Famous Trader

More things I hate about Wealth-Lab

In an earlier post, I ranted about how I hate wealth-lab, and asked for input comparing it with Block, and or other options for back testing, custom indicator creation, custom indexing, etc...  Well, I've been working with wealth-lab some more, and now....I REALLY HATE WEALTH LAB!.

I'm writing a script to back test the Darvas Box strategy.  The strategy is explained in How I Made $2,000,000 In The Stock Market  , by Nick Darvas.At a high level, we can say that the algorithm for generating buy and sell signals is a state machine with 5 discreet states.  If you search online for the algorithm, this is the common description.  However, the transition rules for each state have two symmetric sub-states (reverse the order of evaluation, depending on the direction of the prior box break-out, if you're last breakout was up, you evaluate the states looking for a range high first, if last break-out was down, you evaluate for a range low first). 

So, to a human, the strategy can be described with 5 states, but for automated back testing, it takes 10 states.  But there's more. Remember that we use the previous box break-out to determine if we calculate for high-first or low-first.  But at the beginning of the price series you're testing against, there is no prior break-out, so there is a special case where we don't know whether to look first for a range high or low.  So, it's an FSA with 11 discreet states.

As an object oriented programmer, my natural inclination when faced with this challenge is to implement the State design pattern.  The Wealth Script manual says that Wealth Script is object oriented, supporting polymorphism.  Cool....if the language supports OOD, I can work with it.  I like to think that I'm language agnostic. But I noticed that in the sample scripts in the program, and the scripts you can view at Wealth-Lab.com, nobody uses classes.  All the code is procedural.

So I started to write a DarvasBox object, and tried to encapsulate the state logic in the State Design Pattern.  That's when I realized, once again, how lame wealth script is.  I tried to overload the constructor (using the stupid constructor method qualifier keyword, followed by the name "Create" which seems to be their constructor naming convention).  I got a compilation error saying that there is already a method named create.  Just to make sure you understand that I didn't miss the obvious, the two Create definitions have different parameter signatures.  Does wealth script actually support overloading?

Also, I tried to set a type reference to null, and got another compilation error.  Is it possible that this "object oriented language" actually doesn't support null assignments?

I really wish there were a better, alternative.  I took a look at Blocks, but it seemed too 4G-ish to me. You know....all visual drag and drop.  It looks like you can edit code after it is auto generated from the 4G designer, but I'd rather just write things myself.  I still haven't made my mind up on it.

Blocks vs. Wealth-Lab

I use Wealth-Lab both Wealth-Lab, and Telechart. I think Telechart is a great value for the dollar, Although  I know it's sometimes referred to as the poor man's TradeStation.  (Not only am I not really famous, I'm not rich either. But I'm working on both.)

My equal weight IBD 100 index needs to be rebalanced weekly.  Index Builder in wealth lab has no built in way to accomplish this.  It will calculate the entire range of index values for the current components and weightings.  I need to access the composition and weighting for each week as I calculate the index, so It requires some external piece of code. 

To calculate the index in Wealth-Lab, it seemed that my only option was to write a COM object which accessed the components externally (presumably from a database or the file system).  This sounded like an incredible pain in the butt.  I opted to calculate the index in a completely separate program, then write it's values to a file, which will serve as an ascii based DataSource for Wealth-Lab.

I'm using TeleChart as my data source since the  data access SDK is dead easy to work with.  And I've implemented my own database to store the  price data imported from TeleChart, and the IBD Component Data which I import from downloaded IBD 100 spreadsheets .  I should have all the initial coding completed this weekend.

Anyway...that's all just background.  I really wanted to use this post to solicit opinions.  I use Wealth-Lab for back testing.  It has a lot of nice built in functions, and I can use Fidelity as a free source of intra-day data.  But I've got to say I HATE WEALTHSCRIPT! It's an ugly, pascal based scripting language. If-then-begin-end-else-begin-end-end-;  It's so old fashioned.  The placement of statement terminators is kind of arbitrary (sure it follows it's own rules, but the rules are arbitrary).  And some of the keywords, like var and Type are just retarded.  If they wanted a scripted environment, why didn't they choose javascript?

I can't help it.  I was a C++ programmer, who became a Java programmer, who became a C# programmer. I prefer the syntax of the C variants.  I understand that Blocks can be used for backtesting, and that it's .NET compliant. So I'm thinking about trying Has anybody worked with Blocks? (Does anybody read my blog?).

I'd love to hear some comments about working with Blocks.  If anybody has worked with both Wealth-Lab and Blocks, I'd love to hear opinions about their relative merits.  Thanks in advance for the input!