Adjusted ROC Optimization - Wealth Lab Forum

rmccall

#1

8/25/2009 1:37 PM

I am struggling to modify the Adjusted ROC (Luoma & Nikkinen, SAC Apr 2007) strategy for optimization of all of the following:
1. Add Buy Criteria for Maximum number of trades open = 5
2. Add Buy Criteria for Maximum dollars per Trade = 5000
3. Add Sell Criteria for holding maximum days = 25
4. Keep the current profit target strategy to sell if this is reached before Holding days = 4
5. Add Strategy Paramters for Optimization on number of "Periods", "Holding Days", "Nbr Trades", "$ per Trade" and "Profit Target".
Can You help?

Original code is as follows:

CODE:
Please log in to see this code.

Size:

Color:

I am struggling to modify the Adjusted ROC (Luoma & Nikkinen, SAC Apr 2007) strategy for optimization of all of the following:
1.  Add Buy Criteria for Maximum number of trades open = 5
2.  Add Buy Criteria for Maximum dollars per Trade = 5000
3.  Add Sell Criteria for holding maximum days = 25
4.  Keep the current profit target strategy to sell if this is reached before Holding days = 4
5.  Add Strategy Paramters for Optimization on number of "Periods",  "Holding Days", "Nbr Trades", "$ per Trade" and "Profit Target".
Can You help?

Original code is as follows:

[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
	{
		protected override void Execute()
		{
			int Period = 40;     
			bool UseAdjustedROC = true;			// get a broad market index (S&P500 is used here) and its ROC data
			DataSeries sIndex = GetExternalSymbol( ".spx", true ).Close;
			DataSeries sIndexROC = ROC.Series( sIndex, Period );			// get the ROC of selected stock
			DataSeries sROC = ROC.Series( Close, Period );			if( UseAdjustedROC )
			{
				// change from standard ROCs to the "adjusted" version
				sROC = EMA.Series( ROC.Series( Close, 1 ), Period, EMACalculation.Modern );
				sIndexROC = EMA.Series( ROC.Series( sIndex,  1), Period, EMACalculation.Modern );
			}			// compute the spread between the two (adjusted) ROCs
			// that is, the difference:  ROC(stock) - ROC(index)
			DataSeries sSpread = sROC - sIndexROC;
			
			sROC.Description = "sROC";
			sIndexROC.Description = "sIndexROC";
			sSpread.Description = "sSpread";			
			
			for(int bar = Period; bar < Bars.Count; bar++)
			{
				double R = sROC[bar];
				
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					// exit all (long) positions when a profit target is reached,
					// or when the stock rises while the spread starts decreasing
					if( ( p.NetProfitAsOfBarPercent( bar ) > 4 ) ||
						( ( R > 0 ) & TurnDown( bar, sSpread ) ) )
						SellAtMarket( bar + 1, Position.AllPositions );
				}				// enter a new long position after the stock had a dip,
				// as soon as the spread shows an improvement
				if( ( R < 0 ) & TurnUp( bar, sSpread ) )
					if( BuyAtMarket( bar + 1, (-R).ToString() ) != null )
						// when trading multiple stocks, and not having enough cash to
						// enter all alerts, instruct WL’s $imulator to trade those with
						// the lowest (most negative) ROC value, hoping in a faster bounce
						LastPosition.Priority =  - R;			}
			
			
			HideVolume();
			ChartPane Pane = CreatePane( 50, false, true );
			DrawHorzLine( Pane, 0, Color.Black, LineStyle.Solid, 2 );
			PlotSeries( Pane, sROC, Color.Red, LineStyle.Solid, 1 );
			PlotSeries( Pane, sIndexROC, Color.Blue, LineStyle.Dotted, 1 );
			PlotSeries( Pane, sSpread, Color.Green, LineStyle.Solid, 2 );
		}
	}
}
[/CODE]

Eugene

#2

8/25/2009 1:46 PM

The other parts should be pretty trivial, but these require some clarification:

QUOTE:
1. Add Buy Criteria for Maximum number of trades open = 5

Are you trying to rethink it as a multi-position strategy, keeping the maximum number of open trades in one stock to 5? Or is this a portfolio-wide condition?

QUOTE:
2. Add Buy Criteria for Maximum dollars per Trade = 5000

Only starting from Version 5.5.

rmccall

#3

8/25/2009 2:09 PM

I am rethinking the Multi-position Strategy to apply portfolio wide such that I have only 5 open trades at a time and have a maximum of $5000 in each trade. Don't really want multiple trades on the same symbol to be on the same day.

rmccall

#4

8/25/2009 2:10 PM

I am using WLP 5.4

rmccall

#5

8/25/2009 2:22 PM

I struggle with the Portfolio simulation when selecting a % of Equity to control the number of positions and then the use of equity goes above what I want to keep investing. If I use fixed $ amount then I enter more positions than I want. I may not understand the exactly how it operates but I am trying to control number of postions and dollars invested without using all the built up equity. Hope this helps.

Eugene

#6

8/25/2009 2:50 PM

QUOTE:
Don't really want multiple trades on the same symbol to be on the same day.

Until PosSizers in 5.6, this condition will require rewriting the strategy in a manner of the symbol rotation scripts:

Accessing the number of positions in a portfolio

Cone

#7

8/25/2009 2:53 PM

QUOTE:
I am trying to control number of postions and dollars invested without using all the built up equity

Although Eugene may suggest a somewhat esoteric way to manage trading around the Equity curve, you'll have this control with PosSizers (aka SimuScripts in v4) when this feature is introduced in 5.6.