Avoiding Earnings Period - Wealth Lab Forum

wmrgrove

#1

5/6/2018 10:38 PM

Looking for a little help with my strategy. What I want to accomplish is to NOT TRADE during a period around earnings dates. To define an optimal "window" I want to back-test my pairs history for say 2 years.
A limitation is that I can’t do this for External Symbols in the pairs. That's ok as just testing the "primary" symbol will give me insight into this trading window.

I have found on WIKI , using Community.Components; code that will execute "true" when there is an earning period. What I want to do is NOT Trade in an earnings window and back-test for "NOT X periods before and NOT X periods after the earnings date " ( using Fidelity Fund. Data).

The strategy below uses 2 methods, but both are true when an earnings window is present. Any help to change the code would be much appreciated!

if (EarningsDate.InWindow(this, bar, "earnings per share", 2, 2)) appears to be the best method?

CODE:
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Looking for a little help with my strategy.  What I want to accomplish is to NOT TRADE during a period around earnings dates. To define an optimal "window" I want to back-test my pairs history for say 2 years.
   A limitation is that I can’t do this for External Symbols in the pairs. That's ok as just testing the "primary" symbol will give me insight into this trading window.

I have found on WIKI , using Community.Components; code that will execute "true" when there is an earning period. What I want to do is NOT Trade in an earnings window and back-test for "NOT X periods before and NOT X periods after the earnings date " ( using Fidelity Fund. Data).

The strategy below uses 2 methods, but both are true when an earnings window is present. Any help to change the code would be much appreciated!

if (EarningsDate.InWindow(this, bar, "earnings per share", 2, 2))  appears to be the best method?

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

namespace WealthLab.Strategies
{
	public class EarningsGap : WealthScript
	{
		protected override void Execute()
		{
			ChartPane pane1 = CreatePane(75,true,true);
			
		//	 using Fidelity data provider:
		//	PlotFundamentalItems(pane1,"earnings per share",Color.Blue,LineStyle.Solid,1);

for(int bar = 100; bar < Bars.Count; bar++)
			{
				/* Fidelity */
			FundamentalItem fi = GetFundamentalItem(bar-1, Bars.Symbol, "earnings per share");
				
				if (EarningsDate.InWindow(this, bar, "earnings per share", 2, 2))
					SetBackgroundColor(bar, Color.FromArgb(30, Color.Red));
				
			
				if( fi.Date< Date[bar-3] )
				{
					ShortAtClose(bar, "Short");
					CoverAtMarket(bar+1,LastPosition);
				}
				if( fi.Date < Date[bar-3] )
				{
					BuyAtClose(bar, "Long");
					SellAtMarket(bar+1,LastPosition);
				}
			}
		}
	}
}[/code]

Eugene

#2

5/7/2018 5:56 AM

You're pretty close. An example code can be found in post #3 of this thread: Avoiding earnings release dates? (surprise). That should suffice for backtesting.

Don't forget to adjust the trading loop accordingly (here 3 bars before and 3 after):

CODE:
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Or you get a runtime error.

Also, I don't get the point with delaying the FundamentalItem one bar:

CODE:
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wmrgrove

#3

5/7/2018 6:32 PM

Eugene, thanks for the help.

You said; "An example code can be found in post #3 of this thread: Avoiding earnings release dates? (surprise). That should suffice for backtesting."

I probably missed something simple here as I get this error;

Operator "-" can not be applied to operands of type 'System.DateTime' and 'int' and
Operator "+" can not be applied to operands of type 'System.DateTime' and 'int'

basic test code here;

CODE:
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Eugene

#4

5/7/2018 7:31 PM

William, that's because it's pseudocode. Don't just copy and paste it but study proper .NET syntax for comparison of dates: Compare two DATE and get Days in c#. It's just an example but there are many more in various Strategies and forum discussions (and much more external examples on the internet). I see your posts with coding attempts going back to 2012. This subject is C# 101 so it should not present any trouble to you. Good luck.

Cone

#5

5/8/2018 9:27 AM

Why did you abandon the InWindow() method? This code should get you started on the right foot. I think you want to detect the window edges... so this code creates a synchronized boolean array for InWindow(). Then you can test if it's false on the previous bar and true on the current bar and vice-versa to detect the edges... And, as you can see, you can do that with the secondary symbol too.

CODE:
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Why did you abandon the InWindow() method?  This code should get you started on the right foot.  I think you want to detect the window edges... so this code creates a synchronized boolean array for InWindow().  Then you can test if it's false on the previous bar and true on the current bar and vice-versa to detect the edges... And, as you can see, you can do that with the secondary symbol too.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{		
		protected override void Execute()
		{
			const string fItemStr = "earnings per share"; 
			const string SymbolPair = "KO";
			
			// Create a synchronized bool array for inWindow
			bool[] inWindow = new bool[Bars.Count];
			for (int bar = 0; bar < Bars.Count; bar++)
				inWindow[bar] = EarningsDate.InWindow(this, bar, fItemStr, 2, 2);
			
			// And another one for the pair symbol
			SetContext(SymbolPair, true);
			bool[] XinWindow = new bool[Bars.Count];
			for (int bar = 0; bar < Bars.Count; bar++)
				XinWindow[bar] = EarningsDate.InWindow(this, bar, fItemStr, 2, 2);
			RestoreContext();
			
			
			for(int bar = 100; bar < Bars.Count; bar++)
			{ 
				if (inWindow[bar])
					SetPaneBackgroundColor(PricePane, bar, Color.FromArgb(30, Color.Red));
				            
				bool buyCondition = inWindow[bar] && !inWindow[bar-1];
				bool sellCondition = !inWindow[bar] && inWindow[bar-1];
				
				
				if (sellCondition)
				{
					//do something	
				}
				else if (buyCondition)
				{
					//do something
				}
				
			}
			
						
			if( Bars.Symbol != SymbolPair )
			{
				ChartPane xpane = CreatePane( 100, false, true );
				this.PlotSymbolTrades( GetExternalSymbol( SymbolPair, true ), xpane );
				HideVolume();
				
				for(int bar = 0; bar < Bars.Count; bar++)
					if (XinWindow[bar])
						SetPaneBackgroundColor(xpane, bar, Color.FromArgb(30, Color.Red));
			}
		}
	}
}[/code]

wmrgrove

#6

5/8/2018 12:12 PM

Cone, thank you for the detailed reply. This helps a lot as I did not think you could test the External Symbol for Earnings Window!

The common thinking in Pairs Trading is to always stay away from the "Earnings Window". Of course volatility at that time often spikes and the resulting move can be a 50/50 call. My initial testing, on both the in-sample and out-of-sample is the trade entered before the earnings date is better than average and the trade entered shortly after the earnings date is below average. ( not what one would think) Earnings creates lot's of additional pairs trades but they can be suspect, due to announcements on earnings day, creating a new "Trend Direction" for the affected pair symbol.

I have been using the, " InWindow() method" the last few days back-testing my Pairs Strategy! I am just now starting to get enough "Out of sample" data to truly test my strategy. The pairs selection used 2 years of data ending 1-30-18 and the "Pairs Alert Trading strategy uses,
private static Dictionary<string,string> stock2externalIndex = new Dictionary<string,string>(); Thanks to contributor SuperTrader on this forum I am able to run over 200 selected pairs daily ( from a set list) in about 3 seconds ( Symbol Tab visualizer not active ) !

Thanks again for your help.

wmrgrove

#7

5/11/2018 1:07 PM

Cone; a question on the code above, please.

I am trying to get this to function on my Pairs Strategy ( earnings for both primary and external symbol ) using

CODE:
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If you have a moment could you take a peak at the attached code? I am trying to replace a single "External" symbol with the string example above. For example selecting "A" in a pairs list will have it compare to "PRAH" directly. ( a few hundred pairs in the actual strategy code)

CODE:
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Thanks for any help!

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Cone; a question on the code above, please.

I am trying to get this to function on my Pairs Strategy ( earnings for both primary and external symbol ) using

[code]	private static Dictionary<string,string> stock2externalIndex = new Dictionary<string,string>();

stock2externalIndex.Add(	"A"	 ,	"PRAH"	);
	stock2externalIndex.Add(	"ABB",	"EMR"	);
	stock2externalIndex.Add(	"ACN",	"LDOS"	);

Bars external = GetExternalSymbol(stock2externalIndex[Bars.Symbol], true);[/code]

If you have a moment could you take a peak at the attached code? I am trying to replace a single "External" symbol with the string example above. For example selecting "A" in a pairs list will have it compare to "PRAH" directly. ( a few hundred pairs in the actual strategy code)

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
		
	{      
		private static Dictionary<string,string> stock2externalIndex = new Dictionary<string,string>();
		public MyStrategy()
		{
			/////////////////////// LIST MATE ON LEFT must be in dataset list //////////////////////////		
				
			stock2externalIndex.Add(	"A"	   ,	"PRAH"	);
			stock2externalIndex.Add(	"ABB"	,	"EMR"	);
			stock2externalIndex.Add(	"ACN"	,	"LDOS"	);

///////////////////////////////////////////////////////////////////////////////////////////////////////////		
		
		}
      
		bool NO_AUTO_EXECUTE = true;
		protected override void Execute() 
		{ 
			if( NO_AUTO_EXECUTE ) goto halt; 
			else goto go;
			halt:
			{
				NO_AUTO_EXECUTE = false;
				return;
			}
			go:	
		
				Bars external = GetExternalSymbol(stock2externalIndex[Bars.Symbol], true);
			
					
			const string fItemStr = "earnings per share";
			
	////  THIS FUNCTIONS AS EXPECTED //// SELECTING SYMBOL "A" AS PRIMARY SYMBOL					
			const string SymbolPair = "PRAH";
	
	/// THIS PUTS THE CODE IN AN ENDLESS LOOP//////		
		///	const string SymbolPair = "external";
         
			// Create a synchronized bool array for inWindow
			bool[] inWindow = new bool[Bars.Count];
			for (int bar = 0; bar < Bars.Count; bar++)
				inWindow[bar] = EarningsDate.InWindow(this, bar, fItemStr, 2, 2);
         
			// And another one for the pair symbol
			SetContext(SymbolPair, true);
			bool[] XinWindow = new bool[Bars.Count];
			for (int bar = 0; bar < Bars.Count; bar++)
				XinWindow[bar] = EarningsDate.InWindow(this, bar, fItemStr, 2, 2);
			RestoreContext();
         
         
			for(int bar = 100; bar < Bars.Count; bar++)
			{ 
				if (inWindow[bar])
					SetPaneBackgroundColor(PricePane, bar, Color.FromArgb(30, Color.Red));
                        
			//	bool buyCondition = inWindow[bar] && !inWindow[bar-1];
			//	bool sellCondition = !inWindow[bar] && inWindow[bar-1];
            
            
			//	if (sellCondition)
				{
					//do something   
				}
			//	else if (buyCondition)
				{
					//do something
				}
            
			}
         
                  
			if( Bars.Symbol != SymbolPair )
			{
				ChartPane xpane = CreatePane( 100, false, true );
				this.PlotSymbolTrades( GetExternalSymbol( SymbolPair, true ), xpane );
		//// ADDED THIS ////		
				DrawLabel(xpane, external.Symbol + " is External : " +external.SecurityName, Color.Black);
				HideVolume();
            
				for(int bar = 0; bar < Bars.Count; bar++)
					if (XinWindow[bar])
						SetPaneBackgroundColor(xpane, bar, Color.FromArgb(30, Color.Red));
			}
		}
	}
}[/code]

Thanks for any help!

wmrgrove

#8

5/21/2018 4:58 PM

Cone, any chance to get a little help on my question above ( Post#7 )?

Cone

#9

5/21/2018 10:16 PM

Apologies. I really didn't see post #7 until now. If you're waiting for me specifically and I haven't answered in 2 days, feel free to ping me like you just did ;)

CODE:
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Apologies. I really didn't see post #7 until now.  If you're waiting for me specifically and I haven't answered in 2 days, feel free to ping me like you just did ;)

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{      
		private static Dictionary<string,string> stock2externalIndex = new Dictionary<string,string>();
		
		public MyStrategy()
		{
			/////////////////////// LIST MATE ON LEFT must be in dataset list //////////////////////////      
            
			stock2externalIndex.Add(   "A"     ,   "PRAH"   );
			stock2externalIndex.Add(   "ABB"   ,   "EMR"   );
			stock2externalIndex.Add(   "ACN"   ,   "LDOS"   );

///////////////////////////////////////////////////////////////////////////////////////////////////////////            
		}
      
		bool NO_AUTO_EXECUTE = true;
		
		protected override void Execute() 
		{   
			// This is sufficient without that other spaghetti code
			if ( NO_AUTO_EXECUTE )
			{
				NO_AUTO_EXECUTE = false;
				return;
			}	
			
			// This is a properly assigned constant
			const string fItemStr = "earnings per share";
			
			Bars external = GetExternalSymbol(stock2externalIndex[Bars.Symbol], true);
			
			// Don't use a const modifier for this string because it can be *variable*
			string SymbolPair = external.Symbol;
			
			// Create a synchronized bool array for inWindow
			bool[] inWindow = new bool[Bars.Count];
			for (int bar = 0; bar < Bars.Count; bar++)
				inWindow[bar] = EarningsDate.InWindow(this, bar, fItemStr, 2, 2);
         
			// And another one for the pair symbol
			SetContext(SymbolPair, true);
			bool[] XinWindow = new bool[Bars.Count];
			for (int bar = 0; bar < Bars.Count; bar++)
				XinWindow[bar] = EarningsDate.InWindow(this, bar, fItemStr, 2, 2);
			RestoreContext();
         
         
			for(int bar = 100; bar < Bars.Count; bar++)
			{ 
				if (inWindow[bar])
					SetPaneBackgroundColor(PricePane, bar, Color.FromArgb(30, Color.Red));
                        
				//   bool buyCondition = inWindow[bar] && !inWindow[bar-1];
				//   bool sellCondition = !inWindow[bar] && inWindow[bar-1];
            
            
				//   if (sellCondition)
				{
				//do something   
			}
				//   else if (buyCondition)
				{
				//do something
				}
            
				}
         
                  
			if( Bars.Symbol != SymbolPair )
			{
				ChartPane xpane = CreatePane( 100, false, true );
				this.PlotSymbolTrades( GetExternalSymbol( SymbolPair, true ), xpane );
				//// ADDED THIS ////      
				DrawLabel(xpane, external.Symbol + " is External : " +external.SecurityName, Color.Black);
				HideVolume();
            
				for(int bar = 0; bar < Bars.Count; bar++)
					if (XinWindow[bar])
						SetPaneBackgroundColor(xpane, bar, Color.FromArgb(30, Color.Red));
			}
		}
	}
}[/code]