Strategy that pulls bottom (x) stocks with lowest price to sales ratio?

shardis89

#1

2/7/2011 11:12 PM

I am new to wealth builder and have not learned to code and the rule based does not facilitate what I am wanting. Is there someone who can provide some code that will pull the bottom (x) number of stock with the lowest price/sales ratio. This would sure be helpful to me.

Regards,

Stephen

Eugene

#2

2/8/2011 1:55 AM

Not sure what Wealth Builder is but in Wealth-Lab, this kind of strategies is accomplished through the process known as rotation. Check out the Symbol Rotation folder, open the "RSI Rotation" strategy, and then modify it according to what this FAQ says:

I need other rotation rule other than the built-in RSI.

Here's an example but note: price_to_sales_ratio must be replaced with the actual fundamental item representing this ratio, if it's available in Fidelity's fundamental data:

CODE:
Please log in to see this code.

Check out the Fundamental Data list (hit Ctrl-U) to find it. (I don't work with WLP and don't remember is it available or not. WLD users with the YCharts fundamental provider would need the item called "[yc] ps_ratio" to use price/sales ratio in their strategies).

Cone

#3

2/8/2011 3:21 AM

Fidelity fundamental ratios are derived from the fundamental items that are available. Price to sales would be accomplished like this:

CODE:
Please log in to see this code.

You can also use the Strategy Builder to drag and drop fundamental ratios. Their derivation will look a little different because it uses a Rules class. If you prefer that method, more info in the WealthScript Language Guide > WealthLab.Rules Classes > FundamentalsRatio

shardis89

#4

2/19/2011 10:53 PM

I appreciate your help. I almost got it to work but kept compiling an error saying it should be a double. Tried coding in a double where int exist and kept getting errors. Too much work, so sure makes me apprciate what you all do.

Eugene

#5

2/20/2011 1:49 AM

If you paste the problematic code snippet here we could try to fix it.

Eugene

#6

2/23/2011 4:07 AM

Also please indicate which Wealth-Lab version and build you are using.

shardis89

#7

2/23/2011 9:30 PM

Wealth Lab Pro 6.1; error states" Error CS0536 @ (11,15) 'WealthLab.Strategies.RSIRotation' does not implement interface member 'System.Collections.Generic.IComparer<WealthLab.Strategies.RSIRotation>.Compare<WealthLabStrategiesRSIRotation,Wealth

Eugene

#8

2/24/2011 12:34 AM

Some other modification was made to the rotation strategy's code. Share the code here so we could check what went wrong.

shardis89

#9

2/25/2011 8:48 AM

CODE:
Please log in to see this code.

Size:

Color:

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

namespace WealthLab.Strategies
{	
	public class RSIRotation : WealthScript, IComparer<RSIHolder>		
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter rsiPeriod;

public RSIRotation()
		{
			numberOfSymbols = CreateParameter("n Symbols", 3, 2, 10, 1);
			rsiPeriod = CreateParameter("RSI Period", 14.0, 6.0, 34.0, 2.0);
		}		
		
		protected override void Execute()
		{
			//Validate that all data is updated
			DateTime recentDate = DateTime.MinValue;
			foreach(string symbol in DataSetSymbols)
			{
				Bars b = GetExternalSymbol(symbol, false);
				PrintStatusBar("Accessing: " + symbol);
				if (b.Count > 0 && b.Date[b.Count - 1] > recentDate)
					recentDate = b.Date[b.Count - 1];
			}
			string needUpdates = "";
			foreach(string symbol in DataSetSymbols)
			{
				Bars b = GetExternalSymbol(symbol, false);
				if (b.Count == 0)
					needUpdates += symbol + ", ";
				else if (b.Date[b.Count - 1] != recentDate)
					needUpdates += symbol + ", ";
			}
			if (needUpdates != "")
			{
				DrawLabel(PricePane, "The following Symbols appear to need data updates: " + needUpdates, Color.Black);
				PrintStatusBar("Need update: " + needUpdates);
				return;
			}
   
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			double Period = rsiPeriod.Value;		
   
			//Execute rotation strategy
			List<RSIHolder> list = new List<RSIHolder>();
			for(double bar = Period * 2; bar < Bars.Count; bar++)
			{
				//PrintStatusBar("Processing Bar " + bar);  // This slows things down considerably    
				//Identify the 3 symbols that have the lowest RSI
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						RSIHolder holder = new RSIHolder();
						holder.symbol = symbol;
						DataSeries dsRatio = FundamentalsRatio.PriceToRatioSeries( this, "sales turnover" );
						dsRatio.Description = "Price/Sales Ratio (annual)";
						holder.rsi = dsRatio;
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
    
				//keep top number (3 is initial default) only
				double c = list.Count;
				for(double i = c - 1; i >= number; i--)
					list.RemoveAt(i);
    
				//Close positions that are not in the new lowest 3
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = false;
					foreach(RSIHolder holder in list)
						if (holder.symbol == p.Bars.Symbol)
						{
							keepPosition = true;
							break;
						}
					if (!keepPosition)     
						SellAtMarket(bar + 1, p);           
				}
    
				//Buy new positions
				foreach(RSIHolder holder in list)
				{
					bool buyPosition = true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						BuyAtMarket(bar + 1);
						RestoreContext();
					}
				}
			}
			PrintStatusBar("Strategy completed!");
		}
  
		public double Compare(RSIHolder item1, RSIHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
	public class RSIHolder
	{
		internal string symbol;
		internal double rsi;
	}
}[/CODE]

shardis89

#10

2/25/2011 8:50 AM

Question I have is once this works will this strategy pull all stocks with the bottom x price/sales ratio or the stocks in my selected dataset?

Eugene

#11

2/25/2011 10:11 AM

There's quite a bit of changes that make no sense like defining the "bar" as double, turning the code into garbage. Let's start over with the "RSI Rotation" strategy.

Replace this:

CODE:
Please log in to see this code.

with what Cone suggested:

CODE:
Please log in to see this code.

Please keep from adding any other breaking changes e.g. public double Compare, thank you.

QUOTE:
Question I have is once this works will this strategy pull all stocks with the bottom x price/sales ratio or the stocks in my selected dataset?

Yes.

shardis89

#12

2/25/2011 12:03 PM

OK, Here is what I get.

error CS0029 @ (68,20): Cannot implicitly convert type 'WealthLab.DataSeries' to 'double'

Here is code

CODE:
Please log in to see this code.

Size:

Color:

OK, Here is what I get.

error CS0029 @ (68,20): Cannot implicitly convert type 'WealthLab.DataSeries' to 'double'

Here is code
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
 
namespace WealthLab.Strategies
{	
	public class RSIRotation : WealthScript, IComparer<RSIHolder>		
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter rsiPeriod;

public RSIRotation()
		{
			numberOfSymbols = CreateParameter("n Symbols", 3, 2, 10, 1);
			rsiPeriod = CreateParameter("RSI Period", 14, 6, 34, 2);
		}		
		
		protected override void Execute()
		{
			//Validate that all data is updated
			DateTime recentDate = DateTime.MinValue;
			foreach(string symbol in DataSetSymbols)
			{
				Bars b = GetExternalSymbol(symbol, false);
				PrintStatusBar("Accessing: " + symbol);
				if (b.Count > 0 && b.Date[b.Count - 1] > recentDate)
					recentDate = b.Date[b.Count - 1];
			}
			string needUpdates = "";
			foreach(string symbol in DataSetSymbols)
			{
				Bars b = GetExternalSymbol(symbol, false);
				if (b.Count == 0)
					needUpdates += symbol + ", ";
				else if (b.Date[b.Count - 1] != recentDate)
					needUpdates += symbol + ", ";
			}
			if (needUpdates != "")
			{
				DrawLabel(PricePane, "The following Symbols appear to need data updates: " + needUpdates, Color.Black);
				PrintStatusBar("Need update: " + needUpdates);
				return;
			}
   
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			int Period = rsiPeriod.ValueInt;		
   
			//Execute rotation strategy
			List<RSIHolder> list = new List<RSIHolder>();
			for(int bar = Period * 2; bar < Bars.Count; bar++)
			{
				//PrintStatusBar("Processing Bar " + bar);  // This slows things down considerably    
				//Identify the 3 symbols that have the lowest RSI
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						RSIHolder holder = new RSIHolder();
						holder.symbol = symbol;
						DataSeries psratio = Close / FundamentalDataSeries("sales turnover");
						holder.rsi = psratio;
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
    
				//keep top number (3 is initial default) only
				int c = list.Count;
				for(int i = c - 1; i >= number; i--)
					list.RemoveAt(i);
    
				//Close positions that are not in the new lowest 3
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = false;
					foreach(RSIHolder holder in list)
						if (holder.symbol == p.Bars.Symbol)
						{
							keepPosition = true;
							break;
						}
					if (!keepPosition)     
						SellAtMarket(bar + 1, p);           
				}
    
				//Buy new positions
				foreach(RSIHolder holder in list)
				{
					bool buyPosition = true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						BuyAtMarket(bar + 1);
						RestoreContext();
					}
				}
			}
			PrintStatusBar("Strategy completed!");
		}
  
		public int Compare(RSIHolder item1, RSIHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
	public class RSIHolder
	{
		internal string symbol;
		internal double rsi;
	}
}
[/CODE]