Loop over DataSet and store results in global memory before running a Portfolio simulation?

Carova

#1

12/31/2018 3:53 PM

Hi!

I am looking to loop over a DataSet (similar to a rotation strategy) and store the results in a Global series before running through a standard Portfolio simulation. Here is my code start:

CODE:
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What do I need to do further? Is this correct?

Thanks!
Vince

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Hi!

I am looking to loop over a DataSet (similar to a rotation strategy) and store the results in a Global series before running through a standard Portfolio simulation.  Here is my code start:

[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 = 100;
			int count = 0;
			var cacheseries = string.Format( "Series(Close,{0}_{1}_{2}",
				Period, Bars.Scale, Bars.BarInterval );

//Want to do this once for the DataSet and set it in Global
			DataSeries Series = new DataSeries(Bars, "");
			DataSeries series = new DataSeries(Bars, "");
			foreach(string symbol in DataSetSymbols)
			{
				SetContext(symbol, true);
				for(int bar = Period; bar < Bars.Count; bar++)
				{

if ( (SMA.Value(bar, Bars.Close, Period)/Bars.Close[bar]) > 1d)
						Series[bar]++;

}
				count++;
				RestoreContext();
			}
			series = Series / ((double) count);
			if (GetGlobal(cacheseries) == null)
			{
				SetGlobal(cacheseries, (object)series);
			}
			else
			{
				series = (DataSeries)GetGlobal(cacheseries);
			}
		
			//Want to run this through the the whole DataSet, one symbol at a time
			for(int bar = Period; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if (series[bar] > 0.1)
						SellAtMarket(bar+1, LastPosition);
				}
				else
				{
					if (series[bar] < 0.1)
						BuyAtMarket(bar+1);
				}
			}
		}
	}
}[/code]

What do I need to do further?  Is this correct?

Thanks!
Vince

Eugene

#2

12/31/2018 5:08 PM

Hi Vince,

Will this do?

WealthScript Techniques | Executing some code only once

Carova

#3

12/31/2018 5:22 PM

Hi Eugene!

That code does a portion of the job but does not store the series in Global for future access.

Here is the resultant code with that addition:

CODE:
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Is this correct now?

Vince

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Hi Eugene!

That code does a portion of the job but does not store the series in Global for future access.

Here is the resultant code with that addition:

[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 Period;
		StrategyParameter Level;
		public MyStrategy()
		{
			Period = CreateParameter("Period", 16, 16, 100, 1);
			Level = CreateParameter("Level", 0.1, 0.01, 0.6, 0.01);
		}

protected override void Execute()
		{
			int count = 0;
			var cacheseries = string.Format( "series(Close,{0}_{1}_{2}",
				Period.ValueInt, Bars.Scale, Bars.BarInterval );

//Want to do this once for the DataSet and set it in Global
			DataSeries Series = new DataSeries(Bars, cacheseries);
			DataSeries series = new DataSeries(Bars, cacheseries);
			if (DataSetSymbols[0] == Bars.Symbol)
			{
				if (GetGlobal(cacheseries) == null)
				{
					foreach(string symbol in DataSetSymbols)
					{
						SetContext(symbol, true);
						for(int bar = Period.ValueInt; bar < Bars.Count; bar++)
						{
							if ( (Bars.Close[bar]/SMA.Value(bar, Bars.Close, Period.ValueInt)) > 1d)
								Series[bar]++;					
						}
						count++;
						RestoreContext();
					}
					series = Series / ((double) count);
					SetGlobal(cacheseries, (object)series);
				}
			}
			else
			{
				series = (DataSeries)GetGlobal(cacheseries);
			}
		
			//Want to run this through the the whole DataSet, one symbol at a time
			for(int bar = 100; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if (series[bar] < Level.Value)
						SellAtMarket(bar+1, LastPosition);
				}
				else
				{
					if (series[bar] > Level.Value)
						BuyAtMarket(bar+1);
				}
			}
		}
	}
}[/code]

Is this correct now?

Vince

Eugene

#4

12/31/2018 7:22 PM

Hmm, the same Description assigned to two DataSeries looks suspicious.

Carova

#5

12/31/2018 8:40 PM

Good catch Eugene! Thanks!

HNY!!

Vince

Eugene

#6

12/31/2018 8:45 PM

Happy New Year to you too!

Carova

#7

1/1/2019 2:59 PM

Hi Eugene!

There seems to be an issue with my code

CODE:
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When I run it against 20 years of Daily bars of the Dow 30 I get the attached errors messages. Is there an issue with synchronization?

Vince

Errors.PNG

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Hi Eugene!

There seems to be an issue with my code

[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 Period;
		StrategyParameter Level;
		public MyStrategy()
		{
			Period = CreateParameter("Period", 16, 16, 100, 1);
			Level = CreateParameter("Level", 0.1, 0.01, 0.6, 0.01);
		}

protected override void Execute()
		{
			double count = 0;
			var cacheseries = string.Format( "Series(Close,{0}_{1}_{2}",
				Period.ValueInt, Bars.Scale, Bars.BarInterval );

//Want to do this once for the DataSet and set it in Global
			DataSeries Series = new DataSeries(Bars, cacheseries);
			if (DataSetSymbols[0] == Bars.Symbol)
			{
				if (GetGlobal(cacheseries) == null)
				{
					for(int bar = Period.ValueInt; bar < Bars.Count; bar++)
					{
						count = 0;
						foreach(string symbol in DataSetSymbols)
						{
							SetContext(symbol, true);
							if ( (Bars.Close[bar]/SMA.Value(bar, Bars.Close, Period.ValueInt)) > 1d)
								Series[bar] = Series[bar] + 1d;					
							count = count+1d;
							RestoreContext();
						}
						Series[bar] = Series[bar] / count;
					}
					SetGlobal(cacheseries, (object)Series);
				}
			}
			else
			{
				Series = (DataSeries)GetGlobal(cacheseries);
			}
			
			ChartPane Pane = CreatePane(50, true, true);
			PlotSeries(Pane, Series, Color.Blue, WealthLab.LineStyle.Solid, 2);
			
			PlotSeries(PricePane, SMA.Series(Bars.Close, Period.ValueInt), Color.Blue, WealthLab.LineStyle.Solid, 2);
		
			//Want to run this through the the whole DataSet, one symbol at a time
			for(int bar = 100; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if (Series[bar] < Level.Value)
						SellAtMarket(bar+1, LastPosition, "Ensemble");
					
				}
				else
				{
					if (Series[bar] > Level.Value)
						BuyAtMarket(bar+1);
				}
			}
		}
	}
}[/code]

When I run it against 20 years of Daily bars of the Dow 30 I get the attached errors messages.  Is there an issue with synchronization?

Vince

Eugene

#8

1/1/2019 4:11 PM

Wouldn't using the "Above SMA" IndexDefinition be more straightforward than coding it?

Carova

#9

1/1/2019 4:13 PM

Yes, if that was what I planned to do. The code is just an example. I have a more complex concept in mind.

Eugene

#10

1/1/2019 4:47 PM

Anyway, ran your code once and it didn't throw an exception.

Carova

#11

1/1/2019 6:06 PM

Found that with 20 years of data the errors do not occur consistently but with 30 years they do. AAPL, the first symbol, has complete data for the period, so the "first symbol" is not the issue.

Vince

Carova

#12

1/1/2019 7:22 PM

Added some more data checking, but still generates errors when tested on 30 years of Daily data for the Dow 30

CODE:
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Any ideas?

Vince

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Added some more data checking, but still generates errors when tested on 30 years of Daily data for the Dow 30

[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 Period;
		StrategyParameter Level;
		public MyStrategy()
		{
			Period = CreateParameter("Period", 16, 16, 100, 1);
			Level = CreateParameter("Level", 0.1, 0.01, 0.6, 0.01);
		}

protected override void Execute()
		{
			double count = 0;
			DateTime date = Date[0].Date;
			var cacheseries = string.Format( "Series({0}_{1}_{2}",
				Period.ValueInt, Bars.Scale, Bars.BarInterval );

//Want to do this once for the DataSet and set it in Global
			DataSeries Series = new DataSeries(Bars, cacheseries);
			if (DataSetSymbols[0] == Bars.Symbol)
			{
				if (GetGlobal(cacheseries) == null)
				{
					for(int bar = Period.ValueInt; bar < Bars.Count; bar++)
					{
						count = 0;
						foreach(string symbol in DataSetSymbols)
						{
							SetContext(symbol, true);
							if (Bars.Close[bar] > 0.000001)
							{
								if (DataSetSymbols[0] == Bars.Symbol)
									date = Bars.Date[bar];
								if (Bars.Date[bar] == date)
									if ( (Bars.Close[bar]/SMA.Value(bar, Bars.Close, Period.ValueInt)) > 1d)
									{
										Series[bar] = Series[bar] + 1d;					
										count = count+1d;
									}
							}
							RestoreContext();
						}
						Series[bar] = Series[bar] / count;
					}
					SetGlobal(cacheseries, (object)Series);
				}
			}
			else
			{
				Series = (DataSeries)GetGlobal(cacheseries);
			}
			
			ChartPane Pane = CreatePane(50, true, true);
			PlotSeries(Pane, Series, Color.Blue, WealthLab.LineStyle.Solid, 2);
			
			PlotSeries(PricePane, SMA.Series(Bars.Close, Period.ValueInt), Color.Blue, WealthLab.LineStyle.Solid, 2);
		
			//Want to run this through the the whole DataSet, one symbol at a time
			for(int bar = 100; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if (Series[bar] < Level.Value)
						SellAtMarket(bar+1, LastPosition, "Ensemble");
					
				}
				else
				{
					if (Series[bar] > Level.Value)
						BuyAtMarket(bar+1);
				}
			}
		}
	}
}[/code]

Any ideas?

Vince

Eugene

#13

1/2/2019 6:00 AM

Here's something for you to troubleshoot. For version from post #7 the global DataSeries will be zero for the first symbol if you run a multi-symbol backtest and then click on AAPL. With the one in post #12, for all symbols.

Carova

#14

1/2/2019 10:33 AM

There is something more basic at play here. If I remove the "run once" code (below) that still results in the same errors. Your suggestions are really related to that aspect.

CODE:
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There is something more basic at play here.  If I remove the "run once" code (below) that still results in the same errors.  Your suggestions are really related to that aspect.

[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 Period;
		StrategyParameter Level;
		public MyStrategy()
		{
			Period = CreateParameter("Period", 16, 16, 100, 1);
			Level = CreateParameter("Level", 0.1, 0.01, 0.6, 0.01);
		}

protected override void Execute()
		{
			double count = 0;
			DateTime date = Date[0].Date;
			var cacheseries = string.Format( "Series({0}_{1}_{2}",
				Period.ValueInt, Bars.Scale, Bars.BarInterval );

//Want to do this once for the DataSet and set it in Global
			DataSeries Series = new DataSeries(Bars, cacheseries);
//			if (DataSetSymbols[0] == Bars.Symbol)
//			{
				if (GetGlobal(cacheseries) == null)
				{
					for(int bar = Period.ValueInt; bar < Bars.Count; bar++)
					{
						count = 0;
						foreach(string symbol in DataSetSymbols)
						{
							SetContext(symbol, true);
							if (Bars.Close[bar] > 0.000001)
							{
								if (DataSetSymbols[0] == Bars.Symbol)
									date = Bars.Date[bar];
								if (Bars.Date[bar] == date)
									if ( (Bars.Close[bar]/SMA.Value(bar, Bars.Close, Period.ValueInt)) > 1d)
									{
										Series[bar] = Series[bar] + 1d;					
										count = count+1d;
									}
							}
							RestoreContext();
						}
						Series[bar] = Series[bar] / count;
					}
					SetGlobal(cacheseries, (object)Series);
				}
//			}
			else
			{
				Series = (DataSeries)GetGlobal(cacheseries);
			}
			
			ChartPane Pane = CreatePane(50, true, true);
			PlotSeries(Pane, Series, Color.Blue, WealthLab.LineStyle.Solid, 2);
			
			PlotSeries(PricePane, SMA.Series(Bars.Close, Period.ValueInt), Color.Blue, WealthLab.LineStyle.Solid, 2);
		
			//Want to run this through the the whole DataSet, one symbol at a time
			for(int bar = 100; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if (Series[bar] < Level.Value)
						SellAtMarket(bar+1, LastPosition, "Ensemble");
					
				}
				else
				{
					if (Series[bar] > Level.Value)
						BuyAtMarket(bar+1);
				}
			}
		}
	}
}[/code]

Eugene

#15

1/3/2019 10:00 AM

With added synchronization and some unncessary code removed, this doesn't produce errors for me when run on 20 years of Dow 30 (Yahoo! data):

CODE:
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With added synchronization and some unncessary code removed, this doesn't produce errors for me when run on 20 years of Dow 30 (Yahoo! data):

[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 Period;
		StrategyParameter Level;
		public MyStrategy()
		{
			Period = CreateParameter("Period", 16, 16, 100, 1);
			Level = CreateParameter("Level", 0.1, 0.01, 0.6, 0.01);
		}

protected override void Execute()
		{
			double count = 0;
			var cacheseries = string.Format( "Series(Close,{0}_{1}_{2}",
				Period.ValueInt, Bars.Scale, Bars.BarInterval );

//Want to do this once for the DataSet and set it in Global
			DataSeries Series = new DataSeries(Bars, cacheseries);
			
			if (GetGlobal(cacheseries) == null)
			{
				for(int bar = Period.ValueInt; bar < Bars.Count; bar++)
				{
					count = 0;
					foreach(string symbol in DataSetSymbols)
					{
						SetContext(symbol, true);
						if ( (Bars.Close[bar]/SMA.Value(bar, Bars.Close, Period.ValueInt)) > 1d)
							Series[bar] += 1d;               
						count += 1d;
						RestoreContext();
					}
					Series[bar] /= count;
				}
				SetGlobal(cacheseries, (object)Series);
			}

Series = (DataSeries)GetGlobal(cacheseries);
			
			ChartPane Pane = CreatePane(50, true, true);
			Series = Synchronize(Series);
			PlotSeries(Pane, Series, Color.Blue, WealthLab.LineStyle.Solid, 2);
         
			PlotSeries(PricePane, SMA.Series(Bars.Close, Period.ValueInt), Color.Blue, WealthLab.LineStyle.Solid, 2);
      
			//Want to run this through the the whole DataSet, one symbol at a time
			for(int bar = 100; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if (Series[bar] < Level.Value)
						SellAtMarket(bar+1, LastPosition, "Ensemble");
               
				}
				else
				{
					if (Series[bar] > Level.Value)
						BuyAtMarket(bar+1);
				}
			}
		}
	}
}[/code]

Carova

#16

1/3/2019 4:41 PM

Thanks Eugene! The errors are gone, but a new issue has emerged. The code stops trading after about 10 years even though the conditions for trading are met (see attached).

Equity.PNG

Eugene

#17

1/4/2019 7:00 AM

It's your (unknown) DataSet so troubleshooting is on you!

Make sure that your position size is sufficient to purchase at least one share of the instrument (like higher-priced indices). See trades not taken due to insufficient funds, review the PosSizer settings etc.

Carova

#18

1/4/2019 7:33 AM

Hi Eugene!

I checked my dataset and it appears that it does work correctly for Daily Scale on the Dow 30 but the problem seems to be when it is run on a Weekly scale. See attached. These were run with 2% of Equity and as you can see there is always plenty of available Equity for purchase.

Vince

Daily.PNG

Weekly.PNG