Setting the entire strategy to monthly time frame

Author: Ruschem

Creation Date: 12/30/2011 1:14 PM

Wealth Lab » WealthScript (.NET) » Setting the entire strategy to monthly time frame

Ruschem

12/30/2011 1:14 PM

Sorry for such a simple question. I found many examples in the help files and in the post on this site on combining different time frames in the same strategy but not how to change the entire strategy to weekly or monthly. Here is what I created using the wizard and the optimizer. How do I set this strategy to monthly once and for all instead of clicking the time frame button on the chart? Thanks.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{

StrategyParameter EMAFast;
		StrategyParameter EMASlow;
		StrategyParameter EMASignal;
		public MyStrategy()
		{
			EMAFast = CreateParameter("EMAFast", 6, 2, 7, 1);
			EMASlow = CreateParameter("EMASlow", 8, 8, 16, 1);
			EMASignal = CreateParameter("EMASignal", 8, 3, 10, 1);
		}

protected override void Execute()
		{

ChartPane pane1 = CreatePane(75,true,true);
			PlotSeries(pane1,MACDEx.Series(Close,EMAFast.ValueInt,EMASlow.ValueInt),Color.Blue,LineStyle.Solid,2);
			PlotSeries(pane1,MACDEx_Signal3.Series(Close,EMAFast.ValueInt,EMASlow.ValueInt,EMASignal.ValueInt),Color.Red,LineStyle.Solid,1);

for(int bar = GetTradingLoopStartBar(6); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						if (CrossUnder(bar, MACDEx.Series(Close,EMAFast.ValueInt,EMASlow.ValueInt), MACDEx_Signal3.Series(Close,EMAFast.ValueInt,EMASlow.ValueInt,EMASignal.ValueInt)))
						{
							SellAtClose(bar, p, "Group1");
						}
					}

}
				else
				{
					if (CrossOver(bar, MACDEx.Series(Close,EMAFast.ValueInt,EMASlow.ValueInt), MACDEx_Signal3.Series(Close,EMAFast.ValueInt,EMASlow.ValueInt,EMASignal.ValueInt)))
					{
						BuyAtClose(bar, "Group1|");
					}

}
			}
		}
	}
}

[/CODE]

Eugene

12/30/2011 1:46 PM

You can set the scale to Monthly to build monthly DataSeries and/or Bars.
What you can not do is take trades in a non-native time frame e.g. Monthly.

Ruschem

12/30/2011 2:08 PM

Thank you. If I understood you correctly, the back-test results obtained by changing time frame on the chart from daily to weekly or monthly are incorrect. In order to get the correct results, I need to use weekly indicator/signal (MACD x-over) but return to daily time frame to actually trade. Right?

Eugene

12/30/2011 2:17 PM

QUOTE:
If I understood you correctly, the back-test results obtained by changing time frame on the chart from daily to weekly or monthly are incorrect.

What I mean was in reply to this:

QUOTE:
How do I set this strategy to monthly once and for all instead of clicking the time frame button on the chart?

In other words, you can't set that Strategy (or any other for that purpose) "once and for all" to execute trades on monthly time frame.

Just the opposite, changing time frame on the chart will deliver correct results. Trading functions wrapped inside SetScaleMonthly/RestoreScale will produce incorrect results.

QUOTE:
In order to get the correct results, I need to use weekly indicator/signal (MACD x-over) but return to daily time frame to actually trade. Right?

That's right. Weekly/monthly indicators to be traded on native scale are perfectly OK.