Combined rotation/ranking - Wealth Lab Forum

techtrader007

#1

12/7/2010 9:12 AM

I would like to learn more about the ranking issues. Is there an example

1. sort Symbols in a watchlist for Indikator A in ListA : result for example in this List for symbol AAPL Rank decending = Position 5 of 100 symbols of the watchlist
2. sort Symbols again in the same watchlist for Indicator B in List B : result for example in this List for symbol AAPL Rank decending = Position 10 of 100 symbols of the watchlist
3. Sum these Ranking results in List3 Result:Position 5 (ListA) + Result:Position 10 (ListB) = Result 15
4. Sort all 100 symbols again in List3 again decending.
5. Condition Filter if Ranking Sum List 3 > Rank xYZ then ...

Are there any example around to play and learn with to improve my beginning program skills in c?
The two rotational scripts sofar I know, but it helps a litte bit. Any more advise would be fine.
Thanks.

Cone

#2

12/7/2010 11:04 AM

I can't think of any ready-made examples for WLP6, but if you have a copy of "Combined Ranking Using ROA and P-E (Symbol Rotation)" from WLP4, that one comes pretty close.

techtrader007

#3

12/8/2010 1:06 AM

Thanks Cone, but for me it important to get such examples or training examples if the forum wants to train people because getting more ideas helps people here and the forum get more active.
It doesn´t make sense to update to WL6 for me if this issues are not supported, because there are other things like automatic trading interfaces and so on, which are not working for WL Devolp. Unfortunally foreign people are not accepted as Fidelity customers to open an account to get this features.

Cone

#4

12/8/2010 3:21 AM

That script was valid only for WLP because it required Fidelity fundamental data, but there's no problem supplying the script - we generally don't know if a forum pseudonym is a Fidelity customer or not, so it was basically a 50-50 chance that you already had it.

In fact, the script can be found in this topic.

techtrader007

#5

12/8/2010 7:18 AM

thanks. Something to read. But before I have to cancel out all this fundamental stuff is there and easy shorter building block for a combined indicator ranking. And by the way is this not working in WL 6 only in WL4.

Cone

#6

12/8/2010 11:21 AM

Of course that code won't work in WL6, but the methodology is the same. It all comes down to putting data into lists, sorting them, and then doing something with the result. Anyway, I'll take advantage of the topic and prepare some code for the March 2011 issue of AT Magazine's Trading Systems' Lab, and then you'll have it in black and white for WL6.

Eugene

#7

1/16/2011 1:06 PM

techtrader007 asks:

QUOTE:
Cone said it will be in the February traders issue, but

My question concerning ranking is following:
I would like to rank for example an indicator1 sort this indicator in a watchlist and then you get Ranking Numbers so for example the highest value get 1 till the lowest value 100 if the watchlist contain 100 stock. Afterwards I would like to rank indicator2 and do the same. Afterwards I would like to sum up this scores for every symbol and rank again.
In Excel is this no problem, but I would work with these numbers and take for example a rotation for the 10 best symbols to buy and exit if the symbol falls out.
So to sum up different sorting.
Is this possible now .I know sofar the rotation script but only for one ranking.
Thanks for any advice.

Eugene

#8

1/16/2011 1:54 PM

Some clarification needed.

1. Why not simply sum the two indicators up? Taking "RSI Rotation" for example:

CODE:
Please log in to see this code.

This way you get the combined score for two (three, N) indicators without the excessive sorting.

2. If for some reason you consider it's not applicable and independent sorting is required, then goes another question: what if sorting the lists end up with two very different symbol sets? For example:

* Sorting by lowest RSI spits out these 10 symbols: A, ADBE, AAPL...
* Sorting by highest TrendScore produces a different set: C, CSCO, CYAN...

What to do when symbols do not match? And if they do not match, we have to go back to Q.1 again: why not simply sum them up, ensuring that we will get 10 unique symbols?

Eugene

#9

1/17/2011 4:26 AM

Later I thought about a different possible scenario: mixing the rankings to arrive at a new list.

The following demo strategy (built on top of RSI Rotation) ranks the symbols of a DataSet for lowest RSI, then for lowest ROC, selects Top N (3 by default) from each list, puts these candidates into a combined list, and uses that list for rotational trading. Hope that helps.

CODE:
Please log in to see this code.

Size:

Color:

Later I thought about a different possible scenario: mixing the rankings to arrive at a new list.

The following demo strategy (built on top of RSI Rotation) ranks the symbols of a DataSet for lowest RSI, then for lowest ROC, selects Top N (3 by default) from each list, puts these candidates into a combined list, and uses that list for rotational trading. Hope that helps.
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
 
namespace WealthLab.Strategies
{	
	#region Helper classes
	
	public class IndicatorHolder
	{
		public string symbol;
		public double val;
	}
	
	public class RSIHolder : IndicatorHolder
	{
		public RSIHolder( string symbol, double val )
		{
			this.symbol = symbol;
			this.val = val;
		}
	}
	
	public class ROCHolder : IndicatorHolder
	{
		public ROCHolder( string symbol, double val )
		{
			this.symbol = symbol;
			this.val = val;
		}
	}
	
	#endregion Helper classes
	
	public class CombinedRanking : WealthScript, IComparer<IndicatorHolder>, IComparer<RSIHolder>, IComparer<ROCHolder>
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter rsiPeriod_;
		private StrategyParameter rocPeriod_;

public CombinedRanking()
		{
			numberOfSymbols = CreateParameter("n Symbols", 3, 2, 10, 1);
			rsiPeriod_ = CreateParameter("RSI Period", 14, 6, 34, 2);
			rocPeriod_ = CreateParameter("ROC Period", 14, 6, 34, 2);
		}		
		
		protected override void Execute()
		{
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			int rsiPeriod = rsiPeriod_.ValueInt;
			int rocPeriod = rocPeriod_.ValueInt;
   
			//Execute rotation strategy
			List<RSIHolder> listRSI = new List<RSIHolder>();
			List<ROCHolder> listROC = new List<ROCHolder>();
			List<IndicatorHolder> list = new List<IndicatorHolder>(); // the combined list
			
			for(int bar = Math.Max( rocPeriod, rsiPeriod ) * 2; bar < Bars.Count; bar++)
			{
				listRSI.Clear();
				listROC.Clear();
				list.Clear();
				
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						listRSI.Add( new RSIHolder( symbol, RSI.Series(Bars.Close, rsiPeriod)[bar]) );
						listROC.Add( new ROCHolder( symbol, ROC.Series(Bars.Close, rocPeriod)[bar]) );
					}
					RestoreContext();
				}
				listRSI.Sort(this);
				listROC.Sort(this);
				list.Sort(this);
    			
				//Identify the 3 symbols that have the lowest RSI and ROC
				for(int i = listRSI.Count - 1; i >= number; i--)
					list.Add( listRSI[i] );
				for(int i = listROC.Count - 1; i >= number; i--)
					list.Add( listROC[i] );
				
				//keep top number (3 is initial default) only
				for(int i = list.Count - 1; i >= number; i--)
					list.RemoveAt(i);

//Close positions that are not in the new lowest 3
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = false;
					foreach(IndicatorHolder holder in list)
						if (holder.symbol == p.Bars.Symbol)
						{
							keepPosition = true;
							break;
						}
					if (!keepPosition)     
						SellAtMarket(bar + 1, p);           
				}
    
				//Buy new positions
				foreach(IndicatorHolder 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);
						RestoreContext();
					}
				}
				}
			PrintStatusBar("Strategy completed!");
		}
  
		#region IComparer implementation
		
		public int Compare(IndicatorHolder item1, IndicatorHolder item2)
		{
			return item1.val.CompareTo(item2.val);
		}
		
		public int Compare(RSIHolder item1, RSIHolder item2)
		{
			return item1.val.CompareTo(item2.val);
		}
		
		public int Compare(ROCHolder item1, ROCHolder item2)
		{
			return item1.val.CompareTo(item2.val);
		}
		
		#endregion
	}
}
[/CODE]

Eugene

#10

1/19/2011 6:19 AM

I noticed that this code doesn't handle duplicate symbols, should it happen:

CODE:
Please log in to see this code.

You might like to replace the above with the following code snippet:

CODE:
Please log in to see this code.

techtrader007

#11

1/19/2011 7:10 AM

Thanks for your work.

Not real. I would like after sorting a list of an Indicator a positionscore like Excel function rank or old function Ind_List.IndexOf and a second run of Indicator2 list sort
get Postionscore and add them all in on Positionscore and sort again.

By the way I find if I test different data like yahoo or metastock format different script running times. Do you know which data is running more faster than others.

Eugene

#12

1/19/2011 7:24 AM

QUOTE:
I would like after sorting a list of an Indicator a positionscore like Excel function rank or old function Ind_List.IndexOf and a second run of Indicator2 list sort
get Postionscore and add them all in on Positionscore and sort again.

It's not clear to me what you're after w.r.t. "Positionscore". What is that?

QUOTE:
By the way I find if I test different data like yahoo or metastock format different script running times. Do you know which data is running more faster than others.

Accessing Metastock data is known to be a little slower than accessing the locally stored data by such web download providers like Yahoo/MSN or ASCII with Cache feature enabled (and Cache built).

Cone

#13

1/19/2011 7:30 AM

All data "runs" at the same speed, but data loading time can vary based on:

1. the provider options (for example Yahoo! back-adjusts on the fly)
2. data format (binary vs. text, and other overhead like MetaStock "Master" files)
3. data loading configuration. (for example, it's slightly faster for a provider to load 1000 Daily bars than the Most Recent 4 years of data)
4. and if on-demand is enabled.

Suggestions:
1. If you use ASCII, make sure to use the Cache option
2. For backtesting, update using the Data Manager first and turn off On-demand
3. For Y!, turn off the option to always return the partial bar, unless you're using it for live charting/trading

techtrader007

#14

1/19/2011 9:22 AM

thanks Cone for the details.

Filter : acending/decending

Symbol/ Ind 1/ Rank/ Ind 2/ Rank2/ Rank1+Rank2
SYM C/ 1.9/ 1/ 50/ 2/ 3
SYM A/ 1.4/ 4/ 70/ 1/ 5
SYM E/ 1.7/ 3/ 40/ 3/ 6
SYM D/ 1.8/ 2/ 5/ 5/ 7
SYM B/ 1.3/ 5/ 30/ 4/ 9

here : acending Ind 1 then acending Ind 2 then acending Rank1+2

It looks in Excel like this. I would like to get the last Column
So for 3 worst in this case SYM B, SYM D, SYM E

techtrader007

#15

1/20/2011 3:19 AM

thanks Eugene for your script and I hope you understand my defintion.

Eugene

#16

1/21/2011 4:31 AM

I don't get the idea of summing two ranks up. Isn't my strategy doing about the same. "Rank" the first indicator, get the lowest/highest N symbols, repeat for indicator #2, get another ranking, mix them.

NOTE: As the topic's got "hijacked" with general questions later, the rest of the discussion (after post #16) does not have to do with the original "Combined Rotation" idea.

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