Sync "Buy & Hold" with SMA(200) strategy

Lieuallen

#1

11/30/2012 8:44 PM

I'm writing a strategy that uses the SMA(200) as a signal to enter or exit a different sector rotation selection. I know this is a minor issue, but it's bugging me!

Because I'm using a 200-day SMA, I have to "skip" the first 200 bars (to provide 200 days worth of data). So, when I select a data range, I have to figure out what is 200 trading days before the time period I want to evaluate. This I can deal with.

My issue is that on the Equity Curve graph, the "Buy & Hold" benchmark starts on Bar 0, while my strategy starts on Bar 200. This makes it much more difficult to compare my equity curve with the benchmark (which has had a 200 day headstart!). See the image (if I've attached it correctly!).

I've tried accessing the SMA as both a DataSeries and a Value (both via GetExternalSymbol), and I've tried "shifting" the Bar with "<<200". I am syncronizing the External Symbol (which is VTSMX).

Is there any way for me to get the Buy & Hold benchmark to start at Bar 200?

Thanks!!

Eugene

#2

12/1/2012 1:27 AM

No.

The ability to nullify the effect of the seed data period, known as Lead Bars, was a feature of legacy Wealth-Lab versions but was purposely left out of Version 5/6 for a number of reasons, the main issue is that it was a source of many bugs in Version 3/4.

Check out the Wealth-Lab User Guide, Strategy Window > Backtesting Strategies > Inside a Portfolio Simulation > Note on Lead Bars. Try focusing on performance metrics that are less sensitive to changes in start and stop dates.

Lieuallen

#3

12/2/2012 6:26 PM

Thanks for the info, Eugene. I guess once I'm not such a newbie, I'll do better at finding the answers on my own in the User Guide. I'm still a bit confused at having the User Guide (F1), the Quick Ref (F11) and the on-line manual (as well as having to look-up online for C# help). But I will get better, I promise!

Anyway, I was able to improve the situation by using a DataSeries to hold the Close info the the 200-day SMA:

CODE:
Please log in to see this code.

That way, I only have to "offset" my start by 63 days (for my ROC evaluation). Much more palatable than the 200 day offset.

Again, thanks for your help!

Eugene

#4

12/3/2012 1:11 AM

QUOTE:
That way, I only have to "offset" my start by 63 days (for my ROC evaluation). Much more palatable than the 200 day offset.

That's a misconception. You can not "improve" the situation by "using a DataSeries" or anything for that matter. You should use GetTradingLoopStartBar(200) to start the trading loop from. The 200-day SMA simply does not exist (is 0) before bar 199.

Cone

#5

12/3/2012 7:44 AM

The only way to really get around this is to save your long moving average to disk or memory and load it by synching it to a new series in the trading script. Here's an example -

First run a script on "All Data" that only creates your indicator(s) and puts them in Global memory. Each key for each symbol/DataSeries must be unique.

CODE:
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Now in the trading script (using a range that starts at least 200 bars later than the "All Data" case, retrieve it and synch:

CODE:
Please log in to see this code.

Size:

Color:

The only way to really get around this is to save your long moving average to disk or memory and load it by synching it to a new series in the trading script.  Here's an example -

First run a script on "All Data" that only creates your indicator(s) and puts them in Global memory.  Each key for each symbol/DataSeries must be unique.

[CODE]			// Run this on the symbol or DataSet with "All Data" 
			DataSeries sma = SMA.Series(Close, 200);
			SetGlobal(Bars.Symbol + "(SMA 200)", sma);[/CODE]

Now in the trading script (using a range that starts at least 200 bars later than the "All Data" case, retrieve it and synch:

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		public DataSeries GetSeriesFromMemory(string key)
		{
			// Access the DataSeries from memory, unsynched
			DataSeries dsInMem = (DataSeries)GetGlobal(key);
			
			DataSeries ds = Synchronize(dsInMem);		
			return ds;
		}
		
		protected override void Execute()
		{
			ClearDebug();
			DataSeries sma;
			try {
				sma = GetSeriesFromMemory(Bars.Symbol + "(SMA 200)");			
			}
			catch (Exception e) {
				DrawLabel(PricePane, "Could not find series in memory: " + e.Message, Color.Red);
				return;
			}
			PlotSeries(PricePane, sma, Color.Blue, LineStyle.Solid, 2);
			
			// You can now start from bar 0 (first trade must be at least on bar 1 however)
			for(int bar = 0; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					//code your entry rules here
				}
			}
		}
	}
}[/CODE]

Eugene

#6

12/3/2012 8:10 AM

Nice trick Cone!

There is a way to go with just a single Strategy window loaded with small number of bars (e.g. 200 bars), i.e. w/o using Set/GetGlobal and 2 chart windows. However, the code is longish (~160 lines) and unpretty (using Reflection), so I'm probably going to wrap it in a method like "Bars GetAllDataForBars(...)" and pack it with Community Components (in its upcoming update).