Coppergate Oscillator Pullback

fubar

#1

4/2/2010 10:09 AM

Thanks in advance for your help...

1) Time-based exit: I'm running a strategy with 60 min bars and want to exit after 3 days. The strategy isn't exiting. Here is the code I have [_hold.ValueInt is set at 21 (7 trading hrs. x 3 days)]:

CODE:
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2) What does the "public" classification mean? I would like my strategies to be private. How do I do this?

3) I'm backtesting against 500 symbols and it is painfully slow. Is there a faster method?

4) Not being a programmer, is this code interchangable with other platforms like NinjaTrader?

Thanks again.

Eugene

#2

4/2/2010 10:53 AM

QUOTE:
2) What does the "public" classification mean? I would like my strategies to be private. How do I do this?

Disregard that, it's a misconception. Actually, better take any C# 101 book/course/tutorial recommended here to find out what does public/private/internal etc. really mean: (scroll to) How do I start with C# ?

QUOTE:
4) Not being a programmer, is this code interchangable with other platforms like NinjaTrader?

No.

QUOTE:
3) I'm backtesting against 500 symbols and it is painfully slow. Is there a faster method?

Yes, disable that On Demand Data Update checkbox in Data Manager to feel the difference.

fubar

#3

4/2/2010 11:05 AM

Thanks Eugene...very helpful. Do you have any insights on #1?

Cone

#4

4/2/2010 11:26 AM

1) The snippet by itself looks like it would work, so the problem must be somewhere else that you're not showing us. For example, if the script trades multiple Positions, but exists the LastPosition before a previous position, your code will not be executed properly. (You shouldn't use LastPosition logic for multi-Position scripts.)

Eugene

#5

4/2/2010 11:42 AM

QUOTE:
Thanks Eugene...very helpful. Do you have any insights on #1?

I agree completely to what Cone says above.

Here's an illustration how to count trading days in an intraday strategy, exiting after 3 days held:

CODE:
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fubar

#6

4/2/2010 11:42 AM

Thanks Cone. Here's the full script...

CODE:
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Thanks Cone.  Here's the full script...

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

namespace WealthLab.Strategies
{
	public class CoppergateOscPullback : WealthScript
	{	
		StrategyParameter _short;
		StrategyParameter _long;
		StrategyParameter _oscPct;
		StrategyParameter _hold;
		StrategyParameter _pctProfit;
		StrategyParameter _pctPullback;
		public CoppergateOscPullback()
		{
			_short = CreateParameter("Short Period", 5, 4, 20, 1);
			_long = CreateParameter("Long Period", 30, 22, 50, 2);
			_oscPct = CreateParameter("Oscillator %", 93, 75, 98, 1);
			_hold = CreateParameter("Holding Period", 21, 14, 56, 7);
			_pctProfit = CreateParameter("% Profit Target", 12, 1, 25, 1);
			_pctPullback = CreateParameter("% Pullback", 20, 10, 30, 5);
		}
	
		protected override void Execute()
		{
			double profitTgt = 1d + _pctProfit.Value / 100d;
			double pullbackPct = 1d - _pctPullback.Value / 100d;
			
			DataSeries sma1 = SMA.Series(Close, _short.ValueInt);
			DataSeries sma2 = SMA.Series(Close, _long.ValueInt);
			DataSeries smaDiff = sma1 / sma2;
			smaDiff.Description = "Oscillator " + _short.ValueInt + @"/" + _long.ValueInt;
			ChartPane oscPane = CreatePane( 40, true, true );
			PlotSeriesOscillator(oscPane, smaDiff, 100d, 0.93, Color.Transparent, Color.FromArgb(50, Color.Red), Color.Red, LineStyle.Solid, 1);
			DrawHorzLine(oscPane, 0.93, Color.Black, LineStyle.Dashed, 1);
			PlotSeries(PricePane, sma1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, sma2, Color.Red, LineStyle.Solid, 1);
			PlotStops();
			
			for(int bar = _long.ValueInt; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( ( LastPosition != null )  && ( bar+1 - LastPosition.EntryBar >= _hold.ValueInt ) )
						SellAtMarket( bar+1, Position.AllPositions, "Time-Based" );
					else
						SellAtLimit(bar + 1, p, p.EntryPrice * profitTgt, "Profit Target");
				}
				else if( smaDiff[bar] < 0.93 )
				{
					BuyAtLimit(bar + 1, SMA.Series(Close, 2)[bar] * pullbackPct);
				}
			}
		}
	}
}[/CODE]

Eugene

#7

4/2/2010 11:59 AM

Here's my take at it:

CODE:
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Here's my take at it:[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class CoppergateOscPullback : WealthScript
	{	
		StrategyParameter _short;
		StrategyParameter _long;
		StrategyParameter _oscPct;
		StrategyParameter _hold;
		StrategyParameter _pctProfit;
		StrategyParameter _pctPullback;
		
		public CoppergateOscPullback()
		{
			_short = CreateParameter("Short Period", 5, 4, 20, 1);
			_long = CreateParameter("Long Period", 30, 22, 50, 2);
			_oscPct = CreateParameter("Oscillator %", 93, 75, 98, 1);
			_hold = CreateParameter("Holding Period", 21, 14, 56, 7);
			_pctProfit = CreateParameter("% Profit Target", 12, 1, 25, 1);
			_pctPullback = CreateParameter("% Pullback", 20, 10, 30, 5);
		}
	
		protected override void Execute()
		{
			double profitTgt = 1d + _pctProfit.Value / 100d;
			double pullbackPct = 1d - _pctPullback.Value / 100d;
			
			DataSeries sma1 = SMA.Series(Close, _short.ValueInt);
			DataSeries sma2 = SMA.Series(Close, _long.ValueInt);
			DataSeries smaDiff = sma1 / sma2;
			smaDiff.Description = "Oscillator " + _short.ValueInt + @"/" + _long.ValueInt;
			ChartPane oscPane = CreatePane( 40, true, true );
			PlotSeriesOscillator(oscPane, smaDiff, 100d, 0.93, Color.Transparent, Color.FromArgb(50, Color.Red), Color.Red, LineStyle.Solid, 1);
			DrawHorzLine(oscPane, 0.93, Color.Black, LineStyle.Dashed, 1);
			PlotSeries(PricePane, sma1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, sma2, Color.Red, LineStyle.Solid, 1);
			PlotStops();
			
			int cnt = 0;
			
			for(int bar = GetTradingLoopStartBar( _long.ValueInt ); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					
					// loop backwards from current bar to last position's bar of entry
					for( int Bar = bar; Bar >= p.EntryBar; Bar-- )
					{
						// when day changes, increment counter
						if( Bars.IntradayBarNumber( bar ) == 0 ) 
						{ 
							cnt++;
							break;
						}						
					}
					
					// when counter reaches 3, sell
					if( cnt >= 3 )
						SellAtMarket( bar+1, LastPosition, "Time-Based" );
					else
						SellAtLimit(bar + 1, p, p.EntryPrice * profitTgt, "Profit Target");
				}
				else
				{
					if( smaDiff[bar] < 0.93 )
					{
						if( BuyAtLimit(bar + 1, SMA.Series(Close, 2)[bar] * pullbackPct) != null )
							cnt = 0;
					}
				}
			}
		}
	}
}[/CODE]