Optimizing JJO_ROC_CMO_Kalman etc

urielt

#1

6/17/2009 6:44 AM

i like to know how i can can optimize the ROC indicator to minimize the number of trades on JJO_ROC_CMO_Kalman_V1, as well how i can replace the market orders with option trades.

You'll have to wait for version 5.4 for the Optimizer. Notwithstanding the unexpected, it's around the corner for WL Pro 5.4, and we'll get the word out shortly for Developer 5.4.

Trading is based on the "context" (primary) symbol. You'll need chart data for the option contract in order to synch it to the primary symbol for trading. If you don't have that data, the 3rd party tool that your using for order entry will have to massage the symbol when placing the order.

urielt

#3

6/17/2009 7:19 AM

Hello Cone,

what you mean by the Optimizer ? it is away to modify the code...

Eugene

#4

6/17/2009 8:19 AM

Here's a quick peek of the Optimizer tool in WL 5.4:

Eugene

#5

6/17/2009 8:27 AM

Here's how you need to modify the strategy to optimize the ROC with parameter sliders:

CODE:
Please log in to see this code.

For now, just drag the parameter slider "ROC Period". When WLD 5.4 is out, there's a full-blown Optimizer like you see above.

Size:

Color:

Here's how you need to modify the strategy to optimize the ROC with parameter sliders:
[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyKalman : WealthScript
	{
		private StrategyParameter OptVar1;
		private StrategyParameter OptVar2;
		private StrategyParameter OptVar3;
		
		public MyKalman()
		{
			OptVar1 = CreateParameter("OptVar1", 8, 5, 10, 1);
			OptVar2 = CreateParameter("OptVar2", -8, -10, -5, 1);
			OptVar3 = CreateParameter("ROC Period", 30, 3, 60, 1);
		}
		protected override void Execute()
		{
			int ROC_High = OptVar1.ValueInt; 
			int ROC_Low = OptVar2.ValueInt; 
			int ROC_Period = OptVar3.ValueInt;

ChartPane ROCPane = CreatePane( 35, true, true ); 
			ChartPane CMOPane = CreatePane( 50, true, true );

DataSeries Kalman1 = Kalman.Series( Close ); 
			DataSeries ROC1 = ROC.Series( Kalman1, ROC_Period ); 
			DataSeries CMOSer = CMO.Series( Kalman1, 14 );

PlotSeries( PricePane, Kalman1, Color.Blue, LineStyle.Solid, 2 ); 
			PlotSeries( ROCPane, ROC1, Color.Blue, LineStyle.Solid, 1 );

PlotSeries( CMOPane, CMOSer, Color.Blue, LineStyle.Solid, 3 );
			DrawLabel( CMOPane, "CMO(Kalman1,14)" ); 
			DrawHorzLine( CMOPane, 50, Color.Silver, LineStyle.Dotted, 2 );
			DrawHorzLine( CMOPane, -50, Color.Silver, LineStyle.Dotted, 2 );

for(int bar = ROC_Period; bar < Bars.Count; bar++)
			{
				if( ( ActivePositions.Count > 0 ) && ( CMOSer[bar] > 50 ) )
				{
					if( ROC1[bar] > ROC_High )
						SellAtMarket( bar+1, ActivePositions[0] );
				}
				
				if( CMOSer[bar] < -50 ) 
					if ( ROC1[bar] < ROC_Low )
						BuyAtMarket( bar+1 ); 
			}
		}
	}
}
[/CODE]
For now, just drag the parameter slider "ROC Period". When WLD 5.4 is out, there's a full-blown Optimizer like you see above.

urielt

#6

9/13/2009 2:00 PM

Hello Cone,

i was hopping mybe you can help me to unserstand better how to use option contract trading in the above script
(replace market order with option trades) as well how to us it in wealthlab

Regards

Eugene

#7

9/13/2009 2:37 PM

Generally, Wealth-Lab isn't an option trading platform. Assuming you have some option data in place, you may try to pass it to the SetContext() method as the QuickRef and WealthScript Guide (Programming Trading Strategies > Multi-Symbol Strategies) instructs to, creating a trade on the secondary series.

urielt

#8

2/25/2010 3:10 AM

need same help please, i am trying modify the script "CMO Signals with Profit Target" that the CMO series will be calculated from the Kalman filtered closing price values (same as above script - JJO_ROC_CMO_Kalman_V1)(CMO(Kalman1,14)

this is the CMO Signal script:

CODE:
Please log in to see this code.

Size:

Color:

need same help please, i am trying modify the script "CMO Signals with Profit Target" that the CMO series will be calculated from the Kalman filtered closing price values (same as above script - JJO_ROC_CMO_Kalman_V1)(CMO(Kalman1,14)

this is the CMO Signal script:

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

namespace WealthLab.Strategies
{
    public class CMOSignalsWithProfitTarget : WealthScript
    {

StrategyParameter oversold;
		StrategyParameter overbought;
		StrategyParameter cmoPeriod;
		StrategyParameter profitTarget;

public CMOSignalsWithProfitTarget()
        {
			oversold = CreateParameter("Oversold", -50, -70, -40, 10);
			overbought = CreateParameter("Overbought", 50, 40, 70, 10);
			cmoPeriod = CreateParameter("CMO Period", 20, 5, 10, 1);
			profitTarget = CreateParameter("Profit Target", 10, 5, 10, 1);
        }

protected override void Execute()
        {
            int lastBarBought = 0;
            PlotStops();

//Get parameter values
            int period = cmoPeriod.ValueInt;
			double target = profitTarget.Value / 100.0d + 1.0d;
            int oversoldLevel = oversold.ValueInt;
            int overboughtLevel = overbought.ValueInt;

//Create and plot CMO indicator
            CMO cmo = CMO.Series(Close, period);
            ChartPane cmoPane = CreatePane(40, true, true);
            PlotSeriesOscillator(cmoPane, cmo, overboughtLevel, oversoldLevel, Color.Green, Color.Red, Color.CadetBlue, LineStyle.Solid, 2);
			DrawHorzLine( cmoPane, 50, Color.Silver, LineStyle.Dotted, 2 );
			DrawHorzLine( cmoPane, -50, Color.Silver, LineStyle.Dotted, 2 );
			
           //Trading system loop
            for (int bar = period + 1; bar < Bars.Count; bar++)
            {
                //Buy when CMO crosses above oversold level
                if (CrossOver(bar, cmo, oversoldLevel))
                    if (LastActivePosition == null || LastActivePosition.EntryBar > Bars.Close[bar])
                        if (bar >= lastBarBought + 9)
                        {
                            BuyAtMarket(bar + 1, "CMO Oversold");
                            lastBarBought = bar + 1;
                        }
                //Exit rules
                foreach(Position pos in Positions)
                    if (pos.Active)
                    {
                        if (CrossOver(bar, cmo, overboughtLevel))
                            SellAtMarket(bar + 1, pos, "CMO Overbought");
                        else
                            SellAtLimit(bar + 1, pos, pos.EntryPrice * target, "Profit target");
                    }                
            }
        }
    }
}[/CODE]

Eugene

#9

2/25/2010 3:38 AM

QUOTE:
need same help please, i am trying modify the script "CMO Signals with Profit Target" that the CMO series will be calculated from the Kalman filtered closing price values (same as above script - JJO_ROC_CMO_Kalman_V1)(CMO(Kalman1,14)

As far as I understand, there should be no problem modifying it.

Hint: (see code in my message # 6/17/2009 8:27 AM)

CODE:
Please log in to see this code.

It must be a matter of simply replacing the ROC with CMO.

urielt

#10

2/25/2010 3:48 AM

i am all confuse.. i am trying to modify the "CMO Signals with Profit Target" that CMO calculate from Kalman filtered closing price values .

QUOTE:
It must be a matter of simply replacing the ROC with CMO.

the is no ROC in script for "CMO Signals with Profit Target"

please advice

Eugene

#11

2/25/2010 3:58 AM

The strategy above doesn't seem to need such modification as it already does what requested:

CODE:
Please log in to see this code.

Otherwise please be specific on what you're trying to do, as it's not clear.

urielt

#12

2/25/2010 4:04 AM

Hello Eugene,

this is the strategy:

CODE:
Please log in to see this code.

i am trying to modify that CMO will calculate from Kalman filtered closing price values
same as above script "JJO_ROC_CMO_Kalman_V1" DataSeries CMOSer = CMO.Series( Kalman1, 14 );

Size:

Color:

Hello Eugene,

this is the strategy:

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

namespace WealthLab.Strategies
{
    public class CMOSignalsWithProfitTarget : WealthScript
    {

StrategyParameter oversold;
		StrategyParameter overbought;
		StrategyParameter cmoPeriod;
		StrategyParameter profitTarget;

public CMOSignalsWithProfitTarget()
        {
			oversold = CreateParameter("Oversold", -50, -70, -40, 10);
			overbought = CreateParameter("Overbought", 50, 40, 70, 10);
			cmoPeriod = CreateParameter("CMO Period", 20, 5, 10, 1);
			profitTarget = CreateParameter("Profit Target", 10, 5, 10, 1);
        }

protected override void Execute()
        {
            int lastBarBought = 0;
            PlotStops();

//Get parameter values
            int period = cmoPeriod.ValueInt;
			double target = profitTarget.Value / 100.0d + 1.0d;
            int oversoldLevel = oversold.ValueInt;
            int overboughtLevel = overbought.ValueInt;

//Create and plot CMO indicator
            CMO cmo = CMO.Series(Close, period);
            ChartPane cmoPane = CreatePane(40, true, true);
            PlotSeriesOscillator(cmoPane, cmo, overboughtLevel, oversoldLevel, Color.Green, Color.Red, Color.CadetBlue, LineStyle.Solid, 2);
			DrawHorzLine( cmoPane, 50, Color.Silver, LineStyle.Dotted, 2 );
			DrawHorzLine( cmoPane, -50, Color.Silver, LineStyle.Dotted, 2 );
			
           //Trading system loop
            for (int bar = period + 1; bar < Bars.Count; bar++)
            {
                //Buy when CMO crosses above oversold level
                if (CrossOver(bar, cmo, oversoldLevel))
                    if (LastActivePosition == null || LastActivePosition.EntryBar > Bars.Close[bar])
                        if (bar >= lastBarBought + 9)
                        {
                            BuyAtMarket(bar + 1, "CMO Oversold");
                            lastBarBought = bar + 1;
                        }
                //Exit rules
                foreach(Position pos in Positions)
                    if (pos.Active)
                    {
                        if (CrossOver(bar, cmo, overboughtLevel))
                            SellAtMarket(bar + 1, pos, "CMO Overbought");
                        else
                            SellAtLimit(bar + 1, pos, pos.EntryPrice * target, "Profit target");
                    }                
            }
        }
    }
}[/CODE]

i am trying to modify that  CMO will calculate from Kalman filtered closing price values
same as above script  "JJO_ROC_CMO_Kalman_V1" DataSeries CMOSer = CMO.Series( Kalman1, 14 );

Eugene

#13

2/25/2010 4:12 AM

So, I don't see what's the problem to replace one CMO in the strategy you're modifying, with another one?

Define a Kalman series like exemplified in Standard Indicators > Kalman, pass it as a parameter to the CMO data series (e.g. "CMO.Series( Kalman1, 14 )"), and you're done. Like this: