Price to Sales Ratio in Code versus Rules

Author: shardis89

Creation Date: 1/22/2013 10:52 PM

Wealth Lab » WealthScript (.NET) » Price to Sales Ratio in Code versus Rules

shardis89

1/22/2013 10:52 PM

I cant figure out how to program the price to sales ratio for position sizing into my code for a strategy, so I created a rules based strategy with price to sales then copied the code and pasted into my rules based strategy. Everything runs fine as long as I put

"using WealthLab.Rules" at the top of the code however, the optimizer will not display any results. Has something to do with the WealtLab.Rules. Any suggestions for coding the price to sales into a code based strategy?

Here is the code I used:

CODE:
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Eugene

1/23/2013 1:01 AM

1. So how is slider1 defined? Showing us the complete code might help.
2. How are you optimizing? Please give us the details.

shardis89

1/23/2013 10:31 AM

CODE:
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Size:

Color:

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

namespace WealthLab.Strategies
{
	public class EwanRegimeSwitchStrategy : WealthScript
	{
		
		StrategyParameter paramPeriod;
		StrategyParameter slider1;
		StrategyParameter slider2;
		StrategyParameter slider3;
		StrategyParameter slider4;
		StrategyParameter slider5;
		StrategyParameter slider6;
		StrategyParameter slider7;
		StrategyParameter slider8;
		public EwanRegimeSwitchStrategy()
		{
			paramPeriod = CreateParameter("Period", 31, 2, 100, 1);
			slider1 = CreateParameter("rLimit Multiplier", 0.955471478345558, 0.93, 1, 0.01);
			slider2 = CreateParameter("rNumber of Bars", 8, 1, 50, 1);
			slider3 = CreateParameter("rProfit Target", 8, 1, 30, 1);
			slider4 = CreateParameter("rStop Loss %", 6, 1, 25, 1);
			slider5 = CreateParameter("tLimit Multiplier", 0.980472121238929, 0.93, 1, 0.01);
			slider6 = CreateParameter("tNumber of Bars", 33, 1, 50, 1);
			slider7 = CreateParameter("tProfit Target", 26, 1, 30, 1);
			slider8 = CreateParameter("tStop Loss %", 7, 1, 25, 1);
		}
		
		protected override void Execute()
		{
			int period = paramPeriod.ValueInt;

VolatilitySwitch voltSwitch = VolatilitySwitch.Series( Close,period );
			DataSeries SMAGreaterThan = SMA.Series(Volume,90);
			MACD macd = new MACD(Close, "MACD");
			DataSeries atr = ATR.Series(Bars,14);
			RSI rsi = RSI.Series(Close, 14);
			SMA sma = SMA.Series(Volume, 90 );	
			DataSeries vhf = VHF.Series (Close, 24);	
			
			DataSeries dsRatio = FundamentalsRatio.PriceToRatioSeries( this, FundamentalsRatio.ConvertName("Sales") );

dsRatio.Description = "Price/Sales Ratio (annual)";
			ChartPane paneRatio = CreatePane(50, true, false);
			PlotSeries(paneRatio, dsRatio, Color.Purple, LineStyle.Histogram, 50);

for(int bar = GetTradingLoopStartBar( period * 3 ); bar < Bars.Count; bar++)
			{
				bool regimeSwitchIsTrending = voltSwitch[bar] > 0.5 ? false : true;
				
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					
					if( regimeSwitchIsTrending )
						if (p.EntrySignal.Contains("rLimit Price"))
						{
							{
							double ProfitTgt = p.EntryPrice * ( 1 + slider3.Value/100.0d );
							SellAtLimit( bar + 1, p, ProfitTgt, "rProfit Target");
						}
							}
					if (p.EntrySignal.Contains("rLimit Price"))
					{
						if (LastActivePosition != null && LastActivePosition.Active)
							if (bar - LastActivePosition.EntryBar >= slider2.ValueInt)
							{
								SellAtMarket(bar + 1, p, "rHold Days");
							}
					}
					if (p.EntrySignal.Contains("rLimit Price"))
					{
						double Stop = p.EntryPrice * (1 - slider4.Value / 100.0d);
						SellAtStop(bar + 1, p, Stop, "rStop Loss");
					}
					else
					{
						if (p.EntrySignal.Contains("tLimit Price"))
						{
							{
							double ProfitTgt = p.EntryPrice * ( 1 + slider7.Value/100.0d );
							SellAtLimit( bar + 1, p, ProfitTgt, "tProfit Target");
						}
							}
						if (p.EntrySignal.Contains("tLimit Price"))
						{
							if (LastActivePosition != null && LastActivePosition.Active)
								if (bar - LastActivePosition.EntryBar >= slider6.ValueInt)
								{
									SellAtMarket(bar + 1, p, "tHold Days");
								}
						}
						if (p.EntrySignal.Contains("tLimit Price"))
						{
							double Stop = p.EntryPrice * (1 - slider8.Value / 100.0d);
							SellAtStop(bar + 1, p, Stop, "tStop Loss");
						}
					}					
				}
				else
				{
					if( regimeSwitchIsTrending )
					{
						if ( Close[bar] >= 5 )
							
							if	(SMAGreaterThan[bar] >= 50000)
						{
					
							if( dsRatio[bar] < 1 )
							{
								if (vhf[bar] > .4);
								{
								if(	BuyAtLimit(bar + 1, ((Low[bar] + Close[bar] ) / 2 ) * slider1.Value, dsRatio[bar].ToString(" 0.00rLimit Price"))!= null) 
									LastPosition.Priority = -dsRatio[bar];
							}
								}}
					}
					else
					{
						if (Close[bar] >= 5 )
							
							if (SMAGreaterThan[bar] >= 50000)
						{
					
							if( dsRatio[bar] < 1 )
							{
								if(	BuyAtLimit(bar + 1, ((Low[bar] + Close[bar] ) / 2 ) * slider1.Value, dsRatio[bar].ToString(" 0.00tLimit Price"))!= null)
									LastPosition.Priority = -dsRatio[bar];
							}					
						}
					}	
						}
			}
			
			ChartPane vrsPane = CreatePane( 30,true,true );
			PlotSeriesOscillator( vrsPane, voltSwitch, 0.5, 0.499, Color.Coral, Color.DarkGreen, Color.Transparent, LineStyle.Solid, 1 );
			
		}
	}
}[/code]