Rotation Enhancement: buy Top 3, sell when falls out of Top 10

Author: asurapan

Creation Date: 5/12/2009 2:43 PM

Wealth Lab » Trading Strategies » Rotation Enhancement: buy Top 3, sell when falls out of Top 10

asurapan

5/12/2009 2:43 PM

The current pre-loaded RSI Rotation strategy buys the bottom 3 and sells when is moves out of the top 3. Playing around with the strategy, I created one on a dataset of 40 securities using different technical indicators that buys the highest ranked top 3 securities and sells when it drops out of the top 3. How would I then modify the code to continue to buy the top 3, but only sell when it fell out of the top 10? In theory, this will allow a little more breathing room and reduce the number of transactions.

Eugene

5/13/2009 4:04 AM

Off the top of my head, I would maintain another List of Top-10 securities (completely untested):

CODE:
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Off the top of my head, I would maintain another List of Top-10 securities (completely untested):
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
 
namespace WealthLab.Strategies
{	
	public class RSIRotation : WealthScript, IComparer<RSIHolder>		
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter rsiPeriod;

public RSIRotation()
		{
			numberOfSymbols = CreateParameter("n Symbols", 3, 2, 10, 1);
			rsiPeriod = CreateParameter("RSI Period", 14, 6, 34, 2);
		}		
		
		protected override void Execute()
		{
			//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 number = numberOfSymbols.ValueInt;
			int Period = rsiPeriod.ValueInt;		
   
			//Execute rotation strategy
			List<RSIHolder> list = new List<RSIHolder>();
			List<RSIHolder> list10 = new List<RSIHolder>();
			for(int bar = Period * 2; bar < Bars.Count; bar++)
			{
				//PrintStatusBar("Processing Bar " + bar);  // This slows things down considerably    
				//Identify the 3 symbols that have the lowest RSI
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						RSIHolder holder = new RSIHolder();
						holder.symbol = symbol;
						holder.rsi = RSI.Series(Bars.Close, Period)[bar];
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
				list10 = list;
    
				//keep top number (3 is initial default) only
				list.RemoveRange(list.Count-number,number);
				
				//keep top 10 only in list10
				list10.RemoveRange(list10.Count-10,10);
    
				//Close positions that are not in the new lowest 10
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = false;
					foreach(RSIHolder holder in list10)
						if (holder.symbol == p.Bars.Symbol)
						{
							keepPosition = true;
							break;
						}
					if (!keepPosition)     
						SellAtMarket(bar + 1, p);           
				}
    
				//Buy new positions
				foreach(RSIHolder 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);
						BuyAtMarket(bar + 1);
						RestoreContext();
					}
				}
			}
			PrintStatusBar("Strategy completed!");
		}
  
		public int Compare(RSIHolder item1, RSIHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
	public class RSIHolder
	{
		internal string symbol;
		internal double rsi;
	}
}
[/CODE]

Wealth Lab » Trading Strategies » Rotation Enhancement: buy Top 3, sell when falls out of Top 10