#region Namespaces
using System;
using System.IO;
using System.Linq;
using System.Collections.Generic;
#endregion
namespace ScriptCode {
/// <summary>
/// This is a seasonal strategy that trades symbols based on how they have performed relative to each other during the same calendar month in the past.
/// At the beginning of each month, the strategy goes long in the specified number of symbols with the highest average return in the same calendar month over the specified lookback period.
/// In addition, the strategy goes short in the specified number of symbols with the lowest average return in the same calendar month over that same period.
/// The strategy rebalances at the end of each month.
///
/// This seasonality effect was studied by Matti Keloharju, Juhani T. Linnainmaa, and Peter M. Nyberg in the 2015 paper titled, “Common Factors in Return Seasonalities.”
///
/// Trading Rules:
///
/// Long Entry: A buy market order is generated when the symbol satisfies the same-calendar performance cutoff criteria for long entries.
/// Long Exit: A sell market order is generated at the close of the last trading session of the month.
///
/// Short Entry: A sell short market order is generated when the symbol satisfies the same-calendar performance cutoff criteria for short entries.
/// Short Exit: A buy market order is generated at the close of the last trading session of the month.
/// </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;
// Create for holding the symbol return values <symbol index, latest return value for symbol>.
private List<Tuple<int, double>> _symbolROC;
// The number of years used to calculate return.
private int _yearlyLookback;
// Indicates whether to enable the trading strategy to short symbols.
private bool _enableShorting;
// Indicates whether to enable the trading strategy to long symbols.
private bool _enableLonging;
// The percent distance from the entry price in which to place a stop loss order.
private double _stopLoss;
// The percent distance from the entry price in which to place a take profit order.
private double _takeProfit;
// The number of months in a year.
private int _MONTHS_PER_YEAR = 12;
// The minimum numbers of symbols with average monthly return values needed to trade.
private int _requiredSymbols;
// The minimum price a symbol can have to be eligible for trading.
private double _minimumPrice;
#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="yearlyLookback" 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="enableShorting" type="Boolean" default="True">Indicates whether to enable the trading strategy to short symbols. </param>
/// <param name="enableLonging" type="Boolean" default="True">Indicates whether to enable the trading strategy to long symbols. </param>
/// <param name="stopLoss" type="Double" default="0">The percent distance from the entry price in which to place a stop loss order. (0 to ignore). </param>
/// <param name="takeProfit" type="Double" default="0">The percent distance from the entry price in which to place a take profit order. (0 to ignore). </param>
/// <param name="minimumPrice" type="Double" default="5">The minimum price a symbol can have to be eligible for trading.</param>
public void OnInitialize(
int yearlyLookback,
int holdSymbols,
bool enableShorting,
bool enableLonging,
double stopLoss,
double takeProfit,
double minimumPrice) {
// Set the script parameters to script variables.
_yearlyLookback = yearlyLookback;
_holdSymbols = holdSymbols;
_enableShorting = enableShorting;
_enableLonging = enableLonging;
_stopLoss = stopLoss;
_takeProfit = takeProfit;
_minimumPrice = minimumPrice;
// 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), 1);
}
// Create for holding the symbol return values <symbol index, latest return value for symbol>.
_symbolROC = new List<Tuple<int, double>>();
// Calculate the minimum number of symbols needed to trade.
_requiredSymbols = _enableLonging && _enableShorting ? 2 * _holdSymbols : _holdSymbols;
}
#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) {
// Switch the API functions to work with the current symbol.
SymbolSwitch(symbolIndex);
// Check whether all of the symbols have been updated and the bar is complete.
if (isLastSymbol && DataIsComplete()) {
// Exit any open positions.
BrokerCloseAllPositions("Time to rebalance");
// Clear the list of return values.
_symbolROC.Clear();
// Iterate through each symbol.
for(int symIndex = 0; symIndex <= (SymbolCount() - 1); symIndex++){
// Switch the API functions to work with the current symbol.
SymbolSwitch(symIndex);
// Create a variable to hold the average monthly calendar return for next month.
double nextMonthAverageReturn = 0;
// Create a variable to hold the number of years used in calculating the average calendar month return.
int yearCount = 0;
// Iterate back 12 months at a time for the number years required starting with next month's return the prior year.
for(int barShift = 11; barShift <= (_yearlyLookback * _MONTHS_PER_YEAR - 1); barShift += _MONTHS_PER_YEAR){
// Check whether the return value is valid.
if(_ROC[symIndex][barShift] != 0){
// Add the return to the running sum.
nextMonthAverageReturn += _ROC[symIndex][barShift];
// Increase the year count.
yearCount++;
}
}
// Check whether there was enough history to calculate the return.
if(yearCount == _yearlyLookback){
// Finish calculation of average calendar month return.
nextMonthAverageReturn /= _yearlyLookback;
// Check whether the symbol is trading above the minimum price and whether the symbol is active.
if(DataClose() > _minimumPrice && SymbolIsAvailable()){
// Get the return value for the latest bar of the current symbol.
_symbolROC.Add(new Tuple<int, double>(symIndex, nextMonthAverageReturn));
}
}
}
// Sort the symbols by descending return values so that those with higher returns come first.
_symbolROC.Sort((x, y) => y.Item2.CompareTo(x.Item2));
// Check whether there are enough symbols to trade.
if(_symbolROC.Count >= _requiredSymbols){
// Check whether the trading strategy can go long.
if(_enableLonging){
// Iterate over the strongest performing symbols.
for (int i = 0; i <= (_symbolROC.Count - 1) && i < _holdSymbols; i++) {
// Switch the API functions to work with the current symbol.
SymbolSwitch(_symbolROC[i].Item1);
int orderIndex = BrokerMarket(C_ActionType.BUY, 0, C_TIF.GTC, "Ranked "+(i+1));
// Set a stop loss on the order.
BrokerSetStopLossPercent(orderIndex, _stopLoss, true, "Stop loss");
// Set a take profit on the order.
BrokerSetTakeProfitPercent(orderIndex, _takeProfit, true, "Profit target");
}
}
// Check whether the trading strategy can go short.
if(_enableShorting){
// Iterate over the weakest performing symbols.
for (int i = _symbolROC.Count - 1; i >= 0 && (_symbolROC.Count - 1 - i) < _holdSymbols; i--) {
// Switch the API functions to work with the current symbol.
SymbolSwitch(_symbolROC[i].Item1);
int orderIndex = BrokerMarket(C_ActionType.SELL_SHORT, 0, C_TIF.GTC, "Ranked "+(i+1));
// Set a stop loss on the order.
BrokerSetStopLossPercent(orderIndex, _stopLoss, true, "Stop loss");
// Set a take profit on the order.
BrokerSetTakeProfitPercent(orderIndex, _takeProfit, true, "Profit target");
}
}
}
}
}
#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) {
// OnPositionUpdate Content
}
#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
}
}
