Stop Loss for Gap Filler Straregy

Author: Woodman750

Creation Date: 5/20/2009 11:26 AM

Wealth Lab » Trading Strategies » Stop Loss for Gap Filler Straregy

Woodman750

5/20/2009 11:26 AM

I am trying to add a stop loss function to the included Gap Filler strategy. The script below doesn't seem to exit properly for any stop loss below 100, so I must have done something wrong. Any help would be greatly appreciated.

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

namespace WealthLabCompile
    {
    class GapFiller3 : WealthScript
    {
    //Create parameters
    private StrategyParameter pctGap;
	private StrategyParameter exitDays;
	private StrategyParameter maxLoss;

public GapFiller3()
    {
    pctGap = CreateParameter("Gap Percent", 8, 1, 15, 1);
	exitDays = CreateParameter("Timed Exit", 20, 1, 125, 1);
	maxLoss = CreateParameter("Max Loss Percent", 15, 1, 35, 1);
    }

protected override void Execute()
    {
        //Obtain parameters values
	double targetLevel = double.MaxValue;
	int timedExit = exitDays.ValueInt;
	int stopLoss = maxLoss.ValueInt;		
    DataSeries trigger = Bars.Close * (1 - pctGap.Value / 100) >> 1;
            PlotSeries(PricePane, trigger, Color.Blue, LineStyle.Solid, 1);

for (int bar = 1; bar < Bars.Count; bar++)
            {
				if (IsLastPositionActive)
				{
					Position Pos = LastPosition;
					if (Close[bar] < Pos.EntryPrice * (1 - stopLoss/100))
						SellAtMarket (bar+1, Pos, "Stoploss");
					
					if (bar + 1 - Pos.EntryBar >= timedExit)
						SellAtMarket(bar + 1, Pos, "Time-based");
					 else SellAtLimit(bar + 1, LastPosition, targetLevel);
                }
                else if (Open[bar] <= trigger[bar])
                {                 
                    BuyAtMarket(bar + 1);
                    targetLevel = Close[bar - 1];
                }
            }
        }
    }
}[/CODE]

Eugene

5/20/2009 11:57 AM

By the way, your stop loss coded in a way to execute on the next open after triggering the event - was that by design?

CODE:
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Woodman750

5/20/2009 1:42 PM

Thanks for the help Eugene. Selling at the next day open was not where I wanted to end up - but I'm a total newbie and so this was my first attempt at inserting a stop loss. Any ideas on how to trigger the sale immediately?

Thanks again.

Eugene

5/20/2009 1:53 PM

Please try this:

CODE:
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In addition, I hope that the following KB article can be helpful -- it contains the code for a couple of gap closer systems:
System Building | Gap trading strategies