CrossUnder malfunction? - Wealth Lab Forum

CrossUnder malfunction?

Author: topcat77

Creation Date: 8/31/2010 11:08 AM

Wealth Lab » WealthScript (.NET) » CrossUnder malfunction?

topcat77

8/31/2010 11:08 AM

The momentum strategy (below) contains a TrendSwitch which turns the strategy ON when (external symbol) SPY shows a weekly close above its sma15 and, if it is ON, it turns the strategy OFF when SPY shows a weekly close under its sma25. It has worked most reliably . . . . .until now.

A short history: the strategy was in OFF mode from May10 to Aug6. It turned ON (correctly) at the start of the week of Aug9. After one week in the ON position it should have turned OFF and entered no trades starting the week of Aug16.
( week-ending Aug13 : SPY close 108.31, sma25 112.33 ). However it has remained stuck in the ON position and continues to enter new trades.

The strategy has turned ON and OFF after a single weekly bar once before (week of Dec10,07), so that doesn't seem to represent a quirk. I cannot see that SPY has current data problems. This puzzle likely has a simple explanation but I can't see it. I'd like to get the program going again - help much appreciated

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A short history: the strategy was in OFF mode from May10 to Aug6. It turned ON (correctly) at the start of the week of Aug9. After one week in the ON position it should have turned OFF and entered no trades starting the week of Aug16. 
( week-ending Aug13 : SPY close 108.31, sma25 112.33 ). However it has remained stuck in the ON position and continues to enter new trades.

The strategy has turned ON and OFF after a single weekly bar once before (week of Dec10,07), so that doesn't seem to represent a quirk. I cannot see that SPY has current data problems. This puzzle likely has a simple explanation but I can't see it. I'd like to get the program going again - help much appreciated

[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
	{
		
		//Pushed indicator StrategyParameter statements
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		public MyStrategy()
		{
			//Pushed indicator CreateParameter statements
			slider1 = CreateParameter("BBandLower_Period_1",20,2,200,20);
			slider2 = CreateParameter("BBandLower_Standard Deviations_2",2,0.5,20,2);

}
		protected override void Execute()
		{
			DataSeries macd = MACD.Series(Close);
			DataSeries signal = EMA.Series(macd, 9, EMACalculation.Modern);
			DataSeries hist = macd - signal;
			DataSeries macd_1 = MACD.Series(Close);
			DataSeries signal_2 = EMA.Series(macd_1, 9, EMACalculation.Modern);
			DataSeries hist_3 = macd_1 - signal_2;
			
			DataSeries sma50 = SMA.Series(Close,50);
			DataSeries sma17 = SMA.Series(Close,17);
			DataSeries sma100 = SMA.Series(Close,100);
			DataSeries sma6 = SMA.Series (Close,6);
			PlotSeries(PricePane,sma17,Color.Fuchsia,LineStyle.Dashed,2);

ChartPane paneMACD = CreatePane(75,true,true);
		//	PlotSeries(paneMACD, macd, Color.Maroon, LineStyle.Solid, 2);
		//	      PlotSeries(paneMACD, signal, Color.Black, LineStyle.Solid, 1);
		//	PlotSeries(paneMACD, hist, Color.BlueViolet, LineStyle.Histogram, 2);
			PlotSeries(paneMACD, macd_1, Color.Maroon, LineStyle.Solid, 2);
			      PlotSeries(paneMACD, signal_2, Color.Black, LineStyle.Solid, 1);
			PlotSeries(paneMACD, hist_3, Color.BlueViolet, LineStyle.Histogram, 2);

// External symbol
			SetScaleWeekly();
			DataSeries extSym = GetExternalSymbol( "TRADING ETF's", "SPY", true ).Close;
			DataSeries extSymMA1 = SMA.Series( extSym,15 );
			DataSeries extSymMA2 = SMA.Series (extSym,25);
		//	DataSeries extSymMA3 = SMA.Series (extSym,17);
			
			RestoreScale();
			extSym = Synchronize( extSym );
			extSymMA1 = Synchronize( extSymMA1 );
			extSymMA2 = Synchronize (extSymMA2);
		//	extSymMA3 = Synchronize (extSymMA3);
				
			bool TrendSwitchOn = false;
			
		
			
			for(int bar = GetTradingLoopStartBar(10); bar < Bars.Count; bar++)
			{
				
				// Weekly trend switch
				if( !TrendSwitchOn )
				{	
				
				if( CrossOver( bar, extSym, extSymMA1 ))
				
				//	if( MACD.Series( extSym )[bar] > 0 )
						TrendSwitchOn = true;
					
				}
				if( TrendSwitchOn )
				{	
				
				if( CrossUnder( bar, extSym, extSymMA2 ))
				//	if( MACD.Series( extSym )[bar] < -1 )	
						TrendSwitchOn = false;
				
					
				}		
				
				
					
				
				
				if (IsLastPositionActive)
				{
					
					
					
							
				
				
					
					
					
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						if (CrossUnder(bar, hist_3, 0))
						//	||	hist_3[bar]< hist_3[bar-1] & hist_3[bar-1]> 0.30||
						//	macd[bar]< macd[bar-1] & macd[bar-1]>0 )
					//	||	Close[bar]<sma17[bar]*.995)
						{
						SellAtMarket(bar+1, p, "Group1");
					}
						}

}
				else
				{
					if(TrendSwitchOn)
						if (CrossOver(bar, hist, 0.005)
							||CrossOver(bar,Close,sma17)
							|| macd[bar]> macd[bar-1] )
					//		if(High[bar]/Low[bar]<1.15)
					//		if (Close[bar]/Close[bar-1]<1.15)
					//	if (sma100[bar]< Low[bar]||sma100[bar]>High[bar]*1.025)
					//	if ((!CrossUnder(bar-1,sma17,sma50))&(!CrossUnder(bar-2,sma17,sma50))&(!CrossUnder(bar-3,sma17,sma50)))
					
					BuyAtMarket(bar+1, "Group1|");

}
			}

//Pushed indicator PlotSeries statements
			PlotSeriesFillBand(PricePane,
BBandLower.Series(Close,slider1.ValueInt,slider2.Value),BBandUpper.Series(Close,
slider1.ValueInt,slider2.Value),Color.LightSteelBlue,Color.Transparent,LineStyle.Solid,1);

}
	}
}[/CODE]

Eugene

8/31/2010 11:49 AM

QUOTE:
( week-ending Aug13 : SPY close 108.31, sma25 112.33 ). However it has remained stuck in the ON position and continues to enter new trades.

Week-ending Aug6 : SPY close 112.39, sma25 112.44 - can you spot a CrossUnder here? Me not. SPY was below the average.

topcat77

8/31/2010 4:02 PM

Eugene

but

. . . . .coming into Aug, TrendSwitch is OFF

QUOTE:
Week-ending Aug6 : SPY close 112.39, sma25 112.44 - can you spot a Crossunder here? Me not. SPY was below the average.

now here, b/c SPY closes above sma15 ( 109.895 the end of the week vs SPY at 112.39), this is the CrossOver that turns the switch ON. The program did this correctly and entered trades during the following week

week-ending Aug13, SPY close 108.31. sma25 112.33 - this is the CrossUnder that should have turned the switch OFF

but hasn't yet

note that the TrendSwitch turns On when there is a Crossover of sma15 and then OFF when there is a Crossunder of sma25

Thanks again

Eugene

8/31/2010 4:27 PM

Week Aug 6 - SPY close 112.39, sma25 112.44 (below)
Week Aug 13 - SPY close 108.31, sma25 112.33 (again below)

Where do you see a CrossUnder of Close/SMA25 here? SPY was already below SMA25 on the 1st week.

topcat77

8/31/2010 8:21 PM

ok, I see what's happening - if when the switch is on, SPY doesn't Crossover its sma25 it can't switch OFF. Need to think how to introduce a back-up OFF switch. Thanks