Why do I always get a fixed Priority value?

mrsic

#1

8/12/2017 8:27 PM

Hi,
could someone check this Strategy + priority for me? I think something is wrong. I always get as prio 98 at long and fo Short 2.
Thanks.

CODE:
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Hi,
could  someone check this Strategy + priority for me? I think something is wrong. I always get as prio 98 at long and fo Short 2.
Thanks.

[code]			//LONG
			slider1 = CreateParameter("CUM_NoB_LG",3,1,5,1);
			slider2 = CreateParameter("CUM_LB_LG",1,1,5,1);
			slider3 = CreateParameter("RSI_LB_LG",2,1,5,1);
			slider4 = CreateParameter("RSI_LV_LG",11,9,18,1);
			slider5 = CreateParameter("RSI_NoB_LG",2,1,5,1);
			slider6 = CreateParameter("ATR_LB_LG",1,1,6,1);
			slider7 = CreateParameter("ATR Multiplier_LG",2,1,4,1);
			slider8 = CreateParameter("TBX_LG",2,1,5,1);
			
			
			//SHORT
			slider9 = CreateParameter("CUM_NoB_ST",5,1,10,1);
			slider10 = CreateParameter("CUM_LB_ST",1,1,5,1);
			slider11 = CreateParameter("RSI_LB_ST",2,1,5,1);
			slider12 = CreateParameter("RSI_LV_ST",89,80,95,1);
			slider13 = CreateParameter("RSI_NoB_ST",2,1,2,1);
			slider14 = CreateParameter("ATR_LB_ST",2,1,5,1);
			slider15 = CreateParameter("ATR Multiplier_ST",1,1,1.5,0.1);
			slider16 = CreateParameter("TBX_ST",2,1,5,1);
		}

protected override void Execute()
		{
			DataSeries diff = slider4.ValueInt - RSI.Series(Close,slider3.ValueInt);
			diff /= DataSeries.Abs(diff);
			diff = Sum.Series(diff, slider5.ValueInt);
			DataSeries diff_1 = RSI.Series(Close,slider11.ValueInt) - slider12.ValueInt;
			diff_1 /= DataSeries.Abs(diff_1);
			diff_1 = Sum.Series(diff_1, slider13.ValueInt);
			
			//DataSeries for ATR
			DataSeries Atr_LG = ATR.Series( Bars, slider6.ValueInt); // DataSeries for ATR_LG
			DataSeries Atr_ST = ATR.Series( Bars, slider14.ValueInt); // DataSeries for ATR_ST
			
			var ub = Close + Atr_LG * slider7.Value;
			var lb = Close - Atr_ST * slider15.Value;

ChartPane pane1 = CreatePane(75,true,true);
			PlotSeries(pane1,RSI.Series(Close,slider3.ValueInt),Color.Navy,LineStyle.Solid,2);
			DrawHorzLine(pane1, slider4.Value,Color.Red,LineStyle.Solid,1);
			PlotSeries(pane1,RSI.Series(Close,slider11.ValueInt),Color.Navy,LineStyle.Solid,2);
			DrawHorzLine(pane1,slider12.Value,Color.Green,LineStyle.Solid,2);
			PlotSeries(PricePane, (Close + ATR.Series(Bars, slider6.ValueInt) * slider7.Value) >> 1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, (Close - ATR.Series(Bars, slider14.ValueInt) * slider15.Value) >> 1, Color.Red, LineStyle.Solid, 1);

}
			}
		}
	}
}[/code]

Eugene

#2

8/13/2017 7:39 AM

Hi,

Because you've coded it this way. Your DataSeries behind the Priority take only a few integer values ranging from -2 to +2. Most of the time they are at -2.

CODE:
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Actually, it would be beneficial to you to learn how to debug scripts using PrintDebug and plotting statements.

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Hi,

Because you've coded it this way. Your DataSeries behind the Priority take only a few integer values ranging from -2 to +2. Most of the time they are at -2.

[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 slider3;
		private StrategyParameter slider4;
		private StrategyParameter slider5;
		private StrategyParameter slider11;
		private StrategyParameter slider12;
		private StrategyParameter slider13;
		
		public MyStrategy()
		{
			slider3 = CreateParameter("RSI_LB_LG",2,1,5,1);
			slider4 = CreateParameter("RSI_LV_LG",11,9,18,1);
			slider5 = CreateParameter("RSI_NoB_LG",2,1,5,1);
         
			slider11 = CreateParameter("RSI_LB_ST",2,1,5,1);
			slider12 = CreateParameter("RSI_LV_ST",89,80,95,1);
			slider13 = CreateParameter("RSI_NoB_ST",2,1,2,1);
		}
      
		protected override void Execute()
		{
			DataSeries diff = slider4.ValueInt - RSI.Series(Close,slider3.ValueInt);
			diff /= DataSeries.Abs(diff);
			diff = Sum.Series(diff, slider5.ValueInt);
			
			DataSeries diff_1 = RSI.Series(Close,slider11.ValueInt) - slider12.ValueInt;
			diff_1 /= DataSeries.Abs(diff_1);
			diff_1 = Sum.Series(diff_1, slider13.ValueInt);
         
			ChartPane pane1 = CreatePane(25,true,true);
			ChartPane pane2 = CreatePane(25,true,true);
			PlotSeries(pane1,diff,Color.Navy,LineStyle.Solid,2);
			PlotSeries(pane2,diff_1,Color.Red,LineStyle.Solid,2);
		}
	}
}[/code]

Actually, it would be beneficial to you to learn how to debug scripts using PrintDebug and plotting statements.

mrsic

#3

8/14/2017 6:37 AM

Hi Eugene,

QUOTE:
Actually, it would be beneficial to you to learn how to debug scripts using PrintDebug and plotting statements

do you know any examples to understand it better how to debug scripts?

What do you think, makes this strategy sense without a priority? and did you find any mistakes in coding?

Thanks in advance.

greetings Damir

Eugene

#4

8/14/2017 7:26 AM

Hi Damir,

QUOTE:
do you know any examples to understand it better how to debug scripts?

1. Look up PrintDebug in the QuickRef (F11 key). FlushDebug and ClearDebug make it more flexible.
2. Type in "debug" in forum's search box.
3. You can also use methods like AnnotateBar to attach some printout to a bar in a more visual way than PrintDebug but it's limited by screen space.

I deliberately didn't suggest this article as it requires Visual Studio IDE skills: How can I debug my trading strategies in Wealth-Lab?. But it's the best one can have when it comes to debugging with its powerful features such as breakpoints, Edit and Continue and DataTips.

mrsic

#5

8/14/2017 9:01 AM

Hi Eugene,

I will try it and thank you for your help

greetings damir

mrsic

#6

8/15/2017 7:39 AM

Hi,

CODE:
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For my understanding. Can someone explain me what this exactly does. I have not found an explanation for DataSeries.Abs.

Thanks in advance.

greetings Damir

Eugene

#7

8/15/2017 8:16 AM

QUOTE:
I have not found an explanation for DataSeries.Abs

It naturally can be found in the QuickRef (F11 key), explained under DataSeries chapter with an example.

And /= in WealthScript (C#) divides the DataSeries by another DataSeries (or a value) and assigns the result to the divisible.

mrsic

#8

8/15/2017 11:26 AM

Hi Eugene,

thank you.

greetings Damir

mrsic

#9

8/17/2017 6:45 PM

Hi,

i did try to calculate the priority step by step, but i'm stucking with the sum.series.
Can anyone explain me that, please.

CODE:
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for example:
Sum.Series(9, 2)

QUOTE:
Calculation: Sum = ( D1 + D2 + ... + Dn )
D = DataSeries to be summated, Bars.Open, Bars.Close, TrueRange.Series, SMA.Series, etc..

Results: 9 + 2 = ?

I don't know what kind of Closes? RSI.Series.Closes?

greetings damir

Eugene

#10

8/17/2017 8:42 PM

QUOTE:
I don't know what kind of Closes? RSI.Series.Closes?

What you passed to the Sum series, of course. In particular, the "diff" series from the code you borrowed earlier. There's nothing to add to what you're already quoting - the Sum documentation. It's all explained there.

Damir, let's go the other way around. What do you want the Priority to be here, in plain English?

mrsic

#11

8/18/2017 6:07 AM

Hi Eugene,

QUOTE:
Damir, let's go the other way around. What do you want the Priority to be here, in plain English?

because, if i have a pos.Size of 20% and get 7 signals. Then i like take the best 5 Signals with the highest priority.
For example: RSI Range 0 -100;
1 Signal: 99,59
2 Signal: 99,49
and so on.
This is the reason why i'm confused with only 98, but this is not a drama.

greetings damir

Eugene

#12

8/18/2017 6:32 AM

Damir, sorry if I wasn't clear. The question was not "why" (the priority) but rather "what" (priority value algorithm). So, summated are the "diff" values (based on RSI in its turn) over the lookback period ("slider5.ValueInt").

mrsic

#13

8/18/2017 12:55 PM

Eugene, i'm not sure if i can follow you.

QUOTE:
So, summated are the "diff" values (based on RSI in its turn) over the lookback period ("slider5.ValueInt").

PriorityLong = 100 - diff

Eugene

#14

8/18/2017 1:07 PM

I was talking about this logic:

CODE:
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mrsic

#15

8/18/2017 4:23 PM

this is part of the strategy.

in my case.

CODE:
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Eugene

#16

8/18/2017 5:43 PM

OK. Is there anything left not clear regarding Sum.Series etc.?

mrsic

#17

8/18/2017 6:52 PM

Yes. 9 and 2 are the Values but not the result (calculation) of the Sum.Series. Ist that correct?
What is here D1 + D2 and Dn? Is D1 = 9? and Dn = 2?

Eugene

#18

8/18/2017 8:08 PM

QUOTE:
DataSeries diff = 11 - RSI-calculation with Lookback 2;

Right. 11 - RSI(2) value.

QUOTE:
diff /= |diff|;

Correct.

QUOTE:
diff = Sum.Series( 9, 2);

D1 would be a 9 only when the RSI value is 2.0 on a given bar (11 - 9). The Sum period is 2 days, that's correct.

mrsic

#19

8/18/2017 9:56 PM

QUOTE:
D1 would be a 9 only when the RSI value is 2.0 on a given bar (11 - 9). The Sum period is 2 days, that's correct.

Okay. I think i got it. The SumSeries do only summarize periods or bars.Is that correct? That's the reason why i am always getting a priority of 98 (100-2 = 98).
I checked this in my strategy. I have change the slider5 from to 2 to 3 and the result was 97 (100-3 = 97).