 Posted 2/20/2010 13:07:36
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Something is seriously wrong with RightEdge Signals.
Here are all of the details. The interesting thing is Since beginning of the year I have several entries/exits generated. Some enter 1 day after the signal, others enter correctly on the day the signal is generated. Below are the details for one that enters on Signal +1 day.
I have SystemData.CreateTicksFromBars = false;
Ticker Symbol : CLM
The signal to open the order is 2/11/2010 12:00:00 AM
The order was opened 2/12/2010 0:00 @ 11.12 which is impossible. As the prices for the day are
O H L C Vol Adj Close
12-Feb-10 10.87 10.89 10.11 10.41 107,000 10.41
I use the following Code to generate the order
PositionSettings settings = new PositionSettings();
settings.PositionType = PositionType.Long;
settings.OrderType = OrderType.Limit;
settings.LimitPrice = buyLimitPrice;
settings.Size = tradeSize;
settings.ProfitTarget = longExit;
settings.ProfitTargetType = TargetPriceType.AbsolutePrice;
settings.Description = String.Format("signal date {0}",SystemData.CurrentDate);
OpenPosition(settings);
I will follow up even more with details on faulty exits (i.e stop loss same day and Profit Target Same day) This is still occuring randomly in RE 2010
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Posted 2/20/2010 17:35:22
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I also found a symbol that allows me to reproduce the bug.
Please see my previous post for more info, but here is a simple script which will enter and exit same day with profit target set.
Set the profit target to "RealtivePrice" .04 using the RightEdge Properties Panel.
Then use the attached .cs file for the code.
Run it against symbol TLLE
You will see that on Jan 27th we enter @ .13 and exit on Jan 27th @ .23, this is impossible. CSV of trades attached as well.
Please advise.
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Posted 2/21/2010 07:32:50
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Here is another example using same system I attached before. I attached the entire project, so you should be able to just extract and import
this time I use symbol ATHX
YOu will see same day trades on 6 days.
The CSV is inside the .rar file along with the system.
Also, take a look at the Trade List for these days. I think its a clue something is going wrong.
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Posted 2/22/2010 08:45:18
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Great! I was able to import the system, run it with the data and get results, so we're on our way. However, I'm not seeing the location where you say we have the same trade on 6 days. Let's stay with the symbol ATHX and try to identify what you're seeing in error. It's not immediately obvious to me.
gregoryj (2/21/2010)
Here is another example using same system I attached before. I attached the entire project, so you should be able to just extract and import
this time I use symbol ATHX
YOu will see same day trades on 6 days.
The CSV is inside the .rar file along with the system.
Also, take a look at the Trade List for these days. I think its a clue something is going wrong.
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Posted 2/22/2010 08:57:58
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Bill,
Can you confirm you set the profit target to Relative Ratio on the properties tab....see image
http://screencast.com/t/Mjk0NmRlZ
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Posted 2/23/2010 09:01:51
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| Bill, were you able to reporduce?
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Posted 2/23/2010 15:09:42
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No, I'm not seeing 6 trades on one day, even in the output that you sent me. It is set to relativeratio. PT is 0.01, SL is 0.
gregoryj (2/23/2010)
Bill, were you able to reporduce?
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Posted 2/23/2010 15:43:42
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Bill, Not 6 trades in 1 day....rather 6 one day trades. Meaning the enter and exit were the same day.
In the output I sent you (i.e the CSV file which is within the RAR attached)
Do you not see the following 6 trades all occur on the same day?
ATHX Long 500 1/7/2010 0:00 1/7/2010 0:00 3.7 3.75
ATHX Long 500 1/22/2010 0:00 1/22/2010 0:00 2.9 3.03
ATHX Long 500 1/27/2010 0:00 1/27/2010 0:00 2.51 2.58
ATHX Long 500 1/28/2010 0:00 1/28/2010 0:00 2.55 2.64
ATHX Long 500 1/29/2010 0:00 1/29/2010 0:00 2.46 2.61
ATHX Long 500 2/12/2010 0:00 2/12/2010 0:00 3.24 3.31
These are all produced by the same system I attached and could not have occured
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Posted 2/24/2010 08:08:14
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Got it, investigating ...
gregoryj (2/23/2010)
Bill, Not 6 trades in 1 day....rather 6 one day trades. Meaning the enter and exit were the same day.
In the output I sent you (i.e the CSV file which is within the RAR attached)
Do you not see the following 6 trades all occur on the same day?
ATHX Long 500 1/7/2010 0:00 1/7/2010 0:00 3.7 3.75
ATHX Long 500 1/22/2010 0:00 1/22/2010 0:00 2.9 3.03
ATHX Long 500 1/27/2010 0:00 1/27/2010 0:00 2.51 2.58
ATHX Long 500 1/28/2010 0:00 1/28/2010 0:00 2.55 2.64
ATHX Long 500 1/29/2010 0:00 1/29/2010 0:00 2.46 2.61
ATHX Long 500 2/12/2010 0:00 2/12/2010 0:00 3.24 3.31
These are all produced by the same system I attached and could not have occured
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Posted 2/24/2010 08:32:52
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| Excellent! It is so random, and I can't put my finger on it. Look forward to hear what you find.
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