Any Open Position (in Other Symbols) in Portfolio Mode

Author: Gamba

Creation Date: 9/1/2013 8:59 AM

Wealth Lab » WealthScript (.NET) » Any Open Position (in Other Symbols) in Portfolio Mode

Gamba

9/1/2013 8:59 AM

Is it possible to check if there are any open positions (short or long) from my dataset in portfolio simulation mode?

For example I want to know when strategy runs on Symbol ABV if there
are any open positions in other symbols, in ABX, for example?

I tried to program it by myself, but with no luck so far.

Eugene

9/1/2013 10:04 AM

Well, you can do it by switching to single-symbol mode and looping through DataSetSymbols as shown in this KB article:

WealthScript Techniques | Portfolio-wide conditions

It works but you might lose some MSB-only performance visualizers (like By Symbol and Contribution):

CODE:
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Gamba

9/2/2013 3:18 AM

Eugene, that was my first approach but it doesn't seem to work.

I have coded a simple sample strategy to check the code and I don't understand why I cannot get the
open positions in my portfolio. You only need two symbols ABV and AMX in the dataset.
There should only be one trade but actually there are two:

CODE:
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Size:

Color:

Eugene, that was my first approach but it doesn't seem to work.

I have coded a simple sample strategy to check the code and I don't understand why I cannot get the 
open positions in my portfolio. You only need two symbols ABV and AMX in the dataset.
There should only be one trade but actually there are two:

[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
	{
		private bool 	shortsOpen 			= false;
		private bool 	longsOpen  			= false;
		
		protected override void Execute()
		{
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				// Check for global LONGs or SHORTs in DataSet
				foreach (string sym in DataSetSymbols)
				{
					SetContext (sym, true);
					if (SymbolIsActiveLong(sym)) 
					{
						longsOpen = true; 
						PrintDebug("LONG in " +sym);
						break;
					}
					else {
						longsOpen = false;	
					}
						
					if (SymbolIsActiveShort(sym)) 
					{
						shortsOpen = true; 
						PrintDebug("SHORT in " +sym);
						break;
					}
					else {
						shortsOpen = false;	
					}						
						
				}   
				RestoreContext();
					
				PrintDebug("LongsOpen: " +longsOpen+ "  ShortsOpen: " +shortsOpen);
				
				
				// Entries and Exits
				if (IsLastPositionActive)
				{
					DateTime exitDateLong  = new DateTime(DateTime.Now.Year, 8, 12, 0,0,0);
					DateTime exitDateShort = new DateTime(DateTime.Now.Year, 8, 14, 0,0,0);
					
					if (Bars.Symbol == "ABV" &&
						DateTime.Compare(Date[bar], exitDateLong) == 0)
					{
						PrintDebug(Bars.Date[bar]+ " - " +Bars.Symbol+ " - LONG-EXIT");
						SellAtClose(bar, LastActivePosition, "LONG-EXIT " +exitDateLong);
					}
					
					if (Bars.Symbol == "AMX" &&
						DateTime.Compare(Date[bar], exitDateShort) == 0)
					{
						PrintDebug(Bars.Date[bar]+ " - " +Bars.Symbol+ " - SHORT-EXIT");
						CoverAtClose(bar, LastActivePosition,"SHORT-EXIT " +exitDateShort);
					}
				}
				else
				{
					DateTime entryDateLong  = new DateTime(DateTime.Now.Year, 8, 5, 0,0,0);
					DateTime entryDateShort = new DateTime(DateTime.Now.Year, 8, 7, 0,0,0);
					
					if (Bars.Symbol == "ABV" &&
						DateTime.Compare(Date[bar], entryDateLong) == 0 &&
						!shortsOpen)
					{
						PrintDebug(Bars.Date[bar]+ " - " +Bars.Symbol+ " - LONG-ENTRY");
						BuyAtClose(bar, "LONG-ENTRY " +entryDateLong);
					}					
					
					if (Bars.Symbol == "AMX" &&
						DateTime.Compare(Date[bar], entryDateShort) == 0 &&
						!longsOpen)
					{
						PrintDebug(Bars.Date[bar]+ " - " +Bars.Symbol+ " - SHORT-ENTRY");
						ShortAtClose(bar, "SHORT-ENTRY " +entryDateShort);
					}
				}
			}
		}
		
		
		private bool SymbolIsActiveLong(string sym)
		{
			PrintDebug ("Check for LONGs in " +sym);
			foreach (Position p in ActivePositions) 
			{
				PrintDebug ("Position found... " +p.PositionType);
				if (sym == p.Bars.Symbol)
					if (p.PositionType == PositionType.Long)
						return true;         
				
			}
			return false;
		}
		
		private bool SymbolIsActiveShort(string sym)
		{
			PrintDebug ("Check for SHORTs in " +sym);
			foreach (Position p in ActivePositions)
			{
				PrintDebug ("Position found... " +p.PositionType);
				if (sym == p.Bars.Symbol)
					if (p.PositionType == PositionType.Short)
						return true;         
			}
			return false;
		}
	}	
}[/code]

Eugene

9/2/2013 3:31 AM

Sorry if I wasn't clear enough. The idea is to rewrite your strategy for looping through DataSetSymbols in single-symbol mode - of course with entries and exits. Without taking trades using SetContext/RestoreContext, your code will not work. That's why I warned that you're going to lose some MSB-only performance visualizers after the rewrite.

P.S. Be careful with class-level variables (i.e. shortsOpen, longsOpen) - unless you declared them as "global" intentionally.

Gamba

9/2/2013 3:54 AM

Ok, I misunderstood your solution. So I have to move Entries to the symbol-context.
Hm ... that would be a big change in my strategies ... I will think about it.

Is or will there be another, maybe smarter solution in portfolio simulation mode?