Keeping track of open positions in Multi-Symbol Backtest (MSB)

Author: ss161

Creation Date: 8/12/2009 12:28 PM

Wealth Lab » WealthScript (.NET) » Keeping track of open positions in Multi-Symbol Backtest (MSB)

ss161

8/12/2009 12:28 PM

is this possible to do?

i know i can right a script that runs in SSB and loops through each symbol in the dataset and keep track of open positions that way, but in MSB, for a given date, is there a way to tell how many open positions there are with the other symbols?

Cone

8/12/2009 5:05 PM

Right now, none.

In 5.6, with PosSizers, you'll be able to do this on a Portfolio level. You won't be able to use this information in the Trading Script's rules, but at least with PosSizers you can limit the Positions you put on by rejecting trades.

Eugene

8/13/2009 2:49 AM

Theoretically, I could imagine writing such code. However, that would be a "hack" (read: unreliable). Steve, take a look at this:

Community.Components (source archive)
Interacting Dynamically with Portfolio Level Equity

The source for equity curve data and open positions in MSB is the same. Here's a quick demo:

CODE:
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Theoretically, I could imagine writing such code. However, that would be a "hack" (read: unreliable). Steve, take a look at this:

[LINK=http://www2.wealth-lab.com/WL5WIKI/CommunityComponentsMain.ashx]Community.Components (source archive)[/LINK]
[LINK=http://www2.wealth-lab.com/WL5WIKI/kbInteractingWithPortfolioEquity.ashx]Interacting Dynamically with Portfolio Level Equity[/LINK]

The source for equity curve data and open positions in MSB is the same. Here's a quick demo:

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

namespace WealthLab.Strategies
{
	/* Show portfolio equity */
	public class OnTheFly : WealthScript
	{
		protected override void Execute()
		{
			Utility u = new Utility(this);
			string firstRun = ""; string results = "";
			SetGlobal( firstRun, Bars.Symbol );
			HideVolume();

if( (string)GetGlobal( firstRun ) == DataSetSymbols[0] ) 
			{
				RemoveGlobal( results + "_PerformanceResults" );
				
				/* Option 1: run a strategy on-the-fly (see the "Donor" class below) */
				SystemPerformance sp = u.runDonor( new Donor() );
				
				SetGlobal( results + "_PerformanceResults", sp.Results );
			}			
			
			/* Retrieve and the list of historical positions */
			
			SystemResults sr = (SystemResults)GetGlobal( results + "_PerformanceResults" );
			IList<Position> posList = sr.Positions;
			
			if( Bars.Symbol == DataSetSymbols[0] ) 
			{
				foreach( Position p in posList )
					PrintDebug( p.Bars.Symbol + ", " + p.EntryDate );
			}
		}
	}
    
	// Your optional "donor" strategy 
	public class Donor : WealthScript
	{
		protected override void Execute()
		{
			for(int bar = 21; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if ( Close[bar] < Close[bar-20] )
						SellAtMarket( bar+1, LastPosition );
				}
				else
				{
					if ( Close[bar] > Close[bar-20] )
						if( BuyAtMarket( bar+1 ) != null )
							LastPosition.Priority = Close[bar];
				}
			}
		}
	}
}

[/CODE]