Why StochRSI is often at 0 or 100?

mrsic

#1

6/1/2017 6:37 PM

Hi,

Could someone please take a look over it (Priority for Long and Short). Both indicators oscillate from 0 - 100 but i get very often signals with a priority of 100. I think that can not be. When i get 10 signals with 1 priority of 100, which siganl has priority?
I'm not a programmer.

greetings damir

CODE:
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Hi,

Could someone please take a look over it (Priority for Long and Short). Both indicators oscillate from 0 - 100 but i get very often signals with a priority of 100. I think that can not be. When i get 10 signals with 1 priority of 100, which siganl has priority?
I'm not a programmer.

greetings damir

[code]private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		private StrategyParameter slider4;
		private StrategyParameter slider5;
		private StrategyParameter slider6;
		private StrategyParameter slider7;
		private StrategyParameter slider8;
		private StrategyParameter slider9;
		private StrategyParameter slider10;
		private StrategyParameter slider11;
		private StrategyParameter slider12;
		private StrategyParameter slider13;
		private StrategyParameter slider14;
		private StrategyParameter slider15;
		private StrategyParameter slider16;
		public MyStrategy()
		{
			slider1 = CreateParameter("NoB_LG",3,1,10,1);
			slider2 = CreateParameter("LB_LG",1,1,1,1);
			slider3 = CreateParameter("StochRSI_LB_LG",5,1,10,1);
			slider4 = CreateParameter("Overbought_LV_LG",82,66,90,2);
			slider5 = CreateParameter("Oversold_LV_LG",26,20,32,1);
			slider6 = CreateParameter("ATR_LB_LG",5,1,10,1);
			slider7 = CreateParameter("ATR_Multiplier_LG",2.4,1.5,3,0.1);
			slider8 = CreateParameter("TBX_LG",4,1,10,1);
			
			
			slider9 = CreateParameter("NoB_ST",3,1,10,1);
			slider10 = CreateParameter("LB_ST",1,1,1,1);
			slider11 = CreateParameter("StochRSI_LB_ST",5,1,10,1);
			slider12 = CreateParameter("Overbought_LV_ST",71,65,80,1);
			slider13 = CreateParameter("Oversold_LV_ST",28,20,35,1);
			slider14 = CreateParameter("ATR_LB_ST",5,1,10,1);
			slider15 = CreateParameter("ATR_Multiplier_ST",1.3,1,2,0.1);
			slider16 = CreateParameter("TBX_ST",2,1,10,1);
		}

protected override void Execute()
		{
			      DataSeries RSIOverSoldLong = StochRSI.Series(Close, slider3.ValueInt);
			      DataSeries RSIOverBoughtShort = StochRSI.Series(Close, slider11.ValueInt);
			
			      //DataSeries für den ATR
			      DataSeries Atr_LG = ATR.Series( Bars, slider6.ValueInt); // DataSeries für ATR_LG
		          DataSeries Atr_ST = ATR.Series( Bars, slider14.ValueInt); // DataSeries für ATR_ST

ChartPane pane1 = CreatePane(75,true,true);
			      PlotSeries(pane1, RSIOverSoldLong, Color.Blue, LineStyle.Solid, 2,RSIOverSoldLong.Description );
			      DrawHorzLine(pane1, slider4.ValueInt, Color.BlueViolet, LineStyle.Solid, 2);
			      DrawHorzLine(pane1, slider5.ValueInt, Color.BlueViolet, LineStyle.Solid, 2);
			PlotSeries(PricePane, (Close + ATR.Series(Bars, slider6.ValueInt) * slider7.Value) >> 1, Color.Green, LineStyle.Solid, 1);
			ChartPane pane2 = CreatePane(75,true,true);
			      PlotSeries(pane2, RSIOverBoughtShort, Color.Red, LineStyle.Solid, 2,RSIOverBoughtShort.Description );
			      DrawHorzLine(pane2, slider12.ValueInt, Color.Silver, LineStyle.Dotted, 1);
			      DrawHorzLine(pane2, slider13.ValueInt, Color.Silver, LineStyle.Dotted, 1);
			PlotSeries(PricePane, (Close - ATR.Series(Bars, slider14.ValueInt) * slider15.Value) >> 1, Color.Red, LineStyle.Solid, 1);

for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
				//	for (int bar = Bars.Count -1; bar < Bars.Count; bar++)       //Signalversion
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					
					if (p.PositionType == PositionType.Long)
						
				
				   {
					  if (bar - p.EntryBar >= slider8.ValueInt)
							
				       {
						  SellAtMarket(bar + 1, p);
					   }
						
						  SellAtLimit(bar + 1, p, Close[bar] + ATR.Value(bar, Bars, slider6.ValueInt) * slider7.Value);
						
				}
					else
				{
						    
						      if (bar - p.EntryBar >= slider16.ValueInt)
						{
							CoverAtMarket(bar + 1, p);
						}
						
							CoverAtLimit(bar + 1, p, Close[bar] - ATR.Value(bar, Bars, slider14.ValueInt) * slider15.Value);
					
				
						
					}

}
				else
				{
					if (CumDown.Value(bar, Close, slider2.ValueInt) >= slider1.ValueInt)
					{
						      if(RSIOverSoldLong[bar]<slider5.ValueInt)
						{
							double priority = 100 - RSIOverSoldLong[bar];                   //Priority berechnen
							
							string priorityString = string.Format("{0:0.00} / Limit={1:0.00} / Close={2:0.00} ", priority, Close [bar] + Atr_LG[bar] * slider7.Value, Close[bar]);
							
							
							if (BuyAtMarket(bar + 1, priorityString) !=null)
							{
								LastActivePosition.Priority = priority;                      //Setzen der priority mit LastActivePosition (letzte Position)
							}
						}
					}
					if (CumUp.Value(bar, Close, slider10.ValueInt) >= slider9.ValueInt)
					{
						      if(RSIOverBoughtShort[bar]>slider12.ValueInt)
						{
							double priority = RSIOverBoughtShort[bar];                       //Priority berechnen
							
							string priorityString = string.Format("{0:0.00} / Limit={1:0.00} / Close={2:0.00} ", priority, Close [bar] - Atr_LG[bar] * slider15.Value, Close[bar]);
							
							
							if (ShortAtMarket(bar + 1, priorityString) !=null)
							{
								LastActivePosition.Priority = priority;                      //Setzen der priority mit LastActivePosition (letzte Position)
							}
						}
					}

}
			}
		}
	}
}[/code]

Eugene

#2

6/1/2017 7:01 PM

Hi,

QUOTE:
Both indicators oscillate from 0 - 100 but i get very often signals with a priority of 100. I think that can not be.

I think it can. The 5-period StochRSI is too responsive and it goes from 100 to 0 in a matter of 1-2 bars. Half of the time it's even 0 or 100. It shouldn't come as surprise because your system is programmed so that entries are made when the indicator is either below 26 or above 71.

QUOTE:
When i get 10 signals with 1 priority of 100, which siganl has priority?

I guess your signals are sorted in alphabetical order by symbol name.

Haven't found major issues with the code.

CODE:
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P.S.

1. You have already defined DataSeries for this so why the need in ATR.Value?

CODE:
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2. When doing this...

CODE:
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...keep in mind: No exit alert during trading hours. This is being discussed on the forum today.

Size:

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Hi,

[quote]Both indicators oscillate from 0 - 100 but i get very often signals with a priority of 100. I think that can not be. [/quote]
I think it can. The 5-period StochRSI is too responsive and it goes from 100 to 0 in a matter of 1-2 bars. Half of the time it's even 0 or 100. It shouldn't come as surprise because your system is programmed so that entries are made when the indicator is either below 26 or above 71.

[quote]When i get 10 signals with 1 priority of 100, which siganl has priority?[/quote]
I guess your signals are sorted in alphabetical order by symbol name.

Haven't found major issues with the code.
[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		private StrategyParameter slider4;
		private StrategyParameter slider5;
		private StrategyParameter slider6;
		private StrategyParameter slider7;
		private StrategyParameter slider8;
		private StrategyParameter slider9;
		private StrategyParameter slider10;
		private StrategyParameter slider11;
		private StrategyParameter slider12;
		private StrategyParameter slider13;
		private StrategyParameter slider14;
		private StrategyParameter slider15;
		private StrategyParameter slider16;
		public MyStrategy()
		{
			slider1 = CreateParameter("NoB_LG",3,1,10,1);
			slider2 = CreateParameter("LB_LG",1,1,1,1);
			slider3 = CreateParameter("StochRSI_LB_LG",5,1,10,1);
			slider4 = CreateParameter("Overbought_LV_LG",82,66,90,2);
			slider5 = CreateParameter("Oversold_LV_LG",26,20,32,1);
			slider6 = CreateParameter("ATR_LB_LG",5,1,10,1);
			slider7 = CreateParameter("ATR_Multiplier_LG",2.4,1.5,3,0.1);
			slider8 = CreateParameter("TBX_LG",4,1,10,1);
         
         
			slider9 = CreateParameter("NoB_ST",3,1,10,1);
			slider10 = CreateParameter("LB_ST",1,1,1,1);
			slider11 = CreateParameter("StochRSI_LB_ST",5,1,10,1);
			slider12 = CreateParameter("Overbought_LV_ST",71,65,80,1);
			slider13 = CreateParameter("Oversold_LV_ST",28,20,35,1);
			slider14 = CreateParameter("ATR_LB_ST",5,1,10,1);
			slider15 = CreateParameter("ATR_Multiplier_ST",1.3,1,2,0.1);
			slider16 = CreateParameter("TBX_ST",2,1,10,1);
		}

protected override void Execute()
		{
			DataSeries RSIOverSoldLong = StochRSI.Series(Close, slider3.ValueInt);
			DataSeries RSIOverBoughtShort = StochRSI.Series(Close, slider11.ValueInt);
         
			//DataSeries für den ATR
			DataSeries Atr_LG = ATR.Series( Bars, slider6.ValueInt); // DataSeries für ATR_LG
			DataSeries Atr_ST = ATR.Series( Bars, slider14.ValueInt); // DataSeries für ATR_ST

ChartPane pane1 = CreatePane(25,true,true);
			PlotSeries(pane1, RSIOverSoldLong, Color.Blue, LineStyle.Solid, 2,RSIOverSoldLong.Description );
			DrawHorzLine(pane1, slider4.ValueInt, Color.BlueViolet, LineStyle.Solid, 2);
			DrawHorzLine(pane1, slider5.ValueInt, Color.BlueViolet, LineStyle.Solid, 2);
			PlotSeries(PricePane, (Close + Atr_LG * slider7.Value) >> 1, Color.Green, LineStyle.Solid, 1);
			
			ChartPane pane2 = CreatePane(25,true,true);
			PlotSeries(pane2, RSIOverBoughtShort, Color.Red, LineStyle.Solid, 2,RSIOverBoughtShort.Description );
			DrawHorzLine(pane2, slider12.ValueInt, Color.Silver, LineStyle.Dotted, 1);
			DrawHorzLine(pane2, slider13.ValueInt, Color.Silver, LineStyle.Dotted, 1);
			PlotSeries(PricePane, (Close - Atr_ST * slider15.Value) >> 1, Color.Red, LineStyle.Solid, 1);

for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
               
					if (p.PositionType == PositionType.Long)
					{
						if (bar - p.EntryBar >= slider8.ValueInt)
							SellAtMarket(bar + 1, p);
						else                  
							SellAtLimit(bar + 1, p, Close[bar] + Atr_LG[bar] * slider7.Value);                  
					}
					else
					{
                      
						if (bar - p.EntryBar >= slider16.ValueInt)
							CoverAtMarket(bar + 1, p);
						else
							CoverAtLimit(bar + 1, p, Close[bar] - Atr_ST[bar] * slider15.Value);                  
					}

}
				else
				{
					var priority = 0d;
					var priorityString = "";
					
					if (CumDown.Value(bar, Close, slider2.ValueInt) >= slider1.ValueInt)
					{
						if(RSIOverSoldLong[bar]<slider5.ValueInt)
						{
							priority = 100d - RSIOverSoldLong[bar];                   //Priority berechnen                     
							priorityString = string.Format("{0:0.00} / Limit={1:0.00} / Close={2:0.00} ", priority, Close [bar] + Atr_LG[bar] * slider7.Value, Close[bar]);                     
                     
							if (BuyAtMarket(bar + 1, priorityString) !=null)
								LastActivePosition.Priority = priority;                      //Setzen der priority mit LastActivePosition (letzte Position)
						}
					}
					if (CumUp.Value(bar, Close, slider10.ValueInt) >= slider9.ValueInt)
					{
						if(RSIOverBoughtShort[bar]>slider12.ValueInt)
						{
							priority = RSIOverBoughtShort[bar];                       //Priority berechnen                     
							priorityString = string.Format("{0:0.00} / Limit={1:0.00} / Close={2:0.00} ", priority, Close [bar] - Atr_LG[bar] * slider15.Value, Close[bar]);                     
                     
							if (ShortAtMarket(bar + 1, priorityString) !=null)
								LastActivePosition.Priority = priority;                      //Setzen der priority mit LastActivePosition (letzte Position)
						}
					}

}
			}
		}
	}
}[/code]

P.S.

1. You have already defined DataSeries for this so why the need in ATR.Value?
[code]SellAtLimit(bar + 1, p, Close[bar] + ATR.Value(bar, Bars, slider6.ValueInt) * slider7.Value);
CoverAtLimit(bar + 1, p, Close[bar] - ATR.Value(bar, Bars, slider14.ValueInt) * slider15.Value);[/code]

2. When doing this...
[code]//   for (int bar = Bars.Count -1; bar < Bars.Count; bar++)       //Signalversion[/code]
...keep in mind: [link=https://www.wealth-lab.com/Forum/Posts/No-exit-alert-during-trading-hours-38834]No exit alert during trading hours[/link]. This is being discussed on the forum today.

mrsic

#3

6/1/2017 8:05 PM

Hi Eugene,

thanks.

I am a little confused.Do i not need ATR.Value to compute the ATR (Exit)? or its enough slider6.ValueInt * slider7.Value?

QUOTE:
1. You have already defined DataSeries for this so why the need in ATR.Value?
CODE:
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greetings

Eugene

#4

6/1/2017 8:42 PM

Damir, there's no harm but it's superfluous since there are DataSeries "Atr_LG" and "Atr_ST".

mrsic

#5

6/2/2017 7:36 AM

Hi Eugene,

QUOTE:
Damir, there's no harm but it's superfluous since there are DataSeries "Atr_LG" and "Atr_ST".

I do not know how I can make it better. Can you please show me how I can make it clearer

QUOTE:
When doing this...

This is based on an EOD-System. Is it better to use this starting point?

CODE:
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thanks.

greetings Damir

Eugene

#6

6/2/2017 8:09 AM

Damir,

QUOTE:
This is based on an EOD-System. Is it better to use this starting point?

Not only you cannot start the trading loop from Bars.Count-1 if you wish to avoid scenario that topic starter has experienced, but for a different reason. Doing so causes your trading signals to be even more unstable and incorrect because the strategy uses so called "unstable" indicators such as ATR, StochRSI and RSI. For the theory of it please check out the WealthScript Programming Guide > Indicators > Stability of Indicators. Although GetTradingLoopStartBar(1) sets a valid starting point I'd prefer to see the maximum lookback period of unstable indicators multiplied by 3. In your case, something like this:

CODE:
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QUOTE:
I do not know how I can make it better. Can you please show me how I can make it clearer

If you mean the usage of DataSeries, below please find an example. Note that the trades will slightly change as the starting bar is now different:

CODE:
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Size:

Color:

Damir,

[quote]This is based on an EOD-System. Is it better to use this starting point?[/quote]
Not only you cannot start the trading loop from [i]Bars.Count-1[/i] if you wish to avoid scenario that [link=https://www.wealth-lab.com/Forum/Posts/No-exit-alert-during-trading-hours-38834]topic starter[/link] has experienced, but for a different reason. Doing so causes your trading signals to be even more unstable and incorrect because the strategy uses so called "unstable" indicators such as ATR, StochRSI and RSI. For the theory of it please check out the WealthScript Programming Guide > Indicators > [i]Stability of Indicators[/i]. Although [i]GetTradingLoopStartBar(1)[/i] sets a valid starting point I'd prefer to see the maximum lookback period of unstable indicators multiplied by 3. In your case, something like this:

[code]			var startBar = 3 * Math.Max (Math.Max(slider6.ValueInt,slider14.ValueInt),
				Math.Max(slider3.ValueInt,slider11.ValueInt) );[/code]

[quote]I do not know how I can make it better. Can you please show me how I can make it clearer[/quote]
If you mean the usage of DataSeries, below please find an example. Note that the trades will slightly change as the starting bar is now different:
[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		private StrategyParameter slider4;
		private StrategyParameter slider5;
		private StrategyParameter slider6;
		private StrategyParameter slider7;
		private StrategyParameter slider8;
		private StrategyParameter slider9;
		private StrategyParameter slider10;
		private StrategyParameter slider11;
		private StrategyParameter slider12;
		private StrategyParameter slider13;
		private StrategyParameter slider14;
		private StrategyParameter slider15;
		private StrategyParameter slider16;
		public MyStrategy()
		{
			slider1 = CreateParameter("NoB_LG",3,1,10,1);
			slider2 = CreateParameter("LB_LG",1,1,1,1);
			slider3 = CreateParameter("StochRSI_LB_LG",5,1,10,1);
			slider4 = CreateParameter("Overbought_LV_LG",82,66,90,2);
			slider5 = CreateParameter("Oversold_LV_LG",26,20,32,1);
			slider6 = CreateParameter("ATR_LB_LG",5,1,10,1);
			slider7 = CreateParameter("ATR_Multiplier_LG",2.4,1.5,3,0.1);
			slider8 = CreateParameter("TBX_LG",4,1,10,1);
         
         
			slider9 = CreateParameter("NoB_ST",3,1,10,1);
			slider10 = CreateParameter("LB_ST",1,1,1,1);
			slider11 = CreateParameter("StochRSI_LB_ST",5,1,10,1);
			slider12 = CreateParameter("Overbought_LV_ST",71,65,80,1);
			slider13 = CreateParameter("Oversold_LV_ST",28,20,35,1);
			slider14 = CreateParameter("ATR_LB_ST",5,1,10,1);
			slider15 = CreateParameter("ATR_Multiplier_ST",1.3,1,2,0.1);
			slider16 = CreateParameter("TBX_ST",2,1,10,1);
		}

protected override void Execute()
		{
			DataSeries RSIOverSoldLong = StochRSI.Series(Close, slider3.ValueInt);
			DataSeries RSIOverBoughtShort = StochRSI.Series(Close, slider11.ValueInt);
         
			//DataSeries für den ATR
			DataSeries Atr_LG = ATR.Series( Bars, slider6.ValueInt); // DataSeries für ATR_LG
			DataSeries Atr_ST = ATR.Series( Bars, slider14.ValueInt); // DataSeries für ATR_ST

var ub = Close + Atr_LG * slider7.Value;
			var lb = Close - Atr_ST * slider15.Value;
			
			ChartPane pane1 = CreatePane(25,true,true);
			PlotSeries(pane1, RSIOverSoldLong, Color.Blue, LineStyle.Solid, 2,RSIOverSoldLong.Description );
			DrawHorzLine(pane1, slider4.ValueInt, Color.BlueViolet, LineStyle.Solid, 2);
			DrawHorzLine(pane1, slider5.ValueInt, Color.BlueViolet, LineStyle.Solid, 2);
			PlotSeries(PricePane, ub >> 1, Color.Green, LineStyle.Solid, 1);
         
			ChartPane pane2 = CreatePane(25,true,true);
			PlotSeries(pane2, RSIOverBoughtShort, Color.Red, LineStyle.Solid, 2,RSIOverBoughtShort.Description );
			DrawHorzLine(pane2, slider12.ValueInt, Color.Silver, LineStyle.Dotted, 1);
			DrawHorzLine(pane2, slider13.ValueInt, Color.Silver, LineStyle.Dotted, 1);
			PlotSeries(PricePane, lb >> 1, Color.Red, LineStyle.Solid, 1);

var startBar = 3 * Math.Max (Math.Max(slider6.ValueInt,slider14.ValueInt),
				Math.Max(slider3.ValueInt,slider11.ValueInt) );
			
			for(int bar = GetTradingLoopStartBar(startBar); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
               
					if (p.PositionType == PositionType.Long)
					{
						if (bar - p.EntryBar >= slider8.ValueInt)
							SellAtMarket(bar + 1, p);
						else                  
							SellAtLimit(bar + 1, p, ub[bar]);
					}
					else
					{
                      
						if (bar - p.EntryBar >= slider16.ValueInt)
							CoverAtMarket(bar + 1, p);
						else
							CoverAtLimit(bar + 1, p, lb[bar]);
					}

}
				else
				{
					var priority = 0d;
					var priorityString = "";
               
					if (CumDown.Value(bar, Close, slider2.ValueInt) >= slider1.ValueInt)
					{
						if(RSIOverSoldLong[bar]<slider5.ValueInt)
						{
							priority = 100d - RSIOverSoldLong[bar];                   //Priority berechnen                     
							priorityString = string.Format("{0:0.00} / Limit={1:0.00} / Close={2:0.00} ", priority, ub[bar], Close[bar]);                     
                     
							if (BuyAtMarket(bar + 1, priorityString) !=null)
								LastActivePosition.Priority = priority;                      //Setzen der priority mit LastActivePosition (letzte Position)
						}
					}
					if (CumUp.Value(bar, Close, slider10.ValueInt) >= slider9.ValueInt)
					{
						if(RSIOverBoughtShort[bar]>slider12.ValueInt)
						{
							priority = RSIOverBoughtShort[bar];                       //Priority berechnen                     
							priorityString = string.Format("{0:0.00} / Limit={1:0.00} / Close={2:0.00} ", priority, lb[bar], Close[bar]);                     
                     
							if (ShortAtMarket(bar + 1, priorityString) !=null)
								LastActivePosition.Priority = priority;                      //Setzen der priority mit LastActivePosition (letzte Position)
						}
					}

}
			}
		}
	}
}[/code]

mrsic

#7

6/2/2017 11:41 AM

Hi Eugene,
thanks a lot.

One more question. I have seen that the Topic Starter has used a fixed Dollar amount - i am working with pos. Sizer of 10%. Only for understanding, plays thats a role?

greetings