High level CBT returning -1 for sig.Price on long scale-ins

AFL Programming
1

Long only system. When I scale-out of a position, I want to exit the same amount of shares as my last buy entry or buy scale-in. I am trying to use the the high level CBT to adjust the scale-out shares to appropriate quantity, so first I am capturing the last entry quantity into a static var to be retrieved later and used on the scale-out. A snipit of my attempt is below.

for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i))
			{   
				tmpPrc = sig.Price;
				if (doTrace) { _TRACE(dn_tn_i + " tmpPrc: " + NumToStr(tmpPrc, 1.2)); }
				
				//Long only system.
				if (sig.IsLong() AND NOT sig.Type == 2 AND NOT sig.Type == 6 )    // if this is a buy or scale-in, and not a sell and not a scale-out
				{
					psize = sig.PosSize;    	
					if (psize < 0)   
						psize = (-psize/100) * bo.Equity; 
					
					LastEntryShares = psize / tmpPrc;
					StaticVarSet ( "LastEntryShares" +  sig.Symbol, LastEntryShares);
					if (doTrace) { _TRACE(dn_tn_i + " En ---LastEntryShares: " + NumToStr(LastEntryShares, 1.4) + "  psize: " + NumToStr(psize, 1.2) + "  sig.Price: " + NumToStr(sig.Price, 1.2) + "  sig.Type: " + NumToStr(sig.Type, 1.0) ); }
				}
			
			
				if (sig.Type == 6)    //  If this signal is a scale-out exit
				{
					LastEntryShares = StaticVarGet ( "LastEntryShares" +  sig.Symbol);
					if (doTrace) { _TRACE(dn_tn_i + " Ex ---LastEntryShares: " + NumToStr(LastEntryShares, 1.4)); }
					sig.PosSize = LastEntryShares * tmpPrc;   
				}
}

The problem is for the scale-ins, the CBT is returning a -1 for price. When I use a detailed report, I can see the correct scale-price, so why would the CBT give me a -1 here? According to the manual it is supposed to be able to return price for scales.

image

2

How did you set your BuyPrice in your Phase1 AFL?

3 
if (  BuyCond )
		{
			Buy[i] = 1;
			Buy[i] = sigScaleIn[i]  ;
			BuyPrice[i] = BuyPrc;
}

in a low level loop with the above statement

4

@vjsworld I did a short test with your code (adding the standard CBT required lines) and using some fake rules to Buy/Sell like this:

sigB = ((C > MA(C, 5)) OR (RSI() < 5));
sigS = ((C < MA(C, 5)) OR (RSI() > 85));
Buy = IIf(sigB, sigScaleIn, 0);
Sell = SigS;

immagine

The Price for ScaleIn trades is correctly printed, so IMO the main suspect, as hinted by @mradtke, is the loop where you set the signals.

5

thank you for investigating @beppe. From what you see in my code above concerning the sigScaleIn, can you see anything wrong?

6

@vjsworld, sigScalein is a special constant so I do not understand why you are using it as an array.

I will probably do it this way:

if( BuyCond )
{
    Buy[i] = sigScaleIn ;
    BuyPrice[i] = BuyPrc;
}

And obviously, you need to have BuyPrc already defined (_TRACE the loop to log the values or use an exploration to see what values you are actually assigning).

In my previous example when I get a buy signal I set Buy directly to SigScalIn because AB treats the first sigScaleIn as buy anyway (see Example 2 of Pyramiding (scaling in/out).

1 Like
7 
if( BuyCond )
{
    Buy[i] = sigScaleIn ;
    BuyPrice[i] = BuyPrc;
}

I did it exactly like this now and I am still getting -1 for sig.Price on just the sig.Type 5 (scale-in). I know the scale-in entry prices are correct because I draw arrows on the chart, and also study the detailed backtest report.

Any other suggestions?

8

You need to show entire code, not part of it. Likely you are printing values after processing signals. ProcessTradeSignals may modify values and -1 price usually means that signal was already processed and/or should be skipped.

3 Likes
9

That was it @Tomasz! I had to move :

bo.ProcessTradeSignals( i );

to below this part of the CBT loop. Thank you!