Priority Cutoff Blocks Sell Code

Author: swuzy

Creation Date: 1/18/2015 12:33 AM

Wealth Lab » WealthScript (.NET) » Priority Cutoff Blocks Sell Code

swuzy

1/18/2015 12:33 AM

Hi,

Priority is useful, but sometimes it generates too many visual/manual alerts.

I use a Priority Cutoff to trim off the or filter and discard the lower priority numbers.

However this results in no sell transactions (or does not execute many sell transactions that it should). Without the priority cutoff lines, the back test works.

Since I am not auto trading, I would like to use a Priority Cutoff logic to reduce daily visual clutter and still generate sell transactions.

Is this fixable?

Thanks.

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Hi,

Priority is useful, but sometimes it generates too many visual/manual alerts.

I use a Priority Cutoff to trim off the or filter and discard the lower priority numbers.

However this results in no sell transactions (or does not execute many sell transactions that it should).   Without the priority cutoff lines, the back test works.

Since I am not auto trading, I would like to use a Priority Cutoff logic to reduce daily visual clutter and still generate sell transactions.

Is this fixable?

Thanks.

[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
	{
		private StrategyParameter paramPriority;
		private StrategyParameter paramDaysHeld;
		
		public MyStrategy ()
		{ 
		}
		
		protected override void Execute()
		{
			double priority = 0;
			double PriorityCutoff = 60;					
			
			double mfeHigh = 0;
			double mfeAmount = 0;			
			double mfeTgt = 5;

int tPeriod = 60;
			SMA smaT = SMA.Series( Close, tPeriod );		
			
			DataSeries macd = MACD.Series(Close);
			DataSeries signal = EMA.Series(macd, 9, EMACalculation.Modern);
			DataSeries hist = macd - signal;
					
			DataSeries CMOSeries = CMO.Series(Close, 14);
			DataSeries RSISeries = RSI.Series(Close, 20);

for(int bar = GetTradingLoopStartBar(smaT.FirstValidValue+1); bar < Bars.Count; bar++)

// Sell module here
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;			
			
					mfeHigh = p.MFEAsOfBar(bar) / p.Shares + p.EntryPrice;  
					mfeAmount = mfeHigh - mfeHigh * (mfeTgt / 100.0d);			// 5% ?

if 	(	// Sell if price less than entry price in 5 bars
						( bar+1 - p.EntryBar >= 5 )	&				//
						( Close[bar] < p.EntryPrice )
						)
						SellAtMarket( bar+1, p, "Held 10 bars <= 105%");
										
					
					if 	(	// Sell if price less than 105% in 10 bars
						( bar+1 - p.EntryBar >= 10 )	&				//
						( Close[bar] < p.EntryPrice * (1 + 10/100.0d ) )
					)
					SellAtMarket( bar+1, p, "Held 10 bars <= 105%");

if 	// Trailing Stop Loss if MKT MACD Dn.  
						( macd[bar] <= signal[bar] )
						SellAtMarket ( bar+1, p, "Macd Dn");								
					
					if 
						( CrossOver(bar, CMOSeries, 50 ) ) 
						SellAtMarket( bar+1, p, "X Over CMO 50" );	
					
					if 		// Sell at Trailing Stop 15% mfe
						( bar+1 - p.EntryBar > tPeriod )
						SellAtTrailingStop(bar + 1, p, mfeAmount, "mfe "+mfeAmount+" Trailing Stop");	
					
					if 
						( TurnDown(bar, macd) )									// Stock is trending down
						SellAtMarket( bar+1, p, "Macd Turn Down" );					
				}
				
				// Buy module here	
															
				if ( 
					(Close[bar] > 1)
					&& (TurnUp(bar, macd) )
					)
				
				{	// Rank the Buy Alerts by something here, say RSI

priority = RSI.Series(Close, 14)[bar];
					
					// BuyAtMarket( bar+1 );
					
					// Apply a "Cut Off" to avoid excessive priority clutter ... I don't pretend to understand how this works.
					// The Cut Off works, but with bad side affect. 
					// Unfortunately the following prevents any sell transactions.  ?? !!  need a fix ??
// /*
					
					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( priority-i >= 55    // PriorityCutoff = 52, 60 ?

&& BuyAtMarket( bar+1, (priority-i).ToString() ) != null )				
							LastPosition.Priority = priority-i;
// */					}  	
					;					
					;	
				}
			} 
		}
	}
}

[/code]

Eugene

1/18/2015 1:34 AM

It's a misconception that Priority Cutoff affects your sell code anyhow. Did you intend to create a multi-position strategy? If not, restore the single-position template by inserting the require "else" clause back before the buy module. This is the reason for positions getting out of sync.

Otherwise you need to restructure the code as per the WealthScript Programming Guide > Programming Trading Strategies > Multi-Position Strategies > MP Strategy Template.