FAQ | Strategies and WealthScript

Combination strategies

Rule-based strategies

BuyAtLimit (High)
- Moving Average is trending up (Moving Average group)
- Price decreases a consecutive number of bars (Price (or Volume) group)

// IS:
BuyAtLimit(bar + 1, High[bar], "");

// CHANGE TO:
BuyAtStop(bar + 1, High[bar] + 0.10, "");

Indicators

1. On-the-fly:
   See Help > WealthScript Programming Guide > Indicators > Custom Indicators > "How to: Create a MACD with Custom Periods".
   
   
2. As a full-blown indicator, accessible by rule-based strategies:
   Install the Community.Indicators library which includes MACD with custom parameters.
   

DataSeries s = Lowest.Series(Close, period) >> 1

1. The most convenient way is to use FillSeriesFromFile method from Community Components library
2. Create an ASCII DataSet of the indicator directory, and access it as if it were a secondary symbol
   

Rotation strategies

• Trades are taken multiple times: the same stock can be purchased 3 or 4 times. There are 1000's of trades reported missing from the simulation etc.
• The By Symbol tab bears no resemblance to the Performance tab.
  

• To substitute the RSI indicator with another data series, modify this line:
  

holder.rsi = RSI.Series(Bars.Close, Period)[bar];

• To modify the sorting order (i.e. keep ones with the highest RSI), do this:
  

// IS: 
	list.Sort(this);


// CHANGE TO:
	list.Sort(this);
	list.Reverse();

Optimization

1. Chart-only windows
2. When using Streaming data
3. If you've hidden the Strategy Window's Status bar:
   

1. Reduce the number of runs required by:
   • disabling unnecessary parameters (use parameter checkboxes, since version 6.9)
   • make the parameter step wider
   • load less historical data
2. Choose a faster optimization method:
   • Exhaustive (brute force) is the slowest
   • Monte Carlo is faster and is suitable to get a rough estimate
   • Genetic Optimizer is at least 30% faster than Exhaustive
   • Particle Swarm Optimizer can be many times faster than Exhaustive
   • Exhaustive to Local Maximum Optimizer reaches same results as exhaustive optimization usually in a fraction of its time
3. Launch two (three...) WL instances with the same strategy in different Windows accounts (usernames). Use Win-L shortcut (multi-login) to switch between them.
   • Copy your data and Strategy files to each user account's AppData... folder
   • Change the CPU affinity for every running WL process to each CPU core
   • Tweak the Strategy Parameters so that they don't overlap.
   • A scripting solution for semi-automation of starting the WL instances with CPU affinity assignment may be possible with Windows script
     • An alternative to multiple WL instances is to set up several virtual machines
       

Position sizing

Strategy In General

• Choosing optimal trading tool: Strategy Monitor or Strategy window
  

• Check if you're requesting on-demand updates during market hours. Turn off on-demand updates.
• In Preferences, disable unneeded performance visualizers and reopen the Strategy window for the changes to apply.
• (Windows XP only) In case of unexplainable, partial slowdown of the application, reinstall .NET framework.
  

Required RAM = Number of stocks * number of bars * number of data series (typically 6: DateTime + OHLCV) * 8 bytes

• Break up the Multi-Symbol Backtest. If you're trading 1-minute bars, it's unlikely that your time horizon is on the order of months and years.
• Turn off some extra Performance Visualizers (Preferences - Performance Visualizers - uncheck).
• Call Bars.Cache.Clear at the end of your strategy to explicitly clear the internal cache that stores DataSeries and free memory.
• Install the x64 version of Wealth-Lab Developer/Pro if your operating system supports it.
  • Install more RAM for 64-bit Wealth-Lab to consume.
• Avoid performing multiple optimizations successively in the same window without closing and reopening the Strategy to force Windows do a memory cleanup.
• After days of always-on operation, it's best to completely restart Wealth-Lab before starting another memory-intensive optimization.
• If your Strategy code has grown large enough (like dozens of thousands lines), move it to a compiled library (DLL) using Visual Studio.
  

• WealthScript Programming Guide: Techniques > Most Probable AtStop
• look inside the bar on a smaller time frame with this solution from the Community Components library: Setting Priority for AtStop/AtLimit Orders
  

• Is the buy/sell signal happening on bar? Alerts only work for bar+1.
• Are your strategy using AtClose orders? These are not going to produce an alert. Check out the WealthScript Programming Guide: Programming Trading Strategies > Alerts > How to: Alert for AtClose Signals.
• Does your main loop end prematurely - like this?
  

  for(int bar = 20; bar < Bars.Count-1; bar++)

• In Portfolio Simulation mode, there may be not enough capital to execute a trade.
• Even if you're in Raw Profit mode, with "Fixed Dollar" selected trades can be skipped if the dollar size is less than the basis price of the instrument. It frequently happens when backtesting higher-priced indexes in RP mode. Example: Fixed Dollar = $5,000, Index price = 10,000, trade can't be taken (out of money).
• Preferences > Backtest settings > "Reduce quantity based on volume". Uncheck "Limit a Position's Quantity to a Percentage of the Bar's Volume".
• If using Strategy Monitor, make sure you've highlighted the Strategy and pressed the Activate Strategy button
• If Auto-Staging/Placing Alerts do not appear in the Orders tool, check that the account that you're trading has the offsetting position. By default, Portfolio Sync is enabled in Trading Preferences, and one of it's functions is to suppress orders for alerts that do not have a actual position.
  

• Interacting Dynamically with Portfolio Level Equity
• Portfolio Equity Tracker
  

WealthScript

• dotnetperls.com
• C# Tutorial 1
• C# Tutorial 2
• C# Tutorial 3
  

• Although there's some learning curve in gaining basic knowledge of what .NET has to offer to streamline your coding, WealthScript hasn't changed conceptually. For example, the "using" statements in C# are similar to $Includes. Another change worth mentioning is that some of the old functions now have gone for good because they're already available as a part of the Microsoft .NET framework (see An equivalent WealthScript function can't be found).
• Start by looking at the prepackaged strategies. Concentrate on the Execute() method, ignoring the other stuff at first.
• Use the WealthScript Translator tool to convert your Wealth-Lab 4 strategies to run in Wealth-Lab 6 (Direct download link). Compare the code with its WLD3/4 origin.
• Start using the Strategy Builder (aka New Strategy from Rules). Create a strategy, then use the "Open code in new window" function. Examining the code is very helpful.
• Keep WealthScript Programming Guide open: along with the QuickRef tool, it's your source for many examples of no-nonsense, illustrative code samples for real life tasks.
  

• Use the Bars.FormatValue method will formats the specified value into a string, using the current number of decimals.
• Or use a custom format string like this:
  

Close[bar].ToString("0.00")

protected override void Execute()
{
	DateTime dt = new DateTime(2008,01,23);
	for(int bar = 20; bar < Bars.Count; bar++)
	{				
		//Date[bar] = dt;
		Open[bar] = SMA.Series( Open, 20 )[bar];
		High[bar] = SMA.Series( High, 20 )[bar];
		Low[bar] = SMA.Series( Low, 20 )[bar];
		Close[bar] = SMA.Series( Close, 20 )[bar];
	}
}

protected override void Execute()
{
	HideVolume();
	ChartPane GiantPane = CreatePane(Int32.MaxValue,false,false);
	PlotSeries( GiantPane, RSI.Series( Close,14 ), Color.Blue, LineStyle.Solid, 2 );
}

protected override void Execute()
{
	for(int bar = 20; bar < Bars.Count; bar++)
	{
		/* In MetaStock:
		a11:= (a10+PREV*(a5-1))/a5;
		*/
		
		a11 = ( a10+a11*( a5-1 ) )/ a5;
	}
}

• System Building | Creating an Intraday trading strategy > Building blocks > "Function to easily determine and compare time of day".
  

• How to code relative strength?
• To chart relative performance of multiple instruments: WealthScript Techniques: Relative Performance Chart
  

protected override void Execute()
{
	int bar = Bars.Count-1;
	var pane = CreatePane(30,true,true);
			
	string UpArrowGreen = Convert.ToChar(0xe9).ToString();
	string UpTriangleGreen = Convert.ToChar('\u25b2').ToString();

	AnnotateBar( UpArrowGreen, bar, true, Color.Green, Color.Transparent, new Font( "Wingdings", 10, FontStyle.Bold ) );
	AnnotateBar( UpTriangleGreen, bar-1, true, Color.Green, Color.Transparent, new Font( "Times New Roman", 10, FontStyle.Bold ) );

	AnnotateChart( pane, UpArrowGreen, bar, 10, Color.Green, Color.Transparent, new Font( "Wingdings", 10, FontStyle.Bold ) );
	AnnotateChart( pane, UpTriangleGreen, bar-1, 100, Color.Green, Color.Transparent, new Font( "Wingdings", 10, FontStyle.Bold ) );
}

double d = 123 / 456;

double d1 = 123 / 456d;
double d2 = 123 / (double)456;
double d3 = 123 / 456.0;
PrintDebug(d1 , d2 , d3 );

• Reading Excel From C#
• How to automate Excel by using Visual C# to fill or to obtain data in a range by using arrays
  

• Reading and Writing Excel Spreadsheets Using ADO.NET C# DbProviderFactory