How to limit # of active positions?

Author: trader rog

Creation Date: 10/20/2009 10:24 AM

Wealth Lab » WealthScript (.NET) » How to limit # of active positions?

trader rog

10/20/2009 10:24 AM

I am trying to limit the number of positions to 10 longs and 10 shorts, but when I run the code below, the results show 10 total positions instead. I have the slider under strategy parameters set to 20. I have tried using 5% equity for position size, and a $5,000 fixed dollar amount with $100,000 starting capital and get the same results for both. Thanks to anyone that can offer help.

CODE:
Please log in to see this code.

Size:

Color:

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators; 
namespace WealthLab.Strategies
{		
		public class RSIRotation : WealthScript, IComparer<RSIHolder>		
		{		
				private StrategyParameter numberOfSymbols;		
				private StrategyParameter rsiPeriod;

public RSIRotation()		
				{			
						numberOfSymbols = CreateParameter("n Symbols", 20, 20, 20, 1);			
						rsiPeriod = CreateParameter("RSI Period", 14, 6, 34, 2);		
				}
						protected override void Execute()		
						{			
								DataSeries ma = null;						
								DataSeries RSISeries = null;						
								DataSeries ma_1 = null;

//Clear cached symbol list so they can be re-requested with synchronization		
								ClearExternalSymbols();			
								int number = numberOfSymbols.ValueInt;			
								int Period = rsiPeriod.ValueInt;

//Execute rotation strategy		
								List<RSIHolder> list = new List<RSIHolder>();			
								List<RSIHolder> listshorts = new List<RSIHolder>();			
								for(int bar = 201; bar < Bars.Count; bar++)			
								{
										//Identify the symbols that have the lowest RSI				
										list.Clear();				
								foreach(string symbol in DataSetSymbols)			
								{
									SetContext(symbol, true);
				
									ma = SMA.Series(Close, 50);			                					
									RSISeries = RSI.Series(Close, 14);
				
									if ((Bars.FirstActualBar < bar)
										&& (Close[bar] > 5) 
										//&& (Close[bar] > ma[bar])					
										//&& (RSISeries[bar] < 70) 						
										&& (ATR.Series(Bars,20)[bar] > 0.25))					
									{				
										RSIHolder holder = new RSIHolder();					
										holder.symbol = symbol;						
										holder.rsi = RSI.Series(Bars.Close, Period)[bar];						
										list.Add(holder);					
									}
									RestoreContext();
								}
								list.Sort(this);

//Identify the symbols that have the highest RSI				
								listshorts.Clear();				
								foreach(string symbol in DataSetSymbols)				
								{
									SetContext(symbol, true);
				
									ma = SMA.Series(Close, 50);			                					
									RSISeries = RSI.Series(Close, 14);	
				
									if ((Bars.FirstActualBar < bar)						
										&& (Close[bar] > 5) 
										//&& (Close[bar] < ma[bar])						
										//&& (RSISeries[bar] > 30)						
										&& (ATR.Series(Bars,20)[bar] > 0.25))				
									{	
										RSIHolder holder = new RSIHolder();						
										holder.symbol = symbol;						
										holder.rsi = RSI.Series(Bars.Close, Period)[bar];						
										listshorts.Add(holder);					
									}
									RestoreContext();
								}

listshorts.Sort(this);				
								listshorts.Reverse();

//keep top number only				
								int c = list.Count;				
								for(int i = c - 1; i >= number; i--)					
										list.RemoveAt(i);

int s = listshorts.Count;				
								for(int i = s - 1; i >= number; i--)					
										listshorts.RemoveAt(i);

//Exit rules				
								for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)			
								{
										Position p = ActivePositions[pos];					
										if (p.PositionType == PositionType.Long)				
										{
												SetContext(p.Bars.Symbol, true);						
												ma_1 = SMA.Series(Close, 5);					
												bool cond1 = (Close[bar] > ma_1[bar]);												
												bool cond2 = (bar - p.EntryBar >= 3);						
												if (cond1||cond2)														
														SellAtMarket(bar + 1, p);					
										}
										else					
										{						
												SetContext(p.Bars.Symbol, true);						
												ma_1 = SMA.Series(Close, 5);						
												bool cond3 = (Close[bar] < ma_1[bar]);												
												bool cond4 = (bar - p.EntryBar >= 3);						
												if (cond3||cond4)														
														CoverAtMarket(bar + 1, p);					
										}				
								}

//Buy new positions	
								int activelongs = 0;
								foreach(RSIHolder holder in list)				
								{
										bool buyPosition = true;					
										foreach(Position p in ActivePositions)	
										{
												if (p.PositionType == PositionType.Long)        
													activelongs++;
														if (p.Bars.Symbol == holder.symbol)						
														{
															buyPosition = false;							
															break;						
														}
										}
										if (buyPosition)					
										{	
											
												SetContext(holder.symbol, true);
												if (activelongs < 11)
												if( BuyAtMarket(bar + 1) != null)	
													LastActivePosition.Priority = (RSISeries[bar]);						
												RestoreContext();					
										}				
								}

//Short new positions
								int activeshorts = 0;
								foreach(RSIHolder holder in listshorts)				
								{
										bool shortPosition = true;				
										foreach(Position p in ActivePositions)
										{
												if (p.PositionType == PositionType.Short)        
													activeshorts++;
														if (p.Bars.Symbol == holder.symbol)					
														{						
															shortPosition = false;							
															break;	
														}
										}					
										if (shortPosition)				
										{						
												SetContext(holder.symbol, true);
												if (activeshorts < 11)
												if( ShortAtMarket(bar + 1) != null)	
													LastActivePosition.Priority = (RSISeries[bar]);					
												RestoreContext();					
										}				
								}					
						}	
				}

public int Compare(RSIHolder item1, RSIHolder item2)		
				{			
						return item1.rsi.CompareTo(item2.rsi);	
				}
		}

public class RSIHolder	
		{		
				internal string symbol;		
				internal double rsi;	
		}
}[/CODE]

ss161

10/20/2009 10:56 AM

i think you are leaving out brackets around an if statement and so are not getting the result that you think you are getting.

your code:

CODE:
Please log in to see this code.

here's what i think you want:

CODE:
Please log in to see this code.

assuming this is right, since i only eyeballed it. you need to also apply the same fix to the short side

Size:

Color:

i think you are leaving out brackets around an if statement and so are not getting the result that you think you are getting.

your code:
[CODE]								foreach(RSIHolder holder in list)				
								{
										bool buyPosition = true;					
										foreach(Position p in ActivePositions)	
										{
												if (p.PositionType == PositionType.Long)        
													activelongs++;
														if (p.Bars.Symbol == holder.symbol)						
														{
															buyPosition = false;							
															break;						
														}
										}
										if (buyPosition)					
										{	
											
												SetContext(holder.symbol, true);
												if (activelongs < 11)
												if( BuyAtMarket(bar + 1) != null)	
													LastActivePosition.Priority = (RSISeries[bar]);						
												RestoreContext();					
										}				
								}
[/CODE]

here's what i think you want:
[CODE]								foreach(RSIHolder holder in list)				
								{
										bool buyPosition = true;					
										foreach(Position p in ActivePositions)	
										{
												if (p.PositionType == PositionType.Long)
                                                                                                {   //  <-----BRACKET NEEDED HERE        
													activelongs++;
														if (p.Bars.Symbol == holder.symbol)						
														{
															buyPosition = false;							
															break;						
														}
                                                                                                }   //  <-----CLOSE BRACKET NEEDED HERE        
										}
										if (buyPosition)					
										{	
											
												SetContext(holder.symbol, true);
												if (activelongs < 11)
												if( BuyAtMarket(bar + 1) != null)	
													LastActivePosition.Priority = (RSISeries[bar]);						
												RestoreContext();					
										}				
								}
[/CODE]

assuming this is right, since i only eyeballed it.  you need to also apply the same fix to the short side

Eugene

10/20/2009 10:57 AM

CODE:
Please log in to see this code.

This could be wrong, but shouldn't the activelongs/activeshorts rule be checked after already having checked for the right symbol?

CODE:
Please log in to see this code.

ss161

10/20/2009 7:04 PM

i think the code should probably be restructured a bit, but i think this works:

CODE:
Please log in to see this code.

Size:

Color:

i think the code should probably be restructured a bit, but i think this works:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators; 
namespace WealthLab.Strategies
{		
	public class RSIRotation : WealthScript, IComparer<RSIHolder>		
	{		
		private StrategyParameter numberOfSymbols;		
		private StrategyParameter rsiPeriod;

public RSIRotation()		
		{			
			numberOfSymbols = CreateParameter("n Symbols", 20, 20, 20, 1);			
			rsiPeriod = CreateParameter("RSI Period", 14, 6, 34, 2);
		}
		protected override void Execute()
		{
			DataSeries ma = null;						
			DataSeries RSISeries = null;						
			DataSeries ma_1 = null;
								
			int	activeLongs		= 0;
			int activeShorts	= 0;

//Clear cached symbol list so they can be re-requested with synchronization		
			ClearExternalSymbols();			
			int number = numberOfSymbols.ValueInt;			
			int Period = rsiPeriod.ValueInt;

//Execute rotation strategy		
			List<RSIHolder> list = new List<RSIHolder>();			
			List<RSIHolder> listshorts = new List<RSIHolder>();			
			for(int bar = 201; bar < Bars.Count; bar++)			
			{
				//Identify the symbols that have the lowest RSI
				list.Clear();				
				foreach(string symbol in DataSetSymbols)			
				{
					SetContext(symbol, true);
					ma = SMA.Series(Close, 50);			                					
					RSISeries = RSI.Series(Close, 14);
				
					if ((Bars.FirstActualBar < bar)
						&& (Close[bar] > 5) 
						//&& (Close[bar] > ma[bar])					
						//&& (RSISeries[bar] < 70) 						
						&& (ATR.Series(Bars,20)[bar] > 0.25))
					{
						RSIHolder holder = new RSIHolder();					
						holder.symbol = symbol;						
						holder.rsi = RSI.Series(Bars.Close, Period)[bar];						
						list.Add(holder);					
					}
					RestoreContext();
				}
				list.Sort(this);

//Identify the symbols that have the highest RSI				
				listshorts.Clear();				
				foreach(string symbol in DataSetSymbols)				
				{
					SetContext(symbol, true);

ma = SMA.Series(Close, 50);
					RSISeries = RSI.Series(Close, 14);	
						
					if ((Bars.FirstActualBar < bar)						
						&& (Close[bar] > 5) 
						//&& (Close[bar] < ma[bar])						
						//&& (RSISeries[bar] > 30)						
						&& (ATR.Series(Bars,20)[bar] > 0.25))				
					{	
						RSIHolder holder = new RSIHolder();						
						holder.symbol = symbol;						
						holder.rsi = RSI.Series(Bars.Close, Period)[bar];						
						listshorts.Add(holder);					
					}
					RestoreContext();
				}
				listshorts.Sort(this);				
				listshorts.Reverse();

//keep top number only
				int c = list.Count;				
				for(int i = c - 1; i >= number; i--)					
					list.RemoveAt(i);
		
				int s = listshorts.Count;
				for(int i = s - 1; i >= number; i--)					
					listshorts.RemoveAt(i);

//Exit rules				
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)			
				{
					Position p = ActivePositions[pos];					
					if (p.PositionType == PositionType.Long)				
					{
						SetContext(p.Bars.Symbol, true);
						ma_1 = SMA.Series(Close, 5);					
						bool cond1 = (Close[bar] > ma_1[bar]);												
						bool cond2 = (bar - p.EntryBar >= 3);						
						if (cond1||cond2) {
							SellAtMarket(bar + 1, p);
							activeLongs--;
						}
					}
					else					
					{						
						SetContext(p.Bars.Symbol, true);						
						ma_1 = SMA.Series(Close, 5);						
						bool cond3 = (Close[bar] < ma_1[bar]);												
						bool cond4 = (bar - p.EntryBar >= 3);						
						if (cond3||cond4) {
							CoverAtMarket(bar + 1, p);
							activeShorts--;
						}
					}
				}

//Buy new positions	
				foreach(RSIHolder holder in list)				
				{
					bool buyPosition = true;					
					foreach(Position p in ActivePositions)	
					{
						if (p.Bars.Symbol == holder.symbol)						
						{
							buyPosition = false;							
							break;						
						}
					}
					if (buyPosition)					
					{					
						SetContext(holder.symbol, true);
						if (activeLongs < 10)
							if( BuyAtMarket(bar + 1) != null) {
								LastActivePosition.Priority = (RSISeries[bar]);
								activeLongs++;
							}
						RestoreContext();					
					}				
				}

//Short new positions
				foreach(RSIHolder holder in listshorts)				
				{
					bool shortPosition = true;
					foreach(Position p in ActivePositions)
					{
						if (p.Bars.Symbol == holder.symbol)
						{						
							shortPosition = false;							
							break;	
						}
					}					
					if (shortPosition)				
					{
						SetContext(holder.symbol, true);
						if (activeShorts < 10)
							if( ShortAtMarket(bar + 1) != null)	{
								LastActivePosition.Priority = (RSISeries[bar]);
								activeShorts++;
							}
						RestoreContext();					
					}				
				}					
			}
		}

public int Compare(RSIHolder item1, RSIHolder item2)		
		{			
			return item1.rsi.CompareTo(item2.rsi);	
		}
	}

public class RSIHolder	
	{		
		internal string symbol;		
		internal double rsi;	
	}
}[/CODE]