Norgate Data & stock leaving the index (SOLVED)

tobiastempus

#1

11/6/2020 9:55 AM

Hello,

i have a problem with a bollinger band system and norgate current and past data.

1.sometimes i get a wrong buy signal with my system for a stock that is leaving the index because there is always a upgap after leaving the index?

2.if i get a regular buy signal and the stock is leaving the index later ,the system is still in that trade.
do you know how i can solve that problem?

bollinger bands.PNG

gap.PNG

Cone

#2

11/6/2020 10:44 AM

A gap usually isn't indicative of the day a stock leaves an index. It's more likely to be a corp. action announcement that is later followed by an index change. Anyway, in both cases, the strategy should have rules to exit a position when it leaves the index and/or before the series ends.

You can check if the series ends just by looking at the date of the last bar, or even more easily by checking of the symbol contains a hyphen "-". That way, you can be sure to make sure to exit all positions on the last bar.

You also probably want to avoid entering a position that is triggered on the day before the symbol leaves an index. That's another rule.

Here's the 3 x 2 strategy with those ideas implemented. Notice that the "end of series" check to exit open positions is done conveniently in the last block of code, after the trading loop.

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A gap usually isn't indicative of the day a stock leaves an index.  It's more likely to be a corp. action announcement that is later followed by an index change.  Anyway, in both cases, the strategy should have rules to exit a position when it leaves the index and/or before the series ends.

You can check if the series ends just by looking at the date of the last bar, or even more easily by checking of the symbol contains a hyphen "-".  That way, you can be sure to make sure to exit all positions on the last bar.

You also probably want to avoid entering a position that is triggered on the day before the symbol leaves an index.  That's another rule.

Here's the 3 x 2 strategy with those ideas implemented.  Notice that the "end of series" check to exit open positions is done conveniently in the last block of code, after the trading loop.

[code]using System;
using System.Collections.Generic;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using NorgateData.Integration.WealthLab;

namespace WealthLab.Strategies
{
	public class Norgate3x2 : WealthScript
	{
		protected override void Execute()
		{
			int upDays = 2;
			int downDays = 3;
			int bcm1 = Bars.Count - 1;
			
			var indexConstituent = NorgateIndexConstituentTimeSeries.Series(Bars, "S&P 100");
			
			for(int bar = 3; bar < Bars.Count; bar++)
			{
				if ( indexConstituent[bar] == 1)
					SetBackgroundColor(bar, Color.FromArgb(30, Color.Green));
				
				Position p = LastPosition;
				if (IsLastPositionActive)
				{
					if (CumUp.Value(bar, Close, 1) >= upDays)
						SellAtMarket(bar + 1, p);
				}
				else 
				{
					// Just check if this symbol is in the index on this bar before you try to buy it
					if ( indexConstituent[bar] == 1)
					{
						if (CumDown.Value(bar, Close, 1) >= downDays)
						{
							// The buy condition is true... but check if we *really* still want to buy...
							if (bar == bcm1)
							{
								// Don't alert for old expired symbols
								if (Bars.Symbol.Contains("-"))
									continue;
							}
							else
							{
								// Don't enter if leaving the index tomorrow. (Valid peeking)							
								if (indexConstituent[bar + 1] != 1)
									continue;
							}
						
							// The coast is clear!
							BuyAtMarket(bar + 1);
						}
					}
				}
			}
			
			/* Exit positions at the last close for any series that ended more than 3 days in the past (3 days before today) */
			if (ActivePositions.Count > 0)
			{
				TimeSpan timeout = new TimeSpan(3, 0, 0, 0);  // 3 days
				int lastBar = Bars.Count - 1;
				if (DateTime.Now - Date[lastBar] > timeout)
					ExitAtClose(lastBar, Position.AllPositions, "End of Series");
			}
		}
	}
}[/code]

tobiastempus

#3

11/6/2020 12:49 PM

thank much for your answer.

i am very bad with the editor but i tried to adjust my code with your code but i dont get any trades.Maybe you have an idea of the mistake?

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thank much for your answer.

i am very bad with the editor but i tried to adjust my code with your code but i dont get any trades.Maybe you have an idea of the mistake?

[code]using System;
using System.Collections.Generic;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using NorgateData.Integration.WealthLab;

namespace WealthLab.Strategies
{
	public class Norgate3x2 : WealthScript
	{
		protected override void Execute()
		{
	
			int bcm1 = Bars.Count - 1;

Bars external = GetExternalSymbol("^NDX".Trim(), true);
			DataSeries extMA = SMA.Series(external.Close, 200);
			DataSeries BBUp = BBandUpper.Series(Close, 180, 3.5);
			DataSeries BBDown = BBandLower.Series(Close, 180, 0.5);

ChartPane pane1 = CreatePane(75, true, true);
			PlotSymbol(pane1, external, Color.Black, Color.Red);
			PlotSeries(pane1, extMA, Color.Black, LineStyle.Solid, 2);
			PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2);
			PlotSeries(PricePane, BBDown, Color.Blue, LineStyle.Solid, 2);

var indexConstituent = NorgateIndexConstituentTimeSeries.Series(Bars, "Nasdaq 100");

for (int bar = 3; bar < Bars.Count; bar++)
			{
				if (indexConstituent[bar] == 1)
					SetBackgroundColor(bar, Color.FromArgb(30, Color.Green));

Position p = LastPosition;
				if (IsLastPositionActive)
					if (p.EntrySignal.Contains("Group1|"))
					{
						if (Close[bar] < BBDown[bar])
						{
							SellAtMarket(bar + 1, p, "Group1");
						}
				}
				else
				{
					// Just check if this symbol is in the index on this bar before you try to buy it
					if (indexConstituent[bar] == 1)
					{
							if (external.Close[bar] > extMA[bar])
							{
								if (Close[bar] > BBUp[bar])
							// The buy condition is true... but check if we *really* still want to buy...
							if (bar == bcm1)
							{
								// Don't alert for old expired symbols
								if (Bars.Symbol.Contains("-"))
									continue;
							}
							else
							{
								// Don't enter if leaving the index tomorrow. (Valid peeking)                     
								if (indexConstituent[bar + 1] != 1)
									continue;
							}

// The coast is clear!
							BuyAtMarket(bar + 1);
						}
					}
				}
			}

/* Exit positions at the last close for any series that ended more than 3 days in the past (3 days before today) */
			if (ActivePositions.Count > 0)
			{
				TimeSpan timeout = new TimeSpan(3, 0, 0, 0);  // 3 days
				int lastBar = Bars.Count - 1;
				if (DateTime.Now - Date[lastBar] > timeout)
					ExitAtClose(lastBar, Position.AllPositions, "End of Series");
			}
		}
	}
}[/code]

Cone

#4

11/6/2020 2:34 PM

First thing I notice is that "Nasdaq 100" does not work. It needs to be UPPERCASE, or you can also use the Norgate Index symbol $NDX. (You should do that anyway instead of relying on the Yahoo! ^NDX symbol.

The code errors were:
1. Missing brackets that modify the exit logic, and,
2. The exit logic was looking for SignalName "Group 1|" from the Strategy Builder. This could be solved by adding it as the entry SignalName, but it's not required, so I deleted it from the exit logic.

When I get a chance, I'll work on adding the rules required for Norgate to the Strategy Builder.

CODE:
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First thing I notice is that "Nasdaq 100" does not work.  It needs to be UPPERCASE, or you can also use the Norgate Index symbol $NDX.  (You should do that anyway instead of relying on the Yahoo! ^NDX symbol.

The code errors were: 
1. Missing brackets that modify the exit logic, and, 
2. The exit logic was looking for SignalName "Group 1|" from the Strategy Builder.  This could be solved by adding it as the entry SignalName, but it's not required, so I deleted it from the exit logic.

When I get a chance, I'll work on adding the rules required for Norgate to the Strategy Builder.

[code]using System;
using System.Collections.Generic;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using NorgateData.Integration.WealthLab;

namespace WealthLab.Strategies
{
	public class Norgate3x2 : WealthScript
	{
		protected override void Execute()
		{

int bcm1 = Bars.Count - 1;

Bars external = GetExternalSymbol("$NDX".Trim(), true);
			DataSeries extMA = SMA.Series(external.Close, 200);
			DataSeries BBUp = BBandUpper.Series(Close, 180, 3.5);
			DataSeries BBDown = BBandLower.Series(Close, 180, 0.5);

ChartPane pane1 = CreatePane(75, true, true);
			PlotSymbol(pane1, external, Color.Black, Color.Red);
			PlotSeries(pane1, extMA, Color.Black, LineStyle.Solid, 2);
			PlotSeries(PricePane, BBUp, Color.Blue, LineStyle.Solid, 2);
			PlotSeries(PricePane, BBDown, Color.Blue, LineStyle.Solid, 2);

var indexConstituent = NorgateIndexConstituentTimeSeries.Series(Bars, "$NDX");

for (int bar = 200; bar < Bars.Count; bar++)
			{	
				if (indexConstituent[bar] == 1)
					SetBackgroundColor(bar, Color.FromArgb(30, Color.Green));

Position p = LastPosition;
				if (IsLastPositionActive)
				{
					if (Close[bar] < BBDown[bar])
					{
						SellAtMarket(bar + 1, p);
					}
				}
				else
				{
					// Just check if this symbol is in the index on this bar before you try to buy it
					if (indexConstituent[bar] == 1)
					{
						if (external.Close[bar] > extMA[bar])
						{
							if (Close[bar] > BBUp[bar])
							{
								// The buy condition is true... but check if we *really* still want to buy...
								if (bar == bcm1)
								{
									// Don't alert for old expired symbols
									if (Bars.Symbol.Contains("-"))
										continue;
								}
								else
								{
									// Don't enter if leaving the index tomorrow. (Valid peeking)                     
									if (indexConstituent[bar + 1] != 1)
										continue;
								}

// The coast is clear!
								BuyAtMarket(bar + 1);
							}
						}
					}
				}
			}

/* Exit positions at the last close for any series that ended more than 3 days in the past (3 days before today) */
			if (ActivePositions.Count > 0)
			{
				TimeSpan timeout = new TimeSpan(3, 0, 0, 0);  // 3 days
				int lastBar = Bars.Count - 1;
				if (DateTime.Now - Date[lastBar] > timeout)
					ExitAtClose(lastBar, Position.AllPositions, "End of Series");
			}
		}
	}
}[/code]

tobiastempus

#5

11/6/2020 3:47 PM

thank you

tobiastempus

#6

11/6/2020 4:01 PM

sorry but i have one last problem my benchmark is stopping at 2019 and i have no idea why .its the sam with $NDX and ^NDX

*fixed it

benchmark.PNG

Cone

#7

11/6/2020 7:35 PM

I was having trouble getting started on something else today, so I knocked this out while fresh in my mind. Grab the latest version of the Community.Rules to get the set of "Norgate Historical" conditions for Historical Backtesting with Norgate Data.