Add an absolute value to entry price

Author: smurf77

Creation Date: 7/31/2011 1:31 PM

Wealth Lab » WealthScript (.NET) » Add an absolute value to entry price

smurf77

7/31/2011 1:31 PM

Hi,

I need some help with this line

CODE:
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I want to sell a share when the price increase for $51.
Example:
Bought a share for $100 and I want to sell it at $151... or same share at $130 and sell it at $181...

Thanks a lot

S

Hi,

Unless you bought at any price during [bar-1] or Open[bar], selling at limit at "bar" will most likely peek into the future thus leading to inflated results.

What kind of help do you need with this line?

smurf77

7/31/2011 5:24 PM

Thanks Eugene.
I didn't really understand what you meant. Do I have to put bar+1 then?
Either way, it works fine now. I couldn't understand why the results didn't show profit=$51, I forgot to turn off the commission :-d

smurf77

7/31/2011 5:35 PM

Ok I cannot find the result I want. I am translating a backtest from prorealtime to wealthlab.
Since Jan 1st the results on prorealtime for the .SPX are:
75% winning trade when it's a long market and 82% when it's a bear market. I translated all the code now and I don't have the same results...
if you have any suggestions, here is the code:

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		protected override void Execute()
		{
			DataSeries maFast = SMA.Series(Close, 1);
			DataSeries maSlow = SMA.Series(Close, 3);
			DataSeries ma = SMA.Series(Close, 269);
			DataSeries maFast_1 = SMA.Series(Close, 2);
			DataSeries maSlow_2 = SMA.Series(Close, 3);
			DataSeries ma_3 = SMA.Series(Close, 269);
			PositionHelper ph = new PositionHelper( this );
			PlotSeries(PricePane,SMA.Series(Close,1),Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,3),Color.Green,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,269),Color.Blue,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,2),Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,SMA.Series(Close,3),Color.Green,LineStyle.Solid,2);

for(int bar = GetTradingLoopStartBar(270); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Short Entry|"))
					{
						if ( bar+1 - LastPosition.EntryBar == 39 )
						{
							CoverAtMarket(bar+1, p, "Short Entry");
						}
					}
					if (p.EntrySignal.Contains("Sell|"))
					{
						if ( bar+1 - LastPosition.EntryBar == 37 )
						{
							SellAtMarket(bar+1, p, "Sell");
						}
					}
					if (p.EntrySignal.Contains("Stop Loss Bear|"))
					{
						double Stop_5 = p.EntryPrice + 82;
						CoverAtStop(bar, p, Stop_5, "Stop Loss Bear");
					}
					if (p.EntrySignal.Contains("Stop Loss Bull|"))
					{
						double Stop = p.EntryPrice - 41;
						SellAtStop(bar, p, Stop, "Stop Loss Bull");
					}
					if (p.EntrySignal.Contains("Target Bull|"))
					{
						double Target = p.EntryPrice + 51;
						SellAtLimit(bar, p, Target, "Target Bull");
					}
					if (p.EntrySignal.Contains("Target Bear|"))
					{
						double Target_4 = p.EntryPrice - 35;
						CoverAtLimit(bar, p, Target_4, "Target Bear");
					}

}
				else
				{
					if (CrossOver(bar, maFast_1, maSlow_2))
					{
						if (Close[bar] < ma_3[bar])
						{
							if (Positions.Count < 1||ph.CooledOff( bar, 1))
							{
							ShortAtClose(bar+1, "Target Bear|Stop Loss Bear|Short Entry|");
							}
						}
					}
					if (CrossUnder(bar, maFast, maSlow))
					{
						if (Close[bar] > ma[bar])
							{
							if (Positions.Count < 1||ph.CooledOff( bar, 3))
							{
							BuyAtClose(bar+1, "Target Bull|Stop Loss Bull|Sell|");
							}
						}
					}
				}
			}
		}
	}
}[/CODE]

Eugene

8/1/2011 1:40 AM

After fixing some obvious peeking that I suggested earlier and simplifying the structure, here's my take at it (w/o knowledge of your original rules):

CODE:
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After fixing some obvious peeking that I suggested earlier and simplifying the structure, here's my take at it (w/o knowledge of your original rules):
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			DataSeries maFast = SMA.Series(Close, 1);
			DataSeries maSlow = SMA.Series(Close, 3);
			DataSeries ma = SMA.Series(Close, 269);
			DataSeries maFast_1 = SMA.Series(Close, 2);
			PositionHelper ph = new PositionHelper( this );
			PlotSeries(PricePane,maFast,Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,maSlow,Color.Green,LineStyle.Solid,2);
			PlotSeries(PricePane,ma,Color.Blue,LineStyle.Solid,2);
			PlotSeries(PricePane,maFast_1,Color.Red,LineStyle.Solid,2);

for(int bar = GetTradingLoopStartBar(270); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					
					if( p.PositionType == PositionType.Long )
					{
						if ( bar+1 - p.EntryBar >= 37d )
							SellAtMarket(bar+1, p, "Sell");
						else
							if( !SellAtStop(bar+1, p, p.EntryPrice - 41d, "Stop Loss Bull") )
								SellAtLimit(bar+1, p, p.EntryPrice + 51d, "Target Bull");
					}
					else
					{
						if ( bar+1 - p.EntryBar >= 39 )
							CoverAtMarket(bar+1, p, "Short Entry");
						else
							if( !CoverAtStop(bar+1, p, p.EntryPrice + 82d, "Stop Loss Bear") )
								CoverAtLimit(bar+1, p, p.EntryPrice - 35d, "Target Bear");
					}
				}
				else
				{
					if (CrossOver(bar, maFast_1, maSlow) && (Close[bar] < ma[bar]) && (ph.CooledOff( bar, 1)))
						ShortAtClose(bar);
					else
						if (CrossUnder(bar, maFast, maSlow) && (Close[bar] > ma[bar]) && ph.CooledOff( bar, 3))
							BuyAtClose(bar);
				}
			}
		}
	}
}[/CODE]