ROC Symbol Rotation - Modification of the Strategy

bostel

#1

10/20/2011 5:33 AM

The symbol rotation strategy works great. I would like to make a minor change to the strategy. By construction the original strategy is always holding 5 stocks/funds with the highest ROC.

I would like to change the buy rule and let the exit rule as it ist. Instead of buying the 5 symbols with the highest ROC i would just like to buy the symbol with the highest ROC. Maybe i have to create a second list but i have no idea how and i have not found any ideas in the forum how to do it.

Any ideas? Many thanks in advance
Jan

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The symbol rotation strategy works great. I would like to make a minor change to the strategy. By construction the original strategy is always holding 5 stocks/funds with the highest ROC.

I would like to change the buy rule and let the exit rule as it ist. Instead of buying the 5 symbols with the highest ROC i would just like to buy the symbol with the highest ROC. Maybe i have to create a second list but i have no idea how and i have not found any ideas in the forum how to do it.

Any ideas? Many thanks in advance
Jan
[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 StrongStockRotation : WealthScript, IComparer<iHolder>		
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter rocPeriod;
		private StrategyParameter paramDays;

public StrongStockRotation()
		{
			numberOfSymbols = CreateParameter("n Symbols", 5, 2, 10, 1);
			rocPeriod = CreateParameter("ROC Period", 14, 6, 52, 2);
			paramDays = CreateParameter("Keep >= N days", 5, 1, 30, 1);
		}		
		
		protected override void Execute()
		{
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			int Period = rocPeriod.ValueInt;
			int days = paramDays.ValueInt;
			
			ChartPane rocPane = CreatePane( 52, 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++)
			{
				//Identify the Top-N symbols that have the lowest ROC
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						iHolder holder = new iHolder();
						holder.symbol = symbol;
						holder.rsi = ROC.Series(Bars.Close, Period)[bar];
						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)
						// Hold for several days to minimize re-entries
						if ( bar+1 - p.EntryBar >= days )
							SellAtMarket(bar + 1, 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]

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