Strategy Monitor - not getting Alerts

JSB

#1

4/7/2009 3:20 PM

New user to WL5.3. Am running a strategy on a dataset created with a 5 minute time period. There are only 12 stocks in the dataset, so it is not trying to get a lot of data. The strategy is 'activated' in the strategy monitor, and I've tried every combination of 'auto-stage' enabled, disabled, streaming on/off, strategy highlighted, not highlighted, etc.
The problem is, that on the 5 minute updates, I do not get the alarms that I get if I query each stock's 'chart' in the strategy window, which does work correctly. I will 'occasionally' get an alarm (on a single stock), but it is random and inconsistent. Any ideas or suggestions as to what I am doing wrong ?

Cone

#2

4/7/2009 4:42 PM

Did you click on the Strategy to see its Alerts?

Alternatively, did you click the button in the middle toolbar Show Alerts for all Strategies?

JSB

#3

4/8/2009 8:58 AM

Yes, I tried both and neither will display the alerts.

Eugene

#4

4/8/2009 9:17 AM

What position sizing do you have? What about the code?

Cone

#5

4/8/2009 10:51 AM

JSB, the logical explanation is that there are no Alerts for some reason. This is why we need to know the details, starting with the script to tell you the reason.

JSB

#6

4/8/2009 7:04 PM

Eugene/Cone, Here is the complete script.
The position sizing is 100 shares with 250 bars data range.
The script appears to be working OK, after each 5 minute update, if I look at any stock in the strategy window, it correctly alarms and shows the correct buy/sell commands. The problem is that these same buy/sell alerts do not pop up in the strategy monitor window, which I assumed would/should happen. So, basically, the strategy monitor tells me nothing, (or gives me an occasion correct response), and I have to query each stock in the Dataset every 5 minutes for it's status.
I expected the strategy monitor to give me all the buy/sell alerts for that time period update, which would allow me to just look at those candidates, without stepping through the entire list in the Dataset.
Thanks for any other assistance you can provide.

CODE:
Please log in to see this code.

Size:

Color:

Eugene/Cone, Here is the complete script.
The position sizing is 100 shares with 250 bars data range.
The script appears to be working OK, after each 5 minute update, if I look at any stock in the strategy window, it correctly alarms and shows the correct buy/sell commands. The problem is that these same buy/sell alerts do not pop up in the strategy monitor window, which I assumed would/should happen. So, basically, the strategy monitor tells me nothing, (or gives me an occasion correct response), and I have to query each stock in the Dataset every 5 minutes for it's status.
I expected the strategy monitor to give me all the buy/sell alerts for that time period update, which would allow me to just look at those candidates, without stepping through the entire list in the Dataset.
Thanks for any other assistance you can provide.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
	
		
		protected override void Execute()
		{
//			Index previous day "close" variable
			int IndexCLose = 7789;
//			RSI period variable
			int RSIperiod = 2;
//			RSI oversold variable
			int RSIoversold = 10;
//			RSI overbought variable
			int RSIoverbought = 98;
//			SMA slow moving average variable
			int sma = 250;	
//			Stop loss % variable
			int stoploss = 5;	
			
//			Draw circle diameter variable			
			int circledia = 35;	
	
			   
//			External Symbols: NASDAQ - ".IXIC", S&P500 - ".SPX", NYSE - ".NYA", DOW - ".DJI"
//			Replace next line with Index desired
			Bars INDXBars = GetExternalSymbol(".DJI", true);
           
// 			Plot INDX 
			ChartPane INDXPane = CreatePane(60, true, true);
			PlotSymbol(INDXPane, INDXBars, Color.LightGreen, Color.IndianRed);
			DataSeries INDXsma = SMA.Series(INDXBars.Close, 2);
			PlotSeries(INDXPane, INDXsma, Color.Brown,LineStyle.Solid,1);
//			Edit Horiz line number to the Index's previous day close to easier view market up/down
			DrawHorzLine(INDXPane,IndexCLose, Color.IndianRed, LineStyle.Solid, 1);
			
//			Plot Index MACD with histogram and zero line 			
			DataSeries macdINDX = MACD.Series(INDXBars.Close);
			DataSeries signalINDX = EMA.Series(macdINDX, 9, EMACalculation.Modern);
			ChartPane paneMACDINDX = CreatePane(75,true,true);
			PlotSeries(paneMACDINDX,macdINDX,Color.IndianRed,LineStyle.Solid,2);
			PlotSeries(paneMACDINDX,signalINDX,Color.Green,LineStyle.Solid,1);
			PlotSeries(paneMACDINDX,macdINDX - signalINDX,Color.Maroon,LineStyle.Histogram,3);
			DrawHorzLine(paneMACDINDX, 0, Color.Black, LineStyle.Solid, 1);
			
 			
//			MACD definitions
			DataSeries macd = MACD.Series(Close);
			DataSeries signal = EMA.Series(macd, 9, EMACalculation.Modern);
			DataSeries macdhistogram = MACD.Series(Close) - EMA.Series(macd, 9, EMACalculation.Modern);

//			RSI definitions: Bollinger Bands, moving average			
			DataSeries RSIBBDown = BBandLower.Series( RSI.Series(Close, RSIperiod), 17, 1.5 );
			DataSeries RSIBBUp = BBandUpper.Series( RSI.Series(Close, RSIperiod), 17, 1.5 );
			DataSeries RSISMA = SMA.Series(RSI.Series(Close, RSIperiod), 17);
//			DataSeries RSISMA1 = SMA.Series(RSI.Series(Close, RSIperiod), 25);
			DataSeries RSIX = RSI.Series(Close,RSIperiod);

//			Price definitions: Bollinger Bands, moving average			
			DataSeries BBDown = BBandLower.Series( Close, 20, 2 );
			DataSeries BBUp = BBandUpper.Series( Close, 20, 2 );
			DataSeries maFast = SMA.Series(Close, 20);
			DataSeries maSlow = SMA.Series(Close, sma);
			
//			Plot pane1: RSI in it's Bollinger Bands with fast and slow moving averages, horiz lines at 30,70				
			ChartPane pane1 = CreatePane(75,true,true);
			PlotSeries(pane1,RSI.Series(Close,RSIperiod),Color.Red,LineStyle.Solid,2);
			PlotSeriesFillBand(pane1, RSIBBDown, RSIBBUp, Color.Gray, Color.FromArgb(50, Color.Violet), LineStyle.Solid, 2);
//			PlotSeries(pane1,RSISMA,Color.Brown,LineStyle.Solid,1);
//			PlotSeries(pane1,RSISMA1,Color.Green,LineStyle.Solid,1);
			DrawHorzLine(pane1, RSIoversold, Color.Black, LineStyle.Solid, 1);
			DrawHorzLine(pane1, RSIoverbought, Color.Black, LineStyle.Solid, 1);
			
//			Plot price pane with Bollinger Bands with fast and slow moving averages, 			
			PlotSeriesFillBand(PricePane, BBDown, BBUp, Color.Blue, Color.FromArgb(50, Color.Yellow), LineStyle.Solid, 2);
			PlotSeries(PricePane,SMA.Series(Close,20),Color.Maroon,LineStyle.Solid,1);
			PlotSeries(PricePane,maSlow,Color.Navy,LineStyle.Solid,1);
			
//			Plot MACD with histogram and zero line 	
			ChartPane paneMACD = CreatePane(75,true,true);
			PlotSeries(paneMACD,macd,Color.Red,LineStyle.Solid,2);
			PlotSeries(paneMACD,signal,Color.Green,LineStyle.Solid,1);
			PlotSeries(paneMACD,macd - signal,Color.Blue,LineStyle.Histogram,3);
			DrawHorzLine(paneMACD, 0, Color.Red, LineStyle.Solid, 1);

//			Buy conditions

for(int bar = 21; bar < Bars.Count; bar++)
			{

//			Cond 2: Buy if RSI < RSIoversold variable, price > SMA, MACD histogram trending up (> 5 bars ago)				
				bool cond2 = false;
				if (RSIX[bar] < RSIoversold)
//			if (CrossOver(bar, RSIX, RSIoversold))	
				{
					if (Close[bar] > maSlow[bar])
					{
						if (RSIX[bar] > RSIBBDown[bar])
						{	
//					if (macdhistogram[bar]- macdhistogram[bar-1] > macdhistogram[bar-1]- macdhistogram[bar-2])
//					{	
							{
							cond2 = true;
// 			Circle RSI pane, color Green
					{
						if ( cond2 == true )
						DrawCircle( pane1, circledia, bar, RSIX[bar],Color.Green, WealthLab.LineStyle.Solid, 2, true );
						AnnotateChart( pane1, "Buy", bar, RSIX[bar] ,Color.Black );
//						DrawCircle( paneMACDINDX, circledia+9, bar, macdINDX[bar],Color.Green, WealthLab.LineStyle.Solid, 2, true );
//						AnnotateChart( paneMACDINDX, "Mkt", bar, macdINDX[bar] ,Color.Black );	
						{
						if (macdhistogram[bar]- macdhistogram[bar-1] > macdhistogram[bar-1]- macdhistogram[bar-2])
						{	
						DrawCircle( paneMACD, circledia, bar, macdhistogram[bar],Color.Green, WealthLab.LineStyle.Solid, 2, true );	
						AnnotateChart( paneMACD, "+ROC", bar, macdhistogram[bar] ,Color.Black );		
						}
					}
				}
			}			
							{
						}	
					}				
				}
			}		
//			Buy if condition 2
				if (cond2)
				{
					BuyAtMarket(bar, "Group1|Group2|");
				}

//			Sell conditions
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					if (p.Active)
					{
						if (p.EntrySignal.Contains("Group1|"))
						{
//			Cond 6: Sell if RSI is above RSIoverbought variable 								
							bool cond6 = false;
							if (RSIX[bar] > RSIoverbought)
							{
								if (RSIX[bar] < RSIBBUp[bar])
								{
									{
									cond6 = true;
// 			Circle RSI crossunder of it's upper BB, RSI pane, color Green
				{
				if ( cond6 == true )
				DrawCircle( pane1, circledia, bar, RSIX[bar],Color.Green, WealthLab.LineStyle.Solid, 2, true );
				AnnotateChart( pane1, "Sell", bar, RSIX[bar] ,Color.Black );
						}										
					}		
				}
			}					
			{
			}									
//			Sell if condition 6 							
				if (cond6)
				{
				SellAtMarket(bar, p, "Group1");
				}
				{
							}
						}
					}
				}
			}
		}
	}
}
[/CODE]

Cone

#7

4/8/2009 7:33 PM

Always click the CODE button before you post code.

It's just what we suspected, the script is not only not programmed to create Alerts, it's peeking terribly! See Bars, Loops, and Bar + 1 (written for v4, but applies equally to v5).

Question: How were you able to mess up the block formatting so badly? Maybe it was just a function of pasting it here?

Tip: While I can't understand where your closing blocks like these...