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[...] the best position seen so far by the entire population of particles. Is Particle Swarm Algorithm any different from Monte Carlo?
Yes. Although both Particle Swarm Optimizer and Monte Carlo work fast and use randomness, unlike Monte Carlo, Particle Swarm does its search purposefully. Particle Swarm algorithms employ movement of particles toward previously seen good solutions, searching for parameter combinations that provide an optimal value of the fitness function, “Net Profit”, for instance. How does it work?
After installing the extension and restarting Wealth-Lab, [...]
[...] mind for some reason, don't worry: any WSTS previously assigned to a Strategy can be linked with a different Strategy. To attach to a different account, follow these steps: Close all open Strategy windows (recommended) Open a new window for the Strategy you want to assign to a different WSTS Pick up the new TS and confirm the dialog message box: Upload Historical Results
Now that a WSTS has been associated with the Strategy, you might want to upload its historical backtest results. By showcasing a system's [...]
[...] DataSetSymbols * DataSetSymbols times! Run such code for just one symbol in the DataSet. Why there are different results depending on the clicked symbol? The only way the results will be the same is if all the data are synchronized natively. Every symbol must have bar data for exactly (and all) the same dates, otherwise Wealth-Lab has to synchronize the data by adding or deleting bars of the secondary symbols. Is it possible to pyramid in rotational strategies? Yes, see this forum thread for a code example. I need other rotation rule other than the built-in RSI. [...]
Request
"It would be nice to have different shades of colors in the Indicator Overbought/Oversold areas.
(e.g. light red = -100
Solution This workaround by Robert Sucher shows how to do the shades of colors by plotting more than once. The key is to make sure that you plot the lighter colors first:
protected override void Execute()
{
DataSeries CCI_LT = CCI.Series( Bars , 55 );
ChartPane paneCCI_LT = CreatePane ( 40, false , true );
PlotSeriesOscillator ( paneCCI_LT, CCI_LT, 100, -100, Color.FromArgb( 50, Color.Blue ),
Color.FromArgb( 50, Color.Red [...]
[...] simulations may produce unexpected results in PosSizers and Performance Visualizers? Reason : because the different historical DataSets aren't synchronized when backtesting. Solution : check for the date with EntryDate/ExitDate rather than the bar number:
// Fails:
//if (Positions[n].EntryBar == bar + 1)
// Workaround:
if ( Positions [n].EntryDate == bars. Date [bar + 1]. Date ) Why accessing an EquityCurve(CashCurve) value in multi-symbol portfolio simulations may produce unexpected results in PosSizers and Performance Visualizers? Reason : because the different [...]
[...] proliferate so that each new generation is based upon a hopefully better genotype. Is Genetic Algorithm any different from Monte Carlo?
Sure. Although both Genetic optimizer and Monte Carlo work fast and use randomness, unlike Monte Carlo, GA does its search purposefully. Genetic algorithm employs selection and recombination, searching for populations with the best optimization criteria. How does it work?
After installing extension and restarting Wealth-Lab, Genetic Optimizer appears in your list of installed optimizers, next to "Exhaustive" and "Monte Carlo". The "evolution" [...]
[...] normalize it. For obvious reasons, the original indicator should not be used for making comparisons across different markets. No surprise that different authors before have recognized the issue in using absolute price values by the ATR . For example, May 2006 Traders' Tip focused on Normalized Average True Range and August 2010 issue brought Normalized Volatility . As a solution to this problem, for no less than a decade Wealth-Lab has been including a version of a normalized ATR indicator called " ATRP ", i.e. ATR percentage. It's simply an ATR [...]
[...] datasources). Will Wealth-Lab Developer 6.x recognize my chartscripts? No, because Wealth-Lab .NET has a different, full-blown programming language - C#. However, it's possible to translate existing V4 scripts with the help of the free WealthScript Translator (WSTL) tool:
Download WealthScript Translator (alternative download link ). Documentation
Is there a documentation for WealthLab.dll class procedures and methods? The documentation for WealthLab.dll is the QuickRef (hit F11) and Wealth-Lab Version 6 (.NET) Development Guide . Whatever you didn't find covered [...]
Activating Wealth-Lab Developer Version 6 (and beyond) is a different, more convenient, and less error-prone process than it was previously. This article walks you through the process, step-by-step, to activate your Wealth-Lab Developer installation for a 30-day trial or for a paid registration. Log in to www.wealth-lab.com For both trials and paid registrations, you must create a free account at www.wealth-lab.com . Our site's server maintains your activation details. Note that it's not possible for you to activate more than one copy of Wealth-Lab (on other computers) [...]
[...] specify whatever information they need in order to define the DataSet. Each data provider will require different information. Some providers might only require that the user enter a list of symbols, other providers might require that the user navigate to a folder on their computer. Your static data adapter must communicate with the Wizard through the methods of the IWizard interface. These methods are described below:
UserControl WizardFirstPage() You should return an instance of a UserControl -derived class that contains the user interface for the first page of the [...]
[...] Position as the original. The assignment will help to reduce (but in no way guarantee) the frequency that different actions are taken for Positions associated in a split when the strategy enters several Positions on the same bar. /* Example: */ Position p = LastPosition ; // Position to split Position sp = SplitPosition (p, 49.99); // The new Position sp.Priority = p.Priority; // Assign the same Priority as the original Position After SplitPosition, most AsOfBar properties are invalid for the first Position in Portfolio Simulation mode Problem: Having [...]
[...] to visualize and analyze them as if they were natively created in a Wealth-Lab Strategy. It supports different data formats: one trade per line, one roundtip per line, importing trade history from Wealth-Lab's Accounts tool, and more. It reads a file that contains trade executions and makes Wealth-Lab's engine take the same trades - with the help of EnterAtPrice and ExitAtPrice functions. Once you run the Strategy, you will have access to all of the familiar analysis tools in Wealth-Lab. Features and conventions: Data in the file can be separated by tabs, commas or [...]
FIR — 1.2%
[...] Description FIR stands for Finite Impulse Response Filter. This is a type of smoothing filter that assigns different weights to price data a number of bars in the past. Pass the Price Series you want to apply the filter to in the first parameter. The second parameter of the FIR is a string that describes the weights that will be applied to the bars of data that compose the filter. The string is formatted as a series of numbers separated by commas.
Interpretation FIR filters are nothing more than another type of weighted moving average, with different [...]
[...] set of tool icons on the left side of the screen. The streamlined Function toolbar shows and hides different options depending on the window context, saving display space. Versatile charting abilities: plotting indicators in custom panes, simple text annotations, drawing objects and bitmap images. Use the improved graphics, annotate strategies with any installed font, add overlay indicators, fill bands with semi-transparency effects, and plot indicators like an oscillator. Displaying fundamental data required custom fields in ASCII DataSources or use of special data [...]
[...] same purpose and is one of the Market Manager's highlights. Specifying an Open Time and/or Close Time different from 0:00 for a market group will automatically filter the data for all the symbols it includes. Wealth-Lab will hide any data outside of the market hours indicated. (You may need to refresh the static chart after making changes to the option). For example, if you're charting the Xetra stock market, create a new preset and specify the open and close times in Central European Standard Time. As you may understand, disabling the market hours filter is simply a [...]
[...] account using the same pseudonym that you use for wealth-lab.com. (The password can be the same or different.) Only Wealth-Lab customers can download Extensions (from the main website) and access premium content on the Wiki. Customers: Please create a Support Ticket on wealth-lab.com to request access. Open Source Code!
This Wiki also serves as our Community portal for open-source Indicators, Components, and their documentation. Open Source Documentation Knowledge Base More Community Indicators Standard Indicators Knowledge Base TASC Traders Tips TASCIndicators [...]
[...] entry, a logical question is, “how would the results have been affected had the trades occurred in a different order or had different [...]
[...] condition B (priority = 2) Easily test a "Double and Reverse on a Stop Loss" system by assigning a different priority and position size to the entry signal coming after a loss Assign different [...]
[...] Compact. Features
Supports historical and real-time data For static and streaming quotes, can query different databases The provider is optimized for MS SQL Server (uses asynchronous methods) If other database installs its .NET driver in the system, the provider can autodetect and support it - for example: SQLite, Firebird, MySQL etc. Every data request is live, the data only exists in your database (and can't be edited in WL) Supports Market Manager
Creating a new DataSet
To work with a database containing some data, you need to create a new static DataSet first. [...]
[...] figure (annualized) and the one that uses monthly returns (complete months only; numbers are slightly different from Wealth-Lab's own metric). Sharpe ratio and Sortino ratio account for the user-specified risk-free rate ( Preferences - Backtest Settings ). ==Lite version: No closed equity== As calculating closed equity could get very slow for large intraday backtests with systems creating thousands of positions, we've made two optimizations in version 2012.12 : optimized closed equity algorithm (works 2 times faster) added a new scorecard that does not contain any performance [...]
[...] equity accessible
Example use cases
User tests a new diversified futures trading system on 100 different futures which produced an extremely good result for one year but suddenly started taking massive losses next year. To find the culprit of the crash, the user is stepping through day by day in the Portfolio Inspector screen, to see what instruments were held in the portfolio. He realizes that the system was not properly diversified, and the reason for its huge losses was going short 30 different [...]
[...] Strategy as shown on examples below. Without it, running several Strategies that employ AutoStops with different settings will result in totally wrong trades. Update Community Components to v2017.05 or higher.
Using Automated Exits (AutoStops) in WealthScript
The WealthScript language contains a number of functions that can help you program various types of automated exits in your trading systems. All of these exits could also be programmed manually, however the automated exits can be used as a way to reduce the size of your code. If you wish to implement exit rules [...]
[...] simulations may produce unexpected results in PosSizers and Performance Visualizers? Reason : because the different historical DataSets aren't synchronized when backtesting. Solution : check for the date with EntryDate/ExitDate rather than the bar number: // Fails:
//if (Positions[n].EntryBar == bar + 1)
// Workaround:
if ( Positions [n].EntryDate == bars. Date [bar + 1]. Date )
Why accessing an EquityCurve(CashCurve) value in multi-symbol portfolio simulations may produce unexpected results in PosSizers and Performance Visualizers? Reason : because the
[...] Strategy libraries are not supported. Code Compare
Code revisions can easily be compared after selecting different versions from Version dropdowns. Detected changes are highlighted with green/red stripes. If your code is long enough, you can scroll it down - it's synchronized. Compare code revisions Note: Through right-click context menu, both Strategy Code and Code Compare allow changing font size and copying the code of currently selected snapshot to the clipboard. Equity
To minimize snapshot size and memory usage, equity for intraday backtests is always compressed [...]
[...] Gene Geren is truly a market-driven indicator used to determine the variable lookback period for many different indicators, instead of a traditional, fixed figure. It is based on the frequency of market swings - the time between swing highs or swing lows. A swing high is defined as two consecutive higher highs followed by two consecutive lower highs; a swing low is defined by two consecutive lower lows followed by two consecutive higher lows. As swing points typically accompany reversals, they occur more frequently in choppier and volatile markets than in trends. With [...]
[...] data is so far from being uniform that groups of related instruments (let's say futures) might have different field sets! The data for the same instrument can be paid and free. Free data can have defects (omissions, missing components for a data range etc.) This creates big problem for software developers who would like to support Quandl data. For example, in some software packages you have to manually configure each instrument through a configuration file. This is not the Wealth-Lab way. Our solution is dynamic parsing. Wealth-Lab does all the low level job of recognizing [...]
[...] suggested by Williams. In this case, it would make the formula useless for portfolio trading where different instruments have different [...]
[...] Oscillator ( PMO ) in an intermarket context. Specifically, author uses the CPMO to compare momentum of different indexes. For example, it's believed that the [...]
[...] supposed to be (if it's a positive value). E-Ratio is normalized for volatility to be applicable across different markets. E-Ratio chart Calculation
T [...]
[...] positive than the standard value. This can occur when the maximum drawdown values are derived from different dates due to the differences between the standard [...]