Help-convert-translated-V3-4-chartscript-from-WL6

2021-03-23T14:21:45Z - 2021-03-23T14:21:45Z ago

Help convert translated V3/4 chartscript from WL6

Hi,
I have an old strategy that has already been converted from WL3 or 4 to WL6.
Can you help me transpose this to WL7?

CODE:
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using System.Threading; // Sleep()
using System.Windows.Forms;
using WealthLab;
using WealthLab.Indicators;
using finantic.TL; // WealthScriptTL

namespace WealthLabCompile2
{
   class Strategy : WealthScriptTL
   {
      #region file ChartScript

      // start of prolog: This is a comment at the top of each file
      public new void Init(){
         base.Init();
         //optional settings
         UseUpdatedEMA(true);
         SetStdDevCalculation(StdDevCalculation.Population);
      }
      // end of prolog: This is a comment at the top of each file

      /** (*Indicators...
      I~SMA1~SMA~0~#Close,90~900~#Thick~
      *) */ 

      public  /** (*Indicators...
I~SMA1~SMA~0~#Close,90~900~#Thick~
*) */ 
         int Bar = 0;
      public bool shortOption = false;
      public int avg, LastLongPosition, LastShortPosition = 0;
      public double tolerance, avgValue, avgOverValue, avgUnderValue = 0.0;
      public double newAvgOverValue, newAvgUnderValue = 0.0;
      public int avgSeries, avgOverSeries, avgUnderSeries = 0;
      public int curDay = 0;
      public bool condition = false;

/** This method contains the meat of your script,
    i.e, any statements that are not inside a user defined class or function/procedure. */
      protected override void Execute(){
         Init();
         // [declaration for class ChartScript used to be here] 
    
         /**  ----------- set variable values ------------------ */ 
         avg = (int)20;
         /**  average in days */ 
         tolerance = (double)0.034;
         /**  ----------- set variable values ------------------ */ 
         avgValue = (double)0.00;
         avgOverValue = (double)PriceClose(1);
         avgUnderValue = (double)0.00;
         newAvgOverValue = (double)0.00;
         newAvgUnderValue = (double)0.00;
         avgSeries = (int)SMASeries(WL_CLOSE, avg);
         avgOverSeries = (int)CreateSeries();
         avgUnderSeries = (int)CreateSeries();
         for (Bar = 21; Bar <= (Bars.Count - 1); Bar++) {
            /**  calculate new average */ 
            avgValue = (double)SMA(Bar, WL_CLOSE, avg);
            newAvgOverValue = (double)((avgValue * ((1.00 + tolerance))));
            newAvgUnderValue = (double)((avgValue * ((1.00 - tolerance))));
            switch (MarketPosition) {
               /**  No position  */ 
               case 0:
               {
                  avgOverValue = (double)Math.Min(avgOverValue, newAvgOverValue);
                  avgUnderValue = (double)Math.Max(avgUnderValue, newAvgUnderValue);
                  /**  long buy */ 
                  if ((BuyAtStop((Bar + 1), avgOverValue, "Buy"))) {
                     avgUnderValue = (double)newAvgUnderValue;
                        
                  }
                  /**  long buy */ 
                    
               }
            break;
            /**  Current position is long  */ 
            case 1:
            {
            /**  set the background color */ 
            SetBackgroundColor(Bar, WL_BLUEBKG);
            avgUnderValue = (double)Math.Max(avgUnderValue, newAvgUnderValue);
            if ((SellAtStop((Bar + 1), avgUnderValue, LastPosition, "Sell"))) {
               avgOverValue = (double)newAvgOverValue;
               avgUnderValue = (double)newAvgUnderValue;
                        
            }
                    
         }
            break;
            default: 
            break;
            
            } /**  set PriceSeries */ 
         SetSeriesValue(Bar, avgOverSeries, avgOverValue);
         SetSeriesValue(Bar, avgUnderSeries, avgUnderValue);
        
      }
      /**  plot avgs */ 
      PlotSeries(avgSeries, 0, WL_PURPLE, WL_THIN);
      PlotSeries(avgOverSeries, 0, WL_BLUE, WL_DOTTED);
      PlotSeries(avgUnderSeries, 0, WL_FUCHSIA, WL_DOTTED);
    
   }



   // start of epilog: This is a comment at the end of each file
} // class Strategy
   } // namespace
   // end of epilog

   #endregion file ChartScript

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Cone8

( 5.88% )

2021-03-23T14:42:46Z - 2021-03-23T14:42:46Z ago

I'll give it a try - but that finantic translator sure makes it more complicated. Do you still have the WL4 script - that would be easier!

system6128

2021-03-23T15:12:28Z - 2021-03-23T15:12:28Z ago

var Bar: integer;
var shortOption: boolean;
var avg, LastLongPosition, LastShortPosition: integer;
var tolerance, avgValue, avgOverValue, avgUnderValue: float;
var newAvgOverValue, newAvgUnderValue: float;
var avgSeries, avgOverSeries, avgUnderSeries: integer;
var curDay: integer;
var condition: boolean;

// ----------- set variable values ------------------
avg :=9; // average in days
tolerance := 0.026; // in percent (e.g. 0.4% = 0.004)
// ----------- set variable values ------------------

avgValue := 0.00;
avgOverValue := PriceClose(1);
avgUnderValue := 0.00;
newAvgOverValue := 0.00;
newAvgUnderValue := 0.00;
avgSeries := WMASeries(#Close,avg);
avgOverSeries := createSeries();
avgUnderSeries := createSeries();

Plotstops ;

// Trading rules
for Bar := 20 to BarCount - 1 do
begin
// calculate new average
avgValue := WMA(Bar, #Close, avg);
newAvgOverValue := (avgValue * (1.00 + tolerance));
newAvgUnderValue := (avgValue * (1.00 - tolerance));

case MarketPosition of
0: { No position }
begin
avgOverValue := Min(avgOverValue, newAvgOverValue);
avgUnderValue := Max(avgUnderValue, newAvgUnderValue);

// long buy
if (buyAtStop(Bar+1, avgOverValue, 'Buy')) then
begin
avgUnderValue := newAvgUnderValue;
end;
end;
1: { Current position is long }
begin
// set the background color
SetBackgroundColor(Bar, #bluebkg);

avgUnderValue := Max(avgUnderValue, newAvgUnderValue);

if (SellAtStop(Bar+1, avgUnderValue, LastPosition, 'Sell')) then
begin
avgOverValue := newAvgOverValue;
avgUnderValue := newAvgUnderValue;
end;
end;
end;
// set PriceSeries
setSeriesValue(Bar, avgOverSeries, avgOverValue);
setSeriesValue(Bar, avgUnderSeries, avgUnderValue);
end;

// plot avgs
plotSeries(avgSeries, 0, #purple, #thin);
plotSeries(avgOverSeries, 0, #blue, #dotted);
plotSeries(avgUnderSeries, 0, #fuchsia, #dotted);

Cone8

( 5.88% )

2021-03-23T15:40:51Z - 2021-03-23T15:40:51Z ago

It's actually a lot simpler than previously coded, which actually "peeked" when setting the avgOver/UnderSeries values. However, that didn't affect the trades, only the values displayed. Give this a try, complete with parameter sliders and ready for optimization.

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Drawing;
using System.Collections.Generic;

namespace WealthScript2 
{
    public class Strategy612 : UserStrategyBase
    {            
      IndicatorBase _avgSeries; 
      TimeSeries    _avgOverSeries;
      TimeSeries      _avgUnderSeries;

      public Strategy612()
      {
         AddParameter("Period", ParameterTypes.Int32, 20, 5, 50, 5);
         AddParameter("Tolerance", ParameterTypes.Double, 0.034, 0.025, 0.045, 0.001);
      }
      
        public override void Initialize(BarHistory bars)
        {
         int avg = Parameters[0].AsInt;
         double tolerance = Parameters[1].AsDouble;

         _avgSeries = SMA.Series(bars.Close, avg);
         _avgOverSeries = _avgSeries * (1.00 + tolerance);
         _avgUnderSeries = _avgSeries * (1.00 - tolerance);

         PlotIndicatorLine(_avgSeries, Color.Purple, 1);
         PlotTimeSeriesLine(_avgOverSeries, "AvgOverSeries", "Price", Color.Blue, 1, LineStyles.Dotted);
         PlotTimeSeriesLine(_avgUnderSeries, "AvgUnderSeries", "Price", Color.Fuchsia, 1, LineStyles.Dotted);
      }

        //execute the strategy rules here, this is executed once for each bar in the backtest history
        public override void Execute(BarHistory bars, int idx)
        {
         
            if (!HasOpenPosition(bars, PositionType.Long))
            {            
            PlaceTrade(bars, TransactionType.Buy, OrderType.Stop, _avgOverSeries[idx]);               
            }
            else
            {
            /* position is long  */
            SetBackgroundColor(bars, idx, Color.FromArgb(40, Color.Blue));
            
            PlaceTrade(bars, TransactionType.Sell, OrderType.Stop, _avgUnderSeries[idx]);            
            }
        }
      
    }
}

Best Answer

system6128

2021-03-23T16:05:26Z - 2021-03-23T16:05:26Z ago

Great, THX

Eugene8

2021-03-23T16:18:35Z - 2021-03-23T16:18:35Z ago

Can this be accomplished by this Rule?

Cone8

( 5.88% )

2021-03-23T16:58:25Z - 2021-03-23T16:58:25Z ago

The Buy at Limit or Stop rule is all this one needs. The Indicator % condition isn't required because it's already part of the main rule.

system6128

2021-03-24T07:22:24Z - 2021-03-24T07:22:24Z ago

i found a problem at that what you sent.

There is a crucial point in my script from wl4. Position is flat: the indicator (SMA) must not become larger for a buy can only get smaller. (buy signal always at lowest low of indicator
same for sell: the indicator can only get bigger

superticker8

2021-03-24T14:43:59Z - 2021-03-24T14:43:59Z ago

The solution in Post #2 employs a WMA; whereas, the solution in Post #3 employs an SMA instead. One might want to try stimulating both approaches to see which is most profitable.

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