My BuyAtLimit logic - Wealth Lab Forum

My BuyAtLimit logic

Author: deepbuyer

Creation Date: 9/26/2009 7:29 PM

Wealth Lab » WealthScript (.NET) » My BuyAtLimit logic

deepbuyer

9/26/2009 7:29 PM

CODE:
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I seem to be having problems with this piece of code:

CODE:
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As an example, I ran the code above and collected trades with entries labelled "BuyLimit". Next, i commented out one line and uncommented another:

CODE:
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with the above changes i look at "BuyLimit2" trades and notice that some of the "BuyLimit" trades are now missing. I am lost why it is happening. I was expecting "if" to work the same way in both scenarios for BuyAtLimit entries.

in the example below there are no 9/23 and 9/24 "BuyLimit2" trades:

Position Symbol Quantity Entry Date Entry Price Exit Date Exit Price Profit % Profit $ Bars Held Profit per Bar Entry Name Exit Name MAE % MFE %
Long AA 370 9/25/2009 13.36 Open Open -2.1 ($103.60) 1 ($103.60) BuyLimit -2.69 0
Long AA 370 9/25/2009 13.36 Open Open -2.1 ($103.60) 1 ($103.60) BuyLimit2 -2.69 0
Long AA 353 9/24/2009 14.14 Open Open -7.5 ($374.18) 2 ($187.09) BuyLimit -8.06 0
Long AA 350 9/23/2009 14.26 Open Open -8.27 ($413.00) 3 ($137.67) BuyLimit -8.84 0.21

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[CODE]
    using System;
    using System.Collections.Generic;
    using System.Text;
	using System.IO;
    using WealthLab;
    using WealthLab.Indicators;
    using System.Drawing;
using WealthLab.Rules;

namespace WealthLabCompile
{
	class DipBuyer : WealthScript
	{	// Writes trades into CSV file
		void WriteTrades(string path)
		{
			StreamWriter trades;
			string s = ",";
			
			if( Positions.Count > 0 )
			{	trades = new StreamWriter( path, true );

foreach( Position p in Positions )
					if ( !p.Active )
					{
						trades.Write( p.Bars.Symbol + s + p.EntryDate.ToShortDateString() + s + p.EntryPrice +s+ Bars.IntradayBarNumber(p.EntryBar)+s + p.EntrySignal+ "\r\n" );
					}
				trades.Close();
			}					
		}

//Create parameters 
		private StrategyParameter pctDip;
		
		public DipBuyer() 
		{ 
			pctDip = CreateParameter("Dip Percent", 2, 3, 8, 1);
			
		}

protected override void Execute() 
		{ 
			bool setup_second_entry = false;
				
				
			double trigger=0.00;
			double trigger_buyatstop=0.00;
			bool setup = false;
			int setupBar = 1;
			double price2buy = 0.0;
			double price2buyatstop = 0.0;
			int barsSetupIsActive = 1;
			double pctDip=0.00;
				
			for (int bar = 100; bar < Bars.Count-1; bar++) 
			{ 
			
				for (int pos = ActivePositions.Count - 1; pos >= 0; pos--) 
				{ 
					Position p = ActivePositions[pos];
						
					if( bar + 1 - p.EntryBar >= 10000)
						ExitAtClose(bar,p, "Exit @bar20");
				}

if( !setup )
				{
					trigger = Bars.Close[bar] * (1 - pctDip/100); 
					trigger_buyatstop = Bars.Close[bar] * (1 + pctDip/100); 
						
					setup = true;
					setupBar = bar;
					price2buy = trigger;
					price2buyatstop = trigger_buyatstop;
					
				}
				
				if( setup)
				{	if( bar <= setupBar + barsSetupIsActive )

if(( BuyAtLimit( bar+1, price2buy, "BuyLimit" ) != null )||( BuyAtStop( bar+1, price2buyatstop, "BuyStop" ) != null ))
						//	if( BuyAtLimit( bar+1, price2buy, "BuyLimit2" ) != null )
						//		if( BuyAtStop( bar+1, price2buyatstop, "BuyStop2" ) != null )  
								{
									price2buyatstop =0.0;
									price2buy = 0.0;
									setup =false;
								}
					if( bar > setupBar + barsSetupIsActive )
					{	
						price2buyatstop =0.0;
						price2buy = 0.0;
						setup=false;
					}
				}             
				
			}
			string path = @"C:\Trades.csv";
			WriteTrades(path);
			Bars.Cache.Clear(); 
		}
	} 
} [/CODE]

I seem to be having problems with this piece of code: [CODE] if(( BuyAtLimit( bar+1, price2buy, "BuyLimit" ) != null )||( BuyAtStop( bar+1, price2buyatstop, "BuyStop" ) != null ))
						//	if( BuyAtLimit( bar+1, price2buy, "BuyLimit2" ) != null )
						//		if( BuyAtStop( bar+1, price2buyatstop, "BuyStop2" ) != null ) [/CODE]

As an example, I ran the code above and collected trades with entries labelled "BuyLimit". Next, i commented out one line and uncommented another: [CODE] // if(( BuyAtLimit( bar+1, price2buy, "BuyLimit" ) != null )||( BuyAtStop( bar+1, price2buyatstop, "BuyStop" ) != null ))
							if( BuyAtLimit( bar+1, price2buy, "BuyLimit2" ) != null )
						//		if( BuyAtStop( bar+1, price2buyatstop, "BuyStop2" ) != null ) [/CODE]
with the above changes i look at "BuyLimit2" trades and notice that some of the "BuyLimit" trades are now missing. I am lost why it is happening. I was expecting "if" to work the same way in both scenarios for BuyAtLimit entries.

in the example below there are no 9/23 and 9/24 "BuyLimit2" trades:

Position	Symbol	Quantity	Entry Date	Entry Price	Exit Date	Exit Price	Profit %	Profit $	Bars Held	Profit per Bar	Entry Name	Exit Name	MAE %	MFE %
Long	AA	370	9/25/2009	13.36	Open	Open	-2.1	($103.60)	1	($103.60)	BuyLimit		-2.69	0
Long	AA	370	9/25/2009	13.36	Open	Open	-2.1	($103.60)	1	($103.60)	BuyLimit2		-2.69	0
Long	AA	353	9/24/2009	14.14	Open	Open	-7.5	($374.18)	2	($187.09)	BuyLimit		-8.06	0
Long	AA	350	9/23/2009	14.26	Open	Open	-8.27	($413.00)	3	($137.67)	BuyLimit		-8.84	0.21

deepbuyer

9/27/2009 12:08 PM

QUOTE:
I seem to be having problems with this piece of code:
CODE:
Please log in to see this code.

I should correct myself that I don't think that the problem is with the above piece of code per se. This piece just detects the problem with the script as a whole. The problem is somehow related to the logic