Peeking script - Wealth Lab Forum

Peeking script

Author: robesz

Creation Date: 8/29/2010 1:24 PM

Wealth Lab » Trading Strategies » Peeking script

robesz

8/29/2010 1:24 PM

I brought ATRStop into GapFiller script but unfortunately then script starts looks into the future. How to convert to avoid it?

CODE:
Please log in to see this code.

Size:

Color:

I brought ATRStop into GapFiller script but unfortunately then script starts looks into the future. How to convert to avoid it?

[CODE]

using System;
    using System.Collections.Generic;
    using System.Text;
    using WealthLab;
    using WealthLab.Indicators;
    using System.Drawing;

namespace WealthLabCompile
    {
    class GapPlusATRStop : WealthScript
    {
    //Create parameters

StrategyParameter pctGapLong;
	StrategyParameter pctGapShort;
    public GapPlusATRStop()
    {
	pctGapLong = CreateParameter("Gap Percent Low Open", 0.8, 0.1, 15, 0.1);
	pctGapShort = CreateParameter("Gap Percent Hi Open", 2, 0.1, 15, 0.1);
    }

protected override void Execute()
    {
    double targetLevelLong = double.MaxValue;
    double targetLevelShort = double.MinValue;
			
    DataSeries triggerLong = Bars.Close * (1 - pctGapLong.Value / 100) >> 1;
    DataSeries triggerShort = Bars.Close * (1 + pctGapShort.Value / 100) >> 1;
	
    DataSeries atrMult = 0.8 * ATR.Series(Bars, 100);
			
    PlotSeries(PricePane, triggerLong, Color.Blue, LineStyle.Solid, 1);
    PlotSeries(PricePane, triggerShort, Color.Red, LineStyle.Solid, 1);

for (int bar = 1; bar < Bars.Count; bar++)
            {
                
				/* Exits*/
				if (IsLastPositionActive)
                {
                
				Position p = LastPosition;
					
				/*Exit at limit*/
				SellAtLimit(bar + 1, p, targetLevelLong,"LX");
				CoverAtLimit(bar + 1, p, targetLevelShort, "SX");	
					
										
				/*Stop loss ATR Based */
				double StopATRLong = p.EntryPrice - atrMult[bar];
				double StopATRShort = p.EntryPrice + atrMult[bar]; 
				SellAtStop(bar, p, StopATRLong, "ATR LX stop");
				CoverAtStop(bar, p, StopATRShort, "ATR SX stop");
					
					/* Exit after 5 days */
				//	if ( bar - p.EntryBar >= 5 )
				//	SellAtMarket( bar+1, p, "Timed LX" );
				//	CoverAtMarket (bar+1, p, "Timed SX" );
					
                }
				/*Entry*/
                                else if (Open[bar] <= triggerLong[bar])
                                {                 
                                BuyAtMarket(bar);
                                targetLevelLong = Close[bar];
                                }
				else if (Open[bar] >= triggerShort[bar])
				{
				ShortAtMarket(bar);
				targetLevelShort = Close[bar];
				}
            }
        }
    }
}

}[/CODE]

Eugene

8/29/2010 1:44 PM

It peeked from the very beginning. You can't use a series i.e. triggerLong/Short which is calculated based on the closing price, to buy at open of the same bar. Change bar to bar+1 everywhere including the exits. (To avoid going index out of bounds, make sure that the bar is less than Bars.Count-1). Check Programming Trading Strategies > Peeking > Order of Trading Signals in the WealthScript Programming Guide: your stop order should preface the AtLimit order.

robesz

8/29/2010 3:25 PM

Thx Eugene, after your suggestion script now works as intended (I hope).

CODE:
Please log in to see this code.

Size:

Color:

Thx Eugene, after your suggestion script now works as intended (I hope).

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

namespace WealthLabCompile
    {
    class GapPlusATRStop : WealthScript
    {
    
	//Create parameters

StrategyParameter pctGapLong;
		StrategyParameter pctGapShort;
    
		public GapPlusATRStop()
    {
		pctGapLong = CreateParameter("Gap Percent Low Open", 20, 1, 60, 1);//gap value multiplied x10 
		pctGapShort	= CreateParameter("Gap Percent Hi Open", 30, 1, 60, 1);//-II-
    }

protected override void Execute()
    {
double targetLevelLong = double.MaxValue;
double targetLevelShort = double.MinValue;
			
DataSeries triggerLong = Bars.Close * (1 - pctGapLong.Value / 1000) >> 1;//open -n% gap value
DataSeries triggerShort = Bars.Close * (1 + pctGapShort.Value / 1000) >> 1;//open +n% gap value
	
DataSeries atrMult = 5* ATR.Series(Bars, 10);//ATR Stop Loss value
			
PlotSeries(PricePane, triggerLong, Color.Blue, LineStyle.Solid, 1);//Plot the long trigger
PlotSeries(PricePane, triggerShort, Color.Red, LineStyle.Solid, 1);//Plot the short trigger

for (int bar = 10; bar < Bars.Count - 1; bar++)
            {
                
				/* Exits*/
				/* First at stop next at limit */
				if (IsLastPositionActive)
                {
                
				Position p = LastPosition;
					
								
				/*Stop loss ATR Based */
			//	double StopATRLong = p.EntryPrice - atrMult[bar];
			//	double StopATRShort = p.EntryPrice + atrMult[bar]; 
			//	SellAtStop(bar + 1, p, StopATRLong, "ATR LX stop");
			//	CoverAtStop(bar + 1, p, StopATRShort, "ATR SX stop");
					
					/* Exit after n days */
				if ( bar - p.EntryBar >= 1 )
				SellAtMarket(bar+1, p, "Timed LX" );
				CoverAtMarket (bar+1, p, "Timed SX" );
				
				/*Exit at limit*/
				SellAtLimit(bar+1, p, targetLevelLong,"LX");
				CoverAtLimit(bar+1, p, targetLevelShort, "SX");
									
					
                }
				/*Entry*/
                else if (Open[bar+1] <= triggerLong[bar+1])
                {                 
                BuyAtMarket(bar + 1);
                targetLevelLong = Close[bar];
                }
		else if (Open[bar+1] >= triggerShort[bar+1])
		{
		ShortAtMarket(bar + 1);
		targetLevelShort = Close[bar];
		}
            }
        }
    }
}

[/CODE]

Cone

8/29/2010 4:36 PM

There are still problems:

1. You need to process your exits in this order: AtMarket, AtStop, and finally AtLimit. See the Programming Guide: Programming Trading Strategies > Peeking > Order of Trading Signals

2. The script looks ahead a bar to the next Opening price, i.e., Open[bar+1], and while that's acceptable in backtesting because it can be traded [with difficulty], you have to make adjustments to your script so that it does not cause an error when processing the last bar of the chart. However, for sure you cannot compare Open[bar+1] to triggerLong[bar+1] because the latter is based on the Close DataSeries, which you can't possibly know until the Close of the following day.

On the other hand, sure, you can compare today's Open to another DataSeries based on Closing prices. If this is what you intended, then you should write Open[bar] <= triggerLong[bar].

Note! Eugene's bar +1 comments apply to trading signals, not DataSeries. In general, you should never try to access a DataSeries on bar + 1.