Inconsistent backtest results with symbol rotation

trader rog

#1

10/2/2009 12:06 PM

When I backtest my symbol rotation rsi strategy, I get different results each time. I looked at the Priority Property example in the user guide, but am not sure how it would apply to a symbol rotation script. Can someone please tell me if what I did below is correct? I now get consistent backtest results, but just not sure that the results are right.

CODE:
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Eugene

#2

10/2/2009 12:17 PM

To apply priority to a position (in any kind of strategy), check if the position has been created (i.e. not null):

CODE:
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trader rog

#3

10/2/2009 12:42 PM

I tried what you suggested and I get the same results as what I had before. I guess that means everything is ok?

Cone

#4

10/3/2009 4:44 PM

Doesn't sound like it. You should provide the Wealth-Lab product/version, script, DataSet, scale, etc. (all details) so that we can duplicate what you're seeing to determine the cause.

trader rog

#5

10/7/2009 9:30 AM

I am using Pro 5.5, the scale is daily, data range is 1 year, position size is 10% equity and the DataSet is Dow 30.

CODE:
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I am using Pro 5.5, the scale is daily, data range is 1 year, position size is 10% equity and the DataSet is Dow 30.

[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()
		{
			DataSeries ma = null;			
			DataSeries RSISeries = null;			
			DataSeries ma_1 = null;
				
			//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 = 201; bar < Bars.Count; bar++)
			{
				
				//Identify the symbols that have the lowest RSI
				list.Clear();
				
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					
					ma = SMA.Series(Close, 50);			                
					RSISeries = RSI.Series(Close, 14);
												
					if ((Bars.FirstActualBar < bar)
						&& (Close[bar] > 5) && (Close[bar] > ma[bar])
						&& (RSISeries[bar] < 50)
						&& (ATR.Series(Bars,20)[bar] > 1.0))
					{	
						RSIHolder holder = new RSIHolder();
						holder.symbol = symbol;
						holder.rsi = RSI.Series(Bars.Close, Period)[bar];
						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);
    
				//Exit rules
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					{
					SetContext(p.Bars.Symbol, true);
					ma_1 = SMA.Series(Close, 5);
					bool cond1 = (Close[bar] > ma_1[bar]);						
					bool cond2 = (bar - p.EntryBar >= 3);
					if (cond1||cond2)							
						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);
							if( BuyAtMarket(bar + 1) != null)	
								LastActivePosition.Priority = (RSISeries [bar]);
							RestoreContext();
						}
				}
			}
		}
  
		public int Compare(RSIHolder item1, RSIHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
	public class RSIHolder
	{
		internal string symbol;
		internal double rsi;
	}
}
[/CODE]

Cone

#6

10/7/2009 9:48 AM

How many symbols do you have selected in the slider? (If it's 10, then the answer to the question becomes obvious.)

Are you clicking only 1 symbol to run the Strategy?

trader rog

#7

10/7/2009 10:06 AM

I have 3 symbols in the slider and yes I click 1 symbol to run the strategy (in this case, AA). As a side note, why would it be obvious if it was 10? I am not sure how that would be important.

Cone

#8

10/7/2009 10:18 AM

With 10% sizing and 10 symbols, you're likely not to have enough cash to enter

Using daily, data range 1 year, position size 10% equity, starting Equity $100,000, Dow 30, Fidelity Gold commissions, no Slippage, no Round lots, no interest applies, and not using a Worst-Case Simulation, I get a Net Profit of $2,786.09 no matter which symbol I click in the Dow 30.

Do me a favor and set up those preferences click AA, and then click "Go". What's your Net Profit?

Edit:
10 symbols at 10% is 100% of equity, which will occasionally keep 1 trade from being entered due to gaps, and that trade may be different with each backtest if the script does not specify Position.Priority... but now that I see that it does specify Priority, this would not matter. :)

trader rog

#9

10/7/2009 10:28 AM

I get a Net Profit of $2,553.98.

Cone

#10

10/7/2009 12:02 PM

1. Is your Dow 30 list current? Is mine?
AA AXP BA BAC CAT CSCO CVX DD DIS GE HD HPQ IBM INTC JNJ JPM KFT KO MCD MMM MRK MSFT PFE PG T TRV UTX VZ WMT XOM

2. Is your Net Profit consistent for the same symbol? Other symbols?