					if (Bars.IsLastBarOfDay(bar))
						ExitAtClose(bar, LastPosition, "Last Bar");
						//Stop loss of x% (let's just say 3% in the example)
					else if (!ExitAtStop(bar + 1, p, p.EntryPrice * 0.97, "SL 3%"))
						//Profit of y% (3% in this example also)
						ExitAtLimit(bar + 1, p, p.EntryPrice * 1.03, "PT 3%");

if (p == null)
						Reset(ref criteria1, ref criteria2, ref criteria3, ref criteria4, ref critBar1, ref critBar2, ref critBar3, ref critBar4);
				}
				else
				{
					//Entry Criteria (1 entry criteria with 5 steps):
					//I'll describe below is a series of 4 triggers to be followed in sequence:

if (!criteria1)
					{
						//1) If RSI is falling (RSI[t]<RSI[t-1]), and RSI < Trigger 1 variable (Trigger 1 default 30)
						if ((rsi[bar] < rsi[bar - 1]) && (rsi[bar] < trigger1))
						{
							SetBackgroundColor(bar, Color.FromArgb(30, Color.Red));
							criteria1 = true; critBar1 = bar;
						}

if (criteria1)
						{
							//PrintDebug(bar + "\t" + "criteria1" + "\t" + GetIntradayBar[bar]);

if (!criteria2)
							{
								if (GetIntradayBar[bar] > GetIntradayBar[critBar1])
									Reset(ref criteria1, ref criteria2, ref criteria3, ref criteria4, ref critBar1, ref critBar2, ref critBar3, ref critBar4);

//2) Next trigger is RSI > Trigger 2 variable (Trigger 2 default 50)
								if( (rsi[bar] > trigger2) && (GetIntradayBar[bar] == GetIntradayBar[critBar1]) )
								{
									SetBackgroundColor(bar, Color.FromArgb(30, Color.Yellow));
									criteria2 = true; critBar2 = bar;
								}
							}

if (criteria2)
							{
								//PrintDebug(bar + "\t" + "criteria2" + "\t" + GetIntradayBar[bar]);

if (!criteria3)
								{
									if (GetIntradayBar[bar] > GetIntradayBar[critBar2])
										Reset(ref criteria1, ref criteria2, ref criteria3, ref criteria4, ref critBar1, ref critBar2, ref critBar3, ref critBar4);

//3) 3rd trigger is RSI < Trigger 3 variable (Trigger 3 default 40)
									if( (rsi[bar] < trigger3) && (GetIntradayBar[bar] == GetIntradayBar[critBar2]) )
									{
										SetBackgroundColor(bar, Color.FromArgb(30, Color.Green));
										criteria3 = true; critBar3 = bar;
									}
								}

if (criteria3)
								{
									//PrintDebug(bar + "\t" + "criteria3" + "\t" + GetIntradayBar[bar]);

if (!criteria4)
									{
										if (GetIntradayBar[bar] > GetIntradayBar[critBar3])
											Reset(ref criteria1, ref criteria2, ref criteria3, ref criteria4, ref critBar1, ref critBar2, ref critBar3, ref critBar4);

//4) 4th Trigger is waiting time delay (default 5 minutes/bars) to be sure no further dropping of price beyond the daily low (thus far)
										if (bar > critBar3 && (GetIntradayBar[bar] == GetIntradayBar[critBar3]) )
										{
											criteria4 = true; critBar4 = bar;
										}
									}

if (criteria4)
									{
										//PrintDebug(bar + "\t" + "criteria4" + "\t" + GetIntradayBar[bar]);

//After hitting all 4 triggers in order, time for action (buy). If RSI < Trigger 1, need to start back at Trigger 1.										
										if (Bars.IsLastBarOfDay(bar) || rsi[bar] < trigger1 ||
											//All the criteria must be meet within one day
											GetIntradayBar[critBar1] != GetIntradayBar[critBar4])
										{
											//PrintDebug(bar + "\t" + "reset" + "\t" + GetIntradayBar[bar]);
											Reset(ref criteria1, ref criteria2, ref criteria3, ref criteria4, ref critBar1, ref critBar2, ref critBar3, ref critBar4);
											//continue;
										}
										else
										{
											//5) Buy price set at the Daily Low (thus far) * (a fudge factor) . (default fudge factor 0.5%)
											if (Close[bar] < lowestLowToday * 0.995)
												if( BuyAtMarket(bar + 1) != null )
													Reset(ref criteria1, ref criteria2, ref criteria3, ref criteria4, ref critBar1, ref critBar2, ref critBar3, ref critBar4);
										}
									}
								}
							}
						}
					}
				}
			}
		}
	}
}[/code]

bcdxxx

#9

6/12/2019 12:02 AM

Eugene,
you are amazing!
Thanks so much. I have so much to learn.
Have a great night.
-bd

Eugene

#10

6/12/2019 5:55 AM

Bryan,

Thanks for the kind words. Was glad to help. If you encounter any issues don't hesitate to ask (and exemplify it with symbol, bar scale and data range).