lower entries - Wealth Lab Forum

techtrader007

#1

6/9/2011 10:39 AM

How do create following simple script.

For example RSI 10 < 30 buy 10% of my 10000 equity

if price are lower than my previous entry buy 20% of my 10000 equity
if price are lower than my previous entry buy 30% of my 10000 equity
if price are lower than my previous entry buy 40% of my 10000 equity

Exit: if close > sma5

Do I need for scale in functions a position size script or can I program scale in functions in the script as well?

Eugene

#2

6/9/2011 12:08 PM

See "RSI Agita" strategy on how to program the "price lower than previous entry" condition.

For backtests involving portfolio equity, you need to use (program) a PosSizer.

techtrader007

#3

6/9/2011 1:24 PM

Which posSiz would you prefer, where I can set this figures?

Eugene

#4

6/9/2011 1:53 PM

The Pyramiding PosSizer.

techtrader007

#5

6/9/2011 2:45 PM

Is there an an example to add positions. In RSI Agita it buys all on the same day .
I would like to buy only one position today if RSI < 40 and if close < entryposition1 and rsi < 30 the following next day closing price and if close < entryposition2 and rsi < 20 annother one, so maximum 3 positions on three different days . Not all on the same day.

CODE:
Please log in to see this code.

Size:

Color:

Is there an an example to add positions. In RSI Agita it buys all on the same day . 
I would like to buy only one position today if RSI < 40 and if close < entryposition1 and rsi < 30  the following next day closing price and if close < entryposition2 and rsi < 20  annother one, so maximum 3 positions on three different days  . Not all on the same day.

[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
	{
		
		protected override void Execute()
		{
			DataSeries RSISeries = RSI.Series(Close, 5);
			DataSeries ma = SMA.Series(Close, 50);
			DataSeries RSISeries_1 = RSI.Series(Close, 5);
			DataSeries ma_3 = SMA.Series(Close, 50);
			DataSeries RSISeries_4 = RSI.Series(Close, 5);
			DataSeries ma_6 = SMA.Series(Close, 50);
			DataSeries ma_7 = SMA.Series(Close, 5);

ChartPane paneRSI = CreatePane(75,true,true);
			PlotSeries(paneRSI, RSISeries, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 40, Color.Red, LineStyle.Solid, 1);
			PlotSeries(PricePane,SMA.Series(Close,50),Color.Blue,LineStyle.Solid,2);
			PlotSeries(paneRSI, RSISeries_1, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 30, Color.Red, LineStyle.Solid, 1);
			PlotSeries(paneRSI, RSISeries_4, Color.Navy, LineStyle.Solid, 2);
			DrawHorzLine(paneRSI, 20.00, Color.Red, LineStyle.Solid, 1);
			PlotSeries(PricePane,SMA.Series(Close,5),Color.Blue,LineStyle.Solid,2);

for(int bar = GetTradingLoopStartBar(51); bar < Bars.Count; bar++)
			{
					if (RSISeries_4[bar] < 20.00)
					{
						if (Close[bar] > ma_6[bar])
						{
							BuyAtClose(bar, "Group1|");
						}
					}
					if (RSISeries_1[bar] < 30)
					{
						if (Close[bar] > ma_3[bar])
						{
							BuyAtClose(bar, "Group1|");
						}
					}
					if (RSISeries[bar] < 40)
					{
						if (Close[bar] > ma[bar])
						{
							BuyAtClose(bar, "Group1|");
						}
					}
				
				for(int _pos = ActivePositions.Count - 1; _pos >= 0; _pos--)
				{
					Position p = ActivePositions[_pos];
					if (p.Active)
						{
					if (p.EntrySignal.Contains("Group1|"))
					{
						if (CrossOver(bar, Close, ma_7))
						{
							SellAtClose(bar, p, "Group1");
						}
					}

}
				}
			}
		}
	}
}
[/CODE]

Eugene

#6

6/9/2011 2:54 PM

This is best handled by the Max Positions Per Day PosSizer (built in WL6) but this makes applying the Pyramiding PosSizer impossible.

For the "price lower than previous entry" condition, take this rule from RSI Agita:

CODE:
Please log in to see this code.

When making a trade, check the last active position's entry date and don't make that trade if a trade has already been taken today. That should do it.

techtrader007

#7

6/10/2011 7:44 AM

Thanks. Is there an add on for Pyramid trade to scale up the size in weakness.
and a percentage add on for 1 signal 10% 2 signal 20% 3 signal 30% and 4 signal 40%.
The pozSizerSettings are not possible for this.
Do you know where I can set this configuration?

Eugene

#8

6/10/2011 7:57 AM

The opposite of the scaled-down pyramid? Never considered it when creating the PosSizer. The existing options can only add equal positions (these addon trades can be any size compared to the base but their size is fixed) or take progressively smaller positions.

I'll look if increasing the addon trade size in the PosSizer is a possible enhancement for a future version.