Exit on Fixed Days - Wealth Lab Forum

Exit on Fixed Days

Author: rmccall

Creation Date: 3/30/2010 7:40 AM

Wealth Lab » Trading Strategies » Exit on Fixed Days

rmccall

3/30/2010 7:40 AM

I am doing something wrong, but can't figure it out having tried several apporaches. I want to honor the exit strategy in place, but add an exit after "HoldDays"(fix number of bars) even if the exits in place have not fired. I either get a fixed number of days, or in this case, I have some trades that do not create an exit beyond the number of fixed days.

CODE:
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Eugene

3/30/2010 8:51 AM

Are you using IsLastPositionActive in a multi-position Strategy?

rmccall

3/30/2010 9:37 AM

OOPPSS!

rmccall

3/30/2010 7:32 PM

Hey Eugene,
I have configured for multiple positions and 2 conditions, but still get no trades. The logic should generate trades, but the coding is suspect. Can you look at it for me?

CODE:
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Size:

Color:

Hey Eugene,
I have configured for multiple positions and 2 conditions, but still get no trades.  The logic should generate trades, but the coding is suspect.  Can you look at it for me?
[CODE]
//Scale = Daily
//Dataset = NAS100
//Position size = Pos Sizer (Max Entries per Day) 50%

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{

StrategyParameter strategyParameter1;
		StrategyParameter strategyParameter2;
		StrategyParameter strategyParameter3;
		StrategyParameter strategyParameter4;
		StrategyParameter strategyParameter5;
		public MyStrategy()
		{
			strategyParameter1 = CreateParameter("Period", 30, 10, 30, 1);
			strategyParameter2 = CreateParameter("BuyIn", 1, 1, 10, 1);
			strategyParameter3 = CreateParameter("SellOut", 10, 1, 10, 1);
			strategyParameter4 = CreateParameter("Prof", 2, 1, 10, 1);
			strategyParameter5 = CreateParameter("HoldDays", 20, 1, 20, 1);
		}

protected override void Execute()
		{
			int Period = strategyParameter1.ValueInt;   
			int BuyIn = strategyParameter2.ValueInt;   
			int SellOut = strategyParameter3.ValueInt;   
			int Prof = strategyParameter4.ValueInt;    
			int HoldDays = strategyParameter5.ValueInt;  
			bool UseAdjustedROC = true;	
			//def=true get a broad market index (S&P500 is used here) and its ROC data
			DataSeries sIndex = GetExternalSymbol( ".SPX", true ).Close;
			DataSeries sIndexROC = ROC.Series( sIndex, Period );			
			// get the ROC of selected stock
			DataSeries sROC = ROC.Series( Close, Period );			
			
			if( UseAdjustedROC )
			{
				// change from standard ROCs to the "adjusted" version
				sROC = EMA.Series( ROC.Series( Close, 1 ), Period, EMACalculation.Modern );
				sIndexROC = EMA.Series( ROC.Series( sIndex,  1), Period, EMACalculation.Modern );
			}			
			// compute the spread between the two (adjusted) ROCs
			// that is, the difference:  ROC(stock) - ROC(index)
			DataSeries sSpread = sROC - sIndexROC;
			
			sROC.Description = "sROC";
			sIndexROC.Description = "sIndexROC";
			sSpread.Description = "sSpread";			
			
			for(int bar = Period; bar < Bars.Count; bar++)
			{
				double R = sROC[bar];
				
				//Multiple positions
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)			
				{			
					Position p = ActivePositions[_pos];	
					if (p.Active)	
					{
						if (p.EntrySignal.Contains("Group1|"))	
	
						{	
							//Exit if Profit is reached and ROC spread drops below 1
							bool cond1 = false;
							if( ( p.NetProfitAsOfBarPercent( bar ) > Prof ) ||   
								( ( R > SellOut/10 ) & TurnDown( bar, sSpread ) ) )
							{	
								cond1 = true;
							}
							//Exit if bars exceed HoldDays
							bool cond2 = false;	
							if (bar + 1 - p.EntryBar >= HoldDays)	
							{	
								cond2 = true;
							}	
							//Exit if either cond1 or cond2 is reached
							if (cond1 || cond2)	
							{

SellAtMarket( bar + 1,  p, "Group1" );

}
						}				
						// enter a new long position after the stock had a dip,
						// as soon as the spread shows an improvement
						if( ( R < BuyIn/10) & TurnUp( bar, sSpread ) )
							if( BuyAtMarket( bar + 1, (-R).ToString() ) != null )
								// when trading multiple stocks, and not having enough cash to
								// enter all alerts, instruct WL’s $imulator to trade those with
								// the lowest (most negative) ROC value, hoping in a faster bounce
								LastPosition.Priority =  - R;			}
			
					}
				HideVolume();
				ChartPane Pane = CreatePane( 50, false, true );
				DrawHorzLine( Pane, 0, Color.Black, LineStyle.Solid, 2 );
				PlotSeries( Pane, sROC, Color.Red, LineStyle.Solid, 1 );
				PlotSeries( Pane, sIndexROC, Color.Blue, LineStyle.Dotted, 1 );
				PlotSeries( Pane, sSpread, Color.Green, LineStyle.Solid, 2 );
			}
		}
	}
}[/CODE]

Eugene

3/31/2010 1:40 AM

1. This condition is excessive (already looping by ActivePositions):

CODE:
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2. With this condition, your exit logic would never trigger - the entry doesn't contain "Group1":

CODE:
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And the problem was in putting the entry inside the ActivePositions loop - it didn't have a chance to trigger. Here's your code with all the changes and a little optimized:

CODE:
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Size:

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1. This condition is excessive (already looping by ActivePositions):
[CODE]if (p.Active)[/CODE]
2. With this condition, your exit logic would never trigger - the entry doesn't contain "Group1":
[CODE]if (p.EntrySignal.Contains("Group1|"))[/CODE]
And the problem was in putting the entry inside the ActivePositions loop - it didn't have a chance to trigger. Here's your code with all the changes and a little optimized:
[CODE]//Scale = Daily
//Dataset = NAS100
//Position size = Pos Sizer (Max Entries per Day) 50%

protected override void Execute()
		{
			int Period = strategyParameter1.ValueInt;   
			int BuyIn = strategyParameter2.ValueInt;   
			int SellOut = strategyParameter3.ValueInt;   
			int Prof = strategyParameter4.ValueInt;    
			int HoldDays = strategyParameter5.ValueInt;  
			bool UseAdjustedROC = true;	
			//def=true get a broad market index (S&P500 is used here) and its ROC data
			DataSeries sIndex = GetExternalSymbol( ".SPX", true ).Close;
			DataSeries sIndexROC = ROC.Series( sIndex, Period );			
			// get the ROC of selected stock
			DataSeries sROC = ROC.Series( Close, Period );			
			
			if( UseAdjustedROC )
			{
				// change from standard ROCs to the "adjusted" version
				sROC = EMA.Series( ROC.Series( Close, 1 ), Period, EMACalculation.Modern );
				sIndexROC = EMA.Series( ROC.Series( sIndex,  1), Period, EMACalculation.Modern );
			}			
			// compute the spread between the two (adjusted) ROCs
			// that is, the difference:  ROC(stock) - ROC(index)
			DataSeries sSpread = sROC - sIndexROC;
			
			sROC.Description = "sROC";
			sIndexROC.Description = "sIndexROC";
			sSpread.Description = "sSpread";			
			
			for(int bar = Period; bar < Bars.Count; bar++)
			{
				double R = sROC[bar];
				
				//Multiple positions
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)			
				{			
					Position p = ActivePositions[_pos];	
	
					//Exit if Profit is reached and ROC spread drops below 1
					bool cond1 = ( p.NetProfitAsOfBarPercent( bar ) > Prof ) ||   
						( ( R > SellOut/10 ) & TurnDown( bar, sSpread ) );
					//Exit if bars exceed HoldDays
					bool cond2 =  (bar + 1 - p.EntryBar >= HoldDays);
					//Exit if either cond1 or cond2 is reached
					if (cond1 || cond2)	
						SellAtMarket( bar + 1,  p, "Group1" );
				}
					// enter a new long position after the stock had a dip,
						// as soon as the spread shows an improvement
						if( ( R < BuyIn/10) & TurnUp( bar, sSpread ) )
							if( BuyAtMarket( bar + 1, (-R).ToString() ) != null )
								// when trading multiple stocks, and not having enough cash to
								// enter all alerts, instruct WL’s $imulator to trade those with
								// the lowest (most negative) ROC value, hoping in a faster bounce
								LastPosition.Priority =  - R;

}
			
			HideVolume();
			ChartPane Pane = CreatePane( 50, false, true );
			DrawHorzLine( Pane, 0, Color.Black, LineStyle.Solid, 2 );
			PlotSeries( Pane, sROC, Color.Red, LineStyle.Solid, 1 );
			PlotSeries( Pane, sIndexROC, Color.Blue, LineStyle.Dotted, 1 );
			PlotSeries( Pane, sSpread, Color.Green, LineStyle.Solid, 2 );

}
	}
}[/CODE]

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