【Portfolio_Rotation_MM】

1. once cleardebug;
   
2. 
   
3. inputs:
   
4.         BuyBestX(10),
   
5.         SellWorstY(10);
   
6.        
   
7. Input: use_logging(false);
   
8. 
   
9. variables: idx(0), strategyIdx(0), strategyValue(0);
   
10. arrays: allStrategies[10000, 1](-1);
    
11. 
    
12. if getappinfo(aiisportfoliomode) <> 1 then
    
13.         raiseruntimeerror("Signal can be applied (as Money Management Signal) in Portfolio only.");
    
14.        
    
15. if pmms_strategies_count < BuyBestX + SellWorstY then
    
16.         raiseruntimeerror(text("Portfolio has not enough instruments: instruments number = ", pmms_strategies_count, "; BuyBestX = ", BuyBestX, "; SellWorstY = ", SellWorstY));
    
17. 
    
18. 
    
19. pmms_strategies_deny_entries_all;
    
20. 
    
21. for strategyIdx = 0 to pmms_strategies_count - 1 begin
    
22.         strategyValue = pmms_get_strategy_named_num(strategyIdx, "RotationalValue");
    
23.         allStrategies[strategyIdx , 0] = strategyValue;
    
24.         allStrategies[strategyIdx , 1] = strategyIdx;
    
25. end;
    
26. 
    
27. Sort2DArrayByKey(allStrategies, pmms_strategies_count, 1);
    
28. 
    
29. variables: inLong(0), inShort(0);
    
30. arrays: strategiesLong[](-1), strategiesShort[](-1);
    
31. inLong = pmms_strategies_in_long_count(strategiesLong);
    
32. inShort = pmms_strategies_in_short_count(strategiesShort);
    
33. 
    
34. if use_logging then
    
35.         print( "strategies in position: long=",inLong, ", short=", inShort );
    
36. 
    
37. var : cur_idx(0);
    
38. 
    
39. for idx = 0 to BuyBestX - 1 begin
    
40.         cur_idx = allStrategies[idx, 1];
    
41.        
    
42.         if (not array_contains(strategiesLong, cur_idx)) then
    
43.                 pmms_strategy_allow_long_entries(cur_idx)
    
44.         else
    
45.                 strategiesLong[array_indexof(strategiesLong, cur_idx)] = -1;
    
46.                
    
47.         if use_logging then
    
48.                 print( "strategy ", pmms_strategy_symbol(cur_idx), "long entry" );
    
49.                
    
50.         if UsePortfolioMoneyPcnt then
    
51.                 pmms_strategy_set_entry_contracts(
    
52.                         cur_idx,
    
53.                         pmms_calc_contracts_for_entry( PortfolioMoneyPcntForEntry, cur_idx )
    
54.                 );
    
55. end;
    
56. 
    
57. for idx = pmms_strategies_count - 1 downto pmms_strategies_count - SellWorstY begin
    
58.         cur_idx = allStrategies[idx, 1];
    
59. 
    
60.         if (not array_contains(strategiesShort, cur_idx)) then
    
61.                 pmms_strategy_allow_short_entries(cur_idx)
    
62.         else
    
63.                 strategiesShort[array_indexof(strategiesShort, cur_idx)] = -1;
    
64.                
    
65.         if use_logging then
    
66.                 print( "strategy ", pmms_strategy_symbol(cur_idx), "short entry" );
    
67.                
    
68.         if UsePortfolioMoneyPcnt then
    
69.                 pmms_strategy_set_entry_contracts(
    
70.                         cur_idx,
    
71.                         pmms_calc_contracts_for_entry( PortfolioMoneyPcntForEntry, cur_idx )
    
72.                 );       
    
73. end;
    
74. 
    
75. // force positions close
    
76. for idx = 0 to inLong - 1 begin
    
77.         value1 = strategiesLong[idx];
    
78.         if value1 >= 0 then begin
    
79.                 pmms_strategy_close_position(value1);               
    
80.                 if use_logging then
    
81.                         print( "strategy ", pmms_strategy_symbol(value1), "force position close" );
    
82.         end;
    
83. end;
    
84. 
    
85. for idx = 0 to inShort - 1 begin
    
86.         value1 = strategiesShort[idx];
    
87.         if value1 >= 0 then begin
    
88.                 pmms_strategy_close_position(value1);
    
89.                 if use_logging then
    
90.                         print( "strategy ", pmms_strategy_symbol(value1), "force position close" );
    
91.         end;
    
92. end;
    
93. 
    
94. 
    
95. // money management
    
96. inputs:
    
97.         UsePortfolioMoneyPcnt(False),
    
98.         PortfolioMoneyPcntForEntry(1);
    
99. 
    
100. if use_logging then
     
101.         print("------------------------------------------------------------------")

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