Simple Algo: Strategy Monitor Trades don't match Strategy Window

Author: boreland

Creation Date: 3/30/2016 6:29 PM

Wealth Lab » WealthScript (.NET) » Simple Algo: Strategy Monitor Trades don't match Strategy Window

boreland

3/30/2016 6:29 PM

The title is wrong on this: SM will NOT issue trades.

This is manual entry system, with the algorithm managing the exit; i.e you enter the long yourself. Ideally, the first long buy would occur one bar prior to the current printed bar, but I've not been able to code this.

In this configuration the trades start at the beginning of the day. In the SM only 3 trades show and the algorithm never fires. Do any one have any ideas why it does not work?

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The title is wrong on this: SM will NOT issue trades.

This is manual entry system, with the algorithm managing the exit; i.e you enter the long yourself.  Ideally, the first long buy would occur one bar prior to the current printed bar, but I've not been able to code this.

In this configuration the trades start at the beginning of the day. In the SM only 3 trades show and the algorithm never fires.  Do any one have any ideas why it does not work?

[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators; 
using TASCIndicators;
using Community.Components; 
using Community.Indicators;
namespace WealthLab.Strategies
{
	public class Rebuild : WealthScript
	{ 
		StrategyParameter _testing; 
		 
		//Pushed indicator StrategyParameter statements
		private StrategyParameter slider3;
		private StrategyParameter slider4;
		public Rebuild()
		{   
			slider3 = CreateParameter("KeltnerUpper_Period One_3",10,1,20,1);
			slider4 = CreateParameter("KeltnerLower_Period Two_4",10,1,20,1); 
		}
		protected override void Execute()
		{     
			DataSeries keltnerDN = KeltnerLower.Series(Bars,slider3.ValueInt,slider4.ValueInt) ; 
			PlotSeriesFillBand(PricePane,KeltnerUpper.Series(Bars,slider3.ValueInt,slider4.ValueInt),KeltnerLower.Series(Bars,slider3.ValueInt,slider4.ValueInt),Color.Orange,Color.Transparent,LineStyle.Solid,2);

ClearDebug();
			
			int firstBarToday = 80;
			DateTime todaysDate = DateTime.Now.Date;  
			 
			int bcm1 = Bars.Count - 1; 
			if (Date[bcm1].Date != todaysDate)
			{
				DrawLabel(PricePane, "No bars today", Color.Red);
				return;   
			}
			firstBarToday = bcm1 - Bars.IntradayBarNumber(bcm1);  
			
			for(int bar = firstBarToday; bar < Bars.Count  ; bar++)
			{      
				//PrintDebug(bar + "\t" + Bars.IntradayBarNumber(bcm1)); 
				if (IsLastPositionActive)
				{      
					if (Close[bar] < keltnerDN[bar-2]   
						) 
					{
						SellAtMarket(bar+1,LastPosition, "Keltner");   
					} 
				}  
					
				else
				{  
					if (Close[bar] > Open[bar]
						) 
					{  
						BuyAtMarket(bar+1,"Buy");  
					
					}  
				}  
			}  
		} 
	}
}
[/code]

boreland

3/30/2016 6:34 PM

Here are some images that show the trades that occur on the chart and show only three trades appear in the SM.

sm.JPG

trend.JPG

Eugene

3/30/2016 8:20 PM

Couldn't reproduce in WLD 6.9.15.. At the moment there were 42 trades in ESV in the SM and the number of trades was equal to the strategy window. Perhaps a SM log could shed some light on it.

boreland

3/30/2016 9:59 PM

Thanks Eugene. So it's clearly working for you then. Perhaps Cone might have so insights?

Is there by chance a global setting that limits the number of trades in the SM?

Eugene

3/31/2016 6:00 AM

I don't think so: there probably isn't.

boreland

3/31/2016 6:02 AM

So the big question is why does it work on your machine and not mine? I've installed a virtual machine and plan to install WLP onto it and see if there is any difference in the results I'm getting.

Cone

3/31/2016 6:52 AM

QUOTE:
Is there by chance a global setting that limits the number of trades in the SM?

There are no artificial limits in Wealth-Lab (at least none that I've ever been aware of or experienced in the last 16 years).

It's far more likely that different settings produce different results. Assuming that you're using the same Symbol (ESV), Data Scale (1 Min), and Range (1000 bars), then the next likely suspects are:

1. You made and saved changes to the Strategy, but you didn't restart the Strategy Monitor.
2. Strategy Parameters (or Preferred Values).
3. Position Sizing

If none of these is the answer, restart WL Pro and try again.

Eugene

3/31/2016 7:26 AM

QUOTE:
I've installed a virtual machine

This is something that you didn't tell us before. I think that issues highlighted by Cone, esp. #1 and #2, are the likely culprits.

Still, in some circumstances VM may play a role too if the RAM allocated is not enough etc. Any issues, limitations, peculiarities and bugs in VM's implementation (network layer, graphics driver etc.) may also affect your ride. This is something to keep in mind regarding troubleshooting your issues in general.

boreland

3/31/2016 2:11 PM

I appreciate the input, but the above items are not the issue. I installed a virtual machine and WLP onto it. My test script you ran yesterday Eugene appears to also run OK on the VM . Go figure! I guess there is a problem with my current installation. Something is getting in the way of it working properly.