How to translate Pain in the Neck with Xdev?

beris

#1

8/19/2008 8:06 AM

Hi Eugene.

I haven't programmed ever. Because of that I still haven't started using WL5. Is there a way to transfer a code from WL4 to WL 5? For start, for example, how could I transfer the code below (from Pain in the Neck with Xdev)to WL5? Thank you.

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Hi Eugene.

I haven't programmed ever. Because of that I still haven't started using WL5. Is there a way to transfer a code from WL4 to WL 5? For start, for example, how could I transfer the code below (from Pain in the Neck with Xdev)to WL5? Thank you. 
[CODE]{#OptVar1 18;4;27;1}
{#OptVar2 10;1;30;1}
{#OptVar3 15;5;30;1}

var P, x, Bar, nPeriod, nPriceMid, nMidDev, nLoDev, nHiLoDev, nHiLoDevWMA, nLoDevPct, nBuyPivot,nBuySellPct: integer;
var fBuyPct, BasisPrice, Profit : float;
var sInput: string;

nPeriod := #OptVar1;
fBuyPct := #OptVar2 / 1000;
profit := #OptVar3 / 1000;

SetShareSize(100);

{Create the MID Series}
nPriceMid := DivideSeriesValue(AddSeries(#High, #Low), 2);

{Create the Mid Deveation}
nMidDev := DivideSeries(EMASeries( nPriceMid, nPeriod ),nPriceMid);

{Create the MIDDev Series}
nHiLoDev := DivideSeries(#High, #Low);
nHiLoDevWMA := EMASeries( nHiLoDev, nPeriod );

{Create the Lo Deviations}
nLoDev := SubtractSeries(EMASeries( #Low, nPeriod ),MultiplySeries(EMASeries( #Low, nPeriod ),SubtractSeriesValue(nHiLoDevWMA,1)));

{Create the Buy Pivot}
nBuyPivot := MultiplySeriesValue(nLoDev,(1-fBuyPct));

{Plot}
PlotSeries( nLoDev, 0, 900, #Thin );
DrawLabel( 'LoDev(' + IntToStr(nPeriod) + ')', 0 );
PlotSeries( nBuyPivot, 0, #Green, #Thick );
DrawLabel( 'BuyPivot(' + IntToStr(nPeriod) + ')', 0 );
EnableNotes(True);

for Bar := 2*nPeriod to BarCount - 1 do 
begin

if ActivePositionCount = 0 then
   BasisPrice := 0;
  if ActivePositionCount > 0 then 
    if SellAtLimit(Bar+1, BasisPrice*(1+Profit), #All, 'Sell') then 
      BasisPrice := 0; 
  if BuyAtLimit( Bar + 1, @nBuyPivot[Bar], 'Long') then
  begin 
   p := ActivePositionCount; 
   BasisPrice := (BasisPrice*(P-1) + PositionEntryPrice(LastPosition))/P;
  end;
   
end;

[/CODE]

Eugene

#2

8/19/2008 8:16 AM

Here it goes:

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Here it goes:[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class beris : WealthScript
	{
		private StrategyParameter param1;
		private StrategyParameter param2;
		private StrategyParameter param3;
		
		public beris()
		{
			param1 = CreateParameter("nPeriod", 18, 4, 27, 1);
			param2 = CreateParameter("fBuyPct", 10, 1, 30, 1);
			param3 = CreateParameter("profit", 15, 5, 30, 1);
		}
		protected override void Execute()
		{
			int nPeriod = param1.ValueInt;
			double fBuyPct = param2.Value / 1000;
			double Profit = param3.Value / 1000;
			double BasisPrice = 0;
			WealthLab.Indicators.EMACalculation m = WealthLab.Indicators.EMACalculation.Modern;
				
			// Create the MID Series
			DataSeries nPriceMid = AveragePrice.Series( Bars );

// Create the Mid Deveation}
			DataSeries nMidDev = EMA.Series( nPriceMid, nPeriod, m ) / nPriceMid;

// Create the MIDDev Series
			DataSeries nHiLoDev = High / Low;
			DataSeries nHiLoDevWMA = EMA.Series( nHiLoDev, nPeriod, m );

// Create the Lo Deviations
			DataSeries nLoDev = EMA.Series( Low, nPeriod, m ) - 
				( EMA.Series( Low, nPeriod, m ) * ( nHiLoDevWMA - 1 ) );
			nLoDev.Description = "LoDev(" + nPeriod.ToString() + ")";

// Create the Buy Pivot
			DataSeries nBuyPivot = nLoDev * (1-fBuyPct);
			nBuyPivot.Description = "BuyPivot(" + nPeriod.ToString() + ")";
			
			for(int bar = 2 * nPeriod; bar < Bars.Count; bar++)
			{
				if( ActivePositions.Count == 0 )
					BasisPrice = 0;
				if( ActivePositions.Count > 0 )
					if( SellAtLimit( bar+1, Position.AllPositions, BasisPrice*(1+Profit), "Sell") )
						BasisPrice = 0; 
				if( BuyAtLimit( bar+1, nBuyPivot[bar], "Long" ) != null )
				{
					int p = ActivePositions.Count; 
					BasisPrice = ( BasisPrice*(p-1) + LastPosition.EntryPrice ) / p;
				}

}
			
			// Plot
			PlotSeries( PricePane, nLoDev, Color.Red, WealthLab.LineStyle.Solid, 1 );
			PlotSeries( PricePane, nBuyPivot, Color.Green, WealthLab.LineStyle.Solid, 2 );
		}
	}
}
[/CODE]

beris

#3

8/19/2008 9:43 AM

Thank you Eugene. It appears to be working. I appreciate it a lot. I'll test it now and compare the data (results) against the WL 4. Thanks again for your prompt assistance as always.

beris

#4

8/21/2008 3:16 PM

Eugene, it appears to be working well, thank you once again for being so fast and helpful.

Results are a bit different with WL5 (comparing the same chart to WL4), but it's almost identical.

I believe that reason for slightly different results (including open positions, trades, alerts, etc) when backtesting and strategizing in WL5 (comparing to simulation in WL4) might have something to do with commission setup (or maybe it has something else to do with that you know of).

In any way, to correct that, could you let me know how to change the commission amount in WL5, like I was able to do with WL4? With WL4 I was free to change to the amount I wanted, and with WL5 the only option is a pre-set "Fidelity Gold" structure. Even when I change commission to a different amount and click "calculate" it still shows $8 commission in that window (it doesn't change it). tia

Eugene

#5

8/21/2008 3:42 PM

Most likely, the difference is not about the different commission structure.

First and foremost, when the capital is "insufficient" the trades are picked truly randomly. Therefore, Priority must be assigned in WL5 (note: see QuickRef and WealthScript Guide regarding potential peeking with stop/limit orders).

Another possible cause for stop/limit orders is that the order is adjusted to the nearest tick.

beris

#6

8/21/2008 3:47 PM

Thank you, I'll read that, and see if I can figure it out. Thanks again.

Eugene

#7

8/21/2008 3:55 PM

Re: Commissions.

Yes, it will not change with 'Fidelity Gold' since it's a fixed plan $8 plan (see 'Commission Description').

As to their flexibility:

QUOTE:
In Versions 5.0 and 5.1, Commissions are somewhat limited in that users cannot select or store options. We foresee this deficiency being resolved in a future release.