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龙听 发表于 2022-11-3 15:09

【Portfolio_Rotation_MM】

[code]
once cleardebug;

inputs:
        BuyBestX(10),
        SellWorstY(10);
       
Input: use_logging(false);

variables: idx(0), strategyIdx(0), strategyValue(0);
arrays: allStrategies[10000, 1](-1);

if getappinfo(aiisportfoliomode) <> 1 then
        raiseruntimeerror("Signal can be applied (as Money Management Signal) in Portfolio only.");
       
if pmms_strategies_count < BuyBestX + SellWorstY then
        raiseruntimeerror(text("Portfolio has not enough instruments: instruments number = ", pmms_strategies_count, "; BuyBestX = ", BuyBestX, "; SellWorstY = ", SellWorstY));


pmms_strategies_deny_entries_all;

for strategyIdx = 0 to pmms_strategies_count - 1 begin
        strategyValue = pmms_get_strategy_named_num(strategyIdx, "RotationalValue");
        allStrategies[strategyIdx , 0] = strategyValue;
        allStrategies[strategyIdx , 1] = strategyIdx;
end;

Sort2DArrayByKey(allStrategies, pmms_strategies_count, 1);

variables: inLong(0), inShort(0);
arrays: strategiesLong[](-1), strategiesShort[](-1);
inLong = pmms_strategies_in_long_count(strategiesLong);
inShort = pmms_strategies_in_short_count(strategiesShort);

if use_logging then
        print( "strategies in position: long=",inLong, ", short=", inShort );

var : cur_idx(0);

for idx = 0 to BuyBestX - 1 begin
        cur_idx = allStrategies[idx, 1];
       
        if (not array_contains(strategiesLong, cur_idx)) then
                pmms_strategy_allow_long_entries(cur_idx)
        else
                strategiesLong[array_indexof(strategiesLong, cur_idx)] = -1;
               
        if use_logging then
                print( "strategy ", pmms_strategy_symbol(cur_idx), "long entry" );
               
        if UsePortfolioMoneyPcnt then
                pmms_strategy_set_entry_contracts(
                        cur_idx,
                        pmms_calc_contracts_for_entry( PortfolioMoneyPcntForEntry, cur_idx )
                );
end;

for idx = pmms_strategies_count - 1 downto pmms_strategies_count - SellWorstY begin
        cur_idx = allStrategies[idx, 1];

        if (not array_contains(strategiesShort, cur_idx)) then
                pmms_strategy_allow_short_entries(cur_idx)
        else
                strategiesShort[array_indexof(strategiesShort, cur_idx)] = -1;
               
        if use_logging then
                print( "strategy ", pmms_strategy_symbol(cur_idx), "short entry" );
               
        if UsePortfolioMoneyPcnt then
                pmms_strategy_set_entry_contracts(
                        cur_idx,
                        pmms_calc_contracts_for_entry( PortfolioMoneyPcntForEntry, cur_idx )
                );       
end;

// force positions close
for idx = 0 to inLong - 1 begin
        value1 = strategiesLong[idx];
        if value1 >= 0 then begin
                pmms_strategy_close_position(value1);               
                if use_logging then
                        print( "strategy ", pmms_strategy_symbol(value1), "force position close" );
        end;
end;

for idx = 0 to inShort - 1 begin
        value1 = strategiesShort[idx];
        if value1 >= 0 then begin
                pmms_strategy_close_position(value1);
                if use_logging then
                        print( "strategy ", pmms_strategy_symbol(value1), "force position close" );
        end;
end;


// money management
inputs:
        UsePortfolioMoneyPcnt(False),
        PortfolioMoneyPcntForEntry(1);

if use_logging then
        print("------------------------------------------------------------------")
[/code]

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