Strategy doesn't retrieve correct index

Author: Assenzio

Creation Date: 7/14/2011 10:12 AM

Wealth Lab » WealthScript (.NET) » Strategy doesn't retrieve correct index

Assenzio

7/14/2011 10:12 AM

I'm going mad ... why this script doesn't work properly ? I mean it plots correctly the INDEX series but in the BUY/SELL loop it doesn't retrieve the correct INDEX data and so I have wrong buy signals. Is it a problem of synch since the SPXADV series have less history than the primary one (SPX) ?

CODE:
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[CODE]
Index  = GetExternalSymbol("SPXADV", true).Close;		
//Plot Index Data Final
			ChartPane Pane = CreatePane( 40, false, true );
			DrawLabel(Pane,"Calculated Index",Color.Black);
			PlotSeries( Pane, Index, Color.Black, LineStyle.Histogram, 1 );
			DrawHorzLine(Pane,Level.ValueInt,Color.Red,WealthLab.LineStyle.Dashed, 1 );		
			
			// Calculation Loop - SETTA STARTBAR !!!! ****
			for(int bar = StartBar.ValueInt; bar < Bars.Count; bar++)
			{
				// SELL LOOP
				if (IsLastPositionActive) 
				{						    
					for (int pos = ActivePositions.Count - 1; pos >= 0; pos--) 
					{ 
						Position p = ActivePositions[pos];
						if (bar+1-p.EntryBar >= Uscita.ValueInt)
						{
							SellAtClose( bar, p, "Exit After X Bars" );		
						}
					}		
				}
		
				// BUY CODE	LOOP STARTS HERE
				
				if (DatesMode.ValueInt == 0) 
				{
						
					/* Below A Single Value */
					if((Index[bar] <= Level.ValueInt));
					
					
					{
						// Or BuyAtMarket ?
						BuyAtClose(bar+Entrata.ValueInt,"Entry On Ext Pattern");						
						if (Multiple.ValueInt == 0)
							bar = bar+Uscita.ValueInt-2;	
					}
				}
				else // Use custom dates
				{	
					if (Events[bar] == 1)						
					{
						// BuyAtMarket ?
						BuyAtClose(bar+Entrata.ValueInt,"Entry On Specific Date");
						if (Multiple.ValueInt == 0)
							bar = bar+Uscita.ValueInt-2;
					}
				}
			// Free Dataseries memory
			Bars.Cache.Clear();		
			}[/CODE]

Cone

7/14/2011 10:26 AM

I'd say clearing the Bars.Cache would probably give you fits with using series that are stored there. I'd do that after processing the loop, not in the loop.

Assenzio

7/14/2011 10:31 AM

Okay, I tried, but this does not resolve. I think it depends on the synch. Because since the SPX have more history the buy signal flagged even before the INDEX dataseries begins !

Cone

7/14/2011 10:40 AM

... actually, that can't be it would have its own "SPXADV" cache.

This looks potentially bad: BuyAtClose(bar+Entrata.ValueInt.. if Entrata is anything but 0 or 1

After that, I won't look at this again without having a complete script to work with so I don't have to waste time guessing.