Adaptive Laguerre Indicator "hangs" in a Rotation Strategy

Carova

#1

3/23/2019 4:16 PM

Hi Eugene!

I attempted to use the Adaptive Laguerre indicator in a Rotation Strategy and found that it hangs the process when used with the Dow 30 (or any other DataSet).

CODE:
Please log in to see this code.

It does not seem to have a similar issue with any other indicator that I have tried.

Vince

Size:

Color:

Hi Eugene!

I attempted to use the Adaptive Laguerre indicator in a Rotation Strategy and found that it hangs the process when used with the Dow 30 (or any other DataSet).

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;

// ActiveTrader 2012-05 | Efficient Rotation strategy [Rev.B-ljm]
namespace WealthLab.Strategies
{   
	public class EfficientStockStrategy : WealthScript, IComparer<ERHolder>      
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter period3;
		private StrategyParameter days2Hold;
      
		public EfficientStockStrategy()
		{
			numberOfSymbols = CreateParameter("n Symbols", 3, 2, 10, 1);
			period3 = CreateParameter("Period 3", 10, 10, 25, 5);
			days2Hold  = CreateParameter("Min.holding time", 30, 10, 60, 5);
		}      
      
		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 = period3.ValueInt;
   
			//Execute rotation strategy
			List<ERHolder> list = new List<ERHolder>();
			for(int bar = GetTradingLoopStartBar(Period); bar < Bars.Count; bar++)
			{
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar) // if there is enough data for this symbol
					{
						ERHolder holder = new ERHolder();
						holder.symbol = symbol;
						holder.er = ROC.Series(AdaptiveLaguerre.Series(Bars.Close, period3.ValueInt), 1)[bar];
						holder.owned = false;
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
				list.Reverse();
    
				//Reduce list to top values (3 is initial default) only
				int c = list.Count;
				for(int i = c - 1; i >= number; i--)
					list.RemoveAt(i);
				// Mark list positions already owned
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					for (int i = 0;i < list.Count;i++) // (ERHolder holder in list)
						if (list[i].symbol == p.Bars.Symbol)
						{
							list[i].owned = true;
							break;
						}
				}
				//Close positions that are not in the new lowest n, unless within hold time
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepOnMerit = false;
					bool keepOnHoldTime = ( bar+1 - p.EntryBar <= days ) ? true : false;
					int idx = -1;
					for (int i = 0;i < list.Count;i++) // (ERHolder holder in list)
						if (list[i].symbol == p.Bars.Symbol)
						{
							keepOnMerit = true; // still in top list
							idx = i; // Remember index into list for deletion
							break;
						}
					// Adjust "list"
					if (keepOnMerit)
						list.RemoveAt(idx); // Prevent 2nd buy of this symbol
					else {
						if (keepOnHoldTime) { // and symbol is no longer in the list
							if (list.Count > 0)
								// Remove worst not owned
								for (int i = list.Count - 1;i >= 0;i--) {
									if (!list[i].owned) { // if not owned
										list.RemoveAt(i); // Remove from buy list and exit loop
										break;
									}
								}
						}
						else {
							SetContext(p.Bars.Symbol, true);
							SellAtMarket(bar + 1, p);
							RestoreContext();
						}
					}
				}
				//Buy new positions
				foreach(ERHolder holder in list)
				{
					SetContext(holder.symbol, true);
					if( BuyAtMarket(bar + 1, holder.er.ToString("N2")) != null )
						LastPosition.Priority = holder.er;
					RestoreContext();
				}
			}
			PrintStatusBar("Strategy completed!");
		}
  
		public int Compare(ERHolder item1, ERHolder item2)
		{
			return item1.er.CompareTo(item2.er);
		}
	}
	public class ERHolder
	{
		internal string symbol;
		internal double er;
		internal bool owned;
	}
}[/code]

It does not seem to have a similar issue with any other indicator that I have tried.

Vince

Eugene

#2

3/23/2019 5:15 PM

Click on DWDP symbol (the one with the shortest history). Does it help?

Carova

#3

3/23/2019 9:16 PM

Hi Eugene!

Yes, using DWDP does get it to run, but if I use the code below

CODE:
Please log in to see this code.

allows me to use nearly any symbol. This was the issue that I found with the Adaptive Laguerre since I surely do not want to use the symbol with the shortest strategy! ;)

Vince

superticker

#4

3/24/2019 4:43 AM

Have you thought about substituting the Adaptive Laguerre filter for some other adaptive filter like John Ehlers' DSMA (Deviation-Scaled Moving Average)? Just curious. The DSMA filter won't have as much phase delay as the Laguerre filter.

Eugene

#5

3/24/2019 6:18 AM

Vince, yesterday I deliberately suggested to use the shortest symbol because it was reasonable to believe that the issue with AdaptiveLaguerre has to do with synchronization. Being the symbol with the shortest history, obviously DWDP doesn't have the bars for a lot of dates. So Wealth-Lab synchronizes its data by prepending zero data. For this reason you should choose a data loading range equal for all included symbols.

It's easy to prove by dropping the AdaptiveLaguerre onto any chart which is altered with a Strategy code like this:

CODE:
Please log in to see this code.

Provided there are enough bars loaded the indicator will make Wealth-Lab freeze.

As the indicator code was submitted by a WL4 community member more than a decade ago (rather than came with a S&C article by Mr. Ehlers as usual) it's impossible to tell whether the issue is caused by the formula itself or its implementation.

So the natural fix is to make AdaptiveLaguerre skip processing the bar if the DataSeries has a zero value on it. Look for the patch in C.Indicators v2019.04.

Carova

#6

3/24/2019 1:04 PM

superticker,

Thanks! Yes. I am examining all of the various "smoothers" to understand the positives/negatives of each. The Adaptive Laguerre is just the next one on my list.

Vince

Carova

#7

3/24/2019 1:04 PM

QUOTE:
So the natural fix is to make AdaptiveLaguerre skip processing the bar if the DataSeries has a zero value on it. Look for the patch in C.Indicators v2019.04.

Thanks Eugene!

Vince