Relative Strength rotation system

Tobey

#1

7/18/2013 1:34 PM

Hi Cone & Eugene,
I'd like to test a Relative Strength Rotation System from Michael Carr's book "SMARTER INVESTING IN ANY ECONOMY, The Definitive Guide to Relative Strength Investing " on Fidelity's sector funds.
He starts with the 12 times 26 week moving average of the rate of change. He ranks the results and buys the top 3. He doesn't sell until one drops below 6 on the list to avoid volatility and excessive trading. He then replaces the sale with a buy from the top 3 ranked funds.
To test his system we need 4 variables:
BuyRank = //Number of top ranked funds to own
SellRank = //Sell if below rank number
ShortMovNo = //Short term Moving Average of Rate of Change
LongMovNo = //Long term Moving Average of Rate of Change
I tried to create them in lines 17 thru 20 but my code is returning an error "The type or namespace StrateryParameter could not be found.
Would you please tell me what I'm doing wrong!
Also the list for selling needs to be 6 (SellRank) and the list for buying needs to shrink to 3 (BuyRank). In lines 192 thru 196 I've tried to reduce the list a second time to 3. I hope it will work, but it may just be a way to entertain you with my neophyte knowledge.

Many thanks for your help!
Tobey

Size:

Color:

Hi Cone & Eugene,
I'd like to test a Relative Strength Rotation System from Michael Carr's book "SMARTER INVESTING IN ANY ECONOMY, The Definitive Guide to Relative Strength Investing " on Fidelity's  sector funds.
He starts with the 12 times 26 week moving average of the rate of change.  He ranks the results and buys the top 3.  He doesn't sell until one drops below 6 on the list to avoid volatility and excessive trading.  He then replaces the sale with a buy from the top 3 ranked funds.
To test his system we need 4 variables:
BuyRank = //Number of top ranked funds to own
SellRank =  //Sell if below rank number
ShortMovNo = //Short term Moving Average of Rate of Change	
LongMovNo = //Long term Moving Average of Rate of Change	
I tried to create them in lines 17 thru 20 but my code is returning an error "The type or namespace StrateryParameter could not be found.
Would you please tell me what I'm doing wrong!
Also the list for selling needs to be 6 (SellRank) and the list for buying needs to shrink to 3 (BuyRank). In lines 192 thru 196 I've tried to reduce the list a second time to 3.  I hope it will work, but it may just be a way to entertain you with my neophyte knowledge.

Many thanks for your help!
Tobey

[code]
using System;
using System.Collections.Generic;
using System.Windows.Forms;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using WealthLab.Rules;
using Community.Components;
//Modules for Code to use above
//Start of WealthLab Strategy Workspace

namespace WealthLab.Strategies
{
	public class MyRotation : WealthScript, IComparer<RS_Holder> //Define varables for this strategy
	{
		private StrateryParameter BuyRank;
		private StrateryParameter SellRank;
		private StrateryParameter ShortMovNo;
		private StrateryParameter LongMovNo;

public MyRotation()
		{
			BuyRank = CreateParameter("BuyRank", 3, 1, 8, 1);					//Number of top ranked funds to own
			SellRank = CreateParameter("SellRank", 6, 1, 20, 1);			//Sell if below rank number
			ShortMovNo = CreateParameter("ShortMovNo", 12, 3, 16, 1);	//Short term Moving Average	
			LongMovNo = CreateParameter("LongMovNo", 26, 6, 26, 1);		//Long term Moving Average
		}
	
		protected override void Execute()	 //Start Stratagy Code
		{

//Start Chart Design
			
			//Scale Graph
			PadBars ( 10 );
			SetLogScale( PricePane, true );
			SetLogScale( VolumePane, true );

//Price Pane
			//Plot Moving Averages
			DataSeries ema10 = EMAModern.Series( Close, 10 );
			ema10.Description = "EMA10d";
			DataSeries ema21 = EMAModern.Series( Close, 21 );
			ema21.Description = "EMA21d";
			DataSeries sma50 = SMA.Series( Close, 50 );
			sma50.Description = "SMA50d";
			DataSeries ema65 = EMAModern.Series( Close, 65 );
			ema65.Description = "EMA65d";
			DataSeries ema195 = EMAModern.Series( Close, 195 );
			ema195.Description = "EMA195d";
			PlotSeries( PricePane, ema10, Color.Black, LineStyle.Solid, 1 );
			PlotSeries( PricePane, ema21, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries( PricePane, sma50, Color.Red, LineStyle.Solid, 1 );
			PlotSeries( PricePane, ema65, Color.Red, LineStyle.Solid, 2 );
			PlotSeries( PricePane, ema195, Color.Navy, LineStyle.Solid, 2 );

//Volume Pane
			//Plot 50Day Average Volume }
			DataSeries Vol50 = SMA.Series( Volume, 50 );
			Vol50.Description = "vSMA50";
			DataSeries Vol50u50 = SMA.Series( Volume, 50 )*1.5;
			Vol50u50.Description = "Vol+50%";
			PlotSeries( VolumePane, Vol50, Color.Navy, LineStyle.Solid, 2 );
			PlotSeries( VolumePane, Vol50u50, Color.Teal, LineStyle.Solid, 1 );
			DrawHorzLine( VolumePane, 500000, Color.Gray, LineStyle.Solid, 2 );

// Indicator Panes
			bool abovePricePane = true;
			bool displayGrid = true;

//Carr 2 %MOVs
			ChartPane CarrRSPane = CreatePane( 20, abovePricePane, displayGrid );
			DrawHorzLine( CarrRSPane, 0, Color.Navy, LineStyle.Solid, 3 );
						
			DataSeries ShortMov = SMA.Series( ((Close / (Close >>1) ) - 1) * 100 , 12 );	//12 = variable Short term Moving average
			ShortMov.Description = "ShortMov";
			DataSeries LongMov = SMA.Series( ((Close / (Close >>1) ) - 1) * 100 , 26 );		//26 = variable Long term Moving average
			LongMov.Description = "LongMov";
			DataSeries Carr2Mov = ShortMov * LongMov;		//Carr's formula to be ranked for Relative Strength
			Carr2Mov.Description = "Carr2Mov";
			PlotSeries ( CarrRSPane, Carr2Mov, Color.Gray, LineStyle.Solid, 3 );

//End Chart Design

//Start Strategy
			{
			//Validate that all data is updated
			DateTime recentDate = DateTime.MinValue;
			foreach(string symbol in DataSetSymbols)
			{
				Bars b = GetExternalSymbol(symbol, false);
				PrintStatusBar("Accessing: " + symbol);
				if (b.Count > 0 && b.Date[b.Count - 1] > recentDate)
					recentDate = b.Date[b.Count - 1];
			}
			string needUpdates = "";
			foreach(string symbol in DataSetSymbols)
			{
				Bars b = GetExternalSymbol(symbol, false);
				if (b.Count == 0)
					needUpdates += symbol + ", ";
				else if (b.Date[b.Count - 1] != recentDate)
					needUpdates += symbol + ", ";
			}
			if (needUpdates != "")
			{
				DrawLabel(PricePane, "The following Symbols appear to need data updates: " + needUpdates, Color.Black);
				PrintStatusBar("Need update: " + needUpdates);
				return;
			}

/* */
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int Period1 = BuyRank.ValueInt;
			int Period2 = SellRank.ValueInt;
			int number1 = ShortMovNo.ValueInt;		
			int number2 = ShortLongMovNo.ValueInt;

/* */
			//Execute rotation strategy
			List<RS_Holder> list = new List<RS_Holder>();
			for(int bar = Period1 * 2; bar < Bars.Count; bar++)
			{
				//PrintStatusBar("Processing Bar " + bar);  // This slows things down considerably 
				
				//Create list of highest Relative Strength
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						RS_Holder holder = new RS_Holder();
						holder.symbol = symbol;
						holder.RS_ = Carr2Mov[bar];
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
				// Instead of Bottom-N, deal with Top-N stocks:
				list.Reverse();

//keep Funds above Relative Strength cut off of (6 is initial default) only
				int c = list.Count;
				for(int i = c - 1; i >= Period2; i--)
					list.RemoveAt(i);

/* */
				//Close positions that are not in the new top 6 Relative Strenght Ranking
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = false;
					foreach(RS_Holder holder in list)
						if (holder.symbol == p.Bars.Symbol)
						{
							keepPosition = true;
							break;
						}
					if (!keepPosition)     
						SellAtMarket(bar + 1, p);           
				}
				
				// ?? Need to reduce the list to top 3 for buying ??
				//keep Top Relative Strength Funds for Buying (3 is initial default)
				int c = list.Count;
				for(int i = c - 1; i >= Period1; i--)
					list.RemoveAt(i);

/* */
				//Buy new positions
				foreach(RS_Holder 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.RS_ ;
						RestoreContext();
					}
				}

}
			PrintStatusBar("Strategy completed!");
		}
	}

public int Compare(RS_Holder item1, RS_Holder item2)
		{
			return item1.Carr2Mov.CompareTo(item2.Carr2Mov);
		}
	}
	
	public class RS_Holder
	{
		internal string symbol;
		internal double Carr2Mov;
	}
}

[/code]

Eugene

#2

7/18/2013 3:33 PM

Tobey,

1. First things first, you will not get what you want by doing it like this...

...with the Carr2Mov series being created only once - way before you create the list of highest RS symbols.

Consequently, it is static: it's executed just once on the clicked symbol and will produce identic (incorrect) results. To correct this, move the building of that DataSeries inside the DataSetSymbols loop after SetContext.

2. To implement the multiple list (i.e. buys top 3 and not sell until one drops from top 6), please follow this design pattern:

ROC Symbol Rotation - Modification of the Strategy, post #6
Rotation Enhancement

There's a typo: StrateryParameter.

Tobey

#3

7/19/2013 11:25 AM

Hi Eugene,

Thanks! Your post #6 was a big help!

I've commented out the chart design. I've use the default numbers to start with. I'll switch them to sliders when everything is working

The code below compiles OK but when it runs on a list it gives an error
Runtime error; Non-negative number required
at WealthLab.Strategies.RS_Rotation.Execute()
at System Collection.Generic.Liist'1.RemoveRange(int32index. Int32 count)

I checked the default numbers and they look OK. Ad least it's not a typo. If you would tell me what needs to be done to fix this error I would appreciate it.

Many Thanks
Tobey

Size:

Color:

Hi Eugene,

Thanks!  Your post #6 was a big help!

I've commented out the chart design.  I've use the default numbers to start with. I'll switch them to sliders when everything is working

The code below compiles OK but when it runs on a list it gives an error
   Runtime error; Non-negative number required
      at WealthLab.Strategies.RS_Rotation.Execute()
      at System Collection.Generic.Liist'1.RemoveRange(int32index. Int32 count)

I checked the default numbers and they look OK.  Ad least it's not a typo.  If you would tell me what needs to be done to fix this error I would appreciate it.

Many Thanks
Tobey

[code]
using System;
using System.Collections.Generic;
using System.Windows.Forms;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using WealthLab.Rules;
using Community.Components;
//Modules for Code to use above
//Start of WealthLab Strategy Workspace

namespace WealthLab.Strategies
{
	public class RS_Rotation : WealthScript, IComparer<RS_Holder> //Define varables for this strategy
	{
		private StrategyParameter BuyRank;
		private StrategyParameter SellRank;
		private StrategyParameter ShortMovNo;
		private StrategyParameter LongMovNo;

public RS_Rotation()
		{
			BuyRank = CreateParameter("BuyRank", 3, 1, 8, 1);					//Number of top ranked funds to own
			SellRank = CreateParameter("SellRank", 6, 1, 20, 1);			//Sell if below rank number
			ShortMovNo = CreateParameter("ShortMovNo", 12, 3, 16, 1);	//Short term Moving Average	
			LongMovNo = CreateParameter("LongMovNo", 26, 6, 26, 1);		//Long term Moving Average
		}
	
		protected override void Execute()	 //Start Stratagy Code
		{
			
			
			//Start Chart Design
			//Start Chart Design
			
			//Scale Graph
			PadBars ( 10 );
			SetLogScale( PricePane, true );
			SetLogScale( VolumePane, true );
/*

//Price Pane
			//Plot Moving Averages
			DataSeries ema10 = EMAModern.Series( Close, 10 );
			ema10.Description = "EMA10d";
			DataSeries ema21 = EMAModern.Series( Close, 21 );
			ema21.Description = "EMA21d";
			DataSeries sma50 = SMA.Series( Close, 50 );
			sma50.Description = "SMA50d";
			DataSeries ema65 = EMAModern.Series( Close, 65 );
			ema65.Description = "EMA65d";
			DataSeries ema195 = EMAModern.Series( Close, 195 );
			ema195.Description = "EMA195d";
			PlotSeries( PricePane, ema10, Color.Black, LineStyle.Solid, 1 );
			PlotSeries( PricePane, ema21, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries( PricePane, sma50, Color.Red, LineStyle.Solid, 1 );
			PlotSeries( PricePane, ema65, Color.Red, LineStyle.Solid, 2 );
			PlotSeries( PricePane, ema195, Color.Navy, LineStyle.Solid, 2 );

//Volume Pane
			//Plot 50Day Average Volume }
			DataSeries Vol50 = SMA.Series( Volume, 50 );
			Vol50.Description = "vSMA50";
			DataSeries Vol50u50 = SMA.Series( Volume, 50 )*1.5;
			Vol50u50.Description = "Vol+50%";
			PlotSeries( VolumePane, Vol50, Color.Navy, LineStyle.Solid, 2 );
			PlotSeries( VolumePane, Vol50u50, Color.Teal, LineStyle.Solid, 1 );
			DrawHorzLine( VolumePane, 500000, Color.Gray, LineStyle.Solid, 2 );

// Indicator Panes
			bool abovePricePane = true;
			bool displayGrid = true;

//Carr 2 %MOVs
			ChartPane CarrRSPane = CreatePane( 20, abovePricePane, displayGrid );
			DrawHorzLine( CarrRSPane, 0, Color.Navy, LineStyle.Solid, 3 );
						
			DataSeries ShortMov = SMA.Series( ((Close / (Close >>1) ) - 1) * 100 , 12 );	//12 = variable Short term Moving average
			ShortMov.Description = "ShortMov";
			DataSeries LongMov = SMA.Series( ((Close / (Close >>1) ) - 1) * 100 , 26 );		//26 = variable Long term Moving average
			LongMov.Description = "LongMov";
			DataSeries Carr2Mov = ShortMov * LongMov;		//Carr's formula to be ranked for Relative Strength
			Carr2Mov.Description = "Carr2Mov";
			PlotSeries ( CarrRSPane, Carr2Mov, Color.Gray, LineStyle.Solid, 3 );

*/
			//End Chart Design
			
			
			//Start Strategy
			//Start Strategy

//Start Strategy
			{
			//Validate that all data is updated
			DateTime recentDate = DateTime.MinValue;
			foreach(string symbol in DataSetSymbols)
			{
				Bars b = GetExternalSymbol(symbol, false);
				PrintStatusBar("Accessing: " + symbol);
				if (b.Count > 0 && b.Date[b.Count - 1] > recentDate)
					recentDate = b.Date[b.Count - 1];
			}
			string needUpdates = "";
			foreach(string symbol in DataSetSymbols)
			{
				Bars b = GetExternalSymbol(symbol, false);
				if (b.Count == 0)
					needUpdates += symbol + ", ";
				else if (b.Date[b.Count - 1] != recentDate)
					needUpdates += symbol + ", ";
			}
			if (needUpdates != "")
			{
				DrawLabel(PricePane, "The following Symbols appear to need data updates: " + needUpdates, Color.Black);
				PrintStatusBar("Need update: " + needUpdates);
				return;
			}

/* */
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number1 = BuyRank.ValueInt;
			int number2 = SellRank.ValueInt;
			int period1 = ShortMovNo.ValueInt;		
			int period2 = LongMovNo.ValueInt;

//Start Rotation
			//Start Rotation
			
			
			
			
			/* */
			//Execute rotation strategy
			List<RS_Holder> listBuy = new List<RS_Holder>();
			List<RS_Holder> listSell = new List<RS_Holder>();
			for(int bar = 26 * 2; bar < Bars.Count; bar++)
			{
				//PrintStatusBar("Processing Bar " + bar);  // This slows things down considerably 
				
				//Create list of highest Relative Strength
				listBuy.Clear();
				listSell.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					
						//Add Data Series to be used in Rotation
						DataSeries ShortMov = SMA.Series( ((Close / (Close >>1) ) - 1) * 100 , 12 );	//12 = variable Short term Moving average
						DataSeries LongMov = SMA.Series( ((Close / (Close >>1) ) - 1) * 100 , 26 );		//26 = variable Long term Moving average
						DataSeries Carr2Mov = ShortMov * LongMov;		//Carr's formula to be ranked for Relative Strength
					
					if (Bars.FirstActualBar < bar)
					{
						RS_Holder holder = new RS_Holder();
						holder.symbol = symbol;
						holder.Carr2Mov = Carr2Mov[bar];
						listBuy.Add(holder);
					}
					RestoreContext();
				}
				listBuy.Sort(this);
				
				// Instead of Bottom-N, deal with Top-N stocks:
				// listBuy.Reverse();

//keep Funds above Relative Strength cut off of (6 is initial default) only
				int c = listBuy.Count;
				for(int i = c - 1; i >= 6; i--)
					listBuy.RemoveAt(i);
					listSell = listBuy;
				
				//keep top number (3 is initial default) only
				listBuy.RemoveRange(listBuy.Count-3,3);
            
				//keep top 10 only in list10
				listSell.RemoveRange(listSell.Count-6,6);
				
				
				
				//Close positions 
				//Close positions 
				
				
				
/* */
				//Close positions that are not in the new top 6 Relative Strenght Ranking
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = false;
					foreach(RS_Holder holder in listSell)
						if (holder.symbol == p.Bars.Symbol)
						{
							keepPosition = true;
							break;
						}
					if (!keepPosition)     
						SellAtMarket(bar + 1, p);           
				}
				
				
				
				//Buy positions 
				//Buy positions

/* */
				//Buy new positions
				foreach(RS_Holder holder in listBuy)
				{
					bool buyPosition = true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						BuyAtMarket(bar + 1);
						RestoreContext();
					}
				}

}
			PrintStatusBar("Strategy completed!");
		}
	}

public int Compare(RS_Holder item1, RS_Holder item2)
		{
			return item1.Carr2Mov.CompareTo(item2.Carr2Mov);
		}
	}
	
	public class RS_Holder
	{
		internal string symbol;
		internal double Carr2Mov;
	}
}
[/code]

Eugene

#4

7/19/2013 1:07 PM

Replace this code:

With the original example code:

+

Hope this helps.

Tobey

#5

7/22/2013 10:54 AM

Hi Eugene,

Thanks again. That got the system to run. It is showing two buy Alerts. But it is not showing open positions and a trading history. There most be something in the code that I am missing. Hope it isn't a typo.

I activated the Indicator Pane by creating a second set of Data Series that add g_ (for graph) to the beginning of the same series in the rotation code. The graph plots OK.

I also added the code to print out the list. But it's not working. I'm not sure if it's in the right place or if it is a code problem.

Thanks again for all your help.
Tobey

Size:

Color:

Hi Eugene,

Thanks again. That got the system to run.  It is showing two buy Alerts.  But it is not showing open positions and a trading history. There most be something in the code that I am missing.  Hope it isn't a typo.

I activated the Indicator Pane by creating a second set of Data Series that add g_  (for graph) to the beginning of the same series in the rotation code.  The graph plots OK.

I also added the code to print out the list.  But it's not working. I'm not sure if it's in the right place or if it is a code problem.

Thanks again for all your help.
Tobey

[code]
using System;
using System.Collections.Generic;
using System.Windows.Forms;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using WealthLab.Rules;
using Community.Components;
//Modules for Code to use above
//Start of WealthLab Strategy Workspace

namespace WealthLab.Strategies
{
	public class RS_Rotation : WealthScript, IComparer<RS_Holder> //Define varables for this strategy
	{
		private StrategyParameter BuyRank;
		private StrategyParameter SellRank;
		private StrategyParameter ShortMovNo;
		private StrategyParameter LongMovNo;

public RS_Rotation()
		{
			BuyRank = CreateParameter("BuyRank", 3, 1, 8, 1);					//Number of top ranked funds to own
			SellRank = CreateParameter("SellRank", 6, 1, 20, 1);			//Sell if below rank number
			ShortMovNo = CreateParameter("ShortMovNo", 12, 3, 16, 1);	//Short term Moving Average	
			LongMovNo = CreateParameter("LongMovNo", 26, 6, 26, 1);		//Long term Moving Average
		}
	
		protected override void Execute()	 //Start Stratagy Code
		{
			
			
			//Start Chart Design
			//Start Chart Design
			
			//Scale Graph
			PadBars ( 10 );
			SetLogScale( PricePane, true );
			SetLogScale( VolumePane, true );

//Price Pane
			//Plot Moving Averages
			DataSeries ema10 = EMAModern.Series( Close, 10 );
			ema10.Description = "EMA10d";
			DataSeries ema21 = EMAModern.Series( Close, 21 );
			ema21.Description = "EMA21d";
			DataSeries sma50 = SMA.Series( Close, 50 );
			sma50.Description = "SMA50d";
			DataSeries ema65 = EMAModern.Series( Close, 65 );
			ema65.Description = "EMA65d";
			DataSeries ema195 = EMAModern.Series( Close, 195 );
			ema195.Description = "EMA195d";
			PlotSeries( PricePane, ema10, Color.Black, LineStyle.Solid, 1 );
			PlotSeries( PricePane, ema21, Color.Blue, LineStyle.Solid, 2 );
			PlotSeries( PricePane, sma50, Color.Red, LineStyle.Solid, 1 );
			PlotSeries( PricePane, ema65, Color.Red, LineStyle.Solid, 2 );
			PlotSeries( PricePane, ema195, Color.Navy, LineStyle.Solid, 2 );

//Volume Pane
			//Plot 50Day Average Volume }
			DataSeries Vol50 = SMA.Series( Volume, 50 );
			Vol50.Description = "vSMA50";
			DataSeries Vol50u50 = SMA.Series( Volume, 50 )*1.5;
			Vol50u50.Description = "Vol+50%";
			PlotSeries( VolumePane, Vol50, Color.Navy, LineStyle.Solid, 2 );
			PlotSeries( VolumePane, Vol50u50, Color.Teal, LineStyle.Solid, 1 );
			DrawHorzLine( VolumePane, 500000, Color.Gray, LineStyle.Solid, 2 );

/* */ 
			// Indicator Panes
			bool abovePricePane = true;
			bool displayGrid = true;

//Carr 2 %MOVs
			ChartPane CarrRSPane = CreatePane( 20, abovePricePane, displayGrid );
			DrawHorzLine( CarrRSPane, 0, Color.Navy, LineStyle.Solid, 3 );

int g_period1 = ShortMovNo.ValueInt;		
			int g_period2 = LongMovNo.ValueInt;		
						
			DataSeries g_ShortMov = SMA.Series( ((Close / (Close >>1) ) - 1) * 100 , g_period1 );	//12 = variable Short term Moving average
			g_ShortMov.Description = "ShortMov";
			DataSeries g_LongMov = SMA.Series( ((Close / (Close >>1) ) - 1) * 100 , g_period2 );		//26 = variable Long term Moving average
			g_LongMov.Description = "LongMov";
			DataSeries g_Carr2Mov = g_ShortMov * g_LongMov;		//Carr's formula to be ranked for Relative Strength
			g_Carr2Mov.Description = "Carr2Mov";
			PlotSeries ( CarrRSPane, g_Carr2Mov, Color.Gray, LineStyle.Solid, 3 );

//End Chart Design
			
			
			//Start Strategy
			//Start Strategy

//Start Strategy
			{
			//Validate that all data is updated
			DateTime recentDate = DateTime.MinValue;
			foreach(string symbol in DataSetSymbols)
			{
				Bars b = GetExternalSymbol(symbol, false);
				PrintStatusBar("Accessing: " + symbol);
				if (b.Count > 0 && b.Date[b.Count - 1] > recentDate)
					recentDate = b.Date[b.Count - 1];
			}
			string needUpdates = "";
			foreach(string symbol in DataSetSymbols)
			{
				Bars b = GetExternalSymbol(symbol, false);
				if (b.Count == 0)
					needUpdates += symbol + ", ";
				else if (b.Date[b.Count - 1] != recentDate)
					needUpdates += symbol + ", ";
			}
			if (needUpdates != "")
			{
				DrawLabel(PricePane, "The following Symbols appear to need data updates: " + needUpdates, Color.Black);
				PrintStatusBar("Need update: " + needUpdates);
				return;
			}

/* */
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number1 = BuyRank.ValueInt;
			int number2 = SellRank.ValueInt;
			int period1 = ShortMovNo.ValueInt;		
			int period2 = LongMovNo.ValueInt;

//Start Rotation
			//Start Rotation
			
			
			
			
			/* */
			//Execute rotation strategy
			List<RS_Holder> listBuy = new List<RS_Holder>();
			List<RS_Holder> listSell = new List<RS_Holder>();
			for(int bar = 26 * 2; bar < Bars.Count; bar++)
			{
				//PrintStatusBar("Processing Bar " + bar);  // This slows things down considerably 
				
				//Create list of highest Relative Strength
				listBuy.Clear();
				listSell.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					
						//Add Data Series to be used in Rotation
						DataSeries ShortMov = SMA.Series( ((Close / (Close >>1) ) - 1) * 100 , period1 );	//12 = variable Short term Moving average
						DataSeries LongMov = SMA.Series( ((Close / (Close >>1) ) - 1) * 100 , period2 );		//26 = variable Long term Moving average
						DataSeries Carr2Mov = ShortMov * LongMov;		//Carr's formula to be ranked for Relative Strength
					
					if (Bars.FirstActualBar < bar)
					{
						RS_Holder holder = new RS_Holder();
						holder.symbol = symbol;
						holder.Carr2Mov = Carr2Mov[bar];
						listBuy.Add(holder);
					}
					RestoreContext();
				}
				listBuy.Sort(this);
				listSell.Sort(this);
				
				// Instead of Bottom-N, deal with Top-N stocks:
				listBuy.Reverse();
				listSell.Reverse();

// Print List Here??
				// Print List Here??

/* 				
				ClearDebug();
				SortedList listBuy = new SortedList( DataSetSymbols.Count );

for(int ds = 0; ds < DataSetSymbols.Count; ds++)
				{
					string sym = DataSetSymbols[ds];
					SetContext( sym, true );
					DataSeries Carr2Mov = ShortMov * LongMov;		//Carr's formula to be ranked for Relative Strength
					list.Add( Carr2Mov[Bars.Count-1], sym);
					RestoreContext();
				}
         
				//for ( int i = 0; i < list.Count; i++ )  
				for ( int i = list.Count-1; i >= 0; i-- )  
				{
					double rsi = (double)list.GetKey(i);
					PrintDebug( listBuy.GetByIndex(i) + "\t" + rsi );
				}
*/	
				
				
				//Create Buy List of top (3 is initial default) Relative Strength on list
				int c = listBuy.Count;
				for(int i = c - 1; i >= number1; i--)
					listBuy.RemoveAt(i);
            
				//keep Top Y number (6 is initial default) only
				int d = listSell.Count;
				for(int i = d - 1; i >= number2; i--)
					listSell.RemoveAt(i);
				
				
				
				//Close positions 
				//Close positions

//Close positions that are not in the new top 6 Relative Strenght Ranking
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = false;
					foreach(RS_Holder holder in listSell)
						if (holder.symbol == p.Bars.Symbol)
						{
							keepPosition = true;
							break;
						}
					if (!keepPosition)     
						SellAtMarket(bar + 1, p);           
				}
				
				
				
				//Buy positions 
				//Buy positions

/* */
				//Buy new positions
				foreach(RS_Holder holder in listBuy)
				{
					bool buyPosition = true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						BuyAtMarket(bar + 1);
						RestoreContext();
					}
				}

}
			PrintStatusBar("Strategy completed!");
		}
	}

public int Compare(RS_Holder item1, RS_Holder item2)
		{
			return item1.Carr2Mov.CompareTo(item2.Carr2Mov);
		}
	}
	
	public class RS_Holder
	{
		internal string symbol;
		internal double Carr2Mov;
	}
}
[/code]

Eugene

#6

7/22/2013 11:54 AM

Check line 171 of your code. You omitted one line when copying/pasting and this made all the difference:

Without it I did show open positions and a trading history (make sure the data loading range was adequate), but of course produced incorrect results.

Tobey

#7

7/24/2013 10:27 AM

Hi Eugene,

Thanks! I'll try to be a better copy cat.

With that fix the strategy works with ETFs and Stocks. But it is not working against Fidelity Sector Funds. I made a second copy to modify for Funds. I Changed the BuyAtMarket to BuyAtClose but that didn't do it. What do I need to do to get it to work with mutual funds?

Secondly, I'd like to print out the ticker list with the indicator number so I can see what's happening during testing. I thought this should be done right after the list is created while it is still a complete list. Is that right? And is there a link to some similar code for a Copy Cat to adapt?

Thanks Again for all your help.
Tobey

Eugene

#8

7/24/2013 11:19 AM

What exactly does not work?

Food for thought: How to Report Bugs Effectively > "It doesn't work".

Tobey

#9

7/24/2013 12:04 PM

Hi Eugene,

Sorry for the lack of details.

On my list of Fidelity Sector Funds, It is showing one buy Alert. But it is not showing open positions and a trading history.

Both positions and a trading history show up if I run it against a list of ETFs or Stock tickers.

Thanks,
Tobey

Eugene

#10

7/24/2013 12:57 PM

Tobey,
On my list of Fidelity funds (see description of "Fidelity Select Sector Fund Rotation system"), I have dozens and hundreds of trades and alerts with any position sizing (e.g. 10-100% equity) and reasonable data ranges (like 500 bars EOD Yahoo data). How exactly you're running this system to produce these results, is still unknown to me due to lack of detail.

Tobey

#11

7/25/2013 9:45 AM

Hi Eugene,

This may not be a code issue. I compared the code in your "Fidelity Select Sector Fund Rotation System [Rev.A]" The buy & sell code match with the exception of your hold for 30 days rule. Both use

So I ran "Fidelity Select Sector Fund Rotation System [Rev.A]" against my list of Fidelity Sectors and I got no trades. I ran it against a list of ETFs and got trades. This is the same problem I am getting with the Carr Code you helped me create.

Just to make sure my ticker list was good I deleted it and created a new one using the one on the "Fidelity Select Sector Fund Rotation System [Rev.A]" web page. But I still got the same results, no trades.

I'm using:
WealthLabPro 6.5.20 64-bit Edition
Windows 7
Intel 2 Duo CPU T9900 @ 3.06GHz
16 GB ram

Below is my full Code.

Thanks Again for all your help!!
Tobey

Size:

Color:

Hi Eugene,

This may not be a code issue.  I compared the code in your "Fidelity Select Sector Fund Rotation System [Rev.A]" The buy & sell code match with the exception of your hold for 30 days rule.  Both use [code]SellAtClose(bar + 1, p);[/code][code]BuyAtClose(bar + 1);[/code]

So I ran "Fidelity Select Sector Fund Rotation System [Rev.A]" against my list of Fidelity Sectors  and I got no trades.  I ran it against a list of ETFs and got trades.  This is the same problem I am getting with the Carr Code you helped me create.

Just to make sure my ticker list was good I deleted it and created a new one using the one on the "Fidelity Select Sector Fund Rotation System [Rev.A]"  web page. But I still got the same results, no trades.

I'm using: 
WealthLabPro 6.5.20  64-bit Edition
Windows 7
Intel 2 Duo CPU T9900 @ 3.06GHz
16 GB ram

Below is my full Code.

Thanks Again for all your help!!
Tobey