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CompRule

by Zoidberg, 1582 days ago
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CompRule(rules, category, weightFormula, aggregateFormula)
is a function for use in e.g. trading systems, that attempts to implement
(somewhat) similar functionality as Comp(...) but across rules, not symbols.
The "composite rule" is returned.
Note: "rule" here means any numeric vector, whether it consists solely of 1/0 (true/false)
or values from a continuous range.

OBS: Not every use has been tested, use at your own peril.
This code might be very slow to run.

Input parameters:
rules: ';'-separated list of expressions (string formulas), or name of rule list
category: Name of category for rule (only used if rules specifies a rule list name)
weightFormula: Expression for weight of each rule during aggregation of the composite rule.
May reference symbol "rule".
Empty string is interpreted as "1". The computed value is
unused for some aggregateFormulas.
aggregateFormula: Expression used when aggregating the composite rule, or name of a pre-defined operation.
If you want to specify non-standard aggregation methods, have a look at the code how to specify.

Pre-defined operations, all performed for each bar across all rules:

wavg: Weighted average (e.g. for logical OR of "boolean" rules by checking if return value > 0)
wsum: Weighted sum (e.g. for logical OR of "boolean" rules by checking if return value > 0)
prod: Product (e.g. for logical AND of "boolean" rules)
min: Minimum (e.g. for logical AND of "boolean" rules)
max: Maximum (e.g. for logical OR of "boolean" rules)
wmin: Rule that has lowest weight (maybe unusual requirement)
wmax: Rule that has highest weight

Examples for (e.g.) trading system strategy:

rules = "rsi(14) < 20; rsi(14) < 30";
// Alternative:
// rules = "myListName";

// Find best rule dynamically. BuyInd1 must be downloaded.
// May want to handle NaN's from BuyInd1() => low value
rule0 = CompRule(rules, "", "BuyInd1(rule, 1, 1, 250)", "wmax");

rule1 = CompRule(rules, "", "1", "wsum") > 0; // Logical OR
rule2 = CompRule(rules, "", "1", "max"); // Logical OR


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Object ID: 1597


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