Technical Rank Strategy

Hi Ang

Before this, I want to tell you I forgot to put in updating method for PPO's rolling window, but the post has closed. Please add it back thx 😂😂

Sorry
Louis

Hi Louis, 

I'm not sure how can I re-open closed discussion but do you mean this?

        history = algo.History(symbol, 200, Resolution.Daily)
        for index, bar in history.loc[symbol].iterrows():
            self.EMA200.Update(index, bar.close)
            self.EMA50.Update(index, bar.close)
            self.ROC125.Update(index, bar.close)
            self.ROC20.Update(index, bar.close)
            self.PPO.Update(index, bar.close)
            self.RSI14.Update(index, bar.close)
            self.PPOWindow.Update(index,bar.close)     #<---
            
            self.PPOWindow.Add(self.PPO.Current.Value)

Hi Ang

Please refer to the following backtest for the updating of rolling window. But some more questions from your backtest: why do you need self.potential, won't self.SCTRuniverse handled them all? And you actually never liquidate anything else except those not inclusive in coarse/fine universe anymore, as nothing ever removed from self.potential.

For your questions:

1. You are filling orders at end of day as you use daily resolution, any orders emitted in your schedule function are not at your favourable time, so it is a stale price. And the data.ContainsKey part, sometimes you can receive data but not tradebar data, so you should use data.Bars.ContainsKey(symbol), but again, why will you need it if you don't use it after calling.
    
2. same thing mentioned about your shortlist above.
    
3. I think one big reason is you're having a large universe with a lot of for loops. Also, you're calling too much dataframe and too many excessive class/object.
    

If you wish to use higher resolution, you can schedule and directly change the name of OnData into your scheduled function name, removing if data.ContainsKey() part. It should work just fine.

Cheers
Louis

Why I remove your entryindicator class? It is for speed (assume memory is not concern):

using same class but 2 more indicators with existing dataframe, we'll do 500*.85 (unused equities) extra calculation: time complexity = constant (time for queuing indicator value) * (2*500*.85) = 850c

vs 

using new class calling new 200-day history dataframe to loop for 500*.15 shortlisted equities:time complexity = constant (time for queuing indicator value) * no. of tickers (200) * 500*.15 = 15000c

Of course there will be redundant memory used for 2 more indicators (their pointers and 200/5 8-byte decimal value)

Louis

Hi Louis,

Thank you so much for your help! I have some questions 😅 

‘SetHoldings’ is used here; hence the portfolio will hold long positions whenever stochastic is ≤30. However, the objective is to stay long in the position until it is no long in the 85th decile rank.

Do you think by changing to this help to stay long in the position?

                if (symbolClose > sma) & (sto <= 30):
                    # self.SetHoldings(symbol, self.percentagebuy) <-- I changed to self.MarketOrder
                    self.MarketOrder(symbol, self.buyquantity)
                    self.Log(str(symbol) + " -sto: " + str(sto))
                    self.Log(str(symbol) + " -sma: " + str(sma) + " -price: " + str(symbolClose))

Also, the position will only liquidate once it is remove from the universe. The universe referred here is the 500 returned from ‘FineFilter’ right? Since not 'self.SCTRuniverse', will it continue to stay long even when it is lesser than the 85 decile rank?

        for kvp in self.Portfolio: 
            holdings = kvp.Value
            symbol = holdings.Symbol
            if holdings.Invested:
                if not symbol in self.potential:
                    self.Liquidate(symbol)
                    self.Log(str(symbol) + " : " + str(holdings.Price))

Will adding the above liquidate position not in 'self.SCTRuniverse' but is still part of the universe returned in ‘FineFilter’?

Cheers!
Ang

Hi Ang

Sorry missed that part. I'll suggest just adding one more line at the end of OnData shall be fine:

[self.Liquidate(symbol) for symbol in self.Portfolio.Keys if symbol not in self.SCTRuniverse]

Cheers
Louis