Get the Previous N bar Date/DateTime in Money Management script

Get the Previous N bar Date/DateTime in Money Management script

Back to threads - Tags: Money Management

Borbely Zsolt
2020-06-02 19:28:31

Hi,

In the Advanced Money Management script I can get the current bar date using the following function: Divers.CurrentDate.
Is there a way to get the previous n bar Date?
As not all weekdays are trading days, I can't find a strait forward way to get the previous n bar date.

I was trying to create a custom function (BarDateTime) and return the Date string in the result vector, but when I try to call my custom function with ParseFormula, the function always returns 0;

BarDateTime function:
----------------------------------------------------------------------------

int n = (int)N[0];
for(int i = 0;i<cFunctions.Date.Length;i++)
{
int shift = i + n;
if(shift > 0 && shift < cFunctions.Date.Length)
{
result.SetValue(i, cFunctions.Date[shift].ToString());
}
else
{
result.SetValue(i, String.Empty);
}
}
---------------------------------------------------------------------------

This is how I try to call in the Money Management script using the Data.ParseFormula:
TimeSeries twoDaysBeforeToday = Data.ParseFormula("a = BarDateTime(2);").GetTimeSeries(symbol, "a");
twoDaysBeforeToday[0] is always 0 even if I write the BarDateTime function result to the Global.Trace then I can see that I have valid values in the result object.

for(int index=0;index<result.Length;index++)
{
Global.Trace("Index: " + index + " - Value: " + result[index]);
}

Am I using the Data.ParseFormula correctly?
Is there an easier way to get the previous n bar Date?

Please advice!

Thanks,
Zsolt

Borbely Zsolt
2020-06-03 05:26:30

Meantime I have found a working solution for my problem, I have used the day, month, year QS functions to get the date for the N bar.

Here is the code:
----------------------------------------------------------------------------------------------------------------------------
public DateTime BarDate(MMData data, string symbol, int N){
TimeSeries day = data.ParseFormula("a = ref(day(), " + N + ") ;").GetTimeSeries(symbol, "a");
TimeSeries month = data.ParseFormula("a = ref(month(), " + N + ") ;").GetTimeSeries(symbol, "a");
TimeSeries year = data.ParseFormula("a = ref(year(), " + N + ") ;").GetTimeSeries(symbol, "a");
DateTime result = new DateTime((int)year[0], (int)month[0], (int)day[0]);
return result;
}
-----------------------------------------------------------------------------------------------------------------------------

This works for me as I expected.
Could you please confirm that this is a good or the best solution for my problem.

Thanks,
Zsolt

QuantShare
2020-06-03 12:53:12

Best Answer

Hi Zsolt,

Another solution, would be to create a list in the Global event and store the Divers.CurrentDate date on each "OnEndPeriod" event.
Then you can access the previous N item of the list easily.

Borbely Zsolt
2020-06-03 17:23:52

Thank you for your response.
The solution I have found looks more flexible than the one with "OnEndPeriod" because it can be used with bars in past and in the future as well. With the "OnEndPeriod" you can access only the previous bars but not the future bars.

Thanks
Zsolt

QuantShare
2020-06-04 10:12:44

Yes, you are right. But the one I proposed will run much faster.

Borbely Zsolt
2020-06-04 18:35:37

Thank you for your support. Your argument makes sense.

Get more messages

No more messages

Back


Trading Items Long strategy created with the money management tool Return per Bar Stop - Money Management Strategy Investing in stocks using the Kelly criterion money management st... Money management to Reject Trading Positions Based on their Past ... Money Management System to Split Order Into Smaller Pieces	How-to Lessons How to calculate the average of a time series using the money man... How to get stocks for a particular index using the global script How to debug a trading system using the money management tool How to install the previous version of QuantShare How to change volume bar colors when the price closes down
Related Forum Threads Money Management script and exit options in the wizard Advance Money Management Script debug. Can a Money Management script access a custom function? Money Management Script variables and more Advanced Money Management	Blog Posts Basic trading system implemented using the money management tool Create a trading strategy using the money management tool - Part ... Create a trading strategy using the money management tool - Part ... Several money management strategies in a trading system Money Management: Optimize the scale-in strategy