#region Namespaces
using System;
using System.IO;
using System.Linq;
using System.Collections.Generic;
#endregion
namespace ScriptCode {
/// <summary>
/// This is a reversal strategy that trades in symbols with relatively strong or weak performance on the premise that their performance will reverse.
/// This strategy measures performance with a simple rate-of-change (ROC) indicator.
/// The strategy goes long in the specified number of symbols with the lowest return over the specified period and goes short in the specified number of symbols with the highest return over the specified period.
/// All positions are exited after being held for the specified number of bars.
///
/// This reversal strategy was studied by Wilma de Groot, Joop Huij, and Weili Zhou in the February 2012 issue of Journal of Banking and Finance in the paper titled,
/// "Another Look at Trading Costs and Short-Term Reversal Profits."
///
/// Trading Rules:
///
/// Long Entry: A buy market order is generated when the symbol satisfies the return criteria for long entries.
/// Long Exit: A sell market order is generated when the position has been held for the specified number of bars.
///
/// Short Entry: A sell short market order is generated when the symbol satisfies the return criteria for short entries.
/// Short Exit: A buy market order is generated when the position has been held for the specified number of bars.
/// </summary>
public partial class MyMultiSymbolTradingStrategy : MultiSymbolTradingStrategyScriptBase // NEVER CHANGE THE CLASS NAME
{
#region Variables
// Use for holding return indicators indexed by symbol index.
private Indicator[] _ROC;
// The number of symbols to hold for each trade direction (long and short).
private int _holdSymbols;
// The number of bars to hold the selected symbols.
private int _holdBars;
// Use for counting the number of bars the current open positions have been held.
private int _heldBars;
// Create for holding the symbol return values <symbol index, latest return value for symbol>.
private List<Tuple<int, double>> _symbolROC;
// The number of bars used to calculate return.
private int _returnLookback;
// Indicates whether the strategy is waiting for an open position to close.
private bool [] _waitingToClose;
#endregion
#region OnInitialize
/// <summary>
/// This function is used for accepting the script parameters and for initializing the script prior to all other function calls.
/// Once the script is assigned to a Desktop, its parameter values can be specified by the user and can be selected for optimization.
/// </summary>
/// --------------------------------------------------------------------------------------------------
/// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS
/// --------------------------------------------------------------------------------------------------
/// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION.
/// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION.
/// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS.
/// REQUIRED ATTRIBUTES:
/// (1) name: The exact parameter name.
/// (2) type: The type of data to collect from the user:
/// Set to "Integer" when the data type is 'int'
/// Set to "IntegerArray" when the data type is 'int[]'
/// Set to "DateTime" when the data type is 'long'
/// Set to "DateTimeArray" when the data type is 'long[]'
/// Set to "Boolean" when the data type is 'bool'
/// Set to "BooleanArray" when the data type is 'bool[]'
/// Set to "Double" when the data type is 'double'
/// Set to "DoubleArray" when the data type is 'double[]'
/// Set to "String" when the data type is 'string'
/// Set to "StringArray" when the data type is 'string[]'
/// Set to "Indicator" when the data type is 'Indicator'
/// Set to "Pattern" when the data type is 'Pattern'
/// Set to "Signal" when the data type is 'Signal'
/// Set to "Drawing" when the data type is 'Drawing'
/// OPTIONAL ATTRIBUTES:
/// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double, String or an API Type.
/// (4) min: The minimum parameter value is only valid when the type is Integer or Double.
/// (5) max: The maximum parameter value is only valid when the type is Integer or Double.
/// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param>
/// --------------------------------------------------------------------------------------------------
/// <param name="returnLookback" type="Integer" default="6" min="1">The number of bars used to calculate return.</param>
/// <param name="holdSymbols" type="Integer" default="10" min="1" max="10000">The number of symbols to hold for each trade direction (long/short).</param>
/// <param name="holdBars" type="Integer" default="1" min="1" max="10000000">The number of bars to hold the selected symbols.</param>
public void OnInitialize(
int returnLookback,
int holdSymbols,
int holdBars) {
// Create an array large enough to hold a single indicator for each symbol.
_ROC = new Indicator[SymbolCount()];
// Iterate over all of the symbol indexes.
for (int symbolIndex = 0; symbolIndex < _ROC.Length; symbolIndex++) {
// Create a copy for the current symbol index.
_ROC[symbolIndex] = IndicatorROC(IndicatorCLOSE(symbolIndex), returnLookback);
}
// Set the script parameter to a variable.
_returnLookback = returnLookback;
// Set the script parameter to a variable.
_holdSymbols = holdSymbols;
// Set the script parameter to a variable.
_holdBars = holdBars;
// Create for holding the symbol return values <symbol index, latest return value for symbol>.
_symbolROC = new List<Tuple<int, double>>();
// Create for holding whether the strategy is waiting for an open position to close.
_waitingToClose = new bool[SymbolCount()];
}
#endregion
#region OnBarUpdate
/// <summary>
/// This function is called after each new bar of each symbol assigned to the Desktop strategy.
/// It should evaluate the specified symbol and its new bar in order to determine whether to generate new orders for it.
/// Never create indicators, signals or patterns from OnBarUpdate, for performance reasons those should be created from OnInitialize.
/// </summary>
/// <param name="symbolIndex" type="Integer">The index of the symbol in the strategy symbol table</param>
/// <param name="dataSeries" type="Integer">The number indicating the data series from which the symbol was updated.
/// According to the Desktop strategy data series settings: 0 for the main data series, 1 for the second data series, etc.</param>
/// <param name="completedBars" type="Integer">The number of completed bars for the specified symbol since the last call to OnBarUpdate.
/// Always 1 unless the bar type can generate multiple completed bars from a single tick/minute/day update (depending on the underlying bar source).</param>
/// <param name="isLastSymbol" type="Boolean">Indicates whether this is the last symbol to be updated for the current bar.
/// The parameter is valid when the bars for different symbols have matching timestamps, e.g. 1m, 5m, 1d, 1w, etc.</param>
public override void OnBarUpdate(
int symbolIndex,
int dataSeries,
int completedBars,
bool isLastSymbol) {
// Check whether all of the symbols have been updated.
if (isLastSymbol) {
// Switch the API functions to work with the current symbol.
SymbolSwitch(symbolIndex);
// Check whether the bar is complete
if(DataIsComplete()){
// Increase the number of held bars.
_heldBars++;
}
// Check whether the number of held bars matches the specified number of hold bars.
if (_heldBars == _holdBars) {
// Clear the list of return values.
_symbolROC.Clear();
// Iterate over the symbols.
for (int symIndex = 0; symIndex < SymbolCount(); symIndex++) {
// Switch the API functions to work with the current symbol.
SymbolSwitch(symIndex);
// Check whether the strategy is not waiting for a position to be closed and there is currently an open position.
if(!_waitingToClose[symIndex] && PositionExists(C_PositionStatus.OPEN)){
// Exit any open positions
BrokerClosePosition("Time to rebalance");
// Record that the strategy is waiting for the position to be closed.
_waitingToClose[symIndex] = true;
}
// Check whether there is enough history to calculate the return and whether the symbol is active.
if(DataClose(_returnLookback) != 0 && SymbolIsAvailable()){
// Get the return value for the latest bar of the current symbol.
_symbolROC.Add(new Tuple<int, double>(symIndex, _ROC[symIndex][0]));
}
}
// Sort the symbols by descending return values so that those with higher returns come first. Then sort any symbols with the same signal value by symbol index.
_symbolROC = _symbolROC.OrderByDescending(x => x.Item2).ThenBy(x => x.Item1).ToList();
// Iterate over the strongest performing symbols.
for (int i = 0; i < _symbolROC.Count && i < _holdSymbols; i++) {
// Switch the API functions to work with the current symbol.
SymbolSwitch(_symbolROC[i].Item1);
// Check to ensure there is not an open position or pending order.
if(!PositionExists(C_PositionStatus.OPEN) && !OrderExists(C_Status.PENDING)){
// Sell short the current symbol while assuming that a position sizing script will assign the quantity.
int orderIndex = BrokerMarket(C_ActionType.SELL_SHORT, 0, C_TIF.DAY, "Ranked "+(i+1));
}
}
// Sort the symbols by ascending return values so that those with lower returns come first. Then sort any symbols with the same signal value by symbol index.
_symbolROC = _symbolROC.OrderBy(x => x.Item2).ThenBy(x => x.Item1).ToList();
// Iterate over the worst performing symbols.
for (int i = 0; i < _symbolROC.Count && i < _holdSymbols; i++) {
// Switch the API functions to work with the current symbol.
SymbolSwitch(_symbolROC[i].Item1);
// Check to ensure there is not an open position or pending order.
if(!PositionExists(C_PositionStatus.OPEN) && !OrderExists(C_Status.PENDING)){
// Buy the current symbol while assuming that a position sizing script will assign the quantity.
int orderIndex = BrokerMarket(C_ActionType.BUY, 0, C_TIF.DAY, "Ranked "+(_symbolROC.Count - i));
}
}
// Clear the number of held bars.
_heldBars = 0;
}
}
}
#endregion
#region OnOrderFillUpdate
/// <summary>
/// This function is called for each new order fill.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index</param>
/// <param name="orderIndex" type="Integer">The order index</param>
/// <param name="orderFillIndex" type="Integer">The order fill index</param>
public override void OnOrderFillUpdate(
int symbolIndex,
int orderIndex,
int orderFillIndex) {
// OnOrderFillUpdate Content
}
#endregion
#region OnOrderUpdate
/// <summary>
/// This function is called when an order is executed or cancelled.
/// </summary>
/// <param name="symbolIndex" type="Integer">The underlying symbol index of the order</param>
/// <param name="orderIndex" type="Integer">The order index</param>
/// <param name="status" type="C_Status">The updated status of the order</param>
public override void OnOrderUpdate(
int symbolIndex,
int orderIndex,
C_Status status) {
// OnOrderUpdate Content
}
#endregion
#region OnPositionUpdate
/// <summary>
/// This function is called when a position is opened or closed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The underlying symbol index of the position</param>
/// <param name="positionIndex" type="Integer">The position index</param>
/// <param name="status" type="C_PositionStatus">The updated status of the position</param>
public override void OnPositionUpdate(
int symbolIndex,
int positionIndex,
C_PositionStatus status) {
// Switch the API functions to work with the current symbol.
SymbolSwitch(symbolIndex);
// Check whether the position just closed.
if(status == C_PositionStatus.CLOSED){
// Record that the strategy is no longer waiting for the position to be closed.
_waitingToClose[symbolIndex] = false;
}
}
#endregion
#region OnSessionUpdate
/// <summary>
/// This function is called when a session is opened or closed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index whose session is updated</param>
/// <param name="status" type="C_SessionStatus">The session status</param>
public override void OnSessionUpdate(
int symbolIndex,
C_SessionStatus status) {
}
#endregion
#region OnNewsUpdate
/// <summary>
/// This function is called when a news update is received and only if the NO_NEWS_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="title" type="String">The update title</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The update message type</param>
public override void OnNewsUpdate(
int symbolIndex,
long dateTime,
string title,
string message,
C_MessageType type) {
// OnNewsUpdate Content
// [NO_NEWS_UPDATES] - Delete this comment to enable news updates to this strategy.
}
#endregion
#region OnRSSUpdate
/// <summary>
/// This function is called when an RSS update is received and only if the NO_RSS_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="title" type="String">The update title</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The update message type</param>
public override void OnRSSUpdate(
int symbolIndex,
long dateTime,
string title,
string message,
C_MessageType type) {
// OnRSSUpdate Content
// [NO_RSS_UPDATES] - Delete this comment to enable RSS updates to this strategy.
}
#endregion
#region OnAlertUpdate
/// <summary>
/// This function is called when an alert update is received and only if the NO_ALERT_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The update message type</param>
public override void OnAlertUpdate(
int symbolIndex,
long dateTime,
string message,
C_MessageType type) {
// OnAlertUpdate Content
// [NO_ALERT_UPDATES] - Delete this comment to enable alert updates to this strategy.
}
#endregion
#region OnJournalUpdate
/// <summary>
/// This function is called when a journal update is received and only if the NO_JOURNAL_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="title" type="String">The update title</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnJournalUpdate(
int symbolIndex,
long dateTime,
string title,
string message,
C_MessageType type) {
// OnJournalUpdate Content
// [NO_JOURNAL_UPDATES] - Delete this comment to enable journal updates to this strategy.
}
#endregion
#region OnDataConnectionUpdate
/// <summary>
/// This function is called when a data connection update is received and only if the NO_DATA_CONNECTION_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The update message type</param>
public override void OnDataConnectionUpdate(
int symbolIndex,
long dateTime,
string message,
C_MessageType type) {
// OnDataConnectionUpdate Content
// [NO_DATA_CONNECTION_UPDATES] - Delete this comment to enable data connection updates to this strategy.
}
#endregion
#region OnBrokerConnectionUpdate
/// <summary>
/// This function is called when a broker connection update is received and only if the NO_BROKER_CONNECTION_UPDATES comment is removed.
/// </summary>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The update message type</param>
public override void OnBrokerConnectionUpdate(
long dateTime,
string message,
C_MessageType type) {
// OnBrokerConnectionUpdate Content
// [NO_BROKER_CONNECTION_UPDATES] - Delete this comment to enable broker connection updates to this strategy.
}
#endregion
#region OnShutdown
/// <summary>
/// This function is called when the script is shutdown.
/// </summary>
public override void OnShutdown() {
// OnShutdown Content
}
#endregion
}
}
