Turtle Trader - Wealth Lab Forum

Turtle Trader

Author: StkLab

Creation Date: 9/30/2008 7:07 PM

Wealth Lab » Trading Strategies » Turtle Trader

StkLab

9/30/2008 7:07 PM

Need some HELP converting script "Turtle Original V3.1" in WL4 (see old site) to WL5. Can one of the programers in the community convert this code?

ilian

9/30/2008 10:20 PM

see:

CODE:
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Size:

Color:

see:
[CODE]
 using System;

using System.Drawing;

using WealthLab;

using WealthLab.Indicators;

namespace WealthLab.Strategies
{

public class MyStrategy : WealthScript
	{ 
		double N,L1, S1, L2, S2, L3, S3, L4, S4, SE, LE, LS, SS, FU, FD, Tick ;

protected override void Execute()
		{ 
			int ChannelUp, ChannelDn, LongExit, ShrtExit, FailsafeUp, FailsafeDn;
			double BrktProf;
			int LeadBars, ATRParam, LstPsExBar; 
			bool cond20;
 			ChannelUp = 20 ;
			ChannelDn = 20 ;
			LongExit = 10 ;
			ShrtExit = 10 ;
			FailsafeUp = 55 ;
			FailsafeDn = 55 ;
			ATRParam = 20 ;
 			PlotStops();
			Tick = Bars.SymbolInfo.Tick;
 			PlotSeries(PricePane, Highest.Series(High, ChannelUp) >> 1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, Lowest.Series(Low, ChannelDn ) >> 1, Color.Red, LineStyle.Dotted, 1);
			PlotSeries(PricePane, Highest.Series(High, FailsafeUp) >> 1, Color.Blue, LineStyle.Dotted, 1);
			PlotSeries(PricePane, Lowest.Series(Low, FailsafeDn) >> 1, Color.Fuchsia, LineStyle.Solid, 1);

LeadBars =Math.Max(FailsafeUp, FailsafeDn);
 			for(int bar = LeadBars; bar < Bars.Count; bar++)
			{

SE = Highest.Series(High, ShrtExit)[bar]+ Tick ;
				LE = Lowest.Series(Low, LongExit)[bar]-Tick ;
				N = ATR.Series(Bars,ATRParam)[bar];
 				if (Positions.Count == 0 ) 
				{
					L1 = Highest.Series(High, ChannelUp)[bar];
					S1 = Lowest.Series(Low, ChannelDn)[bar];
					L2 = L1 + 0.5 * N ;
					S2 = S1 - 0.5 * N ;
					L3 = L1 + 1.0 * N ;
					S3 = S1 - 1.0 * N ;
					L4 = L1 + 1.5 * N ;
					S4 = S1 - 1.5 * N ;
					BuyAtStop( bar+1,L1, "L1" );
					ShortAtStop( bar+1,S1, "S1"); 
				}
				else 
 				{
					if (ActivePositions.Count==3 )
					{ 
						BuyAtStop( bar+1,L4, "L4" );
						ShortAtStop( bar+1,S4, "S4");

}
					if(ActivePositions.Count==2 )
					{ 
						BuyAtStop( bar+1,L3, "L3" );
						ShortAtStop( bar+1,S3, "S3");

}
					if (ActivePositions.Count==1 )
					{ 
						BuyAtStop( bar+1,L2, "L2" );
						ShortAtStop( bar+1,S2, "S2");

}
 					if (ActivePositions.Count==0 )
					{ 
						cond20 = false ;
						BrktProf = 0 ;
						LstPsExBar = LastPosition.ExitBar;
 						foreach( Position p in Positions )
							if (p.ExitBar == LstPsExBar )
								BrktProf = BrktProf + p.NetProfit;

if (BrktProf < 0 )
							cond20 = true ;

if (cond20 == true)
						{

L1 = Highest.Series(High, ChannelUp)[bar];
							S1 = Lowest.Series(Low, ChannelDn)[bar];
 							L2 = L1 + 0.5 * N ;
							S2 = S1 - 0.5 * N ;
							L3 = L1 + 1.0 * N ;
							S3 = S1 - 1.0 * N ;
							L4 = L1 + 1.5 * N ;
							S4 = S1 - 1.5 * N ;
							BuyAtStop( bar+1,L1, "L1" );
							ShortAtStop( bar+1,S1, "S1");

}

else 
						{

FU = Highest.Series(High, FailsafeUp)[bar];
							FD = Lowest.Series(Low, FailsafeDn)[bar];
 							L2 = FU + 0.5 * N ;
							S2 = FD - 0.5 * N ;
							L3 = FU + 1.0 * N ;
							S3 = FD - 1.0 * N ;
							L4 = FU + 1.5 * N ;
							S4 = FD - 1.5 * N ;
							BuyAtStop( bar+1,FU, "FU" );
							ShortAtStop( bar+1,FD, "FD");

} 
					}

} 
 				foreach( Position p in Positions )
				{
					if ( p.Active )
						if(p.PositionType==PositionType.Long)
							LS=p.EntryPrice-2*N;

else
							SS=p.EntryPrice+2*N;
				}
 				foreach( Position p in Positions )
				{
					if ( p.Active )
						if(p.PositionType==PositionType.Long)
							SellAtStop( bar+1,p, LS, "LongStop");
						else
							CoverAtStop(bar+1, p, SS, "ShortStop");
					if(p.PositionType==PositionType.Long)
						SellAtStop( bar+1, p, LE, "LongExit");
					else
						CoverAtStop( bar+1, p, SE, "ShortExit");
				}

} 
		}

}
}

[/CODE]

StkLab

10/1/2008 7:01 AM

Thanks a lot!

Cone

10/1/2008 8:36 AM

Although it's not a problem in this case, just a word of caution about creating trades after checking the Positions.Count. To remove all doubt about peeking, it would be better to write the block of if (ActivePositions.Count == N) statements using "else" or a switch statement.

CODE:
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As I said, in this case it's not a problem due to the way the statements are ordered and the fact that the trading signals can only add another active Position.

Eugene

1/9/2009 8:03 AM

To whomever cares: there is a subtle logic error:

CODE:
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This way, the LS/SS variables are always taking into account the last active position. The appropriate change was applied to this Strategy's page in our WL5 Wiki.