Exit, if at a loss - Wealth Lab Forum

Exit, if at a loss

Author: topcat77

Creation Date: 5/5/2009 8:12 PM

Wealth Lab » Trading Strategies » Exit, if at a loss

topcat77

5/5/2009 8:12 PM

I am looking to find a way to install an exit that is conditional on the position being at a loss. For example, in this strategy, which positions against a bar that shows a 3x surge in volume, the position should exit after bar4, but only if it is at a loss :

CODE:
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Help or ideas much appreciated

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[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
	{

protected override void Execute()
		{
	
			int signalBar = 0;
			DataSeries BBUp = BBandUpper.Series( Close, 20, 2 );
			DataSeries bbL = BBandLower.Series(Close, 20, 2);
			PlotSeries(PricePane, bbL, Color.Gray, LineStyle.Solid, 2);
			
			DataSeries rsi = RSI.Series(Close, 14);	
			PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2 );
			ChartPane paneRSI = CreatePane(50,true,true);
			PlotSeries(paneRSI, rsi, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 70, Color.Green, LineStyle.Solid, 1);
			DataSeries maExit = EMALegacy.Series(Close,17);
			DataSeries maSlow = VMA.Series(Close,17);
			
			PlotSeries(PricePane,VMA.Series(Close,17),Color.Red,LineStyle.Solid,1);
			PlotSeries(PricePane,EMAModern.Series(Close,17),Color.Green,LineStyle.Solid,1);
			
			DataSeries Avgvolume = SMA.Series(Volume,2500);
			ChartPane paneVolume = CreatePane(50,true,true);
			PlotSeries (paneVolume,Avgvolume,Color.Teal,LineStyle.Dashed,2);
		
			
			for(int bar = 21; bar < Bars.Count; bar++)
			{	
				if (IsLastPositionActive)	
				{			
					Position p = LastPosition;	
					if (p.EntrySignal.Contains("Group1|"))
					{	
						if( CrossOver(bar, rsi, rsi[signalBar] + 15) || CrossUnder(bar, rsi, rsi[signalBar] -7)||CrossOver(bar,Close,maExit )||
							CrossOver(bar,Close,maSlow))
						{	
							SellAtMarket(bar + 1, p, "Group1");	
						}	
					}	
				}	
				else
				{	
					if (CrossUnder( bar, Low, bbL ))
						if( Volume[bar] >= (Volume[bar-1]*2.75) )
							// signal counts
					if (Volume[bar]< (Volume[bar-1]*8))
								//mitigates bad-ticks, signal counts
						
								if (rsi[bar] < 37.0 )
									//signal counts
								if (Volume[bar-1]> (Avgvolume[bar-1]*.375))
									//signal counts
								
								
					
					{
						BuyAtMarket(bar + 1, "Group1|");
						signalBar = bar;
					}
				}
			}
		}
	}
}[/CODE]

Help or ideas much appreciated

Eugene

5/6/2009 1:19 AM

1. Using average volume with the period of 2500 and starting the trading loop at bar 21 is incorrect.

CODE:
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2. Conditioning an order to execute only after a loss is a matter of checking the Position.NetProfit property: if it's less than 0, it's time to activate the exit.

CODE:
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3. IMO, assigning a bar to the signalBar variable makes sense if the Position has been created. For that, you might want to do the following:

CODE:
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Otherwise if the trade didn't happen when the capital isn't enough, you risk assigning the wrong bar.

CODE:
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Size:

Color:

1. Using average volume with the period of 2500 and starting the trading loop at bar 21 is incorrect.
[code]for(int bar = 2500; bar < Bars.Count; bar++)[/code]
2. Conditioning an order to execute only after a loss is a matter of checking the Position.NetProfit property: if it's less than 0, it's time to activate the exit.
[CODE]
if( bar + 1 - signalBar >=4 && p.NetProfit < 0 )
//...other exit conditions
[/CODE]
3. IMO, assigning a bar to the signalBar variable makes sense if the Position has been created. For that, you might want to do the following:
[CODE]
if( BuyAtMarket(bar + 1, "Group1|") != null )
	signalBar = bar;
[/CODE]
Otherwise if the trade didn't happen when the capital isn't enough, you risk assigning the wrong bar.

[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
	{
		protected override void Execute()
		{
			int signalBar = 0;
			DataSeries BBUp = BBandUpper.Series( Close, 20, 2 );
			DataSeries bbL = BBandLower.Series(Close, 20, 2);
			PlotSeries(PricePane, bbL, Color.Gray, LineStyle.Solid, 2);
			PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2 );
			
			DataSeries rsi = RSI.Series(Close, 14);	
			ChartPane paneRSI = CreatePane(50,true,true);
			PlotSeries(paneRSI, rsi, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 70, Color.Green, LineStyle.Solid, 1);
			DataSeries maExit = EMALegacy.Series(Close,17);
			DataSeries maSlow = VMA.Series(Close,17);
			
			PlotSeries(PricePane,VMA.Series(Close,17),Color.Red,LineStyle.Solid,1);
			PlotSeries(PricePane,EMAModern.Series(Close,17),Color.Green,LineStyle.Solid,1);
			
			DataSeries Avgvolume = SMA.Series(Volume,2500);
			ChartPane paneVolume = CreatePane(50,true,true);
			PlotSeries (paneVolume,Avgvolume,Color.Teal,LineStyle.Dashed,2);
		
			
			for(int bar = 2500; bar < Bars.Count; bar++)
			{	
				if (IsLastPositionActive)	
				{			
					Position p = LastPosition;	
					if (p.PositionType == PositionType.Long)
					{	
						if( bar + 1 - signalBar >=4 && p.NetProfit < 0 )
						if( CrossOver(bar, rsi, rsi[signalBar] + 15) || CrossUnder(bar, rsi, rsi[signalBar] -7)||
								CrossOver(bar,Close,maExit )|| CrossOver(bar,Close,maSlow))
						{	
							SellAtMarket(bar + 1, p);	
						}	
					}	
				}	
				else
				{	
					if (CrossUnder( bar, Low, bbL ))
						if( Volume[bar] >= (Volume[bar-1]*2.75) )
							// signal counts
							if (Volume[bar]< (Volume[bar-1]*8))
								//mitigates bad-ticks, signal counts
						
								if (rsi[bar] < 37.0 )
									//signal counts
									if (Volume[bar-1]> (Avgvolume[bar-1]*0.375))
										//signal counts					
									{
										if( BuyAtMarket(bar + 1) != null )
											signalBar = bar;
									}
				}
			}
		}
	}
}[/CODE]