Error with entry condition - Wealth Lab Forum

Error with entry condition

Author: maninjapan

Creation Date: 12/21/2009 11:46 AM

Wealth Lab » WealthScript (.NET) » Error with entry condition

maninjapan

12/21/2009 11:46 AM

Im trying to get this entry to work, if the close of the spread is above the upper Standard Deviation, but its giving me an error on the entry condition.. I was trying to copy off the pairs trading strategy, but not having any luck...

CODE:
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Im trying to get this entry to work, if the close of the spread is above the upper Standard Deviation, but its giving me an error  on the entry condition..    I was trying to copy off the pairs trading strategy, but not having any luck...

[CODE]
DataSeries ActualSpread = close1*3 - close2*1; ActualSpread.Description = "ActualSpread";
DataSeries ActualSpreadSMA = SMA.Series( ActualSpread, 10 ); ActualSpreadSMA.Description = "ActualSpreadSMA";
DataSeries smaSTD = StdDev.Series(ActualSpread,10, WealthLab.Indicators.StdDevCalculation.Sample );	
DataSeries STDEVUpper1 = ActualSpreadSMA + 1.5 * smaSTD; STDEVUpper1.Description = "STDEVUpper1";	
DataSeries STDEVLower1 = ActualSpreadSMA - 1.5 * smaSTD; STDEVLower1.Description = "STDEVLower1";
DataSeries STDEVUpper2 = ActualSpreadSMA + 2.5 * smaSTD; STDEVUpper2.Description = "STDEVUpper2";	
DataSeries STDEVLower2 = ActualSpreadSMA - 2.5 * smaSTD; STDEVLower2.Description = "STDEVLower2";
			// graphics
			ChartPane RatioPane = CreatePane( 30, true, true );
			//ChartPane StDevPane = CreatePane( 30, true, true );
	
			PlotSeries(RatioPane,  ActualSpread, Color.Navy, WealthLab.LineStyle.Solid, 2 );
			PlotSeries( RatioPane, ActualSpreadSMA, Color.Blue, WealthLab.LineStyle.Solid, 2 );
			DrawLabel( RatioPane, "Ratio " + stock1 + "/" + stock2 );
			PlotSeries(RatioPane, STDEVUpper1, Color.Red, LineStyle.Solid, 2);		
			PlotSeries(RatioPane, STDEVLower1, Color.Red, LineStyle.Solid, 2);
			PlotSeries(RatioPane, STDEVUpper2, Color.Green, LineStyle.Solid, 2);		
			PlotSeries(RatioPane, STDEVLower2, Color.Green, LineStyle.Solid, 2);
			
			for(int bar = 50; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					// Note: there's no need for SetContext here - comment the statement & check this out!
					SetContext( shortSymbol, true );
					CoverAtClose( bar, Position.AllPositions, "Cover " + shortSymbol );
					SellAtClose( bar, Position.AllPositions, "Sell " + longSymbol );
					RestoreContext();
				}
				{	
				if( ActualSpread > STDEVUpper1)
				{
					shortSymbol = stock1;
					longSymbol = stock2;
					SetContext( stock1, true );
					ShortAtClose( bar, "ShortSell " + stock1 );
					SetContext( stock2, true );
					BuyAtClose( bar, "Buy " + stock2 );
				} else[/CODE]

Eugene

12/21/2009 12:03 PM

Seems like the "if (IsLastPositionActive) else..." block is flawed - missing "else".

maninjapan

12/21/2009 12:23 PM

That part came straight from pairs trading, the problems seems to lie in the fact that both of them are both data series and I'm using a '>' there... does that help? Error CS0019.

In the original paits trading it uses the following condition

CODE:
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Eugene

12/21/2009 12:30 PM

Oh, that. For sure it's incorrect.

See The Bars Object > OHLC/V Series > How to: Access a OHLC/V value in the WealthScript Guide.

Conceptually it's the same as in previous versions you're used to, just the syntax is a little bit new.