Position count in a Multi-Symbol Backtest

Author: robinkno

Creation Date: 2/3/2019 5:51 PM

Wealth Lab » WealthScript (.NET) » Position count in a Multi-Symbol Backtest

robinkno

2/3/2019 5:51 PM

Hi Eugene

I am trying to use a portfolio position count in a DataSeries using the following code:

CODE:
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I cannot get around WL running on each Symbol and giving me the Symbol activeposition count as opposed to the portfolio active position count.

A laborious workaround that works is to use the following code to print to file and then export to a spreadsheet where I can manipulate to create portfolio active position count by bar.

CODE:
Please log in to see this code.

I'd very much appreciate if you can give me corrections to my code.
Thanks
Robin.

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Hi Eugene

I am trying to use a portfolio position count in a DataSeries using the following code:

[code]DataSeries longCount = new DataSeries(Bars, "longCount");
			Dictionary<int, int> dictionary = new Dictionary<int, int>();
			
			for(int bar = 0; bar < Bars.Count; bar++)
			{
				longCount[bar] = 0;
				dictionary.Add(bar, 0);
			}
						
			for(int bar = 251; bar < Bars.Count; bar++)
			{
//some code to create positions
                               foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);	
					foreach (Position t in ActivePositions)
					{
						if (t.PositionType == PositionType.Long )
						{
							if (dictionary.ContainsKey(bar))
								dictionary[bar] = dictionary[bar] + 1;
						}
					}
				}
				RestoreContext();
			}
			foreach (KeyValuePair<int, int> item in dictionary)
			{
				longCount[item.Key] = item.Value;
				PrintDebug(item.Key + "  " + item.Value);
			}[/code]

I cannot get around WL running on each Symbol and giving me the Symbol activeposition count as opposed to the portfolio active position count.

A laborious workaround that works is to use the following code to print to file and then export to a spreadsheet where I can manipulate to create portfolio active position count by bar.

[code]foreach (Position t in ActivePositions)
					{
						if (t.PositionType == PositionType.Long )
						{
						DateTime barDate = Bars.Date[bar];
						using (System.IO.StreamWriter file = 
								new System.IO.StreamWriter(@"C:\some file.txt", true))
							{
								file.WriteLine(bar + "  " + barDate + "  " + t.Symbol);
							}
						}
					}[/code]

I'd very much appreciate if you can give me corrections to my code.
Thanks
Robin.

Eugene

2/3/2019 6:38 PM

Hi Robin,

Why are you trying to put a portfolio Position count in a DataSeries i.e. what's the purpose?

robinkno

2/3/2019 7:11 PM

Hi Eugene

I want to use it like a custom sentiment indicator

Eugene

2/3/2019 8:47 PM

Thanks for the clarification. The thing is, WealthScript was not designed with this in mind i.e. giving you the portfolio active position count. To achieve this you'd have to rewrite your entire Strategy code to run in Single Symbol mode so that it loops through DataSetSymbols and operates across the portfolio. Here's a good example: Limit Monthly Drawdown / Portfolio Equity Tracker, posts #12 and #15.