Unexpected MACDEx CrossOver signal

Author: swuzy

Creation Date: 2/24/2015 2:45 PM

Wealth Lab » WealthScript (.NET) » Unexpected MACDEx CrossOver signal

swuzy

2/24/2015 2:45 PM

Hi, Appreciate some help understanding what might be wrong with my code for a simple MacdEx crossover buy / crossunder sell.

When I run it, it seems to work, but when I look at the charts, it seems to buy even though there does not appear to be an immediately recent crossover. Or maybe my chart panel is messed up, or whatever.

As one of many similar occurences, it shows a buy for RDC on 6/27/2014, and a sell on 1/13/2015. What is triggering the buy on 6/27 ? Thanks.

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Hi,  Appreciate some help understanding what might be wrong with my code for a simple MacdEx crossover buy / crossunder sell.

When I run it, it seems to work, but when I look at the charts, it seems to buy even though there does not appear to be an immediately recent crossover.  Or maybe my chart panel is messed up, or whatever.

As one of many similar occurences,  it shows a buy for RDC on 6/27/2014, and a sell on 1/13/2015.  What is triggering the buy on 6/27 ?  Thanks.

[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
	{
	//	public MyStrategy()

protected override void Execute()
		{
	/* 
				This system buys a new position whenever MACD crosses the signal line from below 0. 
				It sells all open positions when MACD crosses below the signal line from above 0. 
				The trading loop starts at 72 (3 * 26) [changed from Bar 60] in order to give the 
				26-period EMA used in the MACD calculation time to stabilize. 
			
					if( CrossOver( bar, macd, macdSignal ) & ( macd[bar] < 0 ) )
					BuyAtMarket( bar+1 );
					if( CrossUnder( bar, macd, macdSignal ) & ( macd[bar] > 0 ) )
					SellAtMarket( bar+1, Position.AllPositions, "MACD" );
	*/						
			
			int tPeriod = 20;
			double priority = 0;
			double PriorityCutoff = 62;
			
			DataSeries SMAGreaterThan = SMA.Series(Volume,60);
			DataSeries Cmo = CMO.Series(Close, 14);
			DataSeries Rsi = RSI.Series(Close, 14);
			
			DataSeries MacdEx = MACDEx.Series(Close,12,26);
			DataSeries MacdExSignal = MACDEx_Signal3.Series(Close,12,26,9);
			//		DataSeries MacdExHist = MacdEx - MacdExSignal;
			DataSeries MacdExHist = MACDEx_Histogram3.Series(Close,12,26,9);
			
			ChartPane pane1 = CreatePane(75,true,true);
			PlotSeries(pane1,MacdEx,Color.Black,LineStyle.Solid,2);
			PlotSeries(pane1,MacdExSignal,Color.Blue,LineStyle.Solid,2);
			PlotSeries(pane1,MacdExHist,Color.Green,LineStyle.Histogram,1);

for(int bar = GetTradingLoopStartBar(3*26); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;

// Cond1 - Sell if MacdEx CrossUnder 
					if (p.EntrySignal.Contains("MacdEx"))
					{
						bool cond1 = false;					
						cond1 = true;
						if (cond1)	
							if (
								( CrossUnder(bar, MacdEx, MacdExSignal) ) 
								&	( (MacdEx[bar] > 0) )
								)
							{
								SellAtMarket(bar + 1, Position.AllPositions, "1. MacdEx X Under");
							}					
					}
			
			}
				
				else   
				{
					if (
						(CrossOver(bar, MacdEx, MacdExSignal))
						&& ( MacdEx[bar] < 0)
						)				
						// Rank the Buy Alerts here by some logic.	
							
						priority = Rsi[bar];
				
					int n = ActivePositions.Count+1;
					if( n > 16 ) n = 1;
					if( n < priority ) n = Math.Abs( (int)priority );
					for( int i = 1; i < n+1; i++)
						if( priority-i >= 60    // PriorityCutoff = 62

&& BuyAtMarket( bar+1, ("Any. MacdEx. P# "+(priority-i)+"").ToString() ) != null )			
							LastPosition.Priority = priority-i;
				}
			}					
		}
	}
}
[/code]

Eugene

2/24/2015 3:50 PM

Hi,
The priority code borrowed from gbeltrame's "n-Liner" series of scripts applies to multi-position strategies. Here it worked incorrectly. Replace the trading logic with this one and the false trade will disappear (actually, the trades will be totally different):

CODE:
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swuzy

2/24/2015 4:38 PM

Thank you. I wish to include a priority cutoff to reduce often excessive number of signals. How can that be done here?

Eugene

2/24/2015 4:59 PM

You might want to use the Position Options PosSizer from MS123 PosSizer Library. It provides the ability to reject a Position if its Priority value is less than or greater than some threshold.

swuzy

2/24/2015 10:49 PM

Wow. Thanks.

Cone

2/25/2015 7:12 AM

swuzy said, "I wish to include a priority cutoff to reduce often excessive number of signals."
Eugene said, "It provides the ability to reject a Position if ..."

Keep in mind that "signals" (Alerts) are not the same as "Positions" (backtest). PosSizers can't change the number of Alerts.