Converting Long-Only into Short-Only Strategy doesn't work

Author: 07nioe

Creation Date: 8/26/2014 2:59 PM

Wealth Lab » Trading Strategies » Converting Long-Only into Short-Only Strategy doesn't work

07nioe

8/26/2014 2:59 PM

Hello,

I tried to convert a RSI-Long-Only-Strategy in a ShortOnly-Version. But unfortunately, it doesn' work. Does anybody know where the error is?

Attached You' find the code.

Thank you for your help
Niels

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Hello,

I tried to convert a RSI-Long-Only-Strategy in a ShortOnly-Version. But unfortunately, it doesn' work. Does anybody know where the error is?

Attached You' find the code.

Thank you for your help
Niels

[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
	{
		// Short Entry Slider
		private StrategyParameter sl_NumberBarsUp_St;
		private StrategyParameter sl_RsiLbp_St;
		private StrategyParameter sl_RsiOverboughtLevel_St;
		private StrategyParameter sl_Adx_Lbp_St;
		private StrategyParameter sl_Adx_Value_St;
		
		// Short Exit Slider
		private StrategyParameter sl_AtrLbp_St;
		private StrategyParameter sl_AtrMult_St;
		private StrategyParameter sl_Tbx_St;
		
		// Prio Slider
		private StrategyParameter SliderPrio;
		
		// Signal Slider
		private StrategyParameter SignalOnly;
		
		public MyStrategy()
		{
			// Short Entry Slider	
			sl_NumberBarsUp_St	 		= CreateParameter("Kerzenz-ST",20,20,40,1);
			sl_RsiLbp_St 				= CreateParameter("LBP-RSI-ST",7,1,10,1);
			sl_RsiOverboughtLevel_St	= CreateParameter("OverB-LV-RSI",70,60,90,1);
			sl_Adx_Lbp_St				= CreateParameter("LBP-ADX-ST",18,1,35,1);
			sl_Adx_Value_St				= CreateParameter("Value_ADX-ST",20,10,40,1);
			
			// Short Exit Slider
			sl_AtrLbp_St 				= CreateParameter("L-ATR-LBP-ST",10,9,16,1);
			sl_AtrMult_St 				= CreateParameter("L-ATR-MULT-ST",1.8,1.4,2.8,0.1);
			sl_Tbx_St 					= CreateParameter("TBX-ST",3,1,5,1);
			
			// Prio Slider
			SliderPrio = CreateParameter ("Prio lb",7,7,7,-1);
			
			// Signal Slider
			SignalOnly					= CreateParameter ("SignalOnly",-1,-1,-1,-1);
		}

protected override void Execute()
		{
			/*>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
			 * I N D I C A T O R S
			 *<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<*/
			// Long Entry DataSeries
			DataSeries ds_Rsi_St	= RSI.Series(Open, sl_RsiLbp_St.ValueInt);
			DataSeries ds_Adx_St	= ADX.Series(Bars, sl_Adx_Lbp_St.ValueInt);
			
			// Long Exit DataSeries
			DataSeries ds_TgtAtr_St = ATR.Series( Bars, sl_AtrLbp_St.ValueInt) * sl_AtrMult_St.Value;
			
			// Prio DataSeries
			DataSeries stochPosPrio = StochD.Series(Bars, SliderPrio.ValueInt,3);
			
						
			/*>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
			 * O P T I C S
			 *<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<*/
			//Plot ADX
			ChartPane paneADX = CreatePane(75,true,true);
			PlotSeries(paneADX,ds_Adx_St,Color.Purple,LineStyle.Solid,3);
			
			// Plot ATR
			PlotSeries(PricePane, (Close + ATR.Series(Bars, sl_AtrLbp_St.ValueInt) * sl_AtrMult_St.Value) >> 1, Color.Green, LineStyle.Solid, 1);
						
			// Plot RSI
			ChartPane paneRSI = CreatePane(75,true,true);
			PlotSeries(paneRSI, ds_Rsi_St, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, sl_RsiOverboughtLevel_St.Value, Color.Red, LineStyle.Solid, 1);
			
			/*>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
			 * S T R A T E G Y  C A L C U L A T I O N
			 *<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<*/
			//Barloop:
			
			int startbar = GetTradingLoopStartBar(2);
			if (SignalOnly.Value == 1) startbar = Bars.Count -1;
			
			
			for(int bar = startbar; bar < Bars.Count; bar++)
			{
				if (ActivePositions.Count > 0)
				{
					/*>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
					 * E X I T S 
					 *<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<*/
					for(int PosIndex = ActivePositions.Count - 1 ; PosIndex >= 0 ; PosIndex-- )	
					{
						// Create position object and assign one of the last active positions
						Position p = ActivePositions [PosIndex];
					
						// Short Exits
						if(p.PositionType == PositionType.Short)
						{
							// Time Based Exit
							if (bar - p.EntryBar >= sl_Tbx_St.ValueInt)
							{
								CoverAtClose(bar, p, "TBX");
							}
							else
							{	
							// ATR Exit
								CoverAtLimit(bar + 1, p, Close[p.EntryBar - 1] - ds_TgtAtr_St[bar], "ATR Exit");						
							}
						}
					}
				}
				/*>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
				 * E N T R I E S 
				 *<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<*/
									
					// Short Entry
				if (CumUp.Value(bar, Close, 1) >= sl_NumberBarsUp_St.ValueInt)
				{
					if (ds_Adx_St[bar] > sl_Adx_Value_St.ValueInt)
					{
						if (ds_Rsi_St[bar] > sl_RsiOverboughtLevel_St.Value)
						{
							double pPrio = stochPosPrio[bar]; // Übergabe der Stochastik an die Variable pPrio - einfach 1:1 übernehmen (Achtung: mit 100 - xy nur für Long brauchbar)
							string pPrioStrg = string.Format("{0:0.00} / xLmt={1:0.00} / Close={2:0.00}", pPrio, Close[bar] - ds_TgtAtr_St[bar], Close[bar] ); // Definition Textausgabe - auf richtige Slider Zuweisung (Mulit ATR LG) achten!
							
							if ( SellAtMarket( bar + 1, pPrioStrg) != null )
							{
								LastActivePosition.Priority = pPrio;	// Prio Setzen
							}
						}
					}
				}
			}
		}
	}
}

[/code]