Position Priority based on Price and Volume

Author: shardis89

Creation Date: 11/20/2011 11:03 PM

Wealth Lab » WealthScript (.NET) » Position Priority based on Price and Volume

shardis89

11/20/2011 11:03 PM

I am slowly trying to learn how to program, but spent several hours here now and couldnt get this one. I want to set a position priority based on price and volume, where any position with the highest price x volume would be assigned the highest priority. I am trying to implement this in the LDL2 strategy. Can someone please give this a stab.

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

namespace WealthLabCompile
{
    class LDL2 : WealthScript
    {
		double	limitPrice;

StrategyParameter limitMultiplierParam;
		StrategyParameter maxBarsToHoldParam;
		StrategyParameter profitTargetParam;
		public LDL2()
		{
			limitMultiplierParam = CreateParameter("Limit Mulitpiler", 0.976546293541112, 0.87, 0.99, 0.01);
			maxBarsToHoldParam = CreateParameter("Bars to Hold", 6, 2, 25, 1);
			profitTargetParam = CreateParameter("Exit Profit %", 1.5, 1, 25, 0.5);
		}

protected override void Execute()
		{
			double	limitMultiplier = limitMultiplierParam.Value;
			int		maxBarsToHold = maxBarsToHoldParam.ValueInt;
			double	profitTarget = profitTargetParam.Value * 0.01;	// calc percentage value on whole number

for (int bar = 5; bar < this.Bars.Count; bar++)
			{
				limitPrice = ( (Low[bar] + Close[bar] ) / 2 ) * limitMultiplier;

if ( Close[bar] > 5 )
				{
					BuyAtLimit(bar + 1, limitPrice );
				}
				
				for (int p = ActivePositions.Count - 1; p > -1; p-- )
				{
					Position pos = ActivePositions[p];
					if (bar + 1 - pos.EntryBar >= maxBarsToHold)	// sell if position held for X bars
						SellAtMarket(bar + 1, pos, "Hold Days Expired");
					else if ( bar + 1 > pos.EntryBar )
					{
						// sell if position hits profit target percentage
						if (Close[bar] >= (pos.EntryPrice + (pos.EntryPrice * profitTarget)))
							SellAtMarket(bar + 1, pos, "Profit Target Reached");
					}				
				}			
			}
		}
   }	
}

[/CODE]

Eugene

11/21/2011 12:59 AM

QUOTE:
where any position with the highest price x volume would be assigned the highest priority

Probably something like this:

CODE:
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shardis89

11/21/2011 6:10 PM

Thanks Eugene. Seems like that worked but had to change limit to limitPrice. Could you tell me how would set the priority for positions with the lowest price to sales ratio?

Eugene

11/22/2011 3:40 AM

Yep, it's limitPrice -- coded on-the-fly.

Re: price to sales - sure, see FundamentalDataSeries in the QuickRef > Fundamental Data. It's just another DataSeries, like Volume or Close. Specify the necessary fundamental item name in the itemName parameter (hint: see WLP fundamental User Guide PDF) and make sure that your fundamental data sources have been updated prior to running the resulting code.