Money Management Script variables and more

Money Management Script variables and more

Russ
2010-11-08 21:45:15

I would like to write a script that will only buy individual stocks when a secondary symbol (in this case ^DJI) meets an entirely different set of criteria than the buy and sell criteria used to purchase/sell individual stocks.

For example, here is how I envision the code working:

int dowbuy;

if (10 day sma of the close of ^DJI > 20 day sma of the close of ^DJI)
{
dowbuy = 1;
}

if (10 day sma of the close of ^DJI < 20 day sma of the close of ^DJI)
{
dowbuy = 0;
}

// Individual Stock buy criteria

if (dowbuy == 1)
{
if (close of individual stock == Highest.Value(last 100 periods)
{
BuyPosition
}
}

if (dowbuy == 0)
{
Sell Position
}

if (close of individual stock < 20 day sma of the close of the individual stock)
{
Sell Position
}

I apologize for this being a very rough set of code, I've only used Fidelity's Wealth Lab Pro in the past and am much more familiar with the structure of that program. Any help would be greatly appreciated.
I appear to be having a difficult time understanding how to declare a variable and have it's value stay the same for multiple periods.

QuantShare
2010-11-09 04:01:00

Best Answer

- You can use the QuantShare vector-based language to create such strategy.
Example:

djiRule = Ticker("^DJI",close,LastData);
rule1 = sma(djiRule, 10) > sma(djiRule, 20);
rule2 = (close == hhv(100));
buy = rule1 AND rule2;

- Using the money management script to check for a specific value:

MMParser parser = Data.ParseFormula("a = sma(10) > sma(20);");
TimeSeries dji = parser.GetTimeSeries("^DJI", "a");
int dowbuy = (int)dji[0];

- To persist a variable value across multiple periods, use the "Variables" class:
Variables.SetVariable("variable name", 10);
int result = (int)Variables.GetVariable("variable name");

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