How to add strategy parameter?

leeto

#1

6/5/2015 7:53 AM

Could you help me run simple optimization. Let say I would like to optimize initial stop-loss order.
So as far as I'm understand I should take generated parameter from optimization window (which called strategyParameter1 ) and put it on the place of my code which represent manipulation with stop-loss order.

However, this code is don't compile and gives me error : "Operator "-" cannot be applied to operands of type 'double' and WealthLab.StrategyParameter "

Could you tell me what should I do in order that run optimization.

Many thanks in advance !

Size:

Color:

Could you help me run simple optimization. Let say I would like to optimize initial stop-loss order.
So as far as I'm understand I should take generated parameter from optimization window (which called strategyParameter1 )   and  put it on the place of my code which represent manipulation with stop-loss order.

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

namespace WealthLab.Strategies
{
	public class TwoBarBreakout_Revisited : WealthScript
	{

StrategyParameter strategyParameter1;
		public TwoBarBreakout_Revisited()
		{
			strategyParameter1 = CreateParameter("Init_Stop", 0.2, 0.01, 0.2, 0.01);
		}

public int GetTime(int bar) // function  that set up time of trading 
		{
			return Date[bar].Hour * 100 + Date[bar].Minute; 
		}
	
		
		protected override void Execute()
		{
			
			
			
			for(int bar = 100; bar < Bars.Count; bar++)
			{
				if (!IsLastPositionActive)
				{
					
				
														
					if ( 
						( Bars.Volume[bar-3] >   Bars.Volume[bar-2]) 	&&
						( Bars.Volume[bar-1] >   Bars.Volume[bar-2]) 	&&
						( Bars.Volume[bar] >   Bars.Volume[bar-1]) 	&&
						( Bars.Close[bar-2] > Bars.Open[bar-3] ) 		&&
						( Bars.Close[bar-1] > Bars.Open[bar-2] ) 		&&													
					   	( Bars.Close[bar] > Bars.Open[bar-1] ))				
						
						// **** CONDITION #4 *****   set-up intraday time condition 
						if( ( GetTime(bar) >= 1030 ) & ( GetTime(bar) <= 1550 ) ) // condition that set up time of trading 
				
								BuyAtStop( bar, Bars.Open[bar+1] );	
					
				
				}
				else
				{							
					if( !SellAtStop( bar+1, LastPosition, Low[LastPosition.EntryBar] - strategyParameter1, "Initial Stop" ) )
						if( Open[bar+1] > Low[LastPosition.EntryBar] )
							SellAtTrailingStop( bar+1, LastPosition, Low[bar-1] , "Trailing Stop" );
					
					if (	GetTime(bar) >= 1558 )											// exit after 15-58 EST
						ExitAtMarket(bar + 1, Position.AllPositions, "exit 1558 PM");

PlotStops(); 
					
				
						
							
				}
			}
		}
	}
}

[/code]

However, this code is don't compile and gives me error : "Operator "-" cannot be applied to operands of type 'double' and WealthLab.StrategyParameter "

Could you tell me what should I do in order that run optimization.

Many thanks in advance !

Panache

#2

6/5/2015 4:06 PM

The following code shows how to code various types of sliders.

I don't believe strategy parameters can be double, so instead of using a range of 0.01 to 0.2, use 1 to 20 and divide it by 100 inside your program.

Eugene

#3

6/5/2015 4:16 PM

Panache,

For sure they can be double and it is documented in the WealthScript Programming Guide chapter (please see below). Division is not required.

leeto,

At the risk of being repetitive, you should really start out by reading the WealthScript Programming Guide before asking any basic questions like this. This particular question is answered there in a comprehensible tutorial under Programming Trading Strategies > Strategy Parameters.

I suggest that you reconsider starting new topics in bulk the way you've been doing last days. Instead, concentrate on carefully reviewing the manual to get a handle on the basic stuff. It will pay off in the long run if you consider to make Wealth-Lab your platform of choice.

Panache

#4

6/6/2015 7:29 AM

I realize you're pissed at leeto for asking a whole bunch of newbee questions. I tried to help the guy, because getting started in Wealth-Lab isn't the easiest thing. I've SO sorry for not fully researching my answer before providing him a solution that solved his problem.

leeto

#5

6/6/2015 9:59 AM

Panache,

Many thanks for your support !

Eugene,

Sorry for newbee question this is indeed relatively obvious in "WealthScript Programming Guide" 's search type "optimization" and find needed article.

leeto

#6

6/6/2015 10:13 AM

Below you can find the answer on the question.

Size:

Color:

Below you can find the answer on the question.

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

namespace WealthLab.Strategies
{
	public class TwoBarBreakout_Revisited : WealthScript
	{

private	StrategyParameter InitStop;
	
		
		public TwoBarBreakout_Revisited()
		{
			InitStop = CreateParameter("Init_Stop", 0.2, 0.01, 0.2, 0.01);
		}

public int GetTime(int bar) // function  that set up time of trading 
		{
			return Date[bar].Hour * 100 + Date[bar].Minute; 
		}
   
      
		protected override void Execute()
		{
			
			double InitialStop = InitStop.Value; 
         
			for(int bar = 100; bar < Bars.Count; bar++)
			{
				if (!IsLastPositionActive)
					
				{
                                   
					if ( 
						( Bars.Volume[bar-3] >   Bars.Volume[bar-2])    &&
						( Bars.Volume[bar-1] >   Bars.Volume[bar-2])    &&
						( Bars.Volume[bar] >   Bars.Volume[bar-1])    &&
						( Bars.Close[bar-2] > Bars.Open[bar-3] )       &&
						( Bars.Close[bar-1] > Bars.Open[bar-2] )       &&                                       
						( Bars.Close[bar] > Bars.Open[bar-1] ))            
                  
						// **** CONDITION #4 *****   set-up intraday time condition 
						if( ( GetTime(bar) >= 1030 ) & ( GetTime(bar) <= 1550 ) ) // condition that set up time of trading 
            
							BuyAtStop( bar, Bars.Close[bar] );   
               
            
				}
				else
				{                     
					if( !SellAtStop( bar+1, LastPosition, Low[LastPosition.EntryBar] - InitialStop, "Initial Stop" ) )
						if( Open[bar+1] > Low[LastPosition.EntryBar] )
							SellAtTrailingStop( bar+1, LastPosition, Low[bar-1] , "Trailing Stop" );
               
					if (   GetTime(bar) >= 1558 )                                 // exit after 15-58 EST
						ExitAtMarket(bar + 1, Position.AllPositions, "exit 1558 PM");

PlotStops(); 
               
            
                  
                     
				}
			}
		}
	}
}
[/code]

Eugene

#7

6/6/2015 10:43 AM

leeto,

You've started 15 threads this week (and this is the record) but the problem is that you don't seem to catch up. Here's what I mean. Although lately we pointed you at a serious peeking error (and a potential exception generating bug) in your code, you keep on duplicating these errors again today in post #6 here (and yesterday too). Please take time to digest the new information and study the manuals. Let yourself enough time to chew on to avoid repeating the same errors.

leeto

#8

6/6/2015 2:20 PM

Yes you a right. Thx that bring my attention. Indeed this is one of the places that I do quite catch yet.

However, I think start to understand if the function talking about buying at stop this mean that this is nonsense when I put stop order at the Bars.Close[bar]. I mean at the same bar.

Although it will work because it will be stop market order, more correctly will be at least

Now I think a get it.

btw, I start to read programming guide. It is very comprehensive material ! thx

Eugene

#9

6/6/2015 2:32 PM

No, this is also incorrect. You can not place an order for "bar" at any price from "[bar+1]" because it's bluntly peeking into the future. See the Wiki link I referred before and WS Programming Guide, it's explained there. Looks like you're overlooking the order of parameters, thinking that including an "Open[bar+1]" makes the order execute properly at the next bar. See the QuickRef for the parameter description.

leeto

#10

6/8/2015 8:30 AM

Thanks you Eugene for your help.

So according to the QuackRef

and your comments

Now I doubt that execution

will give me correct results.

However, compare to the execution

Results pretty much the same but different on several percents.

Eugene

#11

6/8/2015 8:45 AM

This particular expression does not peek. Nonetheless, there is a problem with it and to understand it let me suggest that you re-read my answer in the other discussion regarding an exception when accessing Open[bar+1] in scripts in general.