Aronow Software Watchlist Dataset Provider
Author: daronow
Creation Date: 2/6/2008 12:24 PM
profile picture

daronow

#1
Wealth-Lab (.NET) 5.0

Today Aronow Software LLC is releasing a new freeware watchlist provider for Wealth-Lab 5.0 which allows users to create watchlists from symbols in existing datasets (similar to how watchlists existed in Wealth-Lab Version 4). For more information, please see our products page:

http://aronowsoftware.com/Products.aspx

Dave Aronow
profile picture

Cone

#2
Very useful. Great work Dave!
profile picture

Eugene

#3
Many thanks Dave!!

P.S. A question. The provider allows combining datasets of different timeframes. The data scale is determined by the symbol with the lowest bar interval. Perhaps marking the dataset with the highest scale available would be more appropriate?
profile picture

Cone

#4
You shouldn't combine symbols from different timeframes. Previous version of Wealth-Lab allowed that too, but it's just a bad idea if you're actually planning on doing Multi-Symbol Backtests. I don't even want to think about what the Strategy Monitor would do with something like that.
profile picture

Eugene

#5
I understand, what I was doing is some testing. Just thought it would be more foolproof marking bar scale the other way.
profile picture

daronow

#6
It doesn't seem like WL5 really cares either way. You can mix 5 minute data with daily data and it will take it either way. Eugene is there some configuration where this will cause a problem -- if so what is it so I can try to resolve it.

Sometimes testing multiple timeframes together can be useful to find the portfolio effect of multiple systems. For example if I want to know the maximum drawdown of an overnight swing system working on hourly data combined with a daytrading system working with 1 minute data. But in this test my systems were distinct, with each system in it's own function and the code calling the system based on the current symbol.

Dave
profile picture

Eugene

#7
It doesn't seem like WL5 really cares either way. You can mix 5 minute data with daily data and it will take it either way. Eugene is there some configuration where this will cause a problem -- if so what is it so I can try to resolve it.

The problem is when you mix intraday with daily, for example, you'll get the "Cannot convert Daily bars to 15-minute bars" message every time you try to access symbols in higher timeframe. You won't be able to run an MSB until the Scale is elevated.

profile picture

Cone

#8
How about just saying, "don't create DataSets with symbols from different scales". Isn't this instruction simple and obvious enough to follow?
profile picture

daronow

#9
I just posted a new version of the provider which now supports caching data from the underlying dataset. Please see:

http://aronowsoftware.com/WLWatchList.aspx

Just to clarify what I mean by "caching data" -- this means that if you check the "Cache Data" checkbox when you set up the datasource, then going forward data is loaded by the watchlist adapter it will be stored in memory, so another request for the same data (the same symbol, and the same start and end dates) will return the data stored in memory without having to reload it from the original data store.

For a single scan you don't get any benefit from caching, but if you are going to run multiple simulations (for example varying parameters, or even changing the strategy, recompiling, and re-running with new logic) this will mean you don't need to wait for the data to be reloaded. In my scans on daily data for around 45 symbols (data going back to around 1970) this reduces the run time to around 5 seconds (from 35 -- 5 to run the strategy and 30 to load the data).

To "clear" the cache and reload the data from the original datasource you need to change the requested date ranges (for example from "Last 10 years" to "Last 11 years"). Or of course you can create two data sources for the same data, one cached, one not.

For more information, or feel free to post questions here. As before this is officially unsupported, but I will attempt to fix bugs if they are found.

Dave
profile picture

daronow

#10
I wanted to add that if anyone has any suggestions for features to add to this adapter, feel free to ask.

Dave
profile picture

adasko

#11
Hi Dave,

I have one suggestion to Watchlist. It's not possible to modify it. Once created is fixed. Is not possible to add new data or delete it. This is very useful.

adam