Alerts are displayed in alphabetical order but orders are not

Author: mikesblack

Creation Date: 4/30/2018 10:06 AM

Wealth Lab » WealthScript (.NET) » Alerts are displayed in alphabetical order but orders are not

mikesblack

4/30/2018 10:06 AM

Hi,
While trading the Simplicity system, I am getting alerts displayed in alphabetical order, while in testing the orders are not being selected in alphabetical order. What would I need to do to select alerts as per the back test results?
Thanks

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Hi,
 While trading the Simplicity system, I am getting alerts displayed in alphabetical order, while in testing the orders are not being selected in alphabetical order. What would I need to do to select alerts  as per the back test results?
Thanks

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

namespace WealthLab.Strategies
{
	public class Simplicity1 : WealthScript
	{
		private StrategyParameter paramOptVar1;
		private StrategyParameter paramatrpValue;
                              
		public Simplicity1()
		{
			paramOptVar1 = CreateParameter("OptVar1", 95, 80, 145, 5);
			paramatrpValue = CreateParameter("atrpVal", 1, 0, 15, 1);
		}
                              
		protected override void Execute()
		{
			DataSeries cdn = CumDown.Series(Close, 1);
			DataSeries Turnover = ( AveragePrice.Series( Bars ) * Volume ) * 0.001;
			DataSeries AvgC = AveragePriceC.Series( Bars );
			DataSeries atrp = ATRP.Series(Bars,5);
			int Num = 0;                                    
                                             
			int OptVar1 = paramOptVar1.ValueInt;
			int atpValue = paramatrpValue.ValueInt;

for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{ 
					Position p = LastPosition;
					Num--;
                                                                           
					            
					if( Num < 0 )
						SellAtMarket( bar+1, p, "Exit" );

}
				else
				{
					if( atrp[bar] >= atpValue)
						if( ( Turnover[bar] > 5000 ) & ( AvgC[bar] < AvgC[bar-1]))
							if( BuyAtLimit( bar+1, AvgC[bar] * OptVar1 * 0.01, "Enter" ) != null )
								
								Num = 0;
										           
				}
			}
                                             
			HideVolume();
			ChartPane TurnPane = CreatePane( 40, false, true );
			PlotSeries( TurnPane, Turnover, Color.Black, WealthLab.LineStyle.Solid, 2 );
		}
	}
}

[/code]

Eugene

4/30/2018 10:41 AM

Mike,

Here we go again. I knew I had already answered this question before, so finding it with Google's full text search for "site:wealth-lab.com/forum/posts/" prepended by your username was hands down:

Priority value in signal name column in Alerts/Trades is not ordering from low to high

Is this what you're asking?

KGo

4/30/2018 5:12 PM

Mike,
Two or more limit orders for the same bar in backtest are filled randomly (no priority is given) so each time the strategy is executed you may see different orders filled in the backtest. The backtest is an approximation.

In actual trading the orders that occur earliest in the bar are filled first.

Bottom line for this system is when cash is limited the backtest will likely fill different limit orders than would execute in live trading. I recommend fully exploring this topic to fully appreciate any model developed.
Kevin

mikesblack

5/1/2018 12:20 PM

Thank you Eugene and KGo.

mikesblack

5/1/2018 1:28 PM

kGo,
What would be the best way to select trades? This morning I traded the largest price symbols. Is there a better way or does it matter?

KGo

5/1/2018 5:10 PM

Mike,
In general the market not the trader determines which limit orders are filled. This means we either submit all limit orders to broker or monitor throughout the day all orders via WL and then submit just those that are most likely to fill because price has gotten close to the limit.

If 60 of 100 stocks produced limit order alerts last night we must be prepared to fill the order for the first ones that meet the limit. There may be none, or 1 or 60 that will fill today which we don't know in advance. If we wish to fill only 5 orders then we need to stop fills after the first 5.

Trading these limit order systems is more complex than trading a buy at the market open system where trade priority can be set the night before on any criteria like price since all orders fill at the same time.
Kevin