Strategy buys when it apparently should not

Author: SimhaD04

Creation Date: 1/25/2012 1:20 PM

Wealth Lab » Trading Strategies » Strategy buys when it apparently should not

SimhaD04

1/25/2012 1:20 PM

The following strategy:
http://www.daat.com/daatguest/z-Temp/astrategy.gif

CODE:
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Issued a buy alert today, 1/24/12:
Link removed by Eugene to protect from unveiling customer's Fidelity account number

This is despite the fact that Buy at Limit requires UltOsc2 <60, while it had been well >60 from January 9.

http://www.daat.com/daatguest/z-Temp/achart.gif

What am I missing here? thanks

Size:

Color:

The following strategy:
[LINK]http://www.daat.com/daatguest/z-Temp/astrategy.gif[/LINK]
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		protected override void Execute()
		{
			DataSeries ma = SMA.Series(Close, 20);
			DataSeries ma_1 = SMA.Series(Close, 160);
			DataSeries ma_2 = SMA.Series(Close, 160);
			DataSeries ma_3 = SMA.Series(Close, 20);
			DataSeries ma_4 = SMA.Series(Close, 20);

ChartPane pane1 = CreatePane(75,true,true);
			PlotSeries(pane1,UltimateOsc2.Series(Bars,7,14,28),Color.Blue,LineStyle.Solid,1);
			ChartPane pane2 = CreatePane(75,true,true);
			PlotSeries(pane2,MACDEx_Signal3.Series(Close,8,15,5),Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane, Highest.Series(High, 40) >> 1, Color.Red, LineStyle.Solid, 1);
			PlotSeries(PricePane,SMA.Series(Close,20),Color.Blue,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,160),Color.Blue,LineStyle.Solid,2);
			PlotSeries(PricePane, Lowest.Series(Low, 60) >> 1, Color.Green, LineStyle.Solid, 1);

for(int bar = GetTradingLoopStartBar(161); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group2|"))
					{
						if (Close[bar] < ma_1[bar])
						{
							if (MACDEx_Signal3.Series(Close,8,15,5)[bar] < 0)
							{
								SellAtClose(bar, p, "Group2");
							}
						}
					}
					if (p.EntrySignal.Contains("Group1|"))
					{
						bool cond3 = false;
						if (ma[bar] < ma[bar - 1])
						{
							if (UltimateOsc2.Series(Bars,7,14,28)[bar] > 60.00)
							{
								if (MACDEx_Signal3.Series(Close,8,15,5)[bar] < MACDEx_Signal3.Series(Close,8,15,5)[bar - 1])
								{
									cond3 = true;
								}
							}
						}
						bool cond4 = false;
						if (UltimateOsc2.Series(Bars,7,14,28)[bar] > 70.00)
						{
							cond4 = true;
						}
						if (cond3 || cond4)
						{
							SellAtLimit(bar + 1, p, Highest.Value(bar, High, 40), "Group1");
						}
					}

}
				else
				{
					if (Close[bar] > ma_4[bar])
					{
						if (MACDEx_Signal3.Series(Close,8,15,5)[bar] > -0.01)
						{
							if (MACDEx_Signal3.Series(Close,8,15,5)[bar] > MACDEx_Signal3.Series(Close,8,15,5)[bar - 1])
							{
								if (UltimateOsc2.Series(Bars,7,14,28)[bar] < 60)
								{
									BuyAtLimit(bar + 1, Close[bar], "Group1|Group2|");
								}
							}
						}
					}
					bool cond1 = false;
					if (ma_2[bar] > ma_2[bar - 1])
					{
						if (MACDEx_Signal3.Series(Close,8,15,5)[bar] > MACDEx_Signal3.Series(Close,8,15,5)[bar - 1])
						{
							cond1 = true;
						}
					}
					bool cond2 = false;
					if (ma_3[bar] > ma_3[bar - 1])
					{
						if (MACDEx_Signal3.Series(Close,8,15,5)[bar] > MACDEx_Signal3.Series(Close,8,15,5)[bar - 1])
						{
							cond2 = true;
						}
					}
					if (cond1 || cond2)
					{
						BuyAtLimit(bar + 1, Lowest.Value(bar, Low, 60), "Group1|Group2|");
					}

}
			}
		}
	}
}[/CODE]
Issued a buy alert today, 1/24/12:
[b]Link removed by Eugene to protect from unveiling customer's Fidelity account number[/b]

This is despite the fact that Buy at Limit requires UltOsc2 <60, while it had been well >60 from January 9.

[LINK]http://www.daat.com/daatguest/z-Temp/achart.gif[/LINK]

What am I missing here? thanks

Eugene

1/25/2012 1:50 PM

There are two buy conditions you added. Remove the UltimateOsc2 one and you'll see that it was probably generated by the other entry.

SimhaD04

1/25/2012 2:39 PM

The other Buy is supposed to execute only on channel low, while the alert came at channel high.

In any event, I removed the UltOsc2 from Buy at Limit and now it buys on 1/10/12, as soon as MACD>0, as it should. So, the problem remains. Thanks.

Eugene

1/25/2012 3:05 PM

The alert is indeed coming from the different entry (Lowest.Value...). Comment it out and see for yourself. Next time just break up your multiple conditions and review them one by one, it will help.

Double-check the alert entry price. It's an AtLimit order and it's well below the green line. There's absolutely nothing wrong.

SimhaD04

1/25/2012 9:49 PM

You are correct, the price it wants me to buy at is 37, but the price is actually >40. Is it telling me to place a limit buy order at 37 and wait until/if it is executed?

Thanks for removing the link, my bad. I edited the picture now.