Money Management Scripting - Trading Software

Money Management Scripting

Stefan Kroscen
2010-10-30 18:38:57

What do the values in GetBuySignals and GetSellSignals signify in the OnEndPeriod event? I had anticipated them being the symbols that pass the buy rules and sell rules
respectively. But both lists contain the same symbols for me, which wouldn't make sense (my test rules were: buy = CLOSE > 10;short = close < 10;).

The other thing that didn't make sense to me was that the number of values in the collection varied in some unknown way with the number of allowed positions. With
20 allowed positions, it generates 41 buy and 41 short signals. With 5 allowed positions, it generates 21 respectively.

Can you shed some light on where in the event order the buy and sell rules are turned into new positions? Before OnEndPeriod, or between OnEndPeriod and OnNewPosition?

I am trying to write a script that will keep the money fully invested at all times, assuming there are enough positions to fill the max allowed, regardless of position type.
For the most part, I will be either all long or all short. As a result, default behaviour results in only half of the money being invested at a time.

I was thinking that in OnEndPeriod, I could use the GetOpenPositions and the signals to calculate how many positions I want to have in the next period and of what types,
then set the UpdateCategorySettings appropriately. But that doesn't seem to work. Appreciate any advice you can give!

QuantShare
2010-11-01 06:36:39

Best Answer

- Yes, they contain a list of symbols that pass the buy and sell rules. A change in our code has not been committed and that is why you are getting the same list. It is fixed now. Thank you for reporting this.

- To optimize the execution of trading systems, the number of symbols in the list (for a particular date) will not contain more than 2 * (Max number of symbols) + 1.

- "OnNewPosition" gets the signal. You can then use this event to modify it. After that the signal is converted into an order.
After all orders are procceeded, the OnEndPeriod is executed.

However, if you execute orders on today's bar, then the "OnNewPosition" will be called after "OnEndPeriod".

- I am not sure I understand exactly what you want to do with GetOpenPositions, but here is an example on how to be fully invested in either long or short positions: (You need to set the trading system type to Long/Short)

string index = "^GSPC";
double result = Data.ParseFormula("a = rsi(14) > 50;").GetTimeSeries(index, "a")[0];
bool isfullylong = (result == 1) ? true : false; // Long positions if RSI of index is higher than 50
MMPosition[] positions = Portfolio.GetOpenPositions();
if(positions.Length > 0)
{
if(positions[0].IsLong == isfullylong)
{
// Portfolio is already in the correct long or short mode
return;
}
}
Divers.Output("IsLong: " + isfullylong);

// Close positions
for(int i=0;i<positions.Length;i++)
{
positions[i].ClosePosition();
}

if(isfullylong)
{
Portfolio.UpdateCategorySettings("short", 0, 0, Orders.OpenMarketOrder());
Portfolio.UpdateCategorySettings("long", 100, 5, Orders.OpenMarketOrder());
}
else
{
Portfolio.UpdateCategorySettings("long", 0, 0, Orders.OpenMarketOrder());
Portfolio.UpdateCategorySettings("short", 100, 5, Orders.OpenMarketOrder());
}

Stefan Kroscen
2010-11-01 22:16:55

Thanks! I haven't yet tried out your code, but your explanation of how it is supposed to work is very helpful!

I do have a follow-up question and feature request.

With the signals being limited, are the rankings applied before or after they are limited?

The request is, could you make the limit on the signals be parameter based so that it can be adjusted?

Appreciate the info and love the product!

QuantShare
2010-11-02 06:28:04

Stocks with higher ranking are always kept in the list.
Yes we can make this limit parameter-based. We will add this feature in the next release.

Thanks for the suggestion.

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