Rotation Strategy based on a ratio of two stocks

changhengyiu

#1

9/6/2015 12:04 PM

I am trying to test Rotation Strategy base on a ratio of two stocks but never succeed. Could you tell me what parts are not correct?? I put three sets symbols in it for example. There will be more sets in it actually.

CODE:
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I am trying to test Rotation Strategy base on a ratio of two stocks  but never succeed. Could you tell me what parts are not correct?? I put  three sets symbols in it for example. There will be more sets in it actually.
[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 WeakStockRotation : WealthScript, IComparer<iHolder>		
	{

StrategyParameter numberOfSymbols;
		StrategyParameter rocPeriod;
		StrategyParameter days2Hold;
		private StrategyParameter slider1;
		public WeakStockRotation()
		{
			//Pushed indicator CreateParameter statements
			
			numberOfSymbols = CreateParameter("n Symbols", 10, 1, 20, 1);
			rocPeriod = CreateParameter("ROC Period", 22, 2, 60, 1);
			days2Hold = CreateParameter("Min.holding time", 4, 1, 20, 1);
		}		
		
		protected override void Execute()
		{
			int days = days2Hold.ValueInt;	
			
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			int Period = rocPeriod.ValueInt;

HideVolume();

List<iHolder> list = new List<iHolder>();
			for(int bar = Period; bar < Bars.Count; bar++)
			{   
				string stock1=Bars.Symbol ;   
				string stock2=Bars.Symbol ;
                                if (Bars.Symbol=="111111") { stock2="222222"; }
				if (Bars.Symbol=="333333") { stock2="444444"; }
				if (Bars.Symbol=="555555") { stock2="666666"; }
				if (Bars.Symbol=="777777") { stock2="888888"; }
				
 				DataSeries close1;
				DataSeries close2;

SetContext( stock1, true );
				close1 = Close;
				RestoreContext();
				SetContext( stock2, true );
				close2 = Close;
				RestoreContext();

DataSeries preminum1 = close1 / close2-1; 
                               	//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 = preminum1[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 = ( bar+1 - p.EntryBar <= days ) ? true : false;
					foreach(iHolder holder in list)
						if( holder.symbol == p.Bars.Symbol )
						{
							keepPosition = true;								
							break;
						}
					if (!keepPosition)
						
						SellAtClose(bar, p);
						//SellAtMarket(bar + 1, p);           
				}
    
				//Buy new positions
				foreach(iHolder holder in list)
				{
					bool buyPosition = ( ActivePositions.Count == number ) ? false : true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						if( BuyAtClose(bar ) != null )
						//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

#2

9/6/2015 5:48 PM

How about this?

CODE:
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How about this?

[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 WeakStockRotation : WealthScript, IComparer<iHolder>      
	{

StrategyParameter numberOfSymbols;
		StrategyParameter rocPeriod;
		StrategyParameter days2Hold;
		private StrategyParameter slider1;
		public WeakStockRotation()
		{
			//Pushed indicator CreateParameter statements
         
			numberOfSymbols = CreateParameter("n Symbols", 10, 1, 20, 1);
			rocPeriod = CreateParameter("ROC Period", 22, 2, 60, 1);
			days2Hold = CreateParameter("Min.holding time", 4, 1, 20, 1);
		}      
      
		protected override void Execute()
		{
			int days = days2Hold.ValueInt;   
         
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			int Period = rocPeriod.ValueInt;

HideVolume();

// Cache series based on ext. symbol 
			var lstPreminum1 = new Dictionary<string, DataSeries>();
			foreach(string symbol in DataSetSymbols)
			{
				SetContext(symbol, true);
				string stock2 = symbol;
				if (Bars.Symbol=="111111") { stock2="222222"; }
				if (Bars.Symbol=="333333") { stock2="444444"; }
				if (Bars.Symbol=="555555") { stock2="666666"; }
				if (Bars.Symbol=="777777") { stock2="888888"; }

DataSeries preminum1 = ( Close / GetExternalSymbol(stock2,false).Close - 1);
				preminum1 = Synchronize(preminum1);
				lstPreminum1.Add(symbol, preminum1);
				RestoreContext();
			}

List<iHolder> list = new List<iHolder>();
			for(int bar = Period; 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 = lstPreminum1[symbol][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)                  
						SellAtClose(bar, p);
					//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( BuyAtClose(bar, holder.rsi.ToString() ) != null )
							//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]

changhengyiu

#3

9/7/2015 2:27 AM

Eugene,thanks a lot. There shows a error message when i run it. I show it with a picture. Could you take a look?

捕获.JPG

Eugene

#4

9/7/2015 2:39 AM

Please either run not on All Data (select "Most recent" or "Fixed bars") or change this line:

CODE:
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changhengyiu

#5

9/7/2015 3:46 AM

Thank you, It works well!

changhengyiu

#6

9/7/2015 8:56 AM

Hi Eugene
I found that "Min.holding time" doesn't have function here. Could you take a took?

Eugene

#7

9/7/2015 9:25 AM

It is purposefully disabled due to a bug:

ActiveTrader 2012-05 | Efficient Rotation strategy

See posts #31 (problem) and #33 (solution).

Swissi

#8

3/8/2018 9:18 AM

I am looking for a way to use fundamental data as basic input for a rotation script. F.ex. I have 10 currencies and I have ten interest rate differential series. I want now to rank each week/month the interest rate differentials and buy the three currenices with the three highest differentials.
The Dogs of the Dow strategy does use fundamental information to rank the 30 Dow stocks. But the script use FundamentalDataItems, which are not available in my case.
Can I use GetExternalSeries in a rotation script?

Eugene

#9

3/8/2018 9:45 AM

QUOTE:
Can I use GetExternalSeries in a rotation script?

Why not? The rotation Strategy in post #2 does exactly that i.e. uses GetExternalSymbol (or GetExternalSeries if you like).

Swissi

#10

3/8/2018 3:38 PM

Thank you for the hint!

I just take a part of the code:

CODE:
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How can get a printout (f.ex. PrintDebug) of lstPreminum1? I would like to have more information about the content of the list.
Where can I find more information about "List"?

Eugene

#11

3/8/2018 4:02 PM

QUOTE:
Where can I find more information about "List"?

This is such a basic primitive of .NET that you can find this and other collections covered in (absolutely) any C# 101 resource: How do I start with C# ? Although it's slightly off topic, the "lstPreminum1" is a Dictionary rather than a List.

QUOTE:
How can get a printout (f.ex. PrintDebug) of lstPreminum1?

As simple as this:

CODE:
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Each "item" here is a KeyValuePair<string, DataSeries>. That's why the .Value part of it has Description property - because it's a DataSeries. Any type can be assigned here - it's just an example.