Snapping Tortoise Rotation - Wealth Lab Forum

Snapping Tortoise Rotation

Author: MikeyRules

Creation Date: 5/26/2009 10:12 AM

Wealth Lab » Trading Strategies » Snapping Tortoise Rotation

MikeyRules

5/26/2009 10:12 AM

Hello,

I took the Dogs of the Dow and the RSI symbol rotation scripts and altered them for my use. I seemed to have run into an exit issue that I am hoping someone could help with.

I look at a universe of stocks (e.g., Dow 30) and want to find the 5 stocks in the universe that are the farthest away from the 10 day Highest High. Once I have them, I want to buy them at the open (Market) the next day. I want to have two stops - the first is the low of the bar the day before the entry bar and the other is a profit stop that is a certain amount above the entry.

When I run this script on a single symbol in the Dow 30 data set I have created (e.g., AA), I get one result. When I run it on the next symbol (e.g., AXP), I get a different set of results. Based on my debugging, I believe I have narrowed it down to the initial exit that tries to use the Low of the bar before the entry. I am guessing that due to how WL processes this script I am getting a Low that changes based on which symbol I am selecting, but am not sure. Any insight here would be greatly appreciated.

If that is the case, I would like to try to figure out how I can use the low of the day before the entry bar as my initial stop. Thanks in advance!

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Hello,

I took the Dogs of the Dow and the RSI symbol rotation scripts and altered them for my use.  I seemed to have run into an exit issue that I am hoping someone could help with.

I look at a universe of stocks (e.g., Dow 30) and want to find the 5 stocks in the universe that are the farthest away from the 10 day Highest High.  Once I have them, I want to buy them at the open (Market) the next day.  I want to have two stops - the first is the low of the bar [u]the day before the entry bar[/u] and the other is a profit stop that is a certain amount above the entry.

When I run this script on a single symbol in the Dow 30 data set I have created (e.g., AA), I get one result.  When I run it on the next symbol (e.g., AXP), I get a different set of results.  Based on my debugging, I believe I have narrowed it down to the initial exit that tries to use the Low of the bar before the entry.  I am guessing that due to how WL processes this script I am getting a Low that changes based on which symbol I am selecting, but am not sure.  Any insight here would be greatly appreciated.

If that is the case, I would like to try to figure out how I can use the low of the day before the entry bar as my initial stop.  Thanks in advance!

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class SnappingTortoise : WealthScript, IComparer<PainHolder>
	{
		private StrategyParameter numberOfCandidates;
		
		public SnappingTortoise()
		{
			numberOfCandidates = CreateParameter("Candidates", 5, 1, 30, 1);
		}				
		private DataSeries PainCalc(string symbol)
		{		
			// Today's pain = % lost from highest hi of last 10 days
			DataSeries dsPain = (Close - HHten(symbol))/ HHten(symbol);
			return dsPain;
		}		
		
		private DataSeries HHten(string symbol)
		{		
			// Highest High of last 10 days
			DataSeries dsHighestHigh10 = Highest.Series(High, 10);			
			return dsHighestHigh10;
		}		
		
	
		protected override void Execute()
		{			
			// Defines cutoff variable
			int cutoff = numberOfCandidates.ValueInt;			
			
					
			
						
			List<PainHolder> list = new List<PainHolder>();
			
			
			
			
			for(int bar = 12; bar < Bars.Count; bar++)

{
					list.Clear();
					foreach(string symbol in DataSetSymbols)
					{
						SetContext(symbol, true);
						if (Bars.FirstActualBar < bar)
						{
							PainHolder holder = new PainHolder();
							holder.symbol = symbol;
							holder.dsPain = PainCalc(symbol)[bar];
							list.Add(holder);
						}
						RestoreContext();
					}
				
					list.Sort(this);		
						
					// - Keep the symbols above the cutoff amount
					int c = list.Count;
					for(int i = c - 1; i >= cutoff; i--)
						list.RemoveAt(i);											   
					
					
				for (int _pos = ActivePositions.Count - 1; _pos >=0; _pos--)
				{
					Position p = ActivePositions[_pos];
				
					double iStop = 2.00;
					
					if (p.EntrySignal.Contains("Group1"))
											
						SellAtLimit(bar, p, p.EntryPrice + (iStop), "Profit Exit"); 					
						
					if (p.EntrySignal.Contains("Group2"))
				
						SellAtStop(bar, p, Low[p.EntryBar - 1], "InitialExit");
				}
				
				
							
				foreach(PainHolder holder in list)
					{
						SetContext(holder.symbol, true);
						
					BuyAtMarket(bar+1, "Group1,Group2");
						RestoreContext();
					}					
			}
			
		}
	
		
		public int Compare(PainHolder item1, PainHolder item2)
		{
			return item1.dsPain.CompareTo(item2.dsPain);
		}		
	}
	public class PainHolder
	{
		internal string symbol;
		internal double dsPain;
	}	
} [/CODE]

Eugene

5/26/2009 12:24 PM

Probably the problem here is because of trying to access a different symbol's Low:

CODE:
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If you want to use the Bars object of a specific Position and not peek into the future, try this:

CODE:
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A couple of notes:

1 - This will always return a fixed data series.

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Accordingly, private DataSeries PainCalc is affected.
Should be:

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2 - Your order of exits is not pessimistic enough, I'd suggest revisting the Programming Guide, Programming Trading Strategies > Peeking and using this sequence:

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3 - Keep statements like this outside of the loops: double iStop = 2.00;

MikeyRules

5/26/2009 2:43 PM

Thanks Eugene, I appreciate your help.

In your notes section, could you please explain further? I am not sure I understand. What I am trying to do is evaluate each symbol within the universe/data set, find its Highest High for the last ten days, then take the close of today, subtract the Highest High and then divide that sum by the Highest High. One I have that for each symbol in the data set, I want to find the 5 with the lowest value so I can then buy them. I am not clear on the GetExternalSymbol line as I thought we were evaluating each symbol within the data set.

Note 2 - thanks, will fix the order

Note 3 - that will be a variable based on the low of the position when the code is finalized so I think it needs to be in the loop. I made it a fixed amount for this testing.

Eugene

5/26/2009 3:07 PM

In private DataSeries HHten, you have a parameter string symbol which is simply not being used. I was just analyzing the syntax. From your explanation, it looks like that you don't need that input parameter.

ss161

5/28/2009 12:51 PM

i took a stab at getting your code to work as i've recently written a few symbol rotation scripts. i think what i did works, but i'd suggest assuming i made a mistake somewhere and checking it carefully. anyway, my own strategy in creating symbol rotation scripts is to create two lists (actually a list within a list). the higher order list is organized by date and contains the current date, bar, and then the list of data for that day. once all the data is added into the list, i sort by date, and then for each day, i sort by the buy / sell criteria for that day and then apply my trading logic for each day.

here is that style code applied to your script, again, i didn't test it too closely.

CODE:
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i took a stab at getting your code to work as i've recently written a few symbol rotation scripts.  i think what i did works, but i'd suggest assuming i made a mistake somewhere and checking it carefully.  anyway, my own strategy in creating symbol rotation scripts is to create two lists (actually a list within a list).  the higher order list is organized by date and contains the current date, bar, and then the list of data for that day.  once all the data is added into the list, i sort by date, and then for each day, i sort by the buy / sell criteria for that day and then apply my trading logic for each day.

here is that style code applied to your script, again, i didn't test it too closely.
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class SnappingTortoise : WealthScript, IComparer<PainHolder>
	{

public double	PROFITTARGET = 0.02;
		
		private StrategyParameter numberOfCandidates;
		
		public SnappingTortoise()
		{
			numberOfCandidates = CreateParameter("Candidates", 5, 1, 30, 1);
		}				
		private DataSeries PainCalc()
		{		
			// Today's pain = % lost from highest hi of last 10 days
			DataSeries dsPain = (Close - HHten())/ HHten();
			return dsPain;
		}		
		
		private DataSeries HHten()
		{		
			// Highest High of last 10 days
			DataSeries dsHighestHigh10 = Highest.Series(High, 10);			
			return dsHighestHigh10;
		}		
		
	
		protected override void Execute()
		{			
			// Defines cutoff variable
			int cutoff = numberOfCandidates.ValueInt;							
			List<HolderList> lofl	= new List<HolderList>();

PrintStatusBar( "Loading Data" );
			foreach(string symbol in DataSetSymbols) {
				SetContext(symbol, true);
				DataSeries pain		= PainCalc();
				for (int bar = 12; bar < Bars.Count; bar++) {
					PainHolder holder	= new PainHolder( symbol, bar, Date[bar], pain[bar] );
					AddData( bar, holder, lofl );
				}
				RestoreContext();
			}

// SORT THE ENTIRE COLLECTION OF DATA BY DATE ORDER
			//
			PrintStatusBar( "Sorting Data" );
			lofl.Sort( delegate( HolderList hl1, HolderList hl2 ) { return hl1.dt.CompareTo( hl2.dt ); } );
			//
			// 	THEN WITHIN EACH DAY, SORT EACH DAY'S DATA BY "PAIN"
			//
			lofl.ForEach( delegate( HolderList hl ) {
					hl.lph.Sort ( delegate ( PainHolder ph1, PainHolder ph2 ) {
							return ph1.dsPain.CompareTo( ph2.dsPain ); 
						} );
				} );
			//
			// NOW APPLY TRADING RULES
			//
			lofl.ForEach( delegate( HolderList hl ) { 
					ApplyTradingRules( hl, cutoff );			     
				} );			
		}

public void ApplyTradingRules( HolderList hl, int cutoff ) {

// ---------------------------------------------
			// First, check for exit conditions for existing trades
			// ---------------------------------------------
			for (int _pos = ActivePositions.Count - 1; _pos >=0; _pos--)
			{
				Position p = ActivePositions[_pos];
				
				// ---------------------------------------------------------------------------------------------------------
				// ---------------------------------------------------------------------------------------------------------
				SetContext( p.Bars.Symbol, true);					// IMPORTANT: NEED TO SET CONTEXT TO THIS SYMBOL
				// ---------------------------------------------------------------------------------------------------------
				// ---------------------------------------------------------------------------------------------------------
				double iStop = PROFITTARGET;												// < -----   i've changed this
				if (p.EntrySignal.Contains("Group2"))				
					SellAtStop( hl.bar +1, p, Low[p.EntryBar - 1], "InitialExit");
				if (p.EntrySignal.Contains("Group1"))											
					SellAtLimit( hl.bar +1, p, p.EntryPrice * (1 + PROFITTARGET), "Profit Exit");	// < -----   i've changed this
			}
			
			RestoreContext();

// ---------------------------------------------
			// - Keep the symbols above the cutoff amount
			// ---------------------------------------------
			int c = hl.lph.Count;
			for(int i = c - 1; i >= cutoff; i--)
				hl.lph.RemoveAt( i );

// ---------------------------------------------
			// - Now buy each name that remains
			// ---------------------------------------------
			foreach( PainHolder holder in hl.lph )
			{
				SetContext( holder.symbol, true);					
				BuyAtMarket( holder.bar +1, "Group1,Group2");
				RestoreContext();
			}
		}
		
		public void AddData( int bar, PainHolder ph, List<HolderList> lofl ) {
			int offs = lofl.FindIndex(delegate(HolderList hl) { return hl.dt == ph.dt; });
			if (offs >= 0)
				lofl[offs].lph.Add( ph );
			else {
				HolderList hlnew = new HolderList( bar, ph.dt );
				hlnew.lph.Add( ph );
				lofl.Add( hlnew );
			}
		}
		
		
		public int Compare(PainHolder item1, PainHolder item2)
		{
			return item1.dsPain.CompareTo(item2.dsPain);
		}
	}
	public class PainHolder
	{
		public string		symbol;
		public int			bar;
		public DateTime		dt;
		public double		dsPain;
		
		public PainHolder( string _symbol, int _bar, DateTime _dt, double _dsPain ) {
			symbol	= _symbol;
			bar		= _bar;
			dt		= _dt;
			dsPain	= _dsPain;
		}
	}
	
	public class HolderList {
		public int				bar;
		public DateTime			dt;
		public List<PainHolder>	lph = new List<PainHolder>();
		
		public HolderList( int _bar, DateTime _dt ) {
			bar	= _bar;
			dt	= _dt;
		}
	}
} [/CODE]