External 3 Bar Switcher - Wealth Lab Forum

swuzy

#1

4/17/2009 9:40 AM

I would like to try a strategy which references an external symbol .SPX, such that if .SPX is down three successive bars, the regular trading rules are suspended and I stay out of the markets ... until the .SPX is up three successive bars, upon which my regular trading rules are activated and stay activated, until the .SPX is down three successive bars, etc.

Please, I would really appreciate help on the coding for this.

Eugene

#2

4/17/2009 10:00 AM

Probably you were looking for something like this?

CODE:
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Cone

#3

4/17/2009 10:20 AM

I don't think that will work Eugene. Either boolean will be false as soon as the Cum series is not >= 3, which is not the requirement. Anyway, I think you need only one of those -

CODE:
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swuzy

#4

4/17/2009 11:54 AM

Thank you Cone and Eugene. For Cone's last set of If, Else, should it actually be three sets of whatevers?

I was probably not clear enough earlier. On Suspend Trading, I would like to sell off all positions, then on Not Suspend Trading, return to regular selling and buying.

So, should it be something like (I know, I mangle it):

CODE:
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But maybe that is already accounted for?

Thanks for clarification.

Cone

#5

4/17/2009 12:20 PM

"all positions" implies that you want a multi-position script. In that case you shouldn't use LastPosition logic. Here's the template -

CODE:
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swuzy

#6

4/17/2009 1:48 PM

Wonderful! Thank you Cone.

A question (I could not find anything in the F1 search), are CumUp.Series and CumDown.Series limited as to how many bars they look back or encompass for testing the condition? Is there any need to reference how many number of bars back to test the condition? For example, perhaps 30 bars is not good enough, but maybe 120 bars bars should be tested?

From your code, it appears not, but I have to ask.

For example is there any need to increase the number of bars in the normal trading loop below?

CODE:
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Cone

#7

4/17/2009 2:36 PM

You're only interested in 3 consecutive ups or downs, so you should start at bar 3. 3 bars (actually 4 to determine 3 up or down closes) is sufficient lookback for the condition. Other conditions in your final script may require more bars.

swuzy

#8

4/17/2009 3:08 PM

I am not sure I follow your meaning.

If I run the strategy today, and the last three consecutive ups or three consecutive downs was a three consecutive down two months ago, I don't want to enter the market. Would this code keep me out of the market?

Thanks for clarifying.

Cone

#9

4/17/2009 4:20 PM

Test it and see for yourself. Adjust the dates if you have to.

swuzy

#10

4/17/2009 7:18 PM

Sorry again. I am such a dumb kof.

To test it, I tried to integrate it w/ the 33 liner, but no trades are generated. Can you help again, please? Thank you.

CODE:
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Sorry again.  I am such a dumb kof.

To test it, I tried to integrate it w/ the 33 liner, but no trades are generated.  Can you help again, please?  Thank you.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			// external check, suspend loop
			Bars sym = GetExternalSymbol( ".SPX",true );
			ChartPane ext = CreatePane( 30, true, true );
			PlotSymbol( ext, sym, Color.DarkGreen, Color.DarkRed );
			bool suspendTrading = false; 
			
			// regular trading loop
			double priority = 0;
			double StopLoss = 27;
			double stop;
			int Days = 3;			
			for(int bar = Bars.FirstActualBar+31; bar < Bars.Count; bar++)  // regular trading loop
				
				for(int x_bar = 3; x_bar < Bars.Count; x_bar++)  // suspend routine
				{
					if ( suspendTrading ) 
					{
						suspendTrading = !(CumUp.Series( sym.Close, 1 )[x_bar] >= 3);
					}
					else
						suspendTrading = CumDown.Series( sym.Close, 1 )[x_bar] >= 3;
				
					if ( suspendTrading ) 
						SetBackgroundColor( x_bar, Color.FromArgb( 30, Color.DarkRed ) );
				
					if (ActivePositions.Count > 0)
					{
						if (suspendTrading)
						{
							ExitAtMarket(x_bar + 1, Position.AllPositions, "Suspend");
						}
						else
						{					
							// other regular exit logic here
							{
							foreach (Position pos in Positions)
								if (pos.Active)
								{
									stop = pos.EntryPrice * ( 1 - StopLoss/100 );
									if ( bar+1 - pos.EntryBar >= Days )
										SellAtMarket( bar+1, pos, "Timed" ); else
										if( Lowest.Series( ROC.Series( Close,1 ), 3 )[bar] > 0 )
										if(!SellAtMarket( bar+1, Position.AllPositions ))
											SellAtStop( bar+1, pos, stop, "Stop Loss");
								}
						}
							}
				
				
						if( !suspendTrading )
							if ( x_bar % 100 == 0 ) 	//* some entry condition *//
								if(
									( ADX.Series( Bars, 14 )[bar] > 35 ) &
									( 52 * Highest.Series( ROC.Series( Close, 1 ), 3 )[bar] < ( 15 + 12 * 
									StdDev.Series( ROC.Series( Close, 1 ), 31, 
									Indicators.StdDevCalculation.Sample )[bar] ) ) 
									)
									BuyAtMarket( x_bar+1 );
								{
									priority = TurnUp( bar, Close ) ? 1 : 0;
									priority = TurnDown( bar, Close ) ? -1 : 0;
									priority = priority - ROC.Series( Close, 4 )[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( BuyAtMarket( bar+1, (priority-i).ToString() ) != null )
											LastPosition.Priority = priority-i;
								}
						// BuyAtMarket( x_bar+1 );
				
					}
				}
		}
	}
}[/CODE]

Cone

#11

4/18/2009 10:47 AM

CODE:
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// Gosh, I thought it was clear, but this was something that you needed to replace, not use. This is an arbitrary condition that returns true every 100 bars (% is the modulo operator in C#).

Besides that, 2 loops and misplacement of block delimiters (terrible use of blocking - I'm not even sure how you can force this in the Editor) were the other problems. I still can't understand why you'd try to use nested loops here - "suspend routine"? Huh?

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[CODE]	if ( x_bar % 100 == 0 ) 	//* some entry condition *//[/CODE]// Gosh, I thought it was clear, but this was something that you needed to [i]replace[/i], not use.  This is an arbitrary condition that returns true every 100 bars (% is the modulo operator in C#).

Besides that, 2 loops and misplacement of block delimiters (terrible use of blocking - I'm not even sure how you can force this in the Editor) were the other problems.  I still can't understand why you'd try to use nested loops here - "suspend routine"?  Huh?

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			// external check, suspend loop
			Bars sym = GetExternalSymbol( ".SPX",true );
			ChartPane ext = CreatePane( 30, true, true );
			PlotSymbol( ext, sym, Color.DarkGreen, Color.DarkRed );
			bool suspendTrading = false; 
			
			// Create DataSeries for easy reference later
			DataSeries ds1 = 52 * Highest.Series( ROC.Series( Close, 1 ), 3 );
			DataSeries ds2 = 15 + 12 * StdDev.Series( ROC.Series( Close, 1 ), 31, StdDevCalculation.Sample );
			
			// regular trading loop
			double priority = 0;
			double StopLoss = 27;
			double stop;
			int Days = 3;			
			for(int bar = Bars.FirstActualBar+31; bar < Bars.Count; bar++)  // the only loop required
			{
				if ( suspendTrading ) 
				{
					suspendTrading = !(CumUp.Series( sym.Close, 1 )[bar] >= 3);
				}
				else
					suspendTrading = CumDown.Series( sym.Close, 1 )[bar] >= 3;
			
				if ( suspendTrading ) 
					SetBackgroundColor( bar, Color.FromArgb( 30, Color.DarkRed ) );
			
				if (ActivePositions.Count > 0)
				{
					if (suspendTrading)
					{
						ExitAtMarket(bar + 1, Position.AllPositions, "Suspend");
					}
					else
					{												
						foreach (Position pos in Positions)
						{
							if (pos.Active)
							{
								stop = pos.EntryPrice * ( 1 - StopLoss/100 );
								if ( bar+1 - pos.EntryBar >= Days )
									SellAtMarket( bar+1, pos, "Timed" ); else
									if( Lowest.Series( ROC.Series( Close,1 ), 3 )[bar] > 0 )
									if(!SellAtMarket( bar+1, Position.AllPositions ))
										SellAtStop( bar+1, pos, stop, "Stop Loss");
							}
						}
					}
				}
				
				if( !suspendTrading )
				{
					if( (ADX.Series( Bars, 14 )[bar] > 35) && (ds1[bar] < ds2[bar]) )
					//	BuyAtMarket( bar+1 );	// this is not part of the Strategy, is it?
					{
						priority = TurnUp( bar, Close ) ? 1 : 0;
						priority = TurnDown( bar, Close ) ? -1 : 0;
						priority = priority - ROC.Series( Close, 4 )[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( BuyAtMarket( bar+1, (priority-i).ToString() ) != null )
								LastPosition.Priority = priority-i;
					}
				}
				
			}
		}
	}
}[/CODE]

swuzy

#12

4/18/2009 9:43 PM

Thank you very much for your help, Cone.

This idea seems to be of very marginal or slight help to a couple of very aggressive Watch Lists I have;
otherwise though, on the vast majority of my Watch Lists, the chokedown in performance it seems make it generally an overall net loser. :(

Thanks again.