Lost in Translation of a Rotation Strategy

Sammy_G

#1

8/12/2010 4:32 PM

I am trying to translate a symbol rotation strategy from WL4 to WL5, and I am stuck. The general overview of the script is like this: In step 1, it loops through the watchlist symbols, and at each appropriate bar it collects a specific value (if the symbol was trading on that bar) and stores it in a date list (the bar is stored by its date).

Here's the relevant code in WL4 format:

Here is where I am in WL5; I used existing rotation scripts as a base to build on:

I am stuck where indicated. When I Compile, I get the following errors:
1. error CS1502...The best overload method match for 'System.Collections.Generic.List<WealthLab.Strategies.iHolder>.IndexOf(WealthLab.Strategies.iHolder)' has some invalid arguments [when I click this error, it highlights dateLst]
2. error CS1503...Argument "1": cannot convert from 'string' to 'WealthLab.Strategies.iHolder' {when I click on this it highlights dte].

In summary, I am stuck on the first line of this 3-line WL4 code:

Can you help me with creating WL5 code for all 3 lines?

Size:

Color:

I am trying to translate a symbol rotation strategy from WL4 to WL5, and I am stuck. The general overview of the script is like this: In step 1, it loops through the watchlist symbols, and at each appropriate bar it collects a specific value (if the symbol was trading on that bar) and stores it in a date list (the bar is stored by its date).

Here's the relevant code in WL4 format:
[CODE]...
// Step 1: Collect all dates in a Tlist
for w := 0 to WatchListCount - 1 do
begin
  try
    sym := WatchListSymbol( w );
    /// Various series created using both native and custom indicators
    
    for Bar := FirstActualBar + 3*SixMonths to BarCount -1 do
    begin
      j := DateLst.IndexOf( GetDate(Bar) );
      if j < 0 then j := DateLst.AddObject( GetDate(Bar), TList.Create );
      RankLst := DateLst.Object(j) as TList;

if (...various filters )
      then
        RankLst.AddData(Value, sym);
    end;
    ClearExternalSeries( sym );
  except
    on e: Exception do
      PrintLst.Add(sym + '; Exception: ' + e.Message);
  end;
end;
RestorePrimarySeries;
DateLst.SortNumeric;

// Step 2: Trading rules
for j := 0 to DateLst.Count - 1 do  // Bar loop; uses dates instead of bar numbers
begin
...[/CODE]

Here is where I am in WL5; I used existing rotation scripts as a base to build on:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript, IComparer<iHolder>
	{
		protected override void Execute()
		{
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			ClearDebug();
			
			List<iHolder> dateLst = new List<iHolder>();
			foreach(string symbol in DataSetSymbols)
			{
				SetContext(symbol, true);
				/// Various series created using both native and custom indicators
							
				for(bar = Bars.FirstActualBar + 3*SixMonths; bar < Bars.Count; bar++)
				{
					string dte = Date[bar].Date.ToShortDateString();
					int j = dateLst.IndexOf(dte);
					/// stuck here
				
				}
			}

}
		public int Compare(iHolder item1, iHolder item2)
		{
			return item1.Value.CompareTo(item2.Value);
		}
	}
	public class iHolder
	{
		internal string sym;
		internal string dte;
		internal double Value;
	}
}[/CODE]

I am stuck where indicated. When I Compile, I get the following errors:
1. error CS1502...The best overload method match for 'System.Collections.Generic.List<WealthLab.Strategies.iHolder>.IndexOf(WealthLab.Strategies.iHolder)' has some invalid arguments  [when I click this error, it highlights dateLst]
2. error CS1503...Argument "1": cannot convert from 'string' to 'WealthLab.Strategies.iHolder'  {when I click on this it highlights dte].

In summary, I am stuck on the first line of this 3-line WL4 code:
[CODE]      j := DateLst.IndexOf( GetDate(Bar) );
      if j < 0 then j := DateLst.AddObject( GetDate(Bar), TList.Create );
      RankLst := DateLst.Object(j) as TList;
[/CODE]
Can you help me with creating WL5 code for all 3 lines?

Eugene

#2

8/13/2010 4:34 AM

The problem is that you're trying to search for a string in the list of iHolder objects.

You could use a delegate to search, for example:

Sammy_G

#3

8/13/2010 10:46 AM

Thanks, Eugene.
That takes care of the first line, but I am stuck at the next two. Can you help out?

Eugene

#4

8/13/2010 11:23 AM

If we rewrite the iHolder class:

Then your 2nd line becomes:

(Though I'd suggest using type DateTime instead of string for 'dte'.)

No idea what RankLst is about; that's up to you.

Sammy_G

#5

8/13/2010 12:32 PM

Thank you again for your patience and assistance.

This is complicated stuff but if I can get the 3rd line right I think I can translate the rest of the script. So I ask for your indulgence again:
In WL4, RankLst was a TList that was either just created at 'bar' (if j < 0), or the one that was already there (j >= 0). The purpose of the list is to store symbol names and Value, later used for sorting. Thus, there would be one RankLst for each bar.
In WL5 (not shown in the code above but its been created just below the dateLst) it is:

So it would be the object that was either just created (j < 0) or existed at that bar (j >= 0). Looking at the code above, I guess it would be the iHolder.
But I am not getting the syntax right:

or

throw errors like 'WealthLab.Strategies.iHolder' is a type but is used like a variable.
(BTW, dte is not really needed inside rankLst)

It would be immensely helpful if I can get over this 1-line hurdle.

Eugene

#6

8/13/2010 12:53 PM

I don't have the complete code so am coding on-the-fly, but most likely, you started getting these errors because the iHolder was modified by adding a constructor when fixing your 2nd line.

I believe that if you add another, parameterless constructor to the iHolder, they should be gone:

...enabling you again to use:

Sammy_G

#7

8/13/2010 2:52 PM

No, I am getting even more errors when I use the parameterless iHolder. Don't know how to proceed forward.
I don't mind posting the code so far. What would you like me to do?

Eugene

#8

8/13/2010 3:00 PM

Why were you using this?

This is incorrect. You already created the rankLst, and then need to create as many iHolder objects as you need, set their properties, and add them to the rankLst.

Sammy_G

#9

8/13/2010 4:00 PM

Because that was the 3rd step in 3-step process I used in WL4 [the object created at 'bar' (j < 0) or that exists b/c it was created by another symbol (j >=0) is a Tlist that will store (sym,Value) pairs for all symbols for that 'bar'). I was just trying to duplicate it step-by-step.

I guess you will be going offline soon. Can you suggest some *really* good sites for understanding Lists. I find msdn quite dense.

Eugene

#10

8/14/2010 1:05 AM

If 'dte' isn't required inside 'rankLst', you may set up another class to hold the data.

Sammy_G

#11

8/14/2010 3:03 PM

I am not comprehending much of this, I am afraid.
I had thought converting 3 lines of WL4 code wouldn't be too difficult, but...

Part of the problem is that I don't understand too much about Lists as yet. But I still need to convert WL4 to WL5 equivalents; time is very short...

Can you suggest some *really* good sites for understanding Lists. msdn is 2 dense.

Sammy_G

#12

8/14/2010 3:37 PM

Actually, I think the last line's equivalent ought to be the object at index j; thus:

I don't get a compile error with this, but I need to check it out further.
But it seems logical; after all, that's what we were trying to get the value of 'j' for.
So it boils down to:

If this seems balderdash to you, do comment...

Eugene

#13

8/15/2010 4:25 AM

This is now starting to make sense; your earlier phrase was confusing: "Thus, there would be one RankLst for each bar." Actually, there would only be one rankLst which has an iHolder for each bar.

Sammy_G

#14

8/15/2010 10:55 AM

[At the risk of exposing my ignorance of List<T> yet again, here goes...]

This is where the code stands currently:

You will notice that for j < 0, I am now inserting an iHolder object ih2 that will hold (symbol, Value) pairs, like Tlists used to do in WL4.
But I have hit a mental block: I am unable to recall the syntax to use for populating the rankLst with the iHolder object (ih2, at index j) for each bar. Somehow, [[rankLst.Add(dateLst[j]);]] doesn't seem right.

If you are confused, just think about me!

Eugene

#15

8/15/2010 11:13 AM

I don't see how is rankLst used. Describe your algorithm clearly, post the relevant V4 code. Sometimes it's easier to create an example from scratch.

Sammy_G

#16

8/15/2010 12:19 PM

Here's the essence of the WL4 code. You can ignore the cosmetic stuff. I usually run it on weekly bars.

Size:

Color:

Here's the essence of the WL4 code. You can ignore the cosmetic stuff. I usually run it on weekly bars.
[CODE]{$NO_AUTO_EXECUTE}
//{$I 'Unadjust Splits'}  // included in Fund. Data Ratios Library
{$I 'Fundamental Data Ratios Library'}  // includes Unadj Splits
{$I 'Date Study V'}
{$I 'Corr_LNRet_LNPrd_Prd'} // syntax: Corr_LNRet_PrdSeries( Series1, Series2, LNPrd, Period ); incl 'LNRet'

if GetGicsSector( GetSymbol ) <> '' then
begin
DrawLabel( GetSymbol + ': ' + GetGicsDesc( GetGicsSector( GetSymbol ) )
  + ' (' + GetGicsSector( GetSymbol ) + ')' + ' \'
  + GetGicsDesc( GetGicsIndustryGroup( GetSymbol ) )
  + ' (' + GetGicsIndustryGroup( GetSymbol ) + ') \', 0);
DrawLabel( GetGicsDesc( GetGicsIndustry( GetSymbol ) )
  + ' (' + GetGicsIndustry( GetSymbol ) + ')' + ' \'
  + GetGicsDesc( GetGicsSubIndustry( GetSymbol ) )
  + ' (' + GetGicsSubIndustry( GetSymbol ) + ')', 0 );
end
else
DrawLabel( GetSymbol + ': No GICS info available', 0 );
//-----------------------------

var tt1: integer = GetTickCount;

const T = true;
const F = false;
const DO_PRINT  = T;              // Set to False if not interested in printouts to debug window
const DO_WRITE  = T;              // Set to True if interested in writing info to file
const EnableShorting  = F;        // Set to true to Enable Shorting
var ClickedSym: string = GetSymbol;
var PrintLst: TList = TList.Create;
var DateLst: TList = TList.Create;
var RankLst: TList = TList.Create;
var BuyList: TList = TList.Create;        // Long candidates
var ActiveLst_L: TList = TList.Create;
var Bar, w, m, n, a, b, c, p, q, j, i : integer;
var hROC3, hSMA : integer;
var s, sym, sym1, sym2, sScale : string;
var hClose, hRefSym_C : integer;
var hSplitUnadjVol, hSplitUnadjVolSMA, hSplitUnadjC : integer;
var OneMonth, TwoMonths, ThreeMonths, FourMonths, SixMonths, TenMonths, TwelveMonths : integer;
//----------

function MyTradingDaysRemaining( Bar: integer; Interval: string ): integer;
begin
  var A, B, C: boolean;
  var D: integer = GetDate( Bar );
  repeat
    D := JulianToDateInt( DateIntToJulian( D ) + 1 );
    A := itsAHoliday( D );
    B := itsAWeekend( D );
    Case UpperCase( CharAt( Interval, 1 ) ) of
      'Y': C := GetYear( Bar ) <> D Div 10000;
      'M': C := GetMonth( Bar ) <> ( D Mod 10000 ) Div 100;
      'W': C := B;
    End;
    if Not ( A Or B Or C ) then Inc( Result );
  until C;
end;

function NextBarIsNewMonth( Bar: integer ): boolean;
begin
  if IsMonthly then
    Result := true
  else
  begin
    if IsWeekly then // Weekly date uses date of first trading day of the week
    begin
      if Bar < BarCount -1 then
      begin
        if GetMonth( Bar ) <> GetMonth( Bar +1 ) then // this peeking is valid
          Result := true;
      end
      else  // its BarCount-1
        Result := MyTradingDaysRemaining(Bar, 'M') < 5;
    end
    else // IsDaily
      Result := MyTradingDaysRemaining(Bar, 'M') = 0;
  end;
end;

// Use this procedure to print open positions
procedure PrintOpenPositions( Title: string; TL: TList );
var
  n : integer;
  s : string;
begin
  PrintLst.Add( '// ' + Title);
  TL.SortString;
  PrintLst.Add( 'begin' );
  for n := 0 to TL.Count - 1 do
  begin
    s := ' [' + IntToStr( n + 1 ) + '] := ';
    s := s + ' ''' + TL.Item( n ) + ''' ' + #9 + GetGicsDesc( GetGicsSector( TL.Item(n) ) ) + '\'
          + GetGicsDesc( GetGicsIndustryGroup( TL.Item(n) ) );
    PrintLst.Add( s );
  end;
  PrintLst.Add( 'end; // totalling ' + IntToStr( TL.Count ) + ' symbols' );
end;
//----------

if IsDaily    then begin TwelveMonths := 256; SixMonths := 128; sScale := 'DAILY'; end else
if IsWeekly   then begin TwelveMonths := 52; SixMonths := 26; sScale := 'WEEKLY'; end else
if IsMonthly  then begin TwelveMonths := 12; SixMonths := 6; sScale := 'MONTHLY'; end;
TenMonths     := Trunc( Round(10/6 * SixMonths) );
FourMonths    := Trunc( Round(4/6 * SixMonths) );
ThreeMonths   := Trunc( Round(3/6 * SixMonths) );
TwoMonths     := Trunc( Round(2/6 * SixMonths) );
OneMonth      := Trunc( Round(1/6 * SixMonths) );

PrintLst.Add( '' );
PrintLst.Add( 'RULES:' );
PrintLst.Add( '1) ' );
PrintLst.Add( '2) # of Long positions = ' + IntToStr(Posns_L) );
PrintLst.Add( '3) Minimum Daily Dollar Value Traded >= ' + FormatFloat('$ ###,###,###,###,###', MinDlyDVT) );
PrintLst.Add( '--------------------------------------' );
PrintLst.Add( '--------------------------------------' );
PrintLst.Add( '' );

// Write to file
var fh : integer;
var fPath, fName, BriefName : string;
fPath := 'C:\Data\';
BriefName := 'Rotn';
fName :=  fPath + BriefName + '_' + WatchListName + '_' + sScale + '_' + IntToStr( CurrentDate ) + '_Time=' + IntToStr(CurrentTime) + '.txt';
if DO_WRITE = true then
begin
  Print( 'File writing is ENABLED!' );
  fh := FileCreate( fName );
  FileWrite( fh, 'Script = ' + GetScriptName );
  FileWrite( fh, 'WatchList Name: ' + WatchListName + '; Symbols in WList = ' + IntToStr(WatchlistCount) );
  FileWrite( fh, 'Scale: ' + sScale );
end;
//----------

// Step 1: Collect all dates in a Tlist
EnableSynch(true);
for w := 0 to WatchListCount - 1 do
begin
  try
    sym := WatchListSymbol( w );
    SetPrimarySeries( sym );
    //PrintStatus ( 'Symbol: ' + IntToStr(w+1) + '/' + IntToStr(WatchListCount) + ' ' + sym );

hSplitUnadjC      := UnAdjustedSplitSeries( #Close );
    hSplitUnadjVolSMA := SMASeries( UnAdjustedSplitSeries(#Volume), SixMonths );

hClose              := #Close;
    hROC3               := ROCSeries( hClose, ThreeMonths );
    hSMA                := SMASeries( hClose, SixMonths );

for Bar := FirstActualBar + 3*SixMonths to BarCount -1 do
    begin
      j := DateLst.IndexOf( GetDate(Bar) );
      if j < 0 then j := DateLst.AddObject( GetDate(Bar), TList.Create );
      RankLst := DateLst.Object(j) as TList;

if  ( @hSplitUnadjC[Bar] > 1.0 )                // Price filter
      and ( @hSplitUnadjVolSMA[Bar] > MinVol )        // Volume filter
      and ( @hROC3[Bar] > 0 )
      and ( @hClose[Bar] > @hSMA[Bar] )               // price is abv its _-month SMA
      then
      begin
        RankLst.AddData(@hROC3[Bar], sym);
      end;
    end;

ClearExternalSeries( sym ); // DO NOT DISABLE!! (important for memory issues w/large Wlists)
  except
    on e: Exception do
      PrintLst.Add(sym + '; Exception: ' + e.Message);
  end;
end;
RestorePrimarySeries;
DateLst.SortNumeric;

// Step 2: Trading rules
...[/CODE]

Eugene

#17

8/15/2010 1:19 PM

I don't find this design optimal. Instead of reinventing the wheel and translating this, it's better taking Robert's rotation strategy pattern (e.g. 'RSI rotation' or 'Weak stock rotation') and adding your overlay of data series etc. The pattern is simply more clear than creating a list for each date, then another one for ranking etc.

What about getting back to doing your preprocessing first (i.e. adding the reverse-adjusted series to a list of DataSeries) and then extracting them in the DataSetSymbols loop? This way, no need to recreate series in the bar loop. Example added:

Using custom series in a rotation Strategy

Sammy_G

#18

8/15/2010 2:09 PM

I will study what you wrote. May take time to sink in.

I, however, find the pattern of my script OK - if for no other reason that I have used it that way for long and have grown comfortable with it (we are all creatures of habit, I guess). The main reason for porting stuff over to rankLst was that o/w the custom series (some not shown in code above) would be created again and again for each symbol for every bar, creating memory issues; also, it facilitated further processing of the rankLst from different perspectives.

[If you don't need the code below
// Step2. Trdaing rules

can you please delete it? Thanks]

Eugene

#19

8/15/2010 2:22 PM

Trading rules code deleted.

I understand re: memory issues, that's why the example of creating the custom series and caching them in a List, and adding it on top of the strategy rotation pattern for accessing those series later on w/o creating an overhead.

Sammy_G

#20

8/15/2010 2:49 PM

While I study what you wrote in the other thread (may take a loooooong time), can you explain why the iHolder class and its methods are placed at the bottom of the rotation scripts? Does it really matter whether they are near the top - as most classes are in most scripts - or near the bottom?

Eugene

#21

8/15/2010 3:27 PM

Placement of a class matters when it becomes "nested" i.e. contained inside the body of another class. Otherwise it's not important. Try placing the iHolder class at the top - if moved correctly, it won't affect the result.

Sammy_G

#22

8/15/2010 4:57 PM

I had already experimented with moving the class "upstairs" and found no change in results. So I was curious to know why its at the bottom. But thanks for the info.
*/

I forgot to mention above that the main reason why I used the DateLst the way I did in that script was that I could run the script by clicking *any* symbol in a watchlist w/o bothering to know which one had the longest history; the DateLst would get correctly populated with symbols & dates every time, independent of the clicked symbol. This was very convenient for me as I would often run the script against existing or randomly created watchlists.
I sacrificed some performance for the convenience.