Limit orders same price, short orders never triggered

Author: alsilva86

Creation Date: 1/10/2017 6:19 PM

Wealth Lab » WealthScript (.NET) » Limit orders same price, short orders never triggered

alsilva86

1/10/2017 6:19 PM

Hello!

Please could you help?

I am having some problems with my limit orders, they all go with same price no matter what I input as their price and my short orders are never triggered.

Waiting for your word.

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Hello!

Please could you help?

I am having some problems with my limit orders, they all go with same price no matter what I input as their price and my short orders are never triggered.

Waiting for your word.

[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
{
protected override void Execute()
{
int Per3 = 3;
int Per5 = 5;
int Per10 = 10;
int Per15 = 15;
int Per20 = 20;

DataSeries rsi = RSI.Series(Close,10);
DataSeries atr = ATR.Series(Bars,14);
double[] Daily_Ret = new double[Bars.Count];
double[] Daily_Ret_Ibov = new double[Bars.Count];
double[] Fuzzy_Fajuto = new double[Bars.Count];
DataSeries[] dsArray = new DataSeries[] { Open, Close, High, Low, Volume };
Bars Ibov = GetExternalSymbol( "^BVSP", true );
DataSeries hExp3 = EMA.Series( Close, Per3,
WealthLab.Indicators.EMACalculation.Modern );
DataSeries hExp5 = EMA.Series( Close, Per5,
WealthLab.Indicators.EMACalculation.Modern );
DataSeries hExp10 = EMA.Series( Close, Per10,
WealthLab.Indicators.EMACalculation.Modern );
DataSeries hExp15 = EMA.Series( Close, Per15,
WealthLab.Indicators.EMACalculation.Modern );
DataSeries hExp20 = EMA.Series( Close, Per20,
WealthLab.Indicators.EMACalculation.Modern );

PlotSeries( PricePane, hExp3, Color.Yellow, WealthLab.LineStyle.Solid, 1 );
PlotSeries( PricePane, hExp5, Color.Gray, WealthLab.LineStyle.Solid, 1 );
PlotSeries( PricePane, hExp10, Color.Green, WealthLab.LineStyle.Solid, 1 );
PlotSeries( PricePane, hExp15, Color.Blue, WealthLab.LineStyle.Solid, 1 );
PlotSeries( PricePane, hExp20, Color.Black, WealthLab.LineStyle.Solid, 1 );
//PlotSeries( PricePane, Ibov.Close, Color.Aqua, WealthLab.LineStyle.Solid, 1 );
//PlotSeries( PricePane, rsi, Color.Blue, WealthLab.LineStyle.Solid, 1 );

for (int count = 1;count <= Bars.Count-1; count++)
{
Daily_Ret[count] = Math.Log(Close[count]/Close[count-1]);
Daily_Ret_Ibov[count] = Math.Log(Ibov.Close[count]/Ibov.Close[count-1]);
Fuzzy_Fajuto[count] = 0;
DrawLabel(PricePane, Daily_Ret_Ibov[count].ToString());
}
// PlotSeries(PricePane, Daily_Ret,Color.Aqua,WealthLab.LineStyle.Solid,1);
for(int bar = 1; bar < Bars.Count; bar++)
{
if (Daily_Ret[bar] > Daily_Ret_Ibov[bar])
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] + 1;
}
else
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] - 1;
}
if (Close[bar] < hExp3[bar])
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] + 0.25;
}
else
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] - 0.25;
}
if (Close[bar] < hExp5[bar])
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] + 0.25;
}
else
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] - 0.25;
}
if (Close[bar] < hExp10[bar])
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] + 0.25;
}
else
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] - 0.25;
}
if (Close[bar] < hExp15[bar])
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] + 0.25;
}
else
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] - 0.25;
}
if (Close[bar] < hExp20[bar])
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] + 0.25;
}
else
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] - 0.25;
}

if (rsi[bar] > 65)
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] + 0.25;
}
if (rsi[bar] < 35)
{
Fuzzy_Fajuto[bar] = Fuzzy_Fajuto[bar] - 0.25;
}

if (IsLastPositionActive)
{
for (int position = ActivePositions.Count - 1; position >= 0; position--)
{	
Position p = ActivePositions[position];
if (p.EntrySignal.Contains("Group1|"))
{
SellAtClose(bar, p, "Group1");
}
if (p.EntrySignal.Contains("Group2|"))
{
CoverAtClose(bar, p, "Group2");
}
}
}
else
{
if( Fuzzy_Fajuto[bar] > 1.5)
{
BuyAtLimit(bar + 1, Close[bar]*(1 - atr[bar]/2), "Group1|");
BuyAtLimit(bar + 1, Close[bar]*(1 - atr[bar]/1.5), "Group1|");
BuyAtLimit(bar + 1, Close[bar]*(1 - atr[bar]), "Group1|");
}
if( Fuzzy_Fajuto[bar] < -1.5)
{
SellAtLimit(bar + 1, LastPosition, Close[bar]*(1 + atr[bar]/2), "Group2|");
SellAtLimit(bar + 1, LastPosition, Close[bar]*(1 + atr[bar]/1.5), "Group2|");
SellAtLimit(bar + 1, LastPosition, Close[bar]*(1 + atr[bar]), "Group2|");
}
}

}
}
}
}[/code]

Eugene

1/10/2017 7:01 PM

Hi,

Here are some observations re: your code:

1. It's positively not surprising that short trades are never triggered. Likely because you didn't code them. ;) SellAtLimit exits from long positions whereas your intention was to use ShortAt* instead. Strike F11 key to load the QuickRef and see the proper syntax of trading methods.
2. It's not clear to me why your supposed short entries have the "LastPosition" in them. Just in case I provided two versions of code: a) long-only system that uses SellAtLimit as exits and b) trading from the short side as well.
3. The main (trading) loop should start at least from GetTradingLoopStartBar(Per20 * 3), not bar==1. For the whys and whereabouts please refer to the WealthScript Programming Guide > Indicators > Stability of Indicators.
4. To understand the handling of multiple positions, check out the same Guide > Programming Trading Strategies > Multi-Position Strategies.

a)

CODE:
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Hi,

Here are some observations re: your code:

1. It's positively not surprising that short trades are never triggered. Likely because you didn't code them. ;) SellAtLimit exits from long positions whereas your intention was to use ShortAt* instead. Strike F11 key to load the QuickRef and see the proper syntax of trading methods.
2. It's not clear to me why your supposed short entries have the "LastPosition" in them. Just in case I provided two versions of code: [b]a)[/b] long-only system that uses SellAtLimit as exits and [b]b) [/b]trading from the short side as well.
3. The main (trading) loop should start at least from [i]GetTradingLoopStartBar(Per20 * 3)[/i], not bar==1. For the whys and whereabouts please refer to the WealthScript Programming Guide > Indicators > Stability of Indicators.
4. To understand the handling of multiple positions, check out the same Guide > Programming Trading Strategies > Multi-Position Strategies.

[b]a)[/b] 
[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
	{
		protected override void Execute()
		{
			int Per3 = 3;
			int Per5 = 5;
			int Per10 = 10;
			int Per15 = 15;
			int Per20 = 20;

DataSeries rsi = RSI.Series(Close,10);
			DataSeries atr = ATR.Series(Bars,14);
			var Daily_Ret = new DataSeries(Bars,"Daily_Ret");
			var Daily_Ret_Ibov = new DataSeries(Bars,"Daily_Ret_Ibov");
			var Fuzzy_Fajuto = new DataSeries(Bars,"Fuzzy_Fajuto");
			//DataSeries[] dsArray = new DataSeries[] { Open, Close, High, Low, Volume };
			Bars Ibov = GetExternalSymbol( "^BVSP", true );
			var hExp3 = EMAModern.Series( Close, Per3 );
			var hExp5 = EMAModern.Series( Close, Per5 );
			var hExp10 = EMAModern.Series( Close, Per10 );
			var hExp15 = EMAModern.Series( Close, Per15 );
			var hExp20 = EMAModern.Series( Close, Per20 );
			var ls = LineStyle.Solid;

PlotSeries( PricePane, hExp3, Color.Yellow, ls, 1 );
			PlotSeries( PricePane, hExp5, Color.Gray, ls, 1 );
			PlotSeries( PricePane, hExp10, Color.Green, ls, 1 );
			PlotSeries( PricePane, hExp15, Color.Blue, ls, 1 );
			PlotSeries( PricePane, hExp20, Color.Black, ls, 1 );
			//PlotSeries( PricePane, Ibov.Close, Color.Aqua, ls, 1 );
			//PlotSeries( PricePane, rsi, Color.Blue, ls, 1 );
			// PlotSeries(PricePane, Daily_Ret,Color.Aqua,ls,1);
			
			ChartPane ff = CreatePane(30,true,true);
			PlotSeries(ff,Fuzzy_Fajuto,Color.Turquoise,ls,2);
			
			for(int bar = GetTradingLoopStartBar(Per20 * 3); bar < Bars.Count; bar++)
			{
				Daily_Ret[bar] = Math.Log(Close[bar]/Close[bar-1]);
				Daily_Ret_Ibov[bar] = Math.Log(Ibov.Close[bar]/Ibov.Close[bar-1]);

Fuzzy_Fajuto[bar] = (Daily_Ret[bar] > Daily_Ret_Ibov[bar]) ? Fuzzy_Fajuto[bar] += 1.0 : Fuzzy_Fajuto[bar] -= 1.0;
				Fuzzy_Fajuto[bar] = (Close[bar] < hExp3[bar]) ? Fuzzy_Fajuto[bar] += 0.25 : Fuzzy_Fajuto[bar] -= 0.25;
				Fuzzy_Fajuto[bar] = (Close[bar] < hExp5[bar]) ? Fuzzy_Fajuto[bar] += 0.25 : Fuzzy_Fajuto[bar] -= 0.25;
				Fuzzy_Fajuto[bar] = (Close[bar] < hExp10[bar]) ? Fuzzy_Fajuto[bar] += 0.25 : Fuzzy_Fajuto[bar] -= 0.25;
				Fuzzy_Fajuto[bar] = (Close[bar] < hExp15[bar]) ? Fuzzy_Fajuto[bar] += 0.25 : Fuzzy_Fajuto[bar] -= 0.25;
				Fuzzy_Fajuto[bar] = (Close[bar] < hExp20[bar]) ? Fuzzy_Fajuto[bar] += 0.25 : Fuzzy_Fajuto[bar] -= 0.25;
				Fuzzy_Fajuto[bar] = (rsi[bar] > 65) ? Fuzzy_Fajuto[bar] += 0.25 :
					(rsi[bar] < 35) ? Fuzzy_Fajuto[bar] += 0.25 : Fuzzy_Fajuto[bar] += 0;

for (int position = ActivePositions.Count - 1; position >= 0; position--)
				{   
					Position p = ActivePositions[position];
					if( Fuzzy_Fajuto[bar] < -1.5)
					{
						SellAtLimit(bar + 1, p, Close[bar]*(1d + atr[bar]/2.0));
						SellAtLimit(bar + 1, p, Close[bar]*(1d + atr[bar]/1.5));
						SellAtLimit(bar + 1, p, Close[bar]*(1d + atr[bar]));
					}					
				}
				
				if (ActivePositions.Count < 3)
				{
					if( Fuzzy_Fajuto[bar] > 1.5)
					{
						BuyAtLimit(bar + 1, Close[bar]*(1d - atr[bar]/2.0));
						BuyAtLimit(bar + 1, Close[bar]*(1d - atr[bar]/1.5));
						BuyAtLimit(bar + 1, Close[bar]*(1d - atr[bar]));
					}
				}

}
		}
	}
}[/code]

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

ExitAtClose(bar, Position.AllPositions);
				
				if (ActivePositions.Count < 3)
				{
					if( Fuzzy_Fajuto[bar] < -1.5)
					{
						//ShortAtMarket(bar+1);
						
						ShortAtLimit(bar + 1, Close[bar]*(1d + atr[bar]/2.0));
						ShortAtLimit(bar + 1, Close[bar]*(1d + atr[bar]/1.5));
						ShortAtLimit(bar + 1, Close[bar]*(1d + atr[bar]));
					}
					
					if( Fuzzy_Fajuto[bar] > 1.5)
					{
						//BuyAtMarket(bar+1);
						
						BuyAtLimit(bar + 1, Close[bar]*(1d - atr[bar]/2.0));
						BuyAtLimit(bar + 1, Close[bar]*(1d - atr[bar]/1.5));
						BuyAtLimit(bar + 1, Close[bar]*(1d - atr[bar]));
					}
				}

}
		}
	}
}[/code]

Wealth Lab » WealthScript (.NET) » Limit orders same price, short orders never triggered