Multiple systems in same loop to soak up cash

Author: tedclimo

Creation Date: 2/23/2011 4:33 PM

Wealth Lab » WealthScript (.NET) » Multiple systems in same loop to soak up cash

tedclimo

2/23/2011 4:33 PM

The system below is just a simple sample so you can help me solve what I am doing wrong.
My goal is the ability to have different "entry" systems in same loop(at least 2, perhaps 3-4) so that system #1 soaks all possible cash available, then if there is still cash left, system #2 kicks in.
As it stands right now(Compiles fine), only system #1 works, and system #2 is ignored.
Critical that LastPosition.Priority be included in each Entry system.
Can you help me resolve problem?
Thanks in advance.

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[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using WealthLab.Rules;
using Community.Components;
using WealthLab.DataProviders;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		//	StrategyParameter strategyParameter1;

public MyStrategy()
		{
			//		strategyParameter1 = CreateParameter("Parameter 1", 10, 10, 10, 1);

}
		
		protected override void Execute()
		{

DataSeries rsi6 = RSI.Series( Close, 6 );
			
			for(int bar = 121; bar < Bars.Count; bar++)			
			{
				
				if( IsLastPositionActive )
				{
					Position p = LastPosition;
					
					if ( bar+1 - LastPosition.EntryBar >= 10 )							
						SellAtMarket( bar+1, LastPosition,"rotate" );

}
				else
				{
					if ( rsi6[bar] < 5)						
						if( BuyAtMarket( bar+1,"1st System" ) != null )
							LastPosition.Priority = -Close[bar];
						else
						{
							if ( rsi6[bar] < 20)
								if( BuyAtMarket( bar+1, "2nd System" ) != null )
								        LastPosition.Priority = -Close[bar];
				
						}
				}
			}
		}
	}
}
[/CODE]

Cone

2/23/2011 4:49 PM

There are options, but generally, logic on the Portfolio cash level should be performed in a PosSizer, where you can, for example, enable different trading systems or signals on some basis - like Position.Priority, signalName, etc.

QUOTE:
system #1 soaks all possible cash available, then if there is still cash left, system #2 kicks in.

I know there's logic in there somewhere, but I don't see it. If all the cash is "soaked up", then by definition none is left for system #2... or no?

Eugene

2/24/2011 12:29 AM

QUOTE:
As it stands right now(Compiles fine), only system #1 works, and system #2 is ignored.

Sure, as first you're checking for a condition (system A, RSI < 5) that eliminates the chance of taking a trade by system B (RSI < 20) in this single-position system design pattern.

tedclimo

2/24/2011 7:37 AM

Eugene, change System A to RSI<1 (a near impossible event)and System B still never works. Code above has < 5% exposure when run on SP-500 for last 10 yrs.

Cone, my goal is to come up with a solution where multiple systems are applied to keep me fully invested. And systems are given priority based on their profitability when backtested independently. Not necessarily the two systems above. Once I have a working solution, then we could plug any two systems in place of System A & System B above

My solution above is broken. You mentioned it is possible to enable different trading systems via Pos-Sizer using Position.Priority or signalName. Can you point me to Pos-Sizer that does this or Wiki that explains how.

Would be easier if I could get code above to work(i.e. System B to kick in, when System A does not produce enough trades to keep me fully invested.

When System A above has