Lets say I have number of X instruments in my Portfolio Trader Strategy.
I have one strategy applied. This strategy contains, besides calculations only based on the instrument itself, also a rank/ PortfolioEntriesPriority function.
What do I want to do here: I want the strategy to rank instruments based on an indicator (like relative Strength, RSI, etc.) and only want to continue with the best X% ones.
I tried different approaches but not working so far.
https://www.multicharts.com/trading-sof ... esPriority
This example is given: The higher price, the higher the priority. Ok, but how to continue here and how to implement into a strategy. See below that this is not working correctly.
PortfolioEntriesPriority = (-Close);
Approach 1:
Code: Select all
variables: MyR( 0 ) ;
MyR = ((Close of Data1 / Close[100] of Data1) - (Close of Data2 / Close[100] of Data2) / (Close of Data2 / Close[100] of Data2));
PortfolioEntriesPriority= MyR;
Buy ("MyR") next bar open;
setexitonclose;https://www.multicharts.com/trading-sof ... y_Examples
Code: Select all
Vars= BarNo2(0),MyIndicator(0),R(0);
BarNo2= BarNumber of data2;
If BarNo2>BarNo2[1] then Begin
R = (C of data2 - C[1] of data2) / C[1] of data2;
MyIndicator= (R - AvgReturn ) / Sdev
end;
{Retrieve MyIndicator Rank. Rank is from 1 to 500 since our universe is 500 Stocks}
If Rank<=10 then Buy 200 contracts next bar at O; {Go Long the best 10 stocks}
Else If Rank>=490 then SellShort 200 contracts next bar at O; {Go Short the worse 10 stocks}Rank function normally needs 4 parameters, here none are mentioned.
Here is the official rank strategy:
Code: Select all
inputs:
Basedondata(1),
TraceOutput(false);
var:BarN(0),R(0);
// *** restrictions
once if barstatus(BasedOnData) < 0 then raiseruntimeerror("Portfolio Rank Signal Base needs datastream " + numtostr(BasedOnData, 0));
once if 1 <> getappinfo(aiisportfoliomode) then
raiseruntimeerror("Portfolio Rank Signal Base can be applied for MCPortfolio application only.");
// ****************
value1=RelStaerke_0_100(Close,200);
BarN = BarNumber;
if BarN > BarN[1] then begin
R = value1;
pmm_set_my_named_num("value1", R);
end;
begin
var: MoneyCostForInvestPerCtrct(0), potential_entry_price(close);
MoneyCostForInvestPerCtrct = pmms_calc_money_cost_for_entry_per_cntrct(potential_entry_price, Portfolio_GetMarginPerContract)
+
pmms_calc_money_cost_for_entry_per_cntrct(potential_entry_price, Portfolio_GetMaxPotentialLossPerContract);
if 0 > MoneyCostForInvestPerCtrct then
raiseruntimeerror( text("Error! Price = ", potential_entry_price:0:6,
"PMargin = ", Portfolio_GetMarginPerContract, "PMaxPLoss = ", Portfolio_GetMarginPerContract) );
// MoneyCostForInvestPerCtrct in currency of the symbol. Convert it to portfolio currency ...
pmm_set_my_named_num("MoneyCostForInvestPerCtrct", pmms_to_portfolio_currency(MoneyCostForInvestPerCtrct));
end;
buy 1 share next bar open;
if barssinceentry>100 then sell all shares this bar close;At the same time I am applying the Portfolio_Rank_MM_Signal as MM Signal here.
This does also not work.
What am I doing wrong? Can you please support here by sending me an example code. I should not be the first person asking this question and I saw couple of people raising this question in the forum. Unfortunately there was no clear example given, at least none worked for me.
„I have one strategy applied. This strategy contains, besides calculations only based on the instrument itself, also a rank/ PortfolioEntriesPriority function.
What do I want to do here: I want the strategy to rank instruments based on an indicator (like relative Strength, RSI, etc.) and only want to continue with the best X% ones.“
