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[Debug] What am I doing wrong at filtering?

I am applying the selection algorithm in the snippet below, but I am getting a compilation error on the line that is supposed to take the price-filtered list and apply EMA filtering to it (the line that begins with var EMALong, towards the end).

I've tried understanding what's wrong and suspect it's some kind of a type mismatch issue, though i can't put my finger on it. Can anyone take a look and give a poor C# noob a help?

 

public class UniverseSelectionADX : QCAlgorithm {
private const int NumberOfSymbols = 10;
private const decimal AllocationProportion= 0.1m;
private readonly ConcurrentDictionary<Symbol, EMASelection> EMASelectionData = new ConcurrentDictionary<Symbol, EMASelection>(); //defines a dictionary: EMASelectionData

private class EMASelection{ //function to handle selection by EMA
public readonly ExponentialMovingAverage Fast;
public readonly ExponentialMovingAverage Slow;

public EMASelection(){
Fast = new ExponentialMovingAverage(9);
Slow = new ExponentialMovingAverage(21);
}

public decimal ScaledDelta{ //calculates the proportion of ema delta
get { return (Fast - Slow)/((Fast + Slow)/2m); }
}

public bool Update(DateTime time, decimal value){ // updates the EMA indicators, returning true when they're both ready
return Fast.Update(time, value) && Slow.Update(time, value);
}
}

SecurityChanges _changes = SecurityChanges.None; // initialize our changes to nothing

public override void Initialize() {
UniverseSettings.Leverage = 2.0m;
UniverseSettings.Resolution = Resolution.Daily;

SetStartDate(2014, 01, 01);
SetEndDate(2015, 01, 01);
SetCash(20000);

AddUniverse(CoarseSelectionFunction); // this add universe method accepts a single parameter that is a function that accepts an IEnumerable<CoarseFundamental> and returns IEnumerable<Symbol>
}

public static IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse) { // sort the data by daily dollar volume and take the top 'NumberOfSymbols'
var filteredByPrice = coarse.Where(x => (x.Price > 15m) && (x.Price < 150m)); //filter out stocks by price
var EMALong = EMASelectionData.GetOrAdd(filteredByPrice(x => x.Symbol), selectionF => new EMASelection());
// var EMAFiltered = filteredByPrice;
var sortedByDollarVolume = filteredByPrice.OrderByDescending(x => x.DollarVolume); // sort descending by daily dollar volume
var topEntries = sortedByDollarVolume.Take(NumberOfSymbols); // take the top entries from our sorted collection
return topEntries.Select(x => x.Symbol); // return only the symbol objects
}

 

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Eyal,

I'm a noob too so take this with a HUGE grain of salt, but remvoing the static from CoarseSelectionFunction and looping over the GetOrAdd makes it compile for me:

public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse) {
var filteredByPrice = coarse.Where(x => (x.Price > 15m) && (x.Price < 150m));
foreach (var entry in filteredByPrice) {
var EMALong = EMASelectionData.GetOrAdd(entry.Symbol, selectionF => new EMASelection());
}
var sortedByDollarVolume = filteredByPrice.OrderByDescending(x => x.DollarVolume);
var topEntries = sortedByDollarVolume.Take(NumberOfSymbols);
return topEntries.Select(x => x.Symbol);
}

If you want CoarseSelectionFunction to be static then EMASelectionData needs to be static, i.e. they both need to be static or non-static. As far as I can tell GetOrAdd must take a Symbol directly not an IEnumerable so adding the foreach we manually iterate over the result and invoke GetOrAdd.

Again, this all could be totally wrong :)

-- Wink

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Thanks, Wink.

Regarding the second part of your reply, The idea was to have a dictionary named EMALong as a result of that statement. by using it as a local variable inside the forwach statement like you did, it doesn't exist afterwards (and can't for example, be logged) - so in fact i'm not sure what the new statement you wrote does, but I guess it's not what I meant :-)

Please let me know if there's another idea you think I can explore - and thanks again for trying to help!

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Since EMASelectionData is a member of the UniverseSelectionADX class are you trying to accumulate the results or across multiple invcations of CoarseSelectionFuntion? if so then just remove the var EMALong:

foreach (var entry in filteredByPrice) {
EMASelectionData.GetOrAdd(entry.Symbol,
selectionF => new EMASelection());
}

If you want the results just locally then maybe you'll want to create a local instance of Dictionary<Symbol, EMASelection> and use Add instead of GetOrAdd, maybe something like:

Dictionary<Symbol, EMASelection> dict =
new Dictionary<Symbol, EMASelection>();
foreach(var kvp in filteredByPrice) {
dict.Add(kvp.Symbol, new EMASelection());
}

So I'm not sure what trying to do, probably none of the above :)

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Eyal Netanel, I'm interested to know if you find a solution?

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Thanks for checking - I probably won't have much "quality time" till the weekend to dive into it, but I did fork my thoughts to trying and calculating the indicators OnData instead of defining it as a filter on the universe selection in the initialization - but for some reason when i do things like that (see below) i get all the indicators calculate to be 0 - so i'm not sure if i'm doing it right. (I know I'm jumping to a whole different technique here, but for the time was easier for me to grasp  that thought than to dive into further coarse selection attempts:

 

public void OnData(TradeBars data) { //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
if (_changes == SecurityChanges.None) return; // if we have no changes, do nothing

foreach (var security in _changes.AddedSecurities) { // Set allocation to qualifying securities in our universe
var adx = new AverageDirectionalIndex("ADX14", 14);
var ema9 = EMA(security.Symbol, 9);
var ema21 = EMA(security.Symbol, 21);
Log("security:"+security.Symbol+" ADX:"+adx+" ema9: "+ema9+" ema21: "+ema21+" p");

The log prints the securities that were previously selected (now only filtered by price and volume) - but they all have 0.0 for adx and ema - - so i guess i'm using it wrong here as well.

The general idea, in case i didn't mention, was to try and use a combination of ema and adx in selecting trending shares at the basis of the algorithm, and then keep improving from there. It's just that i can't seem to make the bbasic part work either in the universe selection or on Data, despite a few code examples i've seen and already some help from you and from Alexandre on another thread... :-( . 

/Feeling a bit stupid/

I'll try again when my head is clearer of work and errands, though of course any kind of help is more than welcome.
 

Thanks!

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It's beyond me for now, I'll be watching what happens :)

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This is just to update that I went along with a solution similar to your second soolution - and it seems to have worked so Thanks!

Now on to handling the next brick wall :-)

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Nice, glad it helped. But as you said, there seems to always be another issue  just around the bend :)

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