Why no short trades are produced?

mrsic

#1

3/18/2018 12:15 PM

Hi,

could anyone find the error why i am getting no short trades, please. I can't find it. Thanks.

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greetings

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Hi,

could anyone find the error why i am getting no short trades, please. I can't find it. Thanks.

[code]protected override void Execute()
		{
			DataSeries stochd = StochD.Series(Bars, slider3.ValueInt, slider4.ValueInt);  //LongStochD
			DataSeries stochd_1 = StochD.Series(Bars, slider11.ValueInt, slider12.ValueInt);  //ShortStochD

DataSeries ATR_Long = ATR.Series(Bars, slider6.ValueInt); //ATR_LONG
			DataSeries ATR_Short = ATR.Series(Bars, slider14.ValueInt); //ATR_SHORT

var ub = Close + ATR_Long * slider7.ValueInt;
			var lb = Close - ATR_Short * slider15.ValueInt;

ChartPane paneStoch = CreatePane(75, true, true);
			PlotSeries(paneStoch, stochd, Color.Black, LineStyle.Dotted, 2);
			DrawHorzLine(paneStoch, slider5.Value, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, (Close + ATR.Series(Bars, slider6.ValueInt) * slider7.Value) >> 1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(paneStoch, stochd_1, Color.Black, LineStyle.Dotted, 2);
			DrawHorzLine(paneStoch, slider13.Value, Color.Red, LineStyle.Solid, 1);
			PlotSeries(PricePane, (Close - ATR.Series(Bars, slider14.ValueInt) * slider15.Value) >> 1, Color.Red, LineStyle.Solid, 1);

var startbar = 3 * Math.Max(slider6.ValueInt, slider14.ValueInt);

for (int bar = GetTradingLoopStartBar(startbar); bar < Bars.Count; bar++)
		//	for(int bar = Bars.Count - 1; bar < Bars.Count; bar++)			// Signalschleife
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;

if (p.PositionType == PositionType.Long)
					{

if (bar - p.EntryBar >= slider8.ValueInt)
							SellAtMarket(bar + 1, p);

else
							SellAtLimit(bar + 1, p, ub[bar]);
					}
					else
					{

if (bar - p.EntryBar >= slider16.ValueInt)
							CoverAtMarket(bar + 1, p);
						else
							CoverAtLimit(bar + 1, p, lb[bar]);
					}

}

else
				{
					var priority = 0d;
					var priorityString = "";

if (CumDown.Value(bar, Close, slider2.ValueInt) >= slider1.ValueInt)
					{
						if (stochd[bar] < slider5.Value)
						{

priority = 100 - stochd[bar];

string prio = string.Format("{0:0.00} / Limit{1:0.00} / Close{2:0.00}", priority, ub[bar], Close[bar]);

if (BuyAtMarket(bar + 1, prio) != null)  //Set priority
							{
								LastActivePosition.Priority = priority;

}

}
						if (CumUp.Value(bar, Close, slider10.ValueInt) >= slider9.ValueInt)
						{
							if (stochd_1[bar] > slider13.Value)
							{

priority = stochd_1[bar];

string prio = string.Format("{0:0.00} / Limit {1:0.00} / Close{2:0.00}", priority, lb[bar], Close[bar]);

if (ShortAtMarket(bar + 1, prio) != null)

{
									LastActivePosition.Priority = priority;

}
							}
						}

}
				}
			}
		}
	}
}[/code]

greetings

Cone

#2

3/18/2018 12:35 PM

One or more of your 13 or so sliders are set to values that don't allow the ShortAtMarket() statement to be executed.

Eugene

#3

3/18/2018 12:39 PM

I think that the reason may be in incorrectly positioning the Short logic block inside the Long logic block. This creates a mutually exclusive condition which is unlikely to ever trigger.

Move this entire block outside of "if (CumDown.Value..."

CODE:
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mrsic

#4

3/18/2018 1:05 PM

QUOTE:
I think that the reason may be in incorrectly positioning the Short logic block inside the Long logic block. This creates a mutually exclusive condition which is unlikely to ever trigger.

I think the logic for a Mean-Reversion-System is correct.

QUOTE:
One or more of your 13 or so sliders are set to values that don't allow the ShortAtMarket() statement to be executed.

that was also my first thought but I have tried it with several values. That is the whole Strategy.

CODE:
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[quote]I think that the reason may be in incorrectly positioning the Short logic block inside the Long logic block. This creates a mutually exclusive condition which is unlikely to ever trigger.
[/quote]
I think the logic for a Mean-Reversion-System is correct.

[quote]One or more of your 13 or so sliders are set to values that don't allow the ShortAtMarket() statement to be executed.[/quote]
that was also my first thought but I have tried it with several values. That is the whole Strategy.

[code]slider1 = CreateParameter("NoB_LG", 3, 1, 10, 1);
			slider2 = CreateParameter("LB_LG", 1, 1, 1, 1);
			slider3 = CreateParameter("StochD_LB_LG", 6, 1, 15, 1);
			slider4 = CreateParameter("StochD_Smoothing_LG", 3, 2, 4, 1);
			slider5 = CreateParameter("Stochd_LV_LG", 21, 18, 25, 1);
			slider6 = CreateParameter("ATR_LB_LG", 5, 3, 15, 1);
			slider7 = CreateParameter("ATR_Multiplier_LG", 1.8, 1.5, 3.0, 0.1);
			slider8 = CreateParameter("TBX_LG", 3, 1, 5, 1);

slider9 = CreateParameter("NoB_ST", 2, 1, 10, 1);
			slider10 = CreateParameter("LB_ST", 1, 1, 1, 1);
			slider11 = CreateParameter("StochD_LB_ST", 5, 5, 15, 1);
			slider12 = CreateParameter("StochD_Smoothing_ST", 3, 2, 4, 1);
			slider13 = CreateParameter("Stochd_Level_ST", 83, 70, 85,1);
			slider14 = CreateParameter("ATR_LB_ST", 8, 4, 15, 1);
			slider15 = CreateParameter("ATR_Multiplier_ST", 1, 1, 3, 1);
			slider16 = CreateParameter("TBX_ST", 2, 1, 8, 1);
		}

protected override void Execute()
		{
			DataSeries stochd = StochD.Series(Bars, slider3.ValueInt, slider4.ValueInt);  //LongStochD
			DataSeries stochd_1 = StochD.Series(Bars, slider11.ValueInt, slider12.ValueInt);  //ShortStochD

DataSeries ATR_Long = ATR.Series(Bars, slider6.ValueInt); //ATR_LONG
			DataSeries ATR_Short = ATR.Series(Bars, slider14.ValueInt); //ATR_SHORT

var ub = Close + ATR_Long * slider7.ValueInt;
			var lb = Close - ATR_Short * slider15.ValueInt;

ChartPane paneStoch = CreatePane(75, true, true);
			PlotSeries(paneStoch, stochd, Color.Black, LineStyle.Dotted, 2);
			DrawHorzLine(paneStoch, slider5.Value, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, (Close + ATR.Series(Bars, slider6.ValueInt) * slider7.Value) >> 1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(paneStoch, stochd_1, Color.Black, LineStyle.Dotted, 2);
			DrawHorzLine(paneStoch, slider13.Value, Color.Red, LineStyle.Solid, 1);
			PlotSeries(PricePane, (Close - ATR.Series(Bars, slider14.ValueInt) * slider15.Value) >> 1, Color.Red, LineStyle.Solid, 1);

var startbar = 3 * Math.Max(slider6.ValueInt, slider14.ValueInt);

for (int bar = GetTradingLoopStartBar(startbar); bar < Bars.Count; bar++)
		//	for(int bar = Bars.Count - 1; bar < Bars.Count; bar++)			// Signalschleife
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;

if (p.PositionType == PositionType.Long)
					{

if (bar - p.EntryBar >= slider8.ValueInt)
							SellAtMarket(bar + 1, p);

else
							SellAtLimit(bar + 1, p, ub[bar]);
					}
					else
					{

if (bar - p.EntryBar >= slider16.ValueInt)
							CoverAtMarket(bar + 1, p);
						else
							CoverAtLimit(bar + 1, p, lb[bar]);
					}

}

else
				{
					var priority = 0d;
					var priorityString = "";

if (CumDown.Value(bar, Close, slider2.ValueInt) >= slider1.ValueInt)
					{
						if (stochd[bar] < slider5.Value)
						{

priority = 100 - stochd[bar];

string prio = string.Format("{0:0.00} / Limit{1:0.00} / Close{2:0.00}", priority, ub[bar], Close[bar]);

if (BuyAtMarket(bar + 1, prio) != null)  //Set priority
							{
								LastActivePosition.Priority = priority;

}

}
						if (CumUp.Value(bar, Close, slider10.ValueInt) >= slider9.ValueInt)
						{
							if (stochd_1[bar] > slider13.Value)
							{