Enhanced Dynamic Position Sizing money mgmt - some issue

Enhanced Dynamic Position Sizing money mgmt - some issue

Kiran
2016-02-22 13:56:53

I enhanced the Dynamic Position Sizing object to support 4 different rebalance modes - based on StdDev (current), 1/StdDev (inverse volatility), Sharpe Ratio, Sq-rt(StdDev).
Below is the code I added. The code compiles with no errors when in the Money Mgmt Compile menu .. but when i backtest, it throws a compilation error - "OnEndPeriod : Compilation error in 'OnEndPeriod':
Specified cast is not valid."

It seems to choke on this line below, as it cant cast the GetVariable object to int
int rebalance_mode = (int)Variables.GetVariable("rebalance_mode");

How do i convert this object to int?
Also, once i get this working, how do i submit this package to the community?

///////////////////////////////////////////////////////////////////////////////////////////////
//OnStartSimulation
Functions.SetNumericInput("reblance_mode", 0, "0-vol, 1- 1/vol, 2-Sharpe, 3-sqrt(vol)");
Functions.SetTextInput("period", "60", "Period");

//OnEndPeriod
string period = (string)Variables.GetVariable("period");
int rebalance_mode = (int)Variables.GetVariable("rebalance_mode");

_TradingOrder[] orders = Orders.GetPendingBuyOrders();
if(orders.Length > 1) {
double sum = 0;
for(int i=0;i < orders.Length;i++) {
_TradingOrder pos = orders[i];
TimeSeries ts = Data.ParseFormula("a = stddev(close,"+period+");").GetTimeSeries(pos.Symbol, "a"); ;
switch (rebalance_mode) {
case 0:
ts = Data.ParseFormula("a = stddev(close,"+period+");").GetTimeSeries(pos.Symbol, "a");
break;
case 1:
ts = Data.ParseFormula("a = 1/stddev(close,"+period+");").GetTimeSeries(pos.Symbol, "a");
break;
case 2:
ts = Data.ParseFormula("a = Math.Abs(sharpe(close,"+period+"));").GetTimeSeries(pos.Symbol, "a");
break;
case 3:
ts = Data.ParseFormula("a = Math.Pow(stddev(close,"+period+"),0.5);").GetTimeSeries(pos.Symbol, "a");
break;

}
sum += ts[0];
}

Divers.Output("sum: " + sum);

double weight = 0;
for(int i=0;i < orders.Length;i++)
{
_TradingOrder pos = orders[i];
Divers.Output("Symbol: " + pos.Symbol);
TimeSeries ts = Data.ParseFormula("a = stddev(close,"+period+");").GetTimeSeries(pos.Symbol, "a");
switch (rebalance_mode) {
case 0:
ts = Data.ParseFormula("a = stddev(close,"+period+");").GetTimeSeries(pos.Symbol, "a");
break;
case 1:
ts = Data.ParseFormula("a = 1/stddev(close,"+period+");").GetTimeSeries(pos.Symbol, "a");
break;
case 2:
ts = Data.ParseFormula("a = Math.Abs(sharpe(close,"+period+"));").GetTimeSeries(pos.Symbol, "a");
break;
case 3:
ts = Data.ParseFormula("a = Math.Pow(stddev(close,"+period+"),0.5);").GetTimeSeries(pos.Symbol, "a");
break;
//TimeSeries ts = Data.ParseFormula("a = stddev(close,"+perioda_stddev+");").GetTimeSeries(pos.Symbol, "a");
}
double temp2 = ts[0];
weight = temp2 / sum;

double cash = Portfolio.GetTotalEquity("long")*weight;
Divers.Output("Cash: "+ cash);

TimeSeries close = Data.GetPriceSeries(pos.Symbol, "close");
int numberofshares = (int)(cash/close[0]);
Divers.Output("numberofshares: "+numberofshares);

if(cash <= 0)
{
pos.CancelOrder("Cash Negatif");
}
else
{
pos.NbShares = numberofshares;
pos.SubmitChanges();
}
//Functions.AddLongPosition(pos.Symbol,numberofshares,Orders.CloseMarketOrder());
}

Dynamic Position Sizing (by clonex, uploaded several months ago)

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QuantShare
2016-02-23 02:16:10

You should cast it to double first
int rebalance_mode = (int)(double)Variables.GetVariable("rebalance_mode");

Once working, you can upload the script using "Tools -> Sharing Server"

Kiran
2016-02-24 08:57:10

Thanks,

There's another issue i'm running into - i need to calculate relative strength of Close/SPY, but the script gets confused with the extra "" in "SPY" within the formula. How do i escape the "" within the formula?

ts = Data.ParseFormula("a=Sma(close/GetSeries("SPY",close,LastData),20);").GetTimeSeries(pos.Symbol, "a");

QuantShare
2016-02-25 02:42:12

Escace using "\" or better use single quotes inside the "ParseFormula".
ts = Data.ParseFormula("a=Sma(close/GetSeries('SPY',close,LastData),20);").GetTimeSeries(pos.Symbol, "a");

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