Runtime error in SetContext-based Strategy

Author: asurapan

Creation Date: 7/4/2012 11:32 PM

Wealth Lab » WealthScript (.NET) » Runtime error in SetContext-based Strategy

asurapan

7/4/2012 11:32 PM

I am trying to code a strategy that analyzes the NYSE Advancers Index and then trades a stock. Essentially, analyze symbol2 and trade symbol1.

The following code compiles but I run into a runtime error. Any idea what can be improved upon?

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I am trying to code a strategy that analyzes the NYSE Advancers Index and then trades a stock. Essentially, analyze symbol2 and trade symbol1.

The following code compiles but I run into a runtime error. Any idea what can be improved upon?

[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;
namespace WealthLab.Strategies
{
	public class AnalyzeIndex : WealthScript
	{
		private StrategyParameter per1;
		private StrategyParameter overbought;
		private StrategyParameter oversold;
		
		public AnalyzeIndex()
		{
			per1 = CreateParameter("length",1,10,200,10);
			overbought = CreateParameter("overbought", 1000, 50, 2000, 50);
			oversold = CreateParameter("oversold", 500, 50, 2000, 50);
		}
		protected override void Execute()
		{
			SetContext( "NSEADVC Index", true );
			DataSeries symbol2 = SMA.Series(Close, per1.ValueInt); //sma of Symbol2
			
			ChartPane paneSymbol2 = CreatePane(60,true,true);
			PlotSeries(paneSymbol2, symbol2, Color.Blue, LineStyle.Solid, 1);
			DrawHorzLine(paneSymbol2, overbought.Value, Color.Red, LineStyle.Dotted, 2);
			DrawHorzLine(paneSymbol2, oversold.Value, Color.Green, LineStyle.Dotted, 2);
			RestoreContext();

//Strategy Code
			for(int bar = GetTradingLoopStartBar(20); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{          
					SetContext( "NSEADVC Index", true );
					if (CrossOver(bar, symbol2, overbought.ValueInt))
					RestoreContext();
					
					SellAtClose(bar+1, LastPosition);
				}
				else
				{
					SetContext( "NSEADVC Index", true );
					if (CrossUnder(bar, symbol2, oversold.ValueInt))
					RestoreContext();
					
					BuyAtClose(bar+1);
				}
			}
		}
	}
}
[/CODE]

Eugene

7/5/2012 12:02 AM

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The logic of the trading part of the script makes it unconditionally buy on every bar whereas your original intention was different. Nonetheless, this is not required here as the script merely trades the primary Bars. One SetContext block for building the SMA of symbol2 would be enough:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class AnalyzeIndex : WealthScript
	{
		private StrategyParameter per1;
		private StrategyParameter overbought;
		private StrategyParameter oversold;
		
		public AnalyzeIndex()
		{
			per1 = CreateParameter("length",1,10,200,10);
			overbought = CreateParameter("overbought", 1000, 50, 2000, 50);
			oversold = CreateParameter("oversold", 500, 50, 2000, 50);
		}
		
		protected override void Execute()
		{
			SetContext( "NSEADVC Index", true );
			Bars sym2 = Bars;
			DataSeries sym2SMA = SMA.Series(sym2.Close, per1.ValueInt); //sma of Symbol2
			RestoreContext();
			sym2 = Synchronize( sym2 );
			sym2SMA = Synchronize( sym2SMA );

for(int bar = GetTradingLoopStartBar(20); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{          
					if (CrossOver(bar, sym2SMA, overbought.ValueInt))
						SellAtClose(bar+1, LastPosition);
				}
				else
				{
					if (CrossUnder(bar, sym2SMA, oversold.ValueInt))
						BuyAtClose(bar+1);
				}
			}
			
			ChartPane paneSymbol2 = CreatePane(60,true,true);
			PlotSymbol( paneSymbol2, sym2, Color.DarkGreen, Color.DarkRed );
			PlotSeries(paneSymbol2, sym2SMA, Color.Blue, LineStyle.Solid, 1);
			DrawHorzLine(paneSymbol2, overbought.Value, Color.Red, LineStyle.Dotted, 2);
			DrawHorzLine(paneSymbol2, oversold.Value, Color.Green, LineStyle.Dotted, 2);

}
	}
}[/CODE]

Wealth Lab » WealthScript (.NET) » Runtime error in SetContext-based Strategy