Error message when implementing dynamic WatchLists using IndexHelper

Author: seannieboy71

Creation Date: 5/29/2014 10:58 PM

Wealth Lab » WealthScript (.NET) » Error message when implementing dynamic WatchLists using IndexHelper

seannieboy71

5/29/2014 10:58 PM

I tried implementing the IndexHelper as described in the Wiki to backtest on dynamic (evolving) watch lists. I get the following error for every symbol.

"Error processing symbol TRN String was not recognized as a valid DateTime."

I have created a data set that contains all of the symbols that appear in the time dated watch lists. I use this as the data set for the back test.

Then I have all of the individual watch lists in the C:\Data directory. The format of the file names of the individual watch lists is "IBD50_YYYYMMDD.txt"

Each watch list contains the symbols for the time period specified. Only one symbol is listed per line.

The code I have written is below. When I change the code to work with a static data set, it works just fine. Do you have any ideas why the strategy won't work with the dynamic watch lists?

Thanks

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I tried implementing the IndexHelper [link=http://www2.wealth-lab.com/WL5WIKI/EvolvingWatchList.ashx]as described in the Wiki to backtest on dynamic (evolving) watch lists[/link].  I get the following error for every symbol.

"Error processing symbol TRN	String was not recognized as a valid DateTime."

I have created a data set that contains all of the symbols that appear in the time dated watch lists.  I use this as the data set for the back test.

Then I have all of the individual watch lists in the C:\Data directory.  The format of the file names of the individual watch lists is  "IBD50_YYYYMMDD.txt"

Each watch list contains the symbols for the time period specified.  Only one symbol is listed per line.

The code I have written is below. When I change the code to work with a static data set, it works just fine.  Do you have any ideas why the strategy won't work with the dynamic watch lists?

Thanks

[code]// vStop Breakout from Daily Charts
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	public class DailyVStop : WealthScript
	{
		protected override void Execute()
		{
			// Set up dynamic lists
			IndexHelper ih = new IndexHelper( @"C:\Data\", "IBD50", Bars );			
			DateTime firstDateAvailable = ih.FirstIndexDate();
		
			// Declare variables
			string testDirection   = "Back";  // "Back" for back testing, "Forward" for forward testing from date specified in year, month, day variables
			string BuyLabel;
			
			int year               = 2014;  // year for forward testing (finding all signals on day after month,day,year)
			int month              = 5;     // month for forward testing (finding all signals on day after month,day,year)
			int day                = 27;    // day for forward testing (finding all signals on day after month,day,year)

bool trend         = true;  //
			bool maUpTrend     = true;  //
			int shortPeriod    = 10;    // Number of periods to average ATR for VStop
			int longPeriod     = 50;    //
			int daysInTrend    = 0;     //
			int B4Bperiod      = 75;   // default 90
			double SMIdelta    = 1;   // default 1
			double atrMultiple = 2.5;   // ATR Multiple for VStop
			double minClose    = 0.0;   //
			double maxClose    = 0.0;   //
			double stop        = 0.0;   // Stop
			double hvUpper     = 35.0;
			double hvLower     = 10.0;
			
			SMI smi = SMI.Series(Bars,50,10,10);
			
			// Colors
			Color colorUp      = Color.FromArgb(220,255,220);
			Color colorDown    = Color.FromArgb(255,220,220);

// Data series
			DataSeries CPrice     = Bars.Close;
			DataSeries LPrice     = Bars.Low;
			DataSeries HClose     = Highest.Series(Close, shortPeriod);
			DataSeries LClose     = Lowest.Series(Close,shortPeriod);
			//DataSeries atr        = ATR.Series( Bars , longPeriod );
			DataSeries atr        = SMA.Series( TrueRange.Series( Bars ), longPeriod );
			DataSeries vStop      = new DataSeries(Bars, "VStop");
			DataSeries shortSMA   = SMA.Series(Close, shortPeriod);
			DataSeries longSMA    = SMA.Series(Close, longPeriod);
			DataSeries DayRange   = High - Low;
			DataSeries AvgRange   = SMA.Series(DayRange,B4Bperiod);
			DataSeries Bang4Buck  = new DataSeries( Bars,"Bang For Buck - Use To Prioritize Purchase - Higher IS Better");
			DataSeries hv         = HV.Series(Close,100,100);
			
			// Set up chart panes
			ChartPane sPane = CreatePane(20, true, true);
			PlotSeries(sPane, smi, Color.Blue, LineStyle.Solid, 2);
			ChartPane hPane = CreatePane(20, true, true);
			PlotSeries(hPane, hv, Color.Blue, LineStyle.Solid, 2);
			
			// Display the resulting VStop data series
			PlotSeries(PricePane,shortSMA,Color.Green,LineStyle.Solid,2);
			PlotSeries(PricePane,longSMA,Color.Blue,LineStyle.Solid,2);
			PlotSeries(PricePane,vStop, Color.Red, WealthLab.LineStyle.Dots, 10 );
		
			for(int bar = Bars.FirstActualBar + B4Bperiod; bar < Bars.Count; bar++)
			{
				Bang4Buck[bar] = 100.0 * AvgRange[bar]/Close[bar];
			}

// Calculate iStop and vStop
			for(int bar = atr.FirstValidValue; bar < Bars.Count; bar++)
			{
				// vStop Uptrend
				if( trend )
				{
					daysInTrend++;
					maxClose = Math.Max(CPrice[bar], Highest.Value(bar, CPrice, daysInTrend));
					stop = Math.Max(vStop[bar-1], CPrice[bar] - atr[bar] * atrMultiple);

// Check for Reverse
					if( CPrice[bar] <= stop )
					{
						stop = CPrice[bar] + atr[bar] * atrMultiple;
						
						// Reset Trend
						daysInTrend = 0;
						trend = false;
					}
				}
				
					// vStop Downtrend
				else
				{
					daysInTrend++;
					minClose = Math.Min(CPrice[bar], Lowest.Value(bar, CPrice, daysInTrend));
					stop = Math.Min(vStop[bar-1], CPrice[bar] + atr[bar] * atrMultiple);

if(CPrice[bar] >= stop )
					{
						stop = CPrice[bar] - atr[bar] * atrMultiple;
						
						// Reset Trend
						daysInTrend = 0;
						trend = true;
					}
				}
				
				// Set vStop
				vStop[bar] = stop;
				
				// Set vTrend
				if(trend)
				{
					SetSeriesBarColor(bar,vStop,Color.Red);
				}
				else
				{
					SetSeriesBarColor(bar,vStop,Color.Green);
				}
			}
			
			// Trade Logic
			int startBar;
			if( testDirection == "Back" )
				startBar = vStop.FirstValidValue+2;
			else
				startBar = DateTimeToBar(new DateTime(year,month,day), true);

for(int bar = startBar; bar < Bars.Count; bar++)
			{
				// Determine trend direction and set background color accordingly
				if (longSMA[bar]>longSMA[bar-1])
				{
					maUpTrend = true;
					//SetBackgroundColor(bar, colorUp);
				}
				else
				{
					maUpTrend = false;
					//SetBackgroundColor(bar, colorDown);
				}
				
				// Get initial stop
				RiskStopLevel = vStop[bar];
				
				//Sell logic - Test each active position
				for(int pos = ActivePositions.Count-1; pos>=0; pos--)
				{
					//Assign position
					Position p = ActivePositions[pos];
					
					
					// Sell at vStop trend change
					if (CrossUnder(bar, Close, vStop))
					{
						SellAtMarket(bar+1,p,"VStop $" + vStop[bar-1].ToString("#0.00"));
					}

/*
					// Sell as vStop is violated
					if(LPrice[bar] < vStop[bar-1])
					{
						SellAtMarket(bar,p,"VStop");
					}
					*/
				}

if( Bars.Date[bar] >= firstDateAvailable )
				{
					symbolList sl = ih.WatchList( bar );
					if( sl != null )
					{
						foreach (string s in sl.symbols)
						{
							if(s.Equals(Bars.Symbol))
							{
								PrintDebug(Bars.Symbol + " " + Bars.Date[bar]);
								// Buy logic
								//if(maUpTrend && smi[bar]>smi[bar-1])
								if(smi[bar]-smi[bar-1]>=SMIdelta && hv[bar] <= hvUpper && hv[bar] >= hvLower)
								{
									SetBackgroundColor(bar, colorUp);
									//PrintDebug("I'm in A");
									// VStop Breakout
									if(CrossOver( bar, Close, vStop))
									{
										BuyAtMarket( bar+1, Bang4Buck[bar].ToString("00.0000"));
										LastActivePosition.Priority = Bang4Buck[bar];
									}
								}
								else
									SetBackgroundColor(bar, colorDown);
							}
						}
					}
				}
			}
		}
	}
}[/code]

Eugene

5/30/2014 1:43 AM

At the moment, the message sounds pretty self-descriptive: for (at least) one of your time dated files, the date string in the file name could not be parsed:

QUOTE:
"Error processing symbol TRN String was not recognized as a valid DateTime."

seannieboy71

5/31/2014 12:02 AM

Do you have any hints as to what I can do to get the date string to be parsed?

I have followed all of the instructions in the wiki page entitled "Backtesting with Dynamic (Evolving) WatchLists". For example, my file names are: IBD50_20110610.txt, IBD50_20110617.txt, IBD50_20110624.txt, etc. just as instructed in the wiki page. Each file only has one symbol per line. As you can see from the code, "IBD50" is listed as the "index" in the IndexHelper function. I have attached a couple of the files.

I also tried to run the sample code found on the wiki page. I changed the name of the index to IBD50. It will not run either. It never prints the symbol name to the degug window. It just gives the error message for every single symbol in the data set.

thanks

IBD50_20110103.txt

IBD50_20110110.txt

Eugene

5/31/2014 3:15 AM

Once again: review the names of all of your TXT files. One (or more) of them does not follow the YYYYMMDD pattern correctly. To be on the safe side, make sure the folder does not contain any other files. I have double checked that your enclosed files work OK with the Wiki example code, producing the debug output as intended.

P.S. As this might lead to unxpected results...

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...it's better changed to:

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seannieboy71

5/31/2014 2:51 PM

Thanks for the help. I will check each file. Is it a problem if the date for the file is a non-trading day, i.e. holiday or weekend?

Also, thanks for the suggestion on setting the priority.