Transforming a SAR crossover system into Rotation strategy?

Author: Christos

Creation Date: 5/16/2011 5:44 AM

Wealth Lab » Trading Strategies » Transforming a SAR crossover system into Rotation strategy?

Christos

5/16/2011 5:44 AM

I am running the below strategy on a Dataset of 5 stocks and I would like to recode that so as to run as a rotation strategy (by just selecting one symbol from within the same dataset). I have made several attempts to do it myself but I get different results if I chose different symbols from within the DataSet and apperently the results are different from those when I run the same strategy on a portfolio mode. Could you help me coding as a rotation stratgy?

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

namespace WealthLab.Strategies
{
	public class SARStrategy : WealthScript
	{
		protected override void Execute()
		{
			
			DataSeries maFast = KAMA.Series(Close, 3);
			DataSeries maSlow = KAMA.Series(Close, 10);			
			PlotSeries(PricePane,maFast,Color.Red,LineStyle.Solid,2);
			PlotSeries(PricePane,maSlow,Color.Green,LineStyle.Solid,2);			
			for(int bar = 30; bar < Bars.Count; bar++)
			{
				
				// Detect crossover/crossunder and store state in a variable
				bool maXo = CrossOver(bar, maFast, maSlow);
				bool maXu = CrossUnder(bar, maFast, maSlow);
					
				// The first trade
				if (Positions.Count == 0){
					if ( maXo ) 
						if(BuyAtMarket( bar + 1 )!=null) LastActivePosition.Priority = ER.Series(Close,5)[bar];
					else if( maXu )
						if(ShortAtMarket( bar + 1 )!=null) LastActivePosition.Priority = ER.Series(Close,5)[bar];
				}
					// Subsequent trades
				else 
				{
					Position p = LastPosition;				
					if ( p.PositionType == PositionType.Long ) 
					{
						if ( maXu ) 
						{
							SellAtMarket( bar + 1, p );
							ShortAtMarket( bar + 1 );
						}
					}
					else if ( maXo ) 
					{
						CoverAtMarket( bar + 1, p );
						BuyAtMarket( bar + 1 );
					}
				}				
			}
		}
	}
}

[/CODE]

Eugene

5/16/2011 6:05 AM

To convert a crossover/crossunder strategy into a rotational strategy, first you need to answer yourself and us this simple question: how do you envision it. Rotational strategies pick some Top N symbols which satisfy a criteria like e.g. indicator value. On the other hand, unless you have a clear set of rules it does not make sense to convert the stop-and-reverse Xover/Xunder strategy which by definition is binary i.e. "there is a signal" or "there is no signal".

Christos

5/16/2011 6:22 AM

I definitelly aggree with you! The thing is that I do not want to pick some N symbols and this is why this made no sense to you in the first place!

Cone has developed a PortfolioTracker Class (see: /Forum/Posts/Limit-Monthly-Drawdown-Portfolio-Equity-Tracker-31562 )
which calculates equity curve, drawdown and drawdownpct along with the trading loop signals (if you use SetShareSize in position sizing options). It seems to me that this class would work properly on a portfolio backtesting basis only if the strategy contains a "foreach(string sym in DataSetSymbols)" loop.
So, as you understand the reason for such a recoding is purely based on a another class' functionality.

Christos

5/18/2011 1:53 AM

Should I suppose that my question is too stupid to receive an answer?

Eugene

5/18/2011 2:08 AM

I'm not familiar yet with the PortfolioTracker class so please count me out.

I know how super busy is Cone now with version 6.2 troubleshooting, so if he couldn't answer your question right away there is nothing to worry about. WL 6.2 has absolutely TOP priority now that the new version is scheduled for release within a month.