Screen for Top 3 stocks - Wealth Lab Forum

mgrech004

#1

6/6/2011 9:28 PM

I am essentially trying to build a simple screen that finds me the biggest losers from a list of stocks by comparing the open for the day with the previous close.

Hi,

From the "Open Strategy" dialog, load any canned strategy from the "Symbol Rotation" folder. This is going to save a great deal of coding time since this is the design pattern for building strategies that work with "Top N" (or Bottom N) stocks.

1) See above.

2) Rotation strategies are backtested in Single Symbol mode.

Cone

#3

6/7/2011 3:50 PM

First thing, read the Description so that you can work properly with a rotation script. Essentially, you should click on only one symbol in the DataSet to run the script.

Second, give us a better description of what you're trying to do so that we can give you the proper guidance. You may actually want to do something entirely different than "symbol rotation".

Eugene

#4

6/7/2011 4:08 PM

Related link: FAQ | Strategies and WealthScript > Rotation strategies

mgrech004

#5

6/8/2011 12:42 PM

I am essentially trying to build a simple screen that finds me the biggest losers from a list of stocks by comparing the open for the day with the previous close.

Cone

#6

6/8/2011 1:21 PM

QUOTE:
I am essentially trying to build a simple screen that finds me the biggest losers from a list of stocks by comparing the open for the day with the previous close.

Please continue. What do you want to do with the losers after that? Be specific. Step by step.

Cone

#7

6/9/2011 2:00 PM

As you said initially, this is just a screener, so that takes away a lot of the complexity of a Rotation-type script.

Okay, what's the ranking rule? i.e., what makes a loser a bigger loser?

Cone

#8

6/9/2011 2:16 PM

Let's just assume that it's the Rate of change (%) over a specified period. You can change the indicator as you wish, where indicated in the script.

Instructions:
1. Paste, compile.
2. Update the DataSet
3. Click on one symbol in the DataSet to run the script.

CODE:
Please log in to see this code.

Size:

Color:

Let's just assume that it's the Rate of change (%) over a specified period.  You can change the indicator as you wish, where indicated in the script.

[b]Instructions: [/b]
1. Paste, compile.
2. Update the DataSet
3. Click on one symbol in the DataSet to run the script.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
 
namespace WealthLab.Strategies
{	
	public class SortAndShortTheLosers : WealthScript, IComparer<IndicatorHolder>		
	{
		private StrategyParameter _numberOfSymbols;
		private StrategyParameter _period;

public SortAndShortTheLosers()
		{
			_numberOfSymbols = CreateParameter("n Symbols", 3, 2, 10, 1);
			_period = CreateParameter("Period", 10, 1, 34, 1);
		}		
		
		protected override void Execute()
		{
			int number = _numberOfSymbols.ValueInt;
			int Period = _period.ValueInt;		
			int bar = Bars.Count - 1;		/* For a screener, we just use the most-recent bar in the chart */

//Execute rotation strategy
			List<IndicatorHolder> list = new List<IndicatorHolder>();
			list.Clear();
			foreach(string symbol in DataSetSymbols)
			{
				SetContext(symbol, true);
				if (Bars.FirstActualBar < bar)
				{
					IndicatorHolder holder = new IndicatorHolder();
					holder.symbol = symbol;					
					holder.indicator = ROC.Series(Bars.Close, Period)[bar];  /* this is the ranking value at the most-recent 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);				
			
			// Short what remains in the list			
			foreach(IndicatorHolder holder in list)
			{
				SetContext(holder.symbol, true);				
				ShortAtMarket(bar + 1);
				DrawLabel(PricePane, holder.symbol + ": " + holder.indicator.ToString("0.0000"));
			}
			RestoreContext();
		}
  
		public int Compare(IndicatorHolder item1, IndicatorHolder item2)
		{
			return item1.indicator.CompareTo(item2.indicator);
		}
	}
	public class IndicatorHolder
	{
		internal string symbol;
		internal double indicator;
	}
}[/CODE]