Coding strategy on day-to-day basis allocation instead of Combination strategies

Author: algotradingwl

Creation Date: 5/3/2017 3:17 PM

Wealth Lab » Trading Strategies » Coding strategy on day-to-day basis allocation instead of Combination strategies

algotradingwl

5/3/2017 3:17 PM

Hello!
As child strategy in combination strategies uses the initial size, then it became necessary to code this strategy, that readjusted on a day-to-day basis :
There are 8 industries. In the industry can be bought only one symbol. So, when the condition is triggered, it is checked whether there is a position for other symbol of the industry.
Below I give a variant for 2 industries, but when I test on the DataSet it takes a long time, about 10 min on the “Number of Bars” = 150 in “Data Range” .
What am I doing wrong? Help me please.
DataSet:
Amgn
Axp
Gild
Ma
Pfe
Pypl
V

CODE:
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Size:

Color:

Hello!
   As child strategy in combination strategies uses the initial size, then it became necessary to code this strategy, that readjusted on a day-to-day basis :
   There are 8 industries. In the industry can be bought only one symbol. So, when the condition is triggered, it is checked whether there is a position for other symbol of the industry. 
   Below I give a variant for 2 industries, but when I test on the DataSet  it takes a long time, about 10 min on  the “Number of Bars” = 150 in “Data Range” .
   What am I doing wrong? Help me please.
   DataSet:
Amgn
Axp
Gild
Ma
Pfe
Pypl
V
 [code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class envelop : WealthScript
	{
		private StrategyParameter paramPeriod;
				
		
		public string[] setname;
		public int flag;
		List<string> newset = new List<string> ();
			
		protected override void Execute()
			
		{

int period = 20;
						
			//Obtain price channel
			DataSeries ChUpper = Highest.Series(High, period);
			DataSeries ChLower = Lowest.Series(Low, period);
						
			//Plot them
			Color fillColor = Color.FromArgb(16, 0, 0, 255);
			PlotSeriesFillBand(PricePane, ChUpper>>1, ChLower>>1, Color.Blue, fillColor, LineStyle.Solid, 1);

for(int bar = 20; bar < Bars.Count; bar++)
			{
		
				//set industries
				string[] setfarm = new string[] { "AMGN", "GILD", "PFE"};
				string[] setpay = new string[] {"AXP","MA", "PYPL" , "V"};
				
				//determine which industry includes the current symbol 
				for ( int i=0; i< setfarm.Length; i++)
					if (setfarm[i]==Bars.Symbol )
						setname = setfarm;
				
				for ( int i=0; i< setpay.Length; i++)
					if (setpay[i]==Bars.Symbol )
						setname = setpay;
			
				//create industry without the current symbol	
				for ( int i=0; i< setname.Length; i++)
					if (setname[i]!=Bars.Symbol )
						newset.Add(setname[i]);
	
				//trading system rules
				if (ActivePositions.Count > 0)
				
				{
				
					if (Low[bar] < ChLower[bar-1])
						
					{
						SellAtMarket(bar + 1, LastPosition);
					}	
				}
				else
				{
					if ((High[bar] > ChUpper[bar-1])& (Flag()== 0))
					{ 
						BuyAtMarket(bar + 1);
					}
				}
			}
		}
		
		//flag
		public double Flag ()
		{
			for(int bar = 20; bar < Bars.Count; bar++)
			
			{
				foreach (string ticker in newset)
				{		
					SetContext (ticker,true);
					DataSeries ChUpper = Highest.Series(High, 20);
					DataSeries ChLower = Lowest.Series(Low, 20);
					
					if (CrossUnder (bar, Low,ChLower[bar-1]) )
					{
						flag=1;
					}
					else
					{		
						if (CrossOver (bar, High,ChUpper[bar-1]) )
						{ 
							flag=0;
						}
					}
					RestoreContext();
				}
			}
			return flag;
		
		} 
	}
}
[/code]

Eugene

5/4/2017 6:35 AM

Hi,

Speed-wise, SetContext() wrapped in nested loops is guaranteed to make any code very inefficient.

Next, evaluation of a condition like "there's a Position in a symbol in an industry group" takes place once a bar. For this reason it won't stop the child systems from sending concurrent same-bar alerts for symbols from the same industry group.

You might want to rewrite using a different design pattern:

WealthScript Techniques | Portfolio-wide conditions

Another (and more natural) solution would be to design a custom PosSizer that filters Alerts with regard to the industry.

algotradingwl

5/4/2017 9:25 AM

Eugene thanks for your tips, I will study them.

KGo

4/20/2020 10:02 PM

QUOTE:
As child strategy in combination strategies uses the initial size, then it became necessary to code this strategy, that readjusted on a day-to-day basis

You may find success with Historical Trades combinations which size trades based on day-to-day equity. See combination method at https://www.wealth-lab.com/Forum/Posts/New-style-of-Combination-Strategy-uses-Historical-Trades-40092/