Set Global variable and running calculation Functions in MM script

Set Global variable and running calculation Functions in MM script

Kiran
2016-02-29 20:38:14

I'm tracking portfolio equity curve for different iterations of weight-allocations, and running into 2 issues -

1) I set a global Dictionary called equityGrid with weights Tuple as a key and equity curve TimeSeries as value - this is giving a compilation error - how do i declare this, so i can use it in OnBarPeriod?
SetVariable("equityGrid", new Dictionary<Tuple<int, int>, TimeSeries>());

2) I need to use 3 functions (ref, sharpe, stddev) in OnEndPeriod (to calculate return and sharpe ratio for this equity curve), but not sure how to code it so it gets parsed ..
ret = (curEquity[0] - ref(curEquity, lookback))/ref(curEquity, lookback));
sharp = sharpe(curEquity, lookback);
vol = stddev(curEquity, lookback);

If Data.ParseFormula( ) should be used, I don't know how to pass it the curEquity TimeSeries - Please advise code for this command.

thanks
Kiran

QuantShare
2016-03-01 02:45:28

1/ Use KeyValuePair instead of tuple. They are the same. Tuple is not supported in the .Net Framework 2.0

2/ Unfortunately, this isn't possible. You cannot pass the "curEquity" series to the parser. You need to implement the standard deviation function from scratch then the Sharpe.

Example:
http://www.martijnkooij.nl/2013/04/csharp-math-mean-variance-and-standard-deviation/

Kiran
2016-03-01 16:27:04

I'm using TimeSeries objects to store calculated values at each bar in my MM OnEndBar event.
I get a compilation error when i try to assign a value to the latest TimeSeries element - for example this assignment to curEquity[0] doesn't work
curEquity[0] = (i*close[0][0] + j*close[1][0] + (100-i-j)*close[2][0])/100.0;

How do i declare a time series vector in MM so i can assign values to each bar, plot it and use its past values in calculations - for example, also want to do this ..
perf = (curequity[0] - curequity[lookback])/curequity[lookback];

//// Sample code snippet
TimeSeries[] close;
close[0] = Data.GetPriceSeries(symbols[0], "close");
close[1] = Data.GetPriceSeries(symbols[1], "close");

Dictionary<string, TimeSeries> equityGrid = new Dictionary<string, TimeSeries>();
TimeSeries curEquity;
double maxsharp=-1000, maxret=-1000;

// Build equity curve for every allocation
for (int i=0; i<=100; i+=5) {
for (int j=i; j<=100; j+=5) {
string key = i.ToString() + "," + j.ToString();
curEquity = equityGrid[key];
curEquity[0] = (i*close[0][0] + j*close[1][0] + (100-i-j)*close[2][0])/100.0;
equityGrid[key] = curEquity;

Kiran
2016-03-01 21:01:17

I tried to use Dictionary instead of TimeSeries, so i can store values in a List inside the Dictionary on each bar. Something like -
- Dictionary<string, List<double>> equityGrid = new Dictionary<string, List<double>>();

However, defining it locally in OnEndPeriod event doesn't seem to help as it doesn't retain the values in the list in the next OnEndPeriod bar. So, I tried Global definition as described in the document, but it gives a compilation error -
- SetVariable("equityGrid", new Dictionary<string, List<double>>());

1) Please advise how to define this Global dictionary, so i can store a value (equity value) at each bar in a List inside this dictionary.

2) Pl also address my earlier question reg how to store values in TimeSeries if possible - that would simplify the code dramatically, as i don't need to deal with Lists inside Dictionaries.

QuantShare
2016-03-02 08:43:31

TimeSeries are readonly, you can use any other array or list to store values. Dictionary is good.

Do not declare the dic in OnEndPeriod but instead in the "Global" event if you want to use it in any other event.

Kiran
2016-03-02 10:16:03

I tried declaring in Global event as described below, but it gives a compilation error -
- SetVariable("equityGrid", new Dictionary<string, List<double>>());

Please advise the declaration format that would work..
Do i need to also declare in the OnEndPeriod event?

thanks
Kiran

QuantShare
2016-03-02 10:29:59

There is no SetVariable function. It should be: Global.SetVariable

Also, in the "Global" event (has nothing to do with the "Global" class), you should just declare the variable.

Example:
Dictionary<string, double[]> equityGrid = new Dictionary<string, double[]>();

You can now access "equityGrid" variable directly in other events.

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