How to run code with external data imported by FillSeriesFromFile in portfolio mode?

llhk

#1

8/11/2015 5:40 AM

My problem is my strategy using external data by FillSeriesFromFile, synchronize them and plotting chart. All above are working fine, but it can only work by clicking "Run the strategy" in "Editor" tab every time for each symbol, but not workable on whole dataset.

Even clicking each symbol, it won't run automatically as usual, but need to click the above "Run the strategy" button.

Note: I use the symbol name as the file name for getting the external data.

CODE:
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Eugene

#2

8/11/2015 6:27 AM

Please show the complete code. Sounds like you mistakenly defined some DataSeries as a class level variable.

llhk

#3

8/11/2015 10:21 PM

I put my DataSeries outside the if condition as it is not allowable.

Here you are:

CODE:
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Size:

Color:

I put my DataSeries outside the if condition as it is not allowable.

Here you are:
[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

using System.IO;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		string filename;
		
		bool hasData1 = false;
		bool hasData2 = false;

protected override void Execute()
		{
			int holding_period = 120;
			double stop_loss = 0.1;
			int delay_buy_after_loss = 30;
			
			string path = @"C:\data_source\";
			
			
			ChartPane p1 = CreatePane( 30, false, true );	
			ChartPane p2 = CreatePane( 30, false, true );
			ChartPane pA = CreatePane( 30, false, true );

DataSeries ds1 = new DataSeries(Bars, "ds1");
			DataSeries ds2 = new DataSeries(Bars, "ds2");
			
			// margin call of individual symbol
			filename = path + "ds1\\" + Bars.Symbol.ToString() + ".txt";
			if (File.Exists(filename))
			{
				ds1.FillSeriesFromFile( this, filename, Char.Parse(","), "yyyyMMdd", true );
				
				hasData1 = true;
				
				ds1 = Synchronize( ds1 );
				
				PlotSeries( p1, ds1, Color.Blue, WealthLab.LineStyle.Solid, 2);
			}
			
			// margin short of individual symbol
			filename = path + "ds2\\" + Bars.Symbol.ToString() + ".txt";
			if (File.Exists(filename))
			{
				ds2.FillSeriesFromFile( this, filename, Char.Parse(","), "yyyyMMdd", true );

hasData2 = true;
				
				ds2 = Synchronize( ds2 );
			
				PlotSeries( p2, ds2, Color.Green, WealthLab.LineStyle.Solid, 2);
			}

// ratio
			if (hasData1 & hasData2)
			{
				DataSeries ds_ratio = (ds2 / ds1) * 100;
				
				PlotSeries( pA, ds_ratio, Color.Purple, WealthLab.LineStyle.Solid, 2);
			}

int delay_bar = 0;
			if (hasData1 & hasData2)
			{
				SMA sma1 = SMA.Series(Close, 10);
				SMA sma2 = SMA.Series(Close, 100);
				
				for(int bar = 20; bar < Bars.Count; bar++)
				{
					if (IsLastPositionActive) {
						Position p = LastPosition;
						if (bar + 1 - p.EntryBar >= holding_period)
						{	
							ExitAtMarket(bar + 1, p);
						}
						else
						{
							if (SellAtStop(bar + 1, p, p.EntryPrice * stop_loss, "Stop at " + _stop_loss.Value + "%"))
								delay_bar = bar + delay_buy_after_loss;
						}
					}
					else if (PeakDivergence(bar, ds2, 9, p2, ds1, 5, p1))
						if ( (sma1[bar] < sma2[bar]) && (bar > delay_bar) )
							BuyAtMarket(bar + 1);
				}
				
			}
				
			
		}
		
		// Returns true if divergence with indicator detected on the specified bar
		public bool PeakDivergence(int bar, DataSeries price, double pctRev1, ChartPane indPane1, DataSeries ind, double pctRev2, ChartPane indPane2)
		{
			bool divergeDetected = false;
			
			PeakTroughMode mode = PeakTroughMode.Percent;
			
			int pb1 = (int)PeakBar.Value(bar, price, pctRev1, mode);
			
			if (pb1 > _barLastChecked) {
				_barLastChecked = pb1;
				
				int pb2 = (int)PeakBar.Value(pb1, price, pctRev1, mode);
				
				if (pb2 > -1) {
					int testBar = Math.Min(bar, pb1 + proxBars);
					int ibar1 = (int)PeakBar.Value( testBar, ind, pctRev2, mode);
					
					// test peak proximity
					if (Math.Abs(pb1 - ibar1) > proxBars) ibar1 = pb1;
					
					int span = Math.Min(pb1 - pb2 - 1, proxBars);
					
					testBar = Math.Min(ibar1 - 1, pb2 + span);
					
					int ibar2 = (int)PeakBar.Value( testBar, ind, pctRev2, mode);
					
					if (ibar2 < 0) ibar2 = 0;
					
					if (Math.Abs(pb2 - ibar2) > proxBars) ibar2 = pb2;
					
					divergeDetected = Math.Sign(price[pb1] - price[pb2]) != Math.Sign(ind[ibar1] - ind[ibar2]);
					
					if (pb2 > pb1)
					
					if (divergeDetected) {
						// Highlight bar detected
						SetPaneBackgroundColor(indPane1, bar, Color.FromArgb(40, Color.Blue));
						
						DrawLine(indPane1, pb1, price[pb1] * 1.01, pb2, price[pb2] * 1.01, Color.Blue, LineStyle.Solid, 2);
						
						DrawLine(indPane2, ibar1, ind[ibar1] * 1.01, ibar2, ind[ibar2] * 1.01, Color.Red, LineStyle.Solid, 2);
						
						if (Math.Sign(price[pb1] - price[pb2]) == 1)
							for (int b = pb2; b <= pb1; b++)
								SetPaneBackgroundColor(indPane2, b, Color.FromArgb(40, Color.Red));
					}
				}
			}
			return divergeDetected;
		}
		private const int proxBars = 6;
		private int _barLastChecked = 0;
		
		
	}
}
[/code]

Eugene

#4

8/12/2015 2:27 AM

These are class level variables and what you described distinguishes them from others defined in the "body" of Execute():

CODE:
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This peculiarity of variables is not all 'bad' as it allows to create useful workarounds like...

WealthScript Techniques | Don't execute Strategy on open

So, move the definitions into the Execute() routine.

llhk

#5

8/12/2015 3:41 AM

CODE:
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it is correct? I still got exactly the same problem~

Eugene

#6

8/12/2015 4:11 AM

Correct. You can not have exactly the same problem after Compile+Go or "Run Strategy". Works perfectly.

llhk

#7

8/12/2015 5:17 AM

Nope, i couldn't do so after Compile. I need to click "Run Strategy" every time to get the results for single symbol, for another code, i can do so by just clicking the particular symbol under the left datasets panel, the strategy will run itself.

I should say that the code run but no result (only "Buy & Hold" has results in Performance Tab), but if i click the "Run Strategy", the result comes out.

For whole dataset, by clicking "Run Strategy" again, only 2 trades done. (The position size is fixed amount)

Eugene

#8

8/12/2015 6:12 AM

What you are describing simply can not happen if you've re-implemented everything properly. I double checked that everything works with some dummy data from CSV file.

1. First of all, make sure the code is free from glaring errors like this one:

CODE:
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i.e. starting the trading loop at bar 20 when using a 100-period SMA for making trades.

2. Your published code doesn't even compile. Although the fix is evident to me, the difference between what you post and what you actually run has great sense.

3. I'd suggest to copy the code into a brand new Strategy window.

4. Next, you don't really need hasData because it's superfluous. Being an integer, FillSeriesFromFile already returns the number of processing errors so your code may continue processing when it's 0 (no errors encountered).

5. Finally, mind the strategy message queue in the Editor -- there can be runtime error messages you're overlooking and that could explain the lack of results.

To stress my point, everything works here and if you want to prove otherwise, please debug your strategy first and then present a complete case that includes: actual code (that compiles), ASCII data (or symbol names if it could be replaced by some publicly accessible data e.g. Yahoo or Google), external data series, data loading settings, position sizing. Thanks.