Why won't my Strategy generate any trades?

Author: rctrade

Creation Date: 3/13/2019 11:18 AM

Wealth Lab » WealthScript (.NET) » Why won't my Strategy generate any trades?

rctrade

3/13/2019 11:18 AM

Eugene, I tried to build my first simple strategy to test. The logic was simple,
Buy
Price greater than 200 DEMA - used Price is <x% above indicator, where X is 1
CMF > 0 - used Indicator above a value
VI+ > VI- Indicator above indicator
Sell - reverse of above

When I ran the strategy, it didn't generate any trades - it did show the buy and hold results.

I must be missing something very basic here. Wonder if you could point me in the right direction.
thanks
rctrade

CODE:
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When I ran the strategy, it didn't generate any trades  - it did show the buy and hold results.

I must be missing something very basic here. Wonder if you could point me in the right direction.
thanks
rctrade

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		protected override void Execute()
		{
			      DataSeries DataSeriesLessPct = DEMA.Series(Close,200,200) * (1 + 1/100d);
			      DataSeries DataSeriesLessPct_1 = DEMA.Series(Close,200,200) * (1 + 1/100d);

ChartPane pane1 = CreatePane(75,true,true);
			PlotSeries(pane1,CMF.Series(Bars,21),Color.Green,LineStyle.Solid,2);
			PlotSeries(PricePane,DEMA.Series(Close,200,200),Color.Blue,LineStyle.Solid,1);
			ChartPane pane2 = CreatePane(75,true,true);
			PlotSeries(pane2,VMPlus.Series(Bars,14),Color.Blue,LineStyle.Solid,2);
			PlotSeries(pane2,VMMinus.Series(Bars,14),Color.Red,LineStyle.Solid,2);
			      PlotSeries(PricePane,  DataSeriesLessPct, Color.Red, LineStyle.Dotted, 2 );
			      PlotSeries(PricePane,  DataSeriesLessPct_1, Color.Red, LineStyle.Dotted, 2 );

for(int bar = GetTradingLoopStartBar(201); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						if (CMF.Series(Bars,21)[bar] < 0.00)
						{
							if (VMPlus.Series(Bars,14)[bar] < VMMinus.Series(Bars,14)[bar])
							{
								      if( Close[bar]< DataSeriesLessPct[bar])
								{
									SellAtMarket(bar + 1, p, "Group1");
								}
							}
						}
					}

}
				else
				{
					if (CMF.Series(Bars,21)[bar] > 0.00)
					{
						      if( Close[bar]< DataSeriesLessPct[bar])
						{
							if (VMPlus.Series(Bars,14)[bar] > VMPlus.Series(Bars,14)[bar])
							{
								BuyAtMarket(bar + 1, "Group1|");
							}
						}
					}

}
			}
		}
	}
}[/code]

Eugene

3/13/2019 11:40 AM

Ralph,

When creating topics kindly aim to summarize your problem in a descriptive manner. Which topic title is well thought out: "Strategy question" (was) or "Why won't my Strategy generate any trades" (is)?

QUOTE:
When I ran the strategy, it didn't generate any trades - it did show the buy and hold results.

It's because of comparing VM+ to itself on the same bar:

CODE:
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The value cannot be greater than it is now. What you intended to write is:

CODE:
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Condensed version:

CODE:
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Size:

Color:

Ralph,

When creating topics kindly aim to summarize your problem in a descriptive manner. Which topic title is well thought out: "Strategy question" ([i]was[/i]) or "Why won't my Strategy generate any trades" ([i]is[/i])?

[quote]When I ran the strategy, it didn't generate any trades - it did show the buy and hold results.[/quote]
It's because of comparing VM+ to itself on the same bar:
[code]if (VMPlus.Series(Bars,14)[bar] > VMPlus.Series(Bars,14)[bar])[/code]
The value cannot be greater than it is now. What you intended to write is:
[code]if (VMPlus.Series(Bars,14)[bar] > VMMinus.Series(Bars,14)[bar])[/code]

Condensed version:
[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;
using TASCIndicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
      
		protected override void Execute()
		{
			var dema = DEMA.Series(Close,200,200);
			var DataSeriesLessPct = dema * (1 + 1/100d);
			var cmf = CMF.Series(Bars,21);
			var vmp = VMPlus.Series(Bars,14);
			var vmm = VMMinus.Series(Bars,14);
			
			var ls = LineStyle.Solid;
			PlotSeries(PricePane,  DataSeriesLessPct, Color.Red, LineStyle.Dotted, 2 );
			PlotSeries(PricePane,dema,Color.Blue,ls,1);

ChartPane pane1 = CreatePane(35,true,true);
			PlotSeries(pane1,cmf,Color.Green,ls,2);

ChartPane pane2 = CreatePane(35,true,true);
			PlotSeries(pane2,vmp,Color.Blue,ls,2);
			PlotSeries(pane2,vmm,Color.Red,ls,2);

for(int bar = GetTradingLoopStartBar(201); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						if (cmf[bar] < 0.00 && vmp[bar] < vmm[bar] && Close[bar]< DataSeriesLessPct[bar])
							SellAtMarket(bar + 1, p, "Group1");
					}
				}
				else
				{
					if (cmf[bar] > 0.00 && Close[bar]< DataSeriesLessPct[bar] && vmp[bar] > vmm[bar])
						BuyAtMarket(bar + 1, "Group1|");
				}
			}
		}
	}
}[/code]