Slow Stochastic Multi FIFO: Time-based Exit

sfronz

#1

5/31/2014 8:17 AM

I was wondering if someone could take a look at my adjustments to higgsja's Slow Stochastic Multi FIFO. I have a 12 bar timeout, but I'm getting some trades that stay open for 500+ bars. What am I missing?

sfronz

#2

5/31/2014 8:18 AM

CODE:
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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
{
	/******
	SlowStochMFIFO Multi FIFO:
		Concept:
			1. Multiple buys/sells aims for scaling in and out. 
			2. Buy every buy signal; 
			3. sell the earliest position on each sell signal;
			4. sell all positions if the signal line, %DSlow, crosses 
				below the Overbought line.

Optimization parameters:
			%KSlow look-back periods, 2-30
			%KSlow SMA smoothing periods, 3-20
			%DSlow SMA smoothing periods, 3-20
			Overbought level, 60-90
			Oversold level, 10-40
		
		Limitations:
			Buy signal: %KSlow crossing over %DSlow AND
				%KSlow is/was below Oversold
			Sell signal: %KSlow crossing under %DSlow AND
				%KSlow is/was above Overbought
			Multiple positions opened without limitation
			Positions closed on first in, first out 
			Buys on next day open price
			Sells on next day open price
	******/
	public class SlowStochMFIFO : WealthScript
	{
		// Enable parameter optimization
		private StrategyParameter KSlowPeriod;
		private StrategyParameter KSlowSmooth;
		private StrategyParameter DSlowSmooth;
		
		private StrategyParameter Overbought;
		private StrategyParameter Oversold;
		
		public SlowStochMFIFO()
		{
			/******
			%KSlow is an SMA of %K where %K looks at where the most recent price
					is as a percent inside the range established by the high and 
					low price over a set number of look-back periods
					Lane's classic is 14 look-back periods; could be days, weeks 
					or months
				Provide a slider: default 14, range 2-30
			******/
			KSlowPeriod = CreateParameter("%KSlow Period", 14, 2, 30, 1);
			
			/******
			%KSlowSmooth is the duration of the smoothing
				Lane's classic is a 3-period SMA
				Provide a slider: default 3, range 3-20
			******/
			KSlowSmooth = CreateParameter("%KSlow Smooth", 3, 3, 20 , 1);
			
			/******
			%DSlow is an SMA of %KSlow
				Lane's classic is a 3-period SMA
				Provide a slider: default 3, range 3-20
			******/
			DSlowSmooth = CreateParameter("%DSlow Smoothing", 3, 3, 20, 1);
			
			/******
			Overbought is a selected level above which sell signals are generated
				Lane's classic uses 80
				Provide a slider: default 80, range 60-90
			******/
			Overbought = CreateParameter("Overbought", 80, 60, 90, 5);
			
			/******
			Oversold is a selected level below which buy signals are generated
				Lane's classic uses 20
				Provide a slider: default 20, range 10-40
			******/
			Oversold = CreateParameter("Oversold", 20, 10, 40, 5);
		}
		
		protected override void Execute()
		{			
						
			DataSeries ma = SMA.Series(Close, 40);
			
			RSI rsi = RSI.Series(High,4);
			
			// Get values from the sliders
			int intKSlowPeriod = KSlowPeriod.ValueInt;
			int intKSlowSmooth = KSlowSmooth.ValueInt;
			int intDSlowSmooth = DSlowSmooth.ValueInt;

int intOversold = Oversold.ValueInt;
			int intOverbought = Overbought.ValueInt;
						
			// %KSlow is by definition %D so we'll use that series with variable smoothing
			DataSeries stKSlow = StochD.Series(Bars, intKSlowPeriod, intKSlowSmooth);
			
			// %DSlow is an SMA of %KSlow with same period as %KSlow and variable smoothing
			DataSeries stDSlow = SMA.Series(stKSlow, intDSlowSmooth);
			
			ChartPane paneStoch = CreatePane(75, true, true);
			
			// Draw in the Overbought and Oversold levels			
			DrawHorzLine(paneStoch, intOverbought, Color.Black,  LineStyle.Dashed, 1);
			DrawHorzLine (paneStoch, intOversold, Color.Black, LineStyle.Dashed, 1);

// Plot the %KSlow and %DSlow curves
			PlotSeries(paneStoch, stKSlow, Color.Black, LineStyle.Solid, 1);
			PlotSeries(paneStoch, stDSlow, Color.Red, LineStyle.Solid, 1);
						
			//for(int bar = GetTradingLoopStartBar(13); bar < Bars.Count; bar++)
			for (int bar = 41; bar < Bars.Count; bar++)

{
				
				if(IsLastPositionActive) 
				{
					if ( bar+1 - LastPosition.EntryBar >= 12 )
						SellAtMarket( bar+1, LastPosition, "Time-Based" );	
				}	
				
				
				if(CrossOver(bar, stKSlow, stDSlow) & (stKSlow[bar - 1] < intOversold))
				{
					// Have a buy signal: buy every one
					//BuyAtMarket(bar + 1, "Buy, Slow Stoch, Multi FIFO");
					if (Close[bar] > ma[bar])
					{
						if ( BuyAtMarket(bar + 1, rsi[bar].ToString("0.00") + "|") != null )
							LastPosition.Priority = -rsi[bar];
					}
				}

if(IsLastPositionActive) 
				{
					if ( bar+1 - LastPosition.EntryBar >= 12 )
						ExitAtMarket( bar+1, LastPosition, "Time-Based" );					
					
					// Have active positions
					if(CrossUnder(bar, stDSlow, intOverbought))
					{
						// stDSlow is crossing down through Overbought: sell all remaining positions
						SellAtMarket(bar + 1, Position.AllPositions, "Sell All, Slow Stoch, Multi FIFO");
					}
						
					
					else
					{
						// Check for conventional sell signal
						if( CrossUnder(bar, stKSlow, stDSlow) &  (stKSlow[bar - 1] > intOverbought))
						{
							SellAtMarket(bar + 1, ActivePositions[0], "Sell, Slow Stoch, Multi FIFO");
						}

}
					
				}
			}
		}
	}
}
[/code]

Eugene

#3

5/31/2014 8:45 AM

QUOTE:
I have a 12 bar timeout, but I'm getting some trades that stay open for 500+ bars. What am I missing?

You're missing that it's a multi-position system and your exit is closing only the LastPosition. To add a time-based exit, I'd rewrite the original system's code as follows:

CODE:
Please log in to see this code.

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[quote]I have a 12 bar timeout, but I'm getting some trades that stay open for 500+ bars. What am I missing? [/quote]
You're missing that it's a multi-position system and your exit is closing only the LastPosition. To add a time-based exit, I'd rewrite the original system's code as follows:

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

namespace WealthLab.Strategies
{
	/******
	SlowStochMFIFO Multi FIFO:
		Concept:
			1. Multiple buys/sells aims for scaling in and out. 
			2. Buy every buy signal; 
			3. sell the earliest position on each sell signal;
			4. sell all positions if the signal line, %DSlow, crosses 
				below the Overbought line.

Optimization parameters:
			%KSlow look-back periods, 2-30
			%KSlow SMA smoothing periods, 3-20
			%DSlow SMA smoothing periods, 3-20
			Overbought level, 60-90
			Oversold level, 10-40
		
		Limitations:
			Buy signal: %KSlow crossing over %DSlow AND
				%KSlow is/was below Oversold
			Sell signal: %KSlow crossing under %DSlow AND
				%KSlow is/was above Overbought
			Multiple positions opened without limitation
			Positions closed on first in, first out 
			Buys on next day open price
			Sells on next day open price
	******/
	public class SlowStochMFIFO : WealthScript
	{
		// Enable parameter optimization
		private StrategyParameter KSlowPeriod;
		private StrategyParameter KSlowSmooth;
		private StrategyParameter DSlowSmooth;
		
		private StrategyParameter Overbought;
		private StrategyParameter Oversold;
		
		public SlowStochMFIFO()
		{
			/******
			%KSlow is an SMA of %K where %K looks at where the most recent price
					is as a percent inside the range established by the high and 
					low price over a set number of look-back periods
					Lane's classic is 14 look-back periods; could be days, weeks 
					or months
				Provide a slider: default 14, range 2-30
			******/
			KSlowPeriod = CreateParameter("%KSlow Period", 14, 2, 30, 1);
			
			/******
			%KSlowSmooth is the duration of the smoothing
				Lane's classic is a 3-period SMA
				Provide a slider: default 3, range 3-20
			******/
			KSlowSmooth = CreateParameter("%KSlow Smooth", 3, 3, 20 , 1);
			
			/******
			%DSlow is an SMA of %KSlow
				Lane's classic is a 3-period SMA
				Provide a slider: default 3, range 3-20
			******/
			DSlowSmooth = CreateParameter("%DSlow Smoothing", 3, 3, 20, 1);
			
			/******
			Overbought is a selected level above which sell signals are generated
				Lane's classic uses 80
				Provide a slider: default 80, range 60-90
			******/
			Overbought = CreateParameter("Overbought", 80, 60, 90, 5);
			
			/******
			Oversold is a selected level below which buy signals are generated
				Lane's classic uses 20
				Provide a slider: default 20, range 10-40
			******/
			Oversold = CreateParameter("Oversold", 20, 10, 40, 5);
		}
		
		protected override void Execute()
		{			
			// Get values from the sliders
			int intKSlowPeriod = KSlowPeriod.ValueInt;
			int intKSlowSmooth = KSlowSmooth.ValueInt;
			int intDSlowSmooth = DSlowSmooth.ValueInt;

int intOversold = Oversold.ValueInt;
			int intOverbought = Overbought.ValueInt;
						
			// %KSlow is by definition %D so we'll use that series with variable smoothing
			DataSeries stKSlow = StochD.Series(Bars, intKSlowPeriod, intKSlowSmooth);
			
			// %DSlow is an SMA of %KSlow with same period as %KSlow and variable smoothing
			DataSeries stDSlow = SMA.Series(stKSlow, intDSlowSmooth);
			
			ChartPane paneStoch = CreatePane(75, true, true);
			
			// Draw in the Overbought and Oversold levels			
			DrawHorzLine(paneStoch, intOverbought, Color.Black,  LineStyle.Dashed, 1);
			DrawHorzLine (paneStoch, intOversold, Color.Black, LineStyle.Dashed, 1);

// Plot the %KSlow and %DSlow curves
			PlotSeries(paneStoch, stKSlow, Color.Black, LineStyle.Solid, 1);
			PlotSeries(paneStoch, stDSlow, Color.Red, LineStyle.Solid, 1);
						
			for(int bar = GetTradingLoopStartBar(2); bar < Bars.Count; bar++)
			{
				if(CrossOver(bar, stKSlow, stDSlow) & (stKSlow[bar - 1] < intOversold))
				{
					// Have a buy signal: buy every one
					BuyAtMarket(bar + 1, "Buy, Slow Stoch, Multi FIFO");
				}
				
				// Have active positions
				if(CrossUnder(bar, stDSlow, intOverbought))
				{
					// stDSlow is crossing down through Overbought: sell all remaining positions
					SellAtMarket(bar + 1, Position.AllPositions, "Sell All, Slow Stoch, Multi FIFO");
				}
				
				if( ActivePositions.Count > 0 )
				{	
					for (int p = ActivePositions.Count - 1; p > -1; p-- )
					{
						Position pos = ActivePositions[p];
						if ( bar+1 - pos.EntryBar >= 12 )
							SellAtMarket( bar+1, pos, "Time-Based" );
						else
							// Check for conventional sell signal
							if( CrossUnder(bar, stKSlow, stDSlow) &  (stKSlow[bar - 1] > intOverbought))
								SellAtMarket(bar + 1, ActivePositions[0], "Sell, Slow Stoch, Multi FIFO");
					}					
				}
			}
		}
	}
}
[/code]

sfronz

#4

5/31/2014 10:42 AM

Thank you Eugene. That is what I missed!

WEALTHPRO25

#5

10/25/2017 2:27 PM

for the Stochastic Multi FIFO strategy is it possible so you can scan a dataset for the last 30 days to see which symbols have a stochastic crossover when moved from below 20 upward for entry and which symbols have a stochastic crossover when moved from above 80 downward

Eugene

#6

10/25/2017 2:58 PM

If the question is "how to see which symbols had an entry signal in the last N days", then it should be possible in general in WLP (one way or another).

WEALTHPRO25

#7

10/25/2017 3:25 PM

how to code for the entry signal in the last N days for a data set when there is a cross over of the stochastic when moved fro below 20 upward in the above code