Accessing the number of positions in a portfolio

Author: jimcrist

Creation Date: 3/25/2009 11:33 AM

Wealth Lab » WealthScript (.NET) » Accessing the number of positions in a portfolio

jimcrist

3/25/2009 11:33 AM

I'm running a backtest on a 100+ symbols, and I want to limit the number of open positions at any one time to 5 or less. Unfortunately, ActivePositions.Count is always 0. What am I doing wrong? Thanks...

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Eugene

3/25/2009 11:48 AM

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jimcrist

3/25/2009 12:58 PM

I'm not getting this. Now I'm getting 100's of these errors:

Error processing symbol SPY Bar number must be 609 or greater
Error processing symbol SSG Bar number must be 492 or greater
Error processing symbol SSO Bar number must be 243 or greater
.
.
.

It's taking some trades but not many. I'm not getting the concept. I thought WL produces each trade for each symbol first and then runs the portfolio simulation to decide which trades it can take. I thought the WL code is on the symbol level, but now I'm throwing in code on a portfolio level. I'm confused. When I said I wanted to limit the number of open positions at any one time to 5 or less, I meant 5 different symbols at once.

Cone

3/25/2009 1:36 PM

QUOTE:
I meant 5 different symbols at once.

Currently (without PosSizers) you'd have to create a Portfolio-level backtest in your code, in other words using a DataSetSymbols loop. You run those types of backtests by clicking only one symbol (not selecting the DataSet name). Some examples are the "Symbol Rotation" strategies and "Dogs of the Dow".

Eugene

3/25/2009 1:57 PM

QUOTE:
Error processing symbol SPY Bar number must be 609 or greater

That could be due to some other part of your code (which we need to look at).

QUOTE:
When I said I wanted to limit the number of open positions at any one time to 5 or less, I meant 5 different symbols at once.

Now I see, what you mean and what was said are absolutely different things. :) The code above was illustrating how to limit the number of active positions.

QUOTE:
I thought the WL code is on the symbol level, but now I'm throwing in code on a portfolio level.

If I got your point then one way or another, you can count the number of unique symbols that had trades:

CODE:
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[QUOTE]Error processing symbol SPY Bar number must be 609 or greater[/QUOTE]
That could be due to some other part of your code (which we need to look at).
[QUOTE]When I said I wanted to limit the number of open positions at any one time to 5 or less, I meant 5 different symbols at once.[/QUOTE]
Now I see, what you [i]mean[/i] and what was [i]said[/i] are absolutely different things. :) The code above was illustrating how to limit the number of active positions.
[QUOTE]I thought the WL code is on the symbol level, but now I'm throwing in code on a portfolio level. [/QUOTE]
If I got your point then one way or another, you can count the number of unique symbols that had trades:
[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
	{
		static List<string> killDupes(List<string> symbolList)
		{
			Dictionary<string, int> tmp = new Dictionary<string, int>();
			List<string> unique = new List<string>();
 
			foreach (string symbol in symbolList)
			{
				if (!tmp.ContainsKey(symbol))
				{
					tmp.Add(symbol, 0);
					unique.Add(symbol);
				}
			}
			return unique;
		}

public int ActiveSymbols()
		{
			List<string> symList = new List<string>();
			for(int p = ActivePositions.Count - 1; p >= 0; p--)
				symList.Add( ActivePositions[p].Bars.Symbol );
			
			killDupes( symList );
			
			return symList.Count;
		}
		
		protected override void Execute()
		{
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( bar + 1 - p.EntryBar >= 20 )
						ExitAtClose(bar, p, "Time-based");
				}					
				else if(Close[bar] > 5 && AvgV[bar] > 50000 && ActiveSymbols() < 5 )
				{
					if( BuyAtLimit(bar + 1, 1.02 * Low[bar]) != null )
						LastActivePosition.Priority = 100;
				}
			}
		}
	}
}[/CODE]

Cone

3/25/2009 4:04 PM

Eugene, I think Jim's probably running a single-position script (uses IsLastPositionActive), but wants to limit the portfolio to 5 open positions. If that's the case, this code isn't going to help... But, if he implements the strategy as I suggested, the KillDupes and ActiveSymbols routines could be useful there.