Why FindNamedSeries returns 0 in Rotation strategy?

changhengyiu

#1

5/13/2017 3:38 PM

Using FindNamedSeries to plot or create trading signal in single or basket strategy is no problem for me. I have problem with the FindNamedSeries method in "Rotation" Strategy. Please tell me why the script can only create one time trading at the first beginning and Entry Name shows 0 . I post the script which is revised from "Weak-stock rotation[Rev.C]"

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Using FindNamedSeries to plot or create trading signal in single or basket strategy is no problem for me. I have problem with the FindNamedSeries method in "Rotation" Strategy. Please tell me why the script can only create one time trading at the first beginning and Entry Name shows 0 .  I post the script which is revised from "Weak-stock rotation[Rev.C]"
[code]

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
//using Community.Indicators;
 
namespace WealthLab.Strategies
{	
	public class WeakStockRotation : WealthScript, IComparer<iHolder>		
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter rocPeriod;
		//private StrategyParameter days2Hold;

public WeakStockRotation()
		{
			numberOfSymbols = CreateParameter("n Symbols", 10, 1, 50, 1);
			rocPeriod = CreateParameter("ROC Period", 1, 1, 20, 1);
	
		}

protected override void Execute()
		{

ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			int Period = rocPeriod.ValueInt;
			DataSeries MySeries1;
			MySeries1= Bars.FindNamedSeries( "4" );
			ChartPane rocPane = CreatePane( 30, true, true );
			PlotSeries( rocPane, MySeries1, Color.DarkRed, LineStyle.Solid, 2 );
			HideVolume();
   
			//Execute rotation strategy
			List<iHolder> list = new List<iHolder>();
			for(int bar = Period * 2; bar < Bars.Count; bar++)
			{
				//Identify the Top-N symbols that have the lowest ROC
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					
					if (Bars.FirstActualBar < bar)
					{   
						iHolder holder = new iHolder();
						holder.symbol = symbol;
						DataSeries MySeries2;
						MySeries2= Bars.FindNamedSeries( "4" );
						holder.rsi = MySeries2[bar];
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
    
				//keep top number only
				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(iHolder holder in list)
						if( holder.symbol == p.Bars.Symbol )
						{
							keepPosition = true;								
							break;
						}
					if (!keepPosition)
						//SellAtClose(bar, p); 
					SellAtMarket(bar+1, p);
				}
    
				//Buy new positions
				foreach(iHolder holder in list)
				{
					bool buyPosition = true;// ( ActivePositions.Count == number ) ? false : true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						if( BuyAtMarket(bar+1,holder.rsi.ToString()) != null )
							LastPosition.Priority = holder.rsi;
						RestoreContext();
					}
				}
			}
		}
  
		public int Compare(iHolder item1, iHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
	
	public class iHolder
	{
		internal string symbol;
		internal double rsi;
	}
}

[/code]

Eugene

#2

5/13/2017 4:58 PM

Who knows. Currently there's not much to work with. Knowing this could bring more clues:

+ data provider,
+ does it affect just one (e.g. Database) or all (e.g. ASCII too) providers
+ data loading settings
+ symbols
+ bar scale
+ does the named series actually exist
+ is its bar scale different from the primary symbol's

and so forth.

changhengyiu

#3

5/14/2017 4:04 AM

Much Thanks Eugene for the clues.
I thought it was coding error because of my limited coding knowledge just now.
I check following points you mentioned. the database is created by ASCII adding few fields and I just named them "1","2","3","4"...etc
I can see the ploting line for "4" this field so it means the data is exist .Please check the attached photo.

Second, time scale setting is as same as txt data in the attached picture. I learned from user guid

I am curious the situation I still can see plotting line when adjusting time scale from daily to weekly or monthly

anyway, setting to daily still not working for creating signals.
Could you take glance on the script one more time to see if i make mistake inside?

Is that correct putting "DataSeries MySeries2 ' in this section??

Wealth Lab® Technical Analysis Software & Trading Platform - Portfolio backtesting software, stock charting, strategy scripts and much more....png

Eugene

#4

5/14/2017 7:28 AM

Thanks Hank, that's cleared it. I think that you've re-encountered a bug. It was known but somehow slipped in and went unnoticed for a long time. (I'm not sure but it could have been introduced as early as in v6.6.)

Off the top of my head, there are two workarounds:

1. As exemplified here, use the overloaded call for GetExternalSymbol which accepts dataSetName:

Why FindNamedSeries in GetExternalSymbol doesn't return data?, post#2

2. For some reason, GetAllDataForSymbol from Community Components isn't affected. You can use it like this:

Eugene

#5

5/14/2017 9:10 AM

P.S.

1. Added the two workarounds discovered to the Open Issues list.

2. Reported the issue to Fidelity.

changhengyiu

#6

5/14/2017 11:12 AM

Thanks Eugene,that really helps!
It works perectly! I choose GetExternalSymbol method because it takes much less time to run.

changhengyiu

#7

5/14/2017 11:30 AM

One more point, this way could backtest weekly or monthly time scale with daily txt data.
it seems break the limit that mentioned in user guid.

take glance_百度搜索.png

Eugene

#8

5/14/2017 11:41 AM

Glad to have helped.

That's right: GetAllDataForSymbol heavily depends on System.Reflection which is resource consuming. GetExternalSymbol is a natural choice that comes w/o speed penalty.

changhengyiu

#9

6/8/2017 4:01 PM

GetExternalSymbol method solve the problem.
There comes one more trouble. This way takes a lot of time to do one time backtesting.
With 500 symbols in dataset, and 14 fields in a ASCii txt for 7 years, it takes one hour to do one time backtesting.
Wen i try 40 fields, it takes endless time.
If there any sugestion for me to do stock backtesting with fundimental data out of US?

Eugene

#10

6/8/2017 4:16 PM

ASCII data is cached by the provider so it's hardly a factor, and 7 years * 500 symbols doesn't look like a resource hog. So which step consumes the most time i.e. where does the strategy execution stuck the most? There might be an inefficiency in your code related to GetExternalSymbol or not. For example, check out tip #2 re: visualizers in this FAQ: Strategy runs slow, or provide us more detail to work with. Thanks.

changhengyiu

#11

6/9/2017 3:24 AM

The code is following. thanks Eugene
Cache ASCII Data is checked also.
Is the bug in original post solved?

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Color:

The code is following.  thanks Eugene
Cache ASCII Data  is checked also.
Is the bug in original post solved?

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
//using Community.Indicators;
 
namespace WealthLab.Strategies
{   
	public class WeakStockRotation : WealthScript, IComparer<iHolder>      
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter rocPeriod;
		//private StrategyParameter days2Hold;

public WeakStockRotation()
		{
			numberOfSymbols = CreateParameter("n Symbols", 10, 1, 50, 1);
			rocPeriod = CreateParameter("ROC Period", 1, 1, 20, 1);
   
		}

protected override void Execute()
		{

ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			int Period = rocPeriod.ValueInt;
			//DataSeries MySeries1;
			//MySeries1= Bars.FindNamedSeries( "j" );
			//ChartPane rocPane = CreatePane( 30, true, true );
			//PlotSeries( rocPane, MySeries1, Color.DarkRed, LineStyle.Solid, 2 );
			HideVolume();
   
			//Execute rotation strategy
			List<iHolder> list = new List<iHolder>();
			for(int bar = Period * 2; bar < Bars.Count; bar++)
			{
				//Identify the Top-N symbols that have the lowest ROC
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					//var newBars = Bars.Symbol.GetAllDataForSymbol( this.GetDataSetName(), Bars.Scale, Bars.BarInterval );
					var newBars = GetExternalSymbol("Output_500_O",symbol,true);

if (Bars.FirstActualBar < bar)
					{   
						iHolder holder = new iHolder();
						holder.symbol = symbol;
						DataSeries MySeriesClose;
						MySeriesClose = newBars.FindNamedSeries( "o" );
						//MySeriesClose = Bars.FindNamedSeries( "o" );
						DataSeries MySeries2;
						MySeries2 = newBars.FindNamedSeries( "j" );
						//MySeries2 = Bars.FindNamedSeries( "j" );
					
						holder.rsi = MySeries2[bar]*MySeriesClose[bar];
						
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
                //list.Reverse();
				//keep top number only
				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(iHolder holder in list)
						if( holder.symbol == p.Bars.Symbol )
						{
							keepPosition = true;                        
							break;
						}
					if (!keepPosition)
						//SellAtClose(bar, p); 
						SellAtMarket(bar+1, p);
				}
    
				//Buy new positions
				foreach(iHolder holder in list)
				{
					bool buyPosition = true;// ( ActivePositions.Count == number ) ? false : true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						if( BuyAtMarket(bar+1,holder.rsi.ToString("0.00")) != null )
							LastPosition.Priority = holder.rsi;
						RestoreContext();
					}
				}
			}
		}
  
		public int Compare(iHolder item1, iHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
   
	public class iHolder
	{
		internal string symbol;
		internal double rsi;
	}
}
[/code]

Eugene

#12

6/9/2017 6:52 AM

There are no current plans to resolve this issue.

Kindly bear in mind that what you're using is a workaround so trade-offs like a slowdown may apply.

Fortunately for you, it's possible to speed this code up 2-3 times by omitting the resource-intensive task of calling SetContext (followed by RestoreContext) for queriying the named series because GetExternalSymbol does a SetContext under the hood.

EDITED

changhengyiu

#13

6/9/2017 2:23 PM

By doing that,there comes a error message.

I type in here." Runtime error:Basis price for Position entry cannot be zero"

1.png

2.png

Eugene

#14

6/9/2017 3:30 PM

Try this:

changhengyiu

#15

6/12/2017 12:38 PM

Hi Eugene
unfortunatetly it is still the same error message.
Runtime error:Basis price for Position entry cannot be zero
Is there any other way without using GetexternalSymbol?It really too much time consuming.

2.png

Eugene

#16

6/12/2017 1:07 PM

Hi Hank,

In my test, commenting out the SetContext resulted in a 2-3x speed gain. And at the risk of repeating, this a workaround. If you don't like it for whatever reason and can't load less stocks, data, or performance visualizers, there's another one: GetAllDataForSymbol. Both come with a speed penalty. Since there's no bug resolution we have to live with this.

I cannot reproduce the error and the code above with my tweaks works correctly on Y! data with data sources like Quandl returning dummy NamedSeries data instead of your ASCII files. (However, ASCII is not the culprit - it's about the code or your data). Try this:

Then try different data loading ranges (All Data, Fixed Bars) as opposed to "Most Recent X years".

If this doesn't work, here are some troubleshooting suggestions:
a) kindly review pointers to troubleshooting this error: Basis price for Position entry cannot be zero (Error message),
b) wrap relevant parts of code in try/catch block to understand where the error is rooted, and
c) debug your strategy using SharpDevelop or Visual Studio Community ed. as described in this KB article to instantly spot the error source: How can I debug my trading strategies in Wealth-Lab?

Good luck!

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Color:

Hi Hank,

[quote]Is there any other way without using GetexternalSymbol?It really too much time consuming. [/quote]
In my test, commenting out the SetContext resulted in a 2-3x speed gain. And at the risk of repeating, this a workaround. If you don't like it for whatever reason and can't load less stocks, data, or performance visualizers, there's another one: GetAllDataForSymbol. Both come with a speed penalty. Since there's no bug resolution we have to live with this.

[quote]unfortunatetly it is still the same error message.[/quote]
I cannot reproduce the error and the code above with my tweaks works correctly on Y! data with data sources like Quandl returning dummy NamedSeries data instead of your ASCII files. (However, ASCII is not the culprit - it's about the code or your data). Try this:
[code]//var newBars = GetExternalSymbol("Output_500_O",symbol,true);
var newBars = GetExternalSymbol(symbol,true);[/code]

Then try different data loading ranges (All Data, Fixed Bars) as opposed to "Most Recent X years".

If this doesn't work, here are some troubleshooting suggestions:
a) kindly review pointers to troubleshooting this error: [link=https://www.wealth-lab.com/Forum/Posts/Basis-price-for-Position-entry-cannot-be-zero-Error-message-32651]Basis price for Position entry cannot be zero (Error message)[/link],
b) wrap relevant parts of code in try/catch block to understand where the error is rooted, and
c) debug your strategy using SharpDevelop or Visual Studio Community ed. as described in this KB article to instantly spot the error source: [link=http://www2.wealth-lab.com/WL5WIKI/kbAskGlitchDebug.ashx]How can I debug my trading strategies in Wealth-Lab?[/link]

Good luck!