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Peter Gum
2011-04-01 09:41:59
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I have a dynamic watchlist. To that I would like to add (union) another static watchlist. When I "Add condition" and 'include' an 'Internal List' it does not give me the union; it gives me the intersection. The 'union' function is needed to guarantee that the stocks in the static list appear in the 'final' watchlist.
When rebalancing a portfolio against a dynmic watchlist it is necessary to manually force (union) any bought positions into the watchlist. If that is not done the strategy does not detect cover-triggers since the stocks may not be in the newest (dynamic-alone) watchlist.
~Pete
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QuantShare
2011-04-01 13:01:48
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To create the union of two conditions:
- Add the first condition
- Add the "And Operator" condition (first one in the list)
- Add the second condition
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Peter Gum
2011-04-01 14:44:53
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In this case the first condition is a static list of symbols to be excluded. That seems to be working (without 'and' before it).
The second condition is not working. I added 'and' then added (checked to include) another static list. A few more symbols were added to the final watchlist after that but not all of them, crucially one stock that is 'bought' in the portfolio is absent.
Are these added symbols somehow being screened out by the subsequent script steps? There would have to be some way around that. All of the static choices should apply after all dynamic screening is finished.
~Pete
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QuantShare
2011-04-02 06:44:45
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Best Answer
Symbol conditions are applied before the screening. The role of these conditions is to select the stocks that will be used in screening.
If you want to include symbols of static list A, even if they don't pass the dynamic watchlist filters, then you have 2 choices:
- Create another watchlist that is the union of the dynamic watchlist and the static list A
- Update the dynamic watchlist formula and include the following line:
filter = filter or IsInList(_Watchlist, "Watchlist Name");
-> Change "Watchlist Name by the name of your watchlist.
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Peter Gum
2011-04-02 10:25:46
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Beautiful! And simple (now that you point it out). Thank you very much. I am looking forward to some interesting results as things move forward.
One further point on automation convenience: when the strategy (portfolio) buys (or sells), is there a programable way of updating a named watchlist? The static watchist mirrors the holdings of the portfolio, needed to cause recognition of the triggering of exit conditions on owned stocks that may no longer pass the dynamic filter. Is there a programable way to update the static watchlist when a stock is added to or deleted from the portfolio? Or from within the strategy?
Thanks. It looks like this is developing into something rather userful. Certainly the portfolio will be marching ahead on signals derived from timely information.
~Pete
(BTW, congratulations on mention in the "Computerized Investing" magazine of AAII.)
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QuantShare
2011-04-04 06:05:35
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Thank you Pete.
It is possible to copy, for example, the opened stock positions to the clipboard. But it not possible to update programmatically a static watchlist.
However, we can add an option in "Symbols Selection" so you can create a dynamic watchlist that automatically gets a portfolio open positions.
In "Internal List" condition and after you click on "Click to select an internal list", you can select "Portfolio" and then the portfolio name.
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Peter Gum
2011-04-04 07:03:01
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I like the idea and it would certainly be convenient in my particular case. Thinking more generally, I guess that solves a problem for anyone who attaches a dynamic watchlist to a portfolio? I also wonder a bit about how this will fit in with running live? And just to round out unfinished thoughts, I wonder whether some of the handling could/should be implicit rather than explicit? I need to think on this some ...
Thanks putting an idea on the table.
~Pete
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QuantShare
2011-04-05 07:13:19
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After the portfolio is updated you just need to refresh the watchlist to reflect the portfolio changes.
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Peter Gum
2011-04-05 09:15:41
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Thanks. It would make things convenient for me. Would sells from the portfolio be also automatically reflected in the dynamic watchlist?
~Pete
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QuantShare
2011-04-05 10:23:42
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Yes, the dynamic watchlist will get exactly the portfolio positions. If a stock is sold then it will be removed from the watchlist.
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