- ago
The current Building Block API allows entries, exits, conditions and qualifiers.

This is fine for single-symbol strategies.

On the other hand there are exciting possibilities considering portfolio level mechanisms. See for example the current #7 in WL Rankings "One Night with Ranking" https://www.wealth-lab.com/Strategy/DesignPublished?strategyID=50

Such mechanisms require code injection in portfolio level routines:
* BacktestBegin()
* Initialize()
* Cleanup()
* BacktestComplete()

I think if the Building Block API allows these code injections this would open doors to a fantastic new world for non-coders.

Think of
* Portfolio level indicators (Is this a rough day at the exchange?)
* Portfolio level decisions (is this a crash?)
* Portfolio level position sizing (smaller positions on hot days and vice versa)
* and much more

Sounds good? Vote for it!
13
520
9 Replies

Reply

Bookmark

Sort
Glitch8
 ( 12.08% )
- ago
#1
All of this can already be satisfied by IndexLab, which exposes these sentiment items as Indicators. I'd rather not re-invent the wheel here by building a brand-new way to do the same thing.
0
- ago
#2
QUOTE:
this can already be satisfied
I don't see how I can implement a portfolio level ranking mechanism with IndexLab...
0
- ago
#3
QUOTE:
* Portfolio level position sizing (smaller positions on hot days and vice versa)

Isn't Wealth-Lab's position sizing already portfolio level? "Smaller positions on hot days" is simply the % volatility method.
0
- ago
#4
QUOTE:
hot days


As always, this is just an example. I thought not so much about volatility of a single stock (measured across a few days into the past), but (let's say) volatility across all stocks in the portfolio *at the last day*.

(This latter can be done with IndexLab, but there are other, more interesting things at the portfolio level which IndexLab can't do)
0
- ago
#5
We could also shorten the discussion if I put my #FeatureRequest this way:

QUOTE:
I'd like to implement "OneNight with Ranking" with Building Blocks.


This is not possible with the current Building Block API.
(And also not possible with IndexLab)
It requires code injection in portfolio level methods.

This is a #FeatureRequest which helps non-coders only.

0
- ago
#6
Did any no-coders express interest in being helped to use such kind of framework? From our support experience, for Blocks users it's not always evident how to use the available Blocks to accomplish pretty simple tasks. :/
0
- ago
#7
QUOTE:
Did any no-coders express interest?


Hard to decide. Let's see if this #FeatureRequest collects any votes.
0
Glitch8
 ( 12.08% )
- ago
#8
Looks like this one has risen to the top of the wish list so let's see what we can do about Portfolio Level Building Blocks!
1
Glitch8
 ( 12.08% )
- ago
#9
Looking at your OneNight with Ranking I think we just need Blocks to add code to PreExecute and PostExecute. Your Strategy does not implement BacktestBegin, Cleanup, or BacktestComplete. So let's keep things in scope based on what your requirement is. We already have Initialize covered.
0

Reply

Bookmark

Sort