How do I use variables in Money Management Scripts?

How do I use variables in Money Management Scripts?

Russ
2010-09-28 22:13:28

I am trying to write a script that will close a position when a position closes below a trailing variable. I want to set (or update if it has been set already) my stop if:

1) sma(close, 20) < sma(close, 50) (20 day sma is less than the 50 day sma on the current bar)
AND
2) ref((sma(close,20),1) > ref((sma(close,50),1) (yesterday's 20 day sma is greater than yesterday's 50 day sma)

If these two conditions are true I want to set a variable (I use "stop") equal to the close of the current bar * 0.95 (stop = close*0.95)

Last of all, if the close of any future bar is less than "stop", I would like to close the position. Here is my first attempt at writing a script, I am fairly certain I butchered it.
If someone could post a working script for this and/or point out where my code is wrong I would greatly appreciate it. I only run a simulation on 1 symbol (^DJI) in order to
simplify the setting of variables since with multiple symbols I believe you might have to make an array of the variable "stop"??? Listed below is my code:

OnNewPosition:

Variables.SetVariable("stop", 0);

OnEndPeriod:

if (Portfolio.GetNumberOfPositions("long") > 0) // this code doesn't need to run if there are no active positions.
{

MMPosition[] positions = Portfolio.GetOpenPositions();
for(int i=0;i<positions.Length;i++)
{
MMPosition pos = positions[i];

MMParser parser = Data.ParseFormula("b = close");
TimeSeries b = parser.GetTimeSeries(pos.Symbol, "b");

MMParser sma20parser = Data.ParseFormula("sma20 = sma(close,20)");
TimeSeries sma20 = sma20parser.GetTimeSeries(pos.Symbol, "sma20");

MMParser sma50parser = Data.ParseFormula("sma50 = sma(close,50");
TimeSeries sma50 = sma50parser.GetTimeSeries(pos.Symbol, "sma50");

if (sma20[0] < sma50[0])
{
if (sma20[-1] > sma50[-1])
{

Variables.SetVariable("stop", b[0] * 0.95);

}
}

if (b[0] < (double)Variables.GetVariable("stop"))
{

Functions.SellPosition(pos.Symbol, Orders.OpenMarketOrder());

}

} // end for
} // end inital if

When I run a simulation with this script it does not execute and I get the following error message:

Error: OnEndPeriod : Event 'OnEndPeriod': Specified cast is not valid.

Also runs really slow, takes more than 1 minute to run on 1 symbol...

Please help! :)

QuantShare
2010-09-29 05:58:43

Best Answer

Hi,

Five important things first:

- sma20[-1] refers to a future bar. You should use sma20[1] instead to refer to yesterday.

- You get the "Specified cast is not valid" error because variable "stop" is of type Integer.
In OnNewPosition you should use: Variables.SetVariable("stop", (double)0);

- You forgot the closing parenthesis "sma(close,50" in the following line:
MMParser sma50parser = Data.ParseFormula("sma50 = sma(close,50");

- You forgot the semi-colon at the end of each formula inside the "ParseFormula" function.

- Use the "Divers.Output" function to debug a money management script. Output data will be displayed under the "Details" tab in the simulation report.

Here is a modified version of your script:
if (Portfolio.GetNumberOfPositions("long") > 0)
{
MMPosition[] positions = Portfolio.GetOpenPositions();
for(int i=0;i<positions.Length;i++)
{
MMPosition pos = positions[i];
if(pos.Var1 == null) // Otherwise the stop is already set
{
MMParser parser = Data.ParseFormula("sma20 = sma(close,20);sma50 = sma(close,50);");
TimeSeries sma20 = parser.GetTimeSeries(pos.Symbol, "sma20");
TimeSeries sma50 = parser.GetTimeSeries(pos.Symbol, "sma50");
TimeSeries close = Data.GetPriceSeries(pos.Symbol, "close");

if (sma20[0] < sma50[0] && sma20[1] > sma50[1])
{
pos.Var1 = close[0] * 0.95;
}
}

// Check the stop
if(pos.Var1 != null)
{
double stop = (double)pos.Var1;
TimeSeries close = Data.GetPriceSeries(pos.Symbol, "close");
Divers.Output("Check Stop: " + close[0] + " - Stop: " + stop);
if(close[0] < stop)
{
Functions.SellPosition(pos.Symbol, Orders.OpenMarketOrder());
}
}

} // end for
} // end inital if

Note that I have executed your script and the above one on 1 symbol and it took less than 3 seconds.
Note also that you can use the "Trailing Stop" option on the "Update Trading System" form.

Please let me know if you have any questions.

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