No alerts in Strategy Monitor

Author: BarisKaya

Creation Date: 3/23/2014 5:17 PM

Wealth Lab » WealthScript (.NET) » No alerts in Strategy Monitor

BarisKaya

3/23/2014 5:17 PM

hi, I've made up a basic rule based strategy and its naturally working fine on strategy window, however it does not generate alerts on Strategy monitor...Could you please take a look at this code and tell me whats wrong? thanks in advance

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[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()
		{
			DataSeries macd = MACD.Series(Close);
			      DataSeries signal = EMA.Series(macd, 20, EMACalculation.Modern);
			      DataSeries hist = macd - signal;
			DataSeries macd_1 = MACD.Series(Close);
			      DataSeries signal_2 = EMA.Series(macd_1, 20, EMACalculation.Modern);
			      DataSeries hist_3 = macd_1 - signal_2;
			DataSeries macd_4 = MACD.Series(Close);
			      DataSeries signal_5 = EMA.Series(macd_4, 20, EMACalculation.Modern);
			      DataSeries hist_6 = macd_4 - signal_5;
			DataSeries macd_7 = MACD.Series(Close);
			      DataSeries signal_8 = EMA.Series(macd_7, 20, EMACalculation.Modern);
			      DataSeries hist_9 = macd_7 - signal_8;

ChartPane paneMACD = CreatePane(75,true,true);
			PlotSeries(paneMACD,macd,Color.Maroon,LineStyle.Solid,2);
			      PlotSeries(paneMACD, signal, Color.Black, LineStyle.Solid, 1);
			      PlotSeries(paneMACD, hist, Color.Black, LineStyle.Histogram, 2);
			PlotSeries(paneMACD,macd_1,Color.Maroon,LineStyle.Solid,2);
			      PlotSeries(paneMACD,signal_2,Color.Black,LineStyle.Solid,1);
			      PlotSeries(paneMACD, hist_3, Color.Black, LineStyle.Histogram, 2);
			PlotSeries(paneMACD,macd_4,Color.Maroon,LineStyle.Solid,2);
			      PlotSeries(paneMACD, signal_5, Color.Black, LineStyle.Solid, 1);
			      PlotSeries(paneMACD, hist_6, Color.Black, LineStyle.Histogram, 2);
			PlotSeries(paneMACD,macd_7,Color.Maroon,LineStyle.Solid,2);
			      PlotSeries(paneMACD,signal_8,Color.Black,LineStyle.Solid,1);
			      PlotSeries(paneMACD, hist_9, Color.Black, LineStyle.Histogram, 2);

for(int bar = GetTradingLoopStartBar(31); bar < Bars.Count; bar++)
			{
					bool cond1 = false;
					if (CrossUnder(bar, macd_4, 0))
					{
						if (Close[bar] == Lowest.Value(bar, Close, 30))
						{
							cond1 = true;
						}
					}
					bool cond2 = false;
					if (CrossUnder(bar, macd_7, signal_8))
					{
						if (Close[bar] == Lowest.Value(bar, Close, 30))
						{
							cond2 = true;
						}
					}
					if (cond1 || cond2)
					{
						ShortAtClose(bar, "Group2|");
					}
					bool cond3 = false;
					if (CrossOver(bar, macd, 0))
					{
						if (Close[bar] == Highest.Value(bar, Close, 30))
						{
							cond3 = true;
						}
					}
					bool cond4 = false;
					if (CrossOver(bar, macd_1, signal_2))
					{
						if (Close[bar] == Highest.Value(bar, Close, 30))
						{
							cond4 = true;
						}
					}
					if (cond3 || cond4)
					{
						BuyAtClose(bar, "Group1|");
					}
				
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					if (p.Active)
						{
					if (p.EntrySignal.Contains("Group2|"))
					{
						if (Close[bar] == Highest.Value(bar, Close, 20))
						{
							CoverAtClose(bar, p, "Group2");
						}
					}
					if (p.EntrySignal.Contains("Group1|"))
					{
						if (Close[bar] == Lowest.Value(bar, Close, 20))
						{
							SellAtClose(bar, p, "Group1");
						}
					}

}
				}
			}
		}
	}
}[/code]

Cone

3/23/2014 5:42 PM

QUOTE:
its naturally working fine on strategy window

It's certainly not going to generate Alerts in the S. Window either though.

It's because signals will not generate an Alert unless you execute them on the next bar, i.e., bar + 1. When you program signals for "AtClose" it generally means you want to sell it at the close of the current bar even though you cannot really do this in real trading. In other words, since the close has already occurred, you cannot execute a signal at the close.

For more discussion and solutions, see the WealthScript Programming Guide (Help menu) > Programming Trading Strategies > Alerts > How to: Alert for AtClose Signals

(And of course, if this is an intraday Strategy, then the solution is to simply change your signals to AtMarket. For intraday intervals, the difference between the Close of one bar and the Open of the next is only 1 trade and it would be silly to think you can capture the Closing price on an intraday basis.)

Eugene

3/23/2014 5:58 PM

Baris,

It's been on the FAQ for years: Strategies and WealthScript > Alerts are not triggered. Cone detailed it for you but you still might want to check it out for some other cases.