Buy if 9:30-10:00 Subject to Indicators with Trail

Author: NewDayTrader

Creation Date: 8/13/2009 12:25 PM

Wealth Lab » WealthScript (.NET) » Buy if 9:30-10:00 Subject to Indicators with Trail

NewDayTrader

8/13/2009 12:25 PM

I'm attempting to write code to execute a buy during only the 9:30-10:00 am timeframe subject to DI+/DI- crossover and increasing CMF. I've found all of my compiling errors, but I can't determine why I'm receiving the following Debug and Error Message--"Error processing symbol SPY Index was out of range. Must be non-negative and less than the size of the collection.
Parameter name: index." My best guess is that I have a logic error in my code. I'm backtesting the code using SPY 1-minute data in June 2009. Any help would be appreciated.

Here's my code:

CODE:
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I'm attempting to write code to execute a buy during only the 9:30-10:00 am timeframe subject to DI+/DI- crossover and increasing CMF.  I've found all of my compiling errors, but I can't determine why I'm receiving the following Debug and Error Message--"Error processing symbol SPY	Index was out of range. Must be non-negative and less than the size of the collection.
Parameter name: index."  My best guess is that I have a logic error in my code.  I'm backtesting the code using SPY 1-minute data in June 2009.  Any help would be appreciated.

Here's my 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
	{
		public int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}
		
		protected override void Execute()
		{
			DataSeries diplus = DIPlus.Series(Bars,14);
			DataSeries diminus = DIMinus.Series(Bars,14);

ChartPane pane1 = CreatePane(75,true,true);
			PlotSeries(pane1,CMF.Series(Bars,15),Color.Green,LineStyle.Solid,2);
			ChartPane paneADX = CreatePane(75,true,true);
			PlotSeries(paneADX,diplus,Color.Purple,LineStyle.Solid,3);
			PlotSeries(paneADX,diminus,Color.Blue,LineStyle.Solid,3);
			
			// The strategy buys stocks only in the time period between 9:30 am and 10:00 am.
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						double high = p.MFEAsOfBar(bar) / p.Shares + p.EntryPrice;
						double amount = high - high * (1.25 / 100.0);
						SellAtTrailingStop(bar + 1, p, amount, "Group1");
					}
				}
				else if( ( GetTime(bar) >= 0930 ) & ( GetTime(bar) <= 1000 ) )
					
					if (CMF.Series(Bars,15)[bar] > CMF.Series(Bars,15)[bar - 3])
					{
						if (CrossOver(bar, diplus, diminus))
						{
							BuyAtMarket(bar + 1, "Group1|");
						}
					}
			}				
		}
	}
}
[/CODE]

Eugene

8/13/2009 12:44 PM

You shouldn't be starting the loop like that:

CODE:
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Because you will be accessing the value of some data series on bar-3:

CODE:
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In addition, your 15-period indicator should have some amount of seed data to stabilize.

Now, if you've tried to access the value at bar-3 and it's bar #1, this will be bar #-2 (=1-3) - which is impossible, as you understand.

Therefore, change the main loop to start at no less than your indicator's period (or bar-3, whichever is greater):

CODE:
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NewDayTrader

8/13/2009 1:47 PM

I see the problem; however, if I understand your solution correctly, no trades would be triggered until 9:45 am. Is there a solution that would use pre-market data to solve the problem? I have attempted to do this by changing the main loop as you've suggested but starting the time at 9:15 am.

CODE:
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Unfortunately, the indicators are being calculated using data from the previous day rather than pre-market data.

Eugene

8/13/2009 3:26 PM

No, changing the time isn't required: only the start of the main loop.

NewDayTrader

8/13/2009 3:58 PM

Even if I change only the start of the main loop, the indicators are still calculated using data from the previous day rather than pre-market data. Is it possible to use pre-market data? (I've tested this with BGU on 8/12/09 using Active Trader Pro with and w/o pre-market data.)