I have designed a strategy that “buys at close” based on end of day data for stocks. However, when faced with the practicalities of live trading I realized that intraday historical data were needed to more realistically asses the system.

By almost a thousand fold, the cheapest way to obtain historical data (that I could find) was through eSignal which I have done. However, the data arrays included “midnight” between each day with only commas and no values. The were also lots of times at the start of the arrays with commas and no data. Data Manager in Wealth-Lab seemed unable to accept this, so I created a macro in Excel to chop these lines out and have continuous data with values separated by commas. This seemed to work well and I now have intraday data which I can draw indicators on with Wealth-Lab.

However, for some reason I cannot get Wealth-Lab to buy or sell positions using this data. It looks fine in every other way, but will not actually make trades. I am not really used to using intraday data which I thought would be much the same as end of day.

Where might I be going wrong with this?

Please see FAQ > Strategies and WealthScript > Alerts are not triggered.

It's #2.

Thanks for the suggestion, but it doesn't deal with the problem I have. The issue is that I cannot generate buy or sell signals with any system of any kind on the data. It is not just the alerts for BuyAtClose.

Well, you said that it “buys at close” and I responded. If you require assistance with this, how about providing a little more information?

1. Sample code of "any" Strategy that demonstrates the anomaly. If using a un-modified public Strategy, its name is sufficient.
2. Wealth-Lab tool in use (Strategy Monitor, Strategy Window, etc.)
3. Single symbol or Multi-symbol mode?
4.1. Position Sizing settings.
4.2. How many skipped trades are reported in Strategy's status bar?
5. Data Loading settings
6. Options (F12), especially from the Trading Costs/Control group
7. Symbol(s). How are they priced (in which ballpark)?
8. Symbol Info Manager settings
9. Please ZIP and attach a sample file (sized at or under 2MB) that fails.

I highlighted one of the most important items at this stage. Looking forward to see the real details but I presume it's still the same FAQ, now item #5 (or a variation of it).

Sorry about my ignorance in answering some of the requests, but I'll do my best. How about…

1. "Moving Average Crossover" in the "trend following" category.
2. in a backtest Strategy Window
3. Single symbol
4.1 10 min bars over 2 years at 10% equity under "Percent of Equity" category in Portfolio Simulation
4.2 skipped trades? Not sure where to get this from. Sorry
5 Data Loading settings. Not quite sure what is meant here, but I created the new dataset using ASCII, Bar Scale 10 mins, deleting the Volume Field, Adding Time into second place. Date format M/d/yyyy. Time format H:mm:ss . Ignore first line, Volume mult of 1,
6. Limit equity to 10% of bar volume. Commission Percent of Trade Value 0.08% of trade
7. Symbols are from the ASX 200 equities. However data from even one symbol doesn't work. I'll attach the data for one symbol as an example - "AAD". The price range e.g. $0.30 to $80.
8. Symbol Info Manager settings. Just as equities. Futures mode disabled.

I note that some of the times are not necessarily at regular time intervals. For example, there may be OHLC data for 10:10, 10:20, 10:50, 11:00.
Could this be the issue? If it is I can make a macro to add in the extra (missing) times and repeat the data from the time period before

6. Sounds like you've answered your own question?

Preferences > Backtest settings > "Reduce quantity based on volume" is a popular reason for not getting trades. Please uncheck "Limit a Position's Quantity to a Percentage of the Bar's Volume" and retry.

P.S.

QUOTE:
4.2 skipped trades? Not sure where to get this from. Sorry

Like I said, it's the Strategy status bar - see the "Trades" tab. Helps indicate if the Strategy produced any trades, and if it did, how many were skipped by position sizing constraints.

QUOTE:
5 Data Loading settings. Not quite sure what is meant here,

By this I meant how much data are you loading? For example, your Strategy uses a 52-week SMA but you're loading e.g. only 10 days of intraday data.

QUOTE:
I note that some of the times are not necessarily at regular time intervals. For example, there may be OHLC data for 10:10, 10:20, 10:50, 11:00.

That couldn't be the issue.

Thanks so much Eugene. Looks obvious in hindsight but I am sure wouldn't have found it otherwise. Very much appreciated!!

I have some corollary questions about the best way to upgrade data before the end of day, but I'll first recode my strategy to cope with a mixture of the intraday input to enter trades and end of day data on subsequent days to exit …. then I'll get back if needed.