Rotation strategy using Norgate

Author: Musashi1970

Creation Date: 4/21/2021 5:15 PM

Wealth Lab » WealthScript (.NET) » Rotation strategy using Norgate

Musashi1970

4/21/2021 5:15 PM

Hi,

I am developing a rotation strategy for stocks of an index (e.g. N100). Having Norgate, I would like to do that without survivorship bias.

I tried to do that similarly as in portfolio strategies:

CODE:
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But when I print the 'Assets'-list for a certain day, it seems that all ticker of the dataset are included, independend if they were on this particular day in the index or not.

Is there a way to do this the way I planned?

Thank you

Eugene

4/22/2021 8:05 AM

Hi,

It's super easy to accomplish in Wealth-Lab 7 where there's no need to write code to get the job done. A survivorship bias free Nasdaq 100 DataSet is included with Wealth-Data. You would just run a Rotation strategy on it, which in its turn does not require programming too.

On how it works please see the WL7 FAQ, specifically "Why a WealthData DataSet like Nasdaq 100 has almost 300 symbols and not 100 ?"

https://www.wealth-lab.com/Support/Faq

Cone

4/22/2021 6:31 PM

It's not clear from your snippet why that wouldn't work, but here's how I did it back in the old days -

CODE:
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It's not clear from your snippet why that wouldn't work, but here's how I did it back in the old days -

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using NorgateData.Integration.WealthLab;
 
namespace WealthLab.Strategies
{ 
	public class RSIRotation : WealthScript, IComparer<RSIHolder>  
	{
		protected override void Execute()
		{
		
			
			Dictionary<string, DataSeries> iDict = new Dictionary<string, DataSeries>();
			Dictionary<string, bool[]> inIndex = new Dictionary<string, bool[]>();
			Dictionary<string, DateTime> mustExit = new Dictionary<string, DateTime>();
			
			int number = 5;
			int Period = 14;  
			
			// Create the rsi series and save in a dictionary for each symbol
			foreach(string symbol in DataSetSymbols)
			{
				SetContext(symbol, true);
				DataSeries rsi = RSI.Series(Bars.Close, Period);
				
				DataSeries indexConstituent = NorgateIndexConstituentTimeSeries.Series(Bars, "S&P 100");
				//Save memory and use a boolean array (saves nearly 8 bytes per bar per symbol)
				bool[] indexC = new bool[Bars.Count];
				for (int x = 0; x < Bars.Count; x++)
					indexC[x] = indexConstituent[x] == 1;
				
				inIndex.Add(symbol, indexC);
				
				// Add an exit date for inactive symbols
				DateTime mustExitDate = new DateTime(2050, 1, 1);
				TimeSpan timeout = new TimeSpan(3, 0, 0, 0); 
				if (DateTime.Now - Date[Bars.Count - 1] > timeout)
					mustExitDate = Date[Bars.Count - 1]; 
				RestoreContext();
				
				iDict.Add(symbol, rsi);
				mustExit.Add(symbol, mustExitDate);
			}
  
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
  
			//Execute rotation strategy
			List<RSIHolder> list = new List<RSIHolder>();
			for(int bar = Period * 3; bar < Bars.Count; bar++)
			{
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					if ( inIndex[symbol][bar] ) // Only symbols in the Index for this bar
					{	
						SetContext(symbol, true);
						if (Bars.FirstActualBar < bar && Date[bar] < mustExit[symbol] )
						{
							RSIHolder holder = new RSIHolder();
							holder.symbol = symbol;
							holder.rsi = iDict[symbol][bar];
							list.Add(holder);
						}
						RestoreContext();
					}
				}
				list.Sort(this);
   
				//keep top number only (3 is initial default)
				int c = list.Count;
				for(int i = c - 1; i >= number; i--)
					list.RemoveAt(i);
   
				//Close positions that are not in the new lowest n
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = false;
					foreach(RSIHolder holder in list)
						if (holder.symbol == p.Bars.Symbol)
						{
							keepPosition = true;
							break;
						}
					if (!keepPosition)    
						SellAtMarket(bar + 1, p);          
				}
   
				//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);
						BuyAtMarket(bar + 1, holder.rsi.ToString("0.00"));
						RestoreContext();
					}
				}
			}
			PrintStatusBar("Strategy completed!");
		}
 
		public int Compare(RSIHolder item1, RSIHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
	public class RSIHolder
	{
		internal string symbol;
		internal double rsi;
	}
}
[/code]

Wealth Lab » WealthScript (.NET) » Rotation strategy using Norgate