Pain In The Neck With XDEV: Coding in Stop Loss Paramaters

Author: mc3273

Creation Date: 9/5/2014 4:56 PM

Wealth Lab » Trading Strategies » Pain In The Neck With XDEV: Coding in Stop Loss Paramaters

mc3273

9/5/2014 4:56 PM

Hello, would someone be able to adjust this code for the below parameters, I am looking for integrating a stop loss parameter into the below code. I attempted to insert it but I keep getting an error. Thanks

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[code]paramBars = CreateParameter("Delay entry", 3, 1, 50, 1);
paramPT = CreateParameter("Profit Target %",1,1,20,1.0);
paramSL = CreateParameter("Stop Loss %",0.5,0.5,10,0.5);
[/code]

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

namespace WealthLab.Strategies
{
	public class PainInTheNeckWithXDEV : WealthScript
	{

StrategyParameter param1;
		StrategyParameter param2;
		StrategyParameter param3;
		StrategyParameter paramBars;
		private StrategyParameter paramPT;
		private StrategyParameter paramSL;

public PainInTheNeckWithXDEV()
		{
			param1 = CreateParameter("nPeriod", 12, 4, 27, 1);
			param2 = CreateParameter("fBuyPct", 17, 1, 30, 1);
			param3 = CreateParameter("profit", 7, 5, 30, 1);
			paramBars = CreateParameter("Delay entry", 3, 1, 50, 1);
			paramPT = CreateParameter("Profit Target %",1,1,20,1.0);
			paramSL = CreateParameter("Stop Loss %",0.5,0.5,10,0.5);

}
		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( !IsLastPositionActive && this.CooledOff( bar, paramBars.ValueInt ) )
					
					if ( p.PositionType == PositionType.Long )
					{								
						//double ProfitTgt = p.EntryPrice + 500d;
						//double StopPrice = p.EntryPrice - 300d;
						double ProfitTgt = p.EntryPrice * (1 + target / 100.0d);
						double StopPrice = p.EntryPrice * (1 - stop / 100.0d);							
							
						if(!SellAtStop(bar + 1, p, StopPrice, "Stop Loss"))
							SellAtLimit(bar + 1, p, ProfitTgt, "Profit Target");
					}
				{
				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]

Eugene

9/5/2014 5:42 PM

Is this closer?

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Is this closer?

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

namespace WealthLab.Strategies
{
	public class PainInTheNeckWithXDEV : WealthScript
	{
		private StrategyParameter param1;
		private StrategyParameter param2;
		private StrategyParameter param3;
		private StrategyParameter paramBars;
		private StrategyParameter paramPT;
		private StrategyParameter paramSL;
		
		public PainInTheNeckWithXDEV()
		{
			param1 = CreateParameter("nPeriod", 18, 4, 27, 1);
			param2 = CreateParameter("fBuyPct", 10, 1, 30, 1);
			param3 = CreateParameter("profit", 15, 5, 30, 1);
			paramBars = CreateParameter("Delay entry", 3, 1, 50, 1);
			paramPT = CreateParameter("Profit Target %",1,1,20,1.0);
			paramSL = CreateParameter("Stop Loss %",0.5,0.5,10,0.5);
		}
		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 )
				{					
					for( int i = ActivePositions.Count-1; i >= 0; i--)
					{
						Position p = ActivePositions[i];
						double ProfitTgt = p.EntryPrice * (1 + paramPT.Value / 100.0d);
						double StopPrice = p.EntryPrice * (1 - paramSL.Value / 100.0d);
						if(!SellAtStop(bar + 1, p, StopPrice, "Stop Loss"))
							SellAtLimit(bar + 1, p, ProfitTgt, "Profit Target");
					}
					
					if( SellAtLimit( bar+1, Position.AllPositions, BasisPrice*(1+Profit), "Sell") )
						BasisPrice = 0; 
				}
				
				if( this.CooledOff( bar, paramBars.ValueInt ) )
					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]

LenMoz

9/5/2014 9:21 PM

How would one trade this strategy? Here's why I ask.

I optimized it on my S&P 500 portfolio over 10 years . It achieved an astonishing APR of 55.84% - for ten years! That translates to an 83 to 1 gain. Nothing I've developed comes close. But 28,000+ trades were not included. What's with that, I wondered?

Then I looked at the alerts for the next trading day, all 517 of them. There was a limit buy for virtually every symbol, at a very low limit price that few would see on the next trading day. But those that did were, I suspect, likely to have a bounce, perhaps explaining the fantastic performance.

Tantalizing, but I see no way to trade it.

BTW, The optimized parameters I used were {7,19,8,1,3,6}