Creating a Bollinger Bands rotation strategy

SimhaD04

#1

7/9/2013 3:16 PM

Using your sample code, Weak-Stock Rotation, I tried to write a code for the following strategy:

QUOTE:
Read in a database of stock symbols. For each symbol determine its position within Bollinger channel bands.

Assign a weight, w_i, from 0 to 1 depending on its position between the bands: 0 at or below the lower band and 1 at or above the top band.

Determine the average weight, w_av, of a symbol, w_av = w_i / N, where N is the total number of symbols and compute (w_i - w_av) for each symbol.

Select 2K symbols, 2K<N, K symbols with the largest positive weights and K symbols with the largest (in absolute value) negative weights. Print out the selected symbols and their signed normalized weights: (wi - wav) / (2K).

In Fortran, the computational portion takes just a few lines of code, so I include it here:

CODE:
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Your code with my modifications (and errors) compiled fine up until I started making changed below line 50. I stopped at line 55 and the rest is your old code.

CODE:
Please log in to see this code.

I would appreciate if you help me to get it going either by suggesting changes or a sample code along the lines of the algorithm I am trying to implement.

Thanks.

Size:

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Using your sample code, Weak-Stock Rotation, I tried to write a code for the following strategy:

[quote]Read in a database of stock symbols. For each symbol determine its position within Bollinger channel bands.

Assign a weight, w_i, from 0 to 1 depending on its position between the bands: 0 at or below the lower band and 1 at or above the top band.

Determine the average weight, w_av, of a symbol, w_av = w_i / N, where N is the total number of symbols and compute (w_i - w_av) for each symbol.

Select 2K symbols, 2K<N, K symbols with the largest positive weights and K symbols with the largest (in absolute value) negative weights.  Print out the selected symbols and their signed normalized weights: (wi - wav) / (2K).
[/quote]

In Fortran, the computational portion takes just a few lines of code, so I include it here:
[code]    Parameter N, Period, SigmaMult
    Integer N, Period, date
    Real W (N), SigmaMult, StockPrice (StockTicker, date)
    Logical  StockTickers (N)
    ! assume that Bollinger bands are available from some library, BBUp (Period, SigmaMult), BBdown (Period, SigmaMult)

Read (*,*) N, Period, SigmaMult, StockTickers, date  ! fill in arrays and parameters

!   assign weights to stocks based on their position within BB
    do i = 1, N
        W(i) = (StockPrice(StockTicker(i), date) - BBDown(Period, SigmaMult)) /  ! BBUp, BBDown are assumed to know
   &            (BBUp (Period, SigmaMult)         - BBDown(Period, SigmaMult)   ) ! stock ticker they are called for 
        W_av = W_av + W(i)
    end do

W_av = W_av / N ! compute average weight

do i = 1, N  
        W(i) = W(i) - W_av    ! neutralize
        W(i) = W(i) / N       ! normalize
    end do

! assuming the entire portfolio size is P, buy stocks with positive weights P*W(i) and short stocks with
! W(i) < 0
! Simplifications: 
! 1. outliers are not accounted for (i.e. W(i) in the first loop is allowed to be >1 and <0. 
! 2. it is assumed that everything is sold at the end of each day, which is good enough for testing purposes
! 3. it might be interesting to work with a subset of N, i.e. K best longs and shorts, where 2K < N to find optimal
! K, if possible, to minimize trading costs. 
    end
[/code]

Your code with my modifications (and errors) compiled fine up until I started making changed below line 50. I stopped at line 55 and the rest is your old code.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
//using Community.Indicators;
 
namespace WealthLab.Strategies
{	
	public class Revolution : WealthScript, IComparer<iHolder>		
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter _Period; 
		private StrategyParameter _SigmaMult;
		private StrategyParameter paramDays;

public Revolution()
		{
			numberOfSymbols = CreateParameter("n Symbols", 5, 2, 10, 1);
			_Period = CreateParameter("Period", 14, 6, 20, 2);
			_SigmaMult = CreateParameter("SigmaMultiplier", 2, 1, 2.5, 0.1);
		}		
		
		protected override void Execute()
		{
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			int Period = _Period.ValueInt;
			double SigmaMult = _SigmaMult.Value;
			int days = paramDays.ValueInt;
			DataSeries BBUp = BBandUpper.Series( Close, Period, SigmaMult );
			DataSeries BBDown = BBandLower.Series( Close, Period, SigmaMult );
			
			ChartPane rocPane = CreatePane( 30, true, true );
			PlotSeries( rocPane, ROC.Series( Close,Period ), Color.DarkRed, LineStyle.Solid, 2 );
			HideVolume();
   
			//Execute rotation strategy
			List<iHolder> list = new List<iHolder>();
			for(int bar = Period * 2; bar < Bars.Count; bar++)
			{
				//Sort all symbols wrt to their position between Bollinger bands
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						iHolder holder = new iHolder();
						holder.symbol = symbol;
						holder.bb = (BBUp - bar) / (BBUp - BBDown); //weight
						av_weight = holder.bb(bar)++
// stopped here						
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
				// Instead of Bottom-N, deal with Top-N stocks:
				//list.Reverse();
    
				//keep top number only
				int c = list.Count;
				for(int i = c - 1; i >= number; i--)
					list.RemoveAt(i);
    
				//Close positions that are not in the new lowest N
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = false;
					foreach(iHolder holder in list)
						if( holder.symbol == p.Bars.Symbol )
						{
							keepPosition = true;
							break;
						}
				}
    
				//Buy new positions
				foreach(iHolder holder in list)
				{
					bool buyPosition = true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						if( BuyAtMarket(bar + 1) != null )
							LastPosition.Priority = holder.rsi;
						RestoreContext();
					}
				}
			}
		}
  
		public int Compare(iHolder item1, iHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
	
	public class iHolder
	{
		internal string symbol;
		internal double rsi;
	}
}
[/code]

I would appreciate if you help me to get it going either by suggesting changes or a sample code along the lines of the algorithm I am trying to implement.

Thanks.

Eugene

#2

7/9/2013 3:51 PM

CODE:
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1. holder.bb - I guess you meant to say holder.rsi instead. It's a double value whereas you're assigning entire DataSeries to it, so it's not going to compile. Additionally, "BBUp - bar" makes no sense to me: I don't think you really wanted to subtract the current bar number from the Upper BB.
2. av_weight - getting closer now that you're trying to access a value of a DataSeries. For the proper syntax, check out how the Weak Rotation strategy does it, or the WealthScript Programming Guide > DataSeries > Accessing a Single Value from a DataSeries.

In short, that piece should read something like this (I suppose):

CODE:
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SimhaD04

#3

7/9/2013 4:08 PM

you are right, I wanted to subtract current price from BBUp, not bar number. How can I do that? thanks

Eugene

#4

7/9/2013 4:21 PM

Current price is Close, for example. Follow my pointer to the WS Programming Guide, and you'll find out how.

changhengyiu

#5

12/5/2015 12:38 PM

Hi Eugene
I am trying to rebuild this model.Compiling is ok but it comes error after runing the strategy.Could you help to take a look?

CODE:
Please log in to see this code.

Size:

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Hi Eugene
I am trying to rebuild this model.Compiling  is ok but it comes error after runing the strategy.Could you help to take a look?

[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;
 
namespace WealthLab.Strategies
{   
	public class Revolution : WealthScript, IComparer<iHolder>      
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter _Period; 
		private StrategyParameter _SigmaMult;
		private StrategyParameter paramDays;

public Revolution()
		{

numberOfSymbols = CreateParameter("n Symbols", 10, 10, 10, 1);
			_Period = CreateParameter("Period", 14, 2, 40, 2);
			_SigmaMult = CreateParameter("SigmaMultiplier", 2, 1, 2.5, 0.1);
		}      
      
		protected override void Execute()
		{
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			int Period = _Period.ValueInt;
			double SigmaMult = _SigmaMult.Value;
			int days = paramDays.ValueInt;
			DataSeries BBUp = BBandUpper.Series( Close, Period, SigmaMult );
			DataSeries BBDown = BBandLower.Series( Close, Period, SigmaMult );
         
			ChartPane rocPane = CreatePane( 30, true, true );
			PlotSeries( rocPane, ROC.Series( Close,Period ), Color.DarkRed, LineStyle.Solid, 2 );
			HideVolume();
   
			//Execute rotation strategy
			List<iHolder> list = new List<iHolder>();
			for(int bar = Period * 2; bar < Bars.Count; bar++)
			{
				//Sort all symbols wrt to their position between Bollinger bands
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						iHolder holder = new iHolder();
						holder.symbol = symbol;
						holder.rsi = (Close[bar] -  BBDown[bar])/(BBUp[bar]-BBDown[bar]);
						//av_weight = holder.bb(bar)++
						// stopped here                  
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
				// Instead of Bottom-N, deal with Top-N stocks:
				//list.Reverse();
    
				//keep top number only
				int c = list.Count;
				for(int i = c - 1; i >= number; i--)
					list.RemoveAt(i);
    
				//Close positions that are not in the new lowest N
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = false;
					foreach(iHolder holder in list)
						if( holder.symbol == p.Bars.Symbol )
						{
							keepPosition = true;
							break;
						}
					if (!keepPosition && bar+1 - p.EntryBar >= days)     
						SellAtMarket(bar + 1, p);
					//SellAtClose(bar, p);
				}
    
				//Buy new positions
				foreach(iHolder holder in list)
				{
					bool buyPosition = true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						if( BuyAtMarket(bar + 1) != null )
							LastPosition.Priority = -holder.rsi;
						RestoreContext();
					}
				}
			}

}
  
		public int Compare(iHolder item1, iHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
   
	public class iHolder
	{
		internal string symbol;
		internal double rsi;
	}
}

[/code]

Eugene

#6

12/5/2015 12:56 PM

Hi,

Which error? Am I supposed to guess? I know, you probably wanted to save yourself some typing since copying it to clipboard is impossible. But next time please don't hesitate to type in its precise text. ;)

At first glance, you forgot to initialize this strategy parameter in the constructor before accessing it in the rest of the code:

CODE:
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There are 4 StrategyParameters defined, and only 3 are in the constructor.

changhengyiu

#7

12/5/2015 1:28 PM

Sorry it is my bad not expressing clearly.
haha...you guess wrong...that's because it is not showing Enghish on error part in my computer and dont know how to inperpret.
Anyway, thanks to Eugene agin and have a nice day.