Buying a specific symbol to be used instead of cash when a system is out of the market

Tobey

#1

2/27/2014 1:10 PM

Hi Cone & Eugene,

The code below goes to cash if the SPY falls below the moving average. In a down turn I'd like to buy at market the Symbol BTTRX in stead of cash?

CODE:
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In none code I need to add something like this

CODE:
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Is there an example of somthing like this? And will some code need to be added to the sell side to handle a Symbol like this that is used to replace cash.

As Always Thanks for the help
Tobey

Cone

#2

2/27/2014 3:02 PM

You don't have to set context to sell a Position, only a reference to the Position is required. I think this logic is correct, but untested...

CODE:
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Hi Cone,

The new code started to work. But after a few trades it bought XLE and held it from 2005 until now.

The attached spreadsheet has the results with and with out the new code. We are close but some possible condition isn't covered. I've highlighted the trade in both lists.

Thanks for taking another look.

Tobey

BRRTXtest_results.pdf

Tobey

#4

3/2/2014 8:50 AM

HI Cone,

I just noticed the code is using BuyAtMarket. BTTRX is a fund so I think it has to be bought at close. I tried it but that change alone wasn't enough to fix it.

Thanks
Tobey

Cone

#5

3/2/2014 7:04 PM

It sounds like you have a problem with data or the HighROCSymbol routine. I can't help assemble the script correctly without all the pieces.

Tobey

#6

3/3/2014 4:25 PM

Hi Cone,

Thanks for taking a look at it. Here is the code that works for going to cash.
And this is the Ticker list SPY XLB XLE XLF XLI XLK XLP XLU XLV XLY XTL

Thanks
Tobey

CODE:
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Hi Cone,

Thanks for taking a look at it.  Here is the code that works for going to cash.
And this is the Ticker list SPY XLB XLE XLF XLI XLK XLP XLU XLV XLY XTL

Thanks
Tobey

[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
	{
		StrategyParameter _PerSym;
		StrategyParameter _PerSPY;

public MyStrategy()
		{
			_PerSym = CreateParameter("PerSym", 11, 1, 12, 1);
			_PerSPY = CreateParameter("PerSPY", 7, 1, 12, 1);
		}

public string HighROCSymbol(int bar, int PerSym)
		{
			string result = "";
			double biggest = -1e9;
			foreach (string sym in DataSetSymbols)
			{
				SetContext(sym, true);
				if (bar < Bars.FirstActualBar) continue;
				double roc = ROC.Series(Close, PerSym)[bar];
				if (roc > biggest)
				{
					biggest = roc;
					result = sym;
				}
				RestoreContext();
			}    
			PrintDebug(result + "\t" + bar + "\t" + Date[bar].ToShortDateString());
			return result;
		}

protected override void Execute()
		{
			//Scale Graph
			PadBars ( 6 );
			SetLogScale( PricePane, true );
			SetLogScale( VolumePane, true );
			//HideVolume();

// Multiple Time Frame Graph Code
			BarDataScale ds = Bars.DataScale;	
			
			if( ds.Scale == BarScale.Monthly )			
			{
				//Setup Code for Stratergy Parameters
				int per = _PerSym.ValueInt;
				int per2 = _PerSPY.ValueInt;
				string buysym = "";
			
				//Get Exernal Data
				Bars spy = GetExternalSymbol("SPY", true);
				DataSeries spy_sma = SMA.Series(spy.Close, per2);
				DataSeries spy_chg = ROC.Series(spy.Close, per2);
				spy_chg.Description = "SPY_ExitSignal";

//Chart Design
				//Price Pane
				//Plot % Space at Graph Top
				DataSeries smaHi1 = SMA.Series( High * 1.02, 1 );
				smaHi1.Description = "Hi+1";
				PlotSeries( PricePane, smaHi1, Color.Empty, LineStyle.Solid, 1 );

//Color Bars
				for (int bar = 1; bar < Bars.Count; bar++)
				{
					if (Volume[bar] > Volume[bar - 1])
						if (Close[bar] > Open[bar])	
							SetBarColor(bar, Color.Lime);
						else if (Volume[bar] > Volume[bar - 1])
							if (Close[bar] < Open[bar])	
								SetBarColor(bar, Color.Red);			
				}
			
				//Plot Moving Averages
				DataSeries smaSym = SMA.Series( Close, per2 );
				smaSym.Description = "ExitSignal";			
				PlotSeries( PricePane, smaSym, Color.Black, LineStyle.Solid, 2 );

//Volume Pane
				//Plot 3mo Average Volume }
				DataSeries Vol3mo = SMA.Series( Volume, 3 );
				Vol3mo.Description = "vSMA3m";
				PlotSeries( VolumePane, Vol3mo, Color.Navy, LineStyle.Solid, 2 );
				DataSeries Vol3mUp25 = Vol3mo * 1.25;
				Vol3mUp25.Description = "VolUp25%";
				PlotSeries( VolumePane, Vol3mUp25, Color.Teal, LineStyle.Solid, 2 );
				DrawHorzLine( VolumePane, 500000, Color.Gray, LineStyle.Solid, 2 );
				
				//Color Bars Volume
				for (int bar = 1; bar < Bars.Count; bar++)
				{
					if (Volume[bar] > Volume[bar - 1])
						if (Close[bar] > Open[bar])	
							SetSeriesBarColor(bar, Volume, Color.Lime);
						else if (Volume[bar] > Volume[bar - 1])
							if (Close[bar] < Open[bar])	
								SetSeriesBarColor(bar, Volume, Color.Red);
				}

// Indicator Panes
				bool abovePricePane = true;
				bool displayGrid = true;				
				
				
				abovePricePane = false;

//SPY ROC Market Signal
				ChartPane SpyPane = CreatePane( 20, abovePricePane, displayGrid );
				DrawHorzLine( SpyPane, 0, Color.Blue, LineStyle.Solid, 3 );
				PlotSeries( SpyPane, spy_chg, Color.Navy, LineStyle.Histogram, 10 );
				
				
				//Color Market Signal Bars
				for (int bar = 1; bar < Bars.Count; bar++)
				{
					if (spy_chg[bar] > 0 )
						SetSeriesBarColor(bar, spy_chg, Color.Lime);
					else if (spy_chg[bar] < 0 )
						SetSeriesBarColor(bar, spy_chg, Color.Red);
				}
			
				//Color Background for SPY Market Signal Line
				for (int bar = 1; bar < Bars.Count; bar++)
				{
					if (spy_chg[bar] < 0 )
						SetBackgroundColor(bar, Color.FromArgb(20,255,0,0) ); 
				}

//Start Monthly Strategy
				for(int bar = per; bar < Bars.Count; bar++)
				{
					buysym = HighROCSymbol(bar, per);

Position p = LastPosition;
					if (IsLastPositionActive)
					{
						if (p.Symbol != buysym)
							ExitAtMarket(bar + 1, p);
					}

if (spy.Close[bar] > spy_sma[bar])
						if (p == null || p.Symbol != buysym)
						{
							SetContext(buysym, true);
							BuyAtMarket(bar + 1);
							RestoreContext();
						}
				}
				//End Monthly Strategy
			}
		}
	}
}

[/code]

Cone

#7

3/3/2014 6:55 PM

1. Make sure BTTRX is not in the DataSet of ETF sector stocks, but it should appear in any other DataSet.
2. The Strategy using AtMarket orders works fine, but introducing the AtClose orders creates some interaction that I'm too tired to track down right now.

Since you're trading it monthly anyway, it probably will make no statistical difference if you enter at the close on the next day anyway. You could write that into the code too and run it on Daily bars with a Monthly Scaling conversion, but it's hardly worth all that trouble.

Another suggestion is to use the "EOD Scaling Provider" to generate different Monthly DataSets to see if varying the day of the month makes any difference.

CODE:
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1. Make sure BTTRX is not in the DataSet of ETF sector stocks, but it should appear in [i]any other[/i] DataSet.
2. The Strategy using AtMarket orders works fine, but introducing the AtClose orders creates some interaction that I'm too tired to track down right now.

Since you're trading it monthly anyway, it probably will make no statistical difference if you enter at the close on the next day anyway.  You could write that into the code too and run it on Daily bars with a Monthly Scaling conversion, but it's hardly worth all that trouble.

Another suggestion is to use the "EOD Scaling Provider" to generate different Monthly DataSets to see if varying the day of the month makes any difference.

[code]			const string cashsym = "BTTRX";
			//Start Strategy
			
			for(int bar = per; bar < Bars.Count; bar++)
			{
				buysym = HighROCSymbol(bar, per);
				bool above = (spy.Close[bar] > spy_sma[bar]);

Position p = LastPosition;
				if (IsLastPositionActive)
				{
					if (!above)
					{
						if (p.Symbol != cashsym)
//							ExitAtClose(bar, p);	// exit and buy cashsym fund
							ExitAtMarket(bar + 1, p);
					}
					else
					{
						if (p.Symbol == cashsym)
							ExitAtMarket(bar + 1, p);
						else if (p.Symbol != buysym)
							ExitAtMarket(bar + 1, p);
					}					
				}

if (above)
				{
					if (p == null || p.Symbol != buysym)
					{
						SetContext(buysym, true);
						BuyAtMarket(bar + 1, "buysym");
						RestoreContext();
					}
				}
				else if (p == null || p.Symbol != cashsym)
				{
					SetContext(cashsym, true);
//					BuyAtClose(bar, "cashsym");
					BuyAtMarket(bar + 1, "cashsym");
					RestoreContext();
				}
			}[/code]