TASC 2006-08 | Modeling the Market

Author: thodder

Creation Date: 11/25/2009 1:45 PM

Wealth Lab » Trading Strategies » TASC 2006-08 | Modeling the Market

thodder

11/25/2009 1:45 PM

I ported the WL4 strategy to WLP 5.5 as the following:

CODE:
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I wasn't sure if the WL4 code:

CODE:
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should be ported as:

CODE:
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Is my conversion correct? If so, it doesn't look like this strategy can be traded as ITL1 is invalid on the last two bars of the chart.

If you look at the TASC article (http://www.traders.com/documentation/FEEDbk_docs/2006/08/TradersTips/TradersTips.html#wealth) you'll notice that the red line is two bars left of the blue line, so I believe the WLP code matches the WL4 version.

Size:

Color:

I ported the WL4 strategy to WLP 5.5 as the following:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using TASCIndicators;

namespace WealthLab.Strategies
{
	public class InstantaneousTrendLineTrader : WealthScript
	{
		protected override void Execute()
		{
			ChartPane CCPane = CreatePane(10, false, false);
			DataSeries CC = CyclicComponent.Series(AveragePrice.Series(Bars), 20);
			DataSeries ITL = InstantaneousTrendLine.Series(AveragePrice.Series(Bars), 20);
			DataSeries ITL1 = ITL << 2;
			
			PlotSeries(PricePane, ITL, Color.Blue, WealthLab.LineStyle.Solid, 1);
			PlotSeries(PricePane, ITL1, Color.Red, WealthLab.LineStyle.Solid, 1);
			PlotSeries(CCPane, CC, Color.Red, WealthLab.LineStyle.Solid, 1);
			
			HideVolume();
			
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if (CrossUnder(bar, ITL1, ITL))
					{
						SellAtMarket(bar + 1, LastPosition, "Downtrend signal");
					}
				}
				else
				{
					if (CrossOver(bar, ITL1, ITL))
					{
						BuyAtMarket(bar + 1, "Uptrend signal");
					}
				}
			}
		}
	}
}[/CODE]
I wasn't sure if the WL4 code:
[CODE]var ITL1: integer = OffsetSeries(ITL, 2);
[/CODE]
should be ported as:
[CODE]DataSeries ITL1 = ITL << 2;[/CODE]
Is my conversion correct?  If so, it doesn't look like this strategy can be traded as ITL1 is invalid on the last two bars of the chart.

If you look at the TASC article ([LINK]http://www.traders.com/documentation/FEEDbk_docs/2006/08/TradersTips/TradersTips.html#wealth[/LINK]) you'll notice that the red line is two bars left of the blue line, so I believe the WLP code matches the WL4 version.

Cone

11/25/2009 3:06 PM

You're right. José made a mistake in the WL4 code. A delay should be entered as a negative number of bars, consequently the v5 code should be DataSeries ITL1 = ITL >> 2;