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I have a selection function which rebalances every wednesday:
// Select S&P500 stocks only:
// Market capitalization must be greater than or equal to $6.1 billion USD
// Annual dollar value traded to float-adjusted market capitalization is greater than 1.0
// Minimum monthly trading volume of 250,000 shares in each of the six months leading up to the evaluation date
public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
{
//const decimal MarketCapitalization = 2100000000m;
//^not supported by Quantconnect;
const decimal DollarVolume = 20000000m;
if (!_rebalanceFlag) return Enumerable.Empty<Symbol>();
//https://www.barchart.com/
List<string> sp500StockList = new List<string>() { "A", ...}
// Market capitalization must be greater than or equal to $6.1 billion USD, Traded shares x Price
var filtered = from x in coarse
join SP500 in sp500StockList on x.Symbol.Value equals SP500
let momentums = _momentums.GetOrAdd(x.Symbol, sym => new MomentumSelectionData(MomentumWindow, StockMovingAverageWindow))
// Update returns true when the indicators are ready, so don't accept until they are
where momentums.Update(x.EndTime, x.Price)
&& momentums.AnnualizedSlope > 0
where x.DollarVolume >= DollarVolume &&
//x.Volume > 250000 &&
x.HasFundamentalData //&&
//x.Price > 20
//orderby x.DollarVolume descending
orderby momentums.AnnualizedSlope descending
select x;
var topCoarse = filtered.Take(_universeSelectMaxStocks);
return topCoarse.Select(x => x.Symbol);
}and a selection function:
// class used to improve readability of the coarse selection function
// href https://www.quantconnect.com/forum/discussion/1233/portfolio-optimization-with-mathnet-numerics
private class MomentumSelectionData
{
public readonly AnnualizedExponentialSlopeIndicator AnnualizedSlope;
public readonly ExponentialMovingAverage MovingAverage;
public readonly AverageTrueRange AverageTrueRange;
public MomentumSelectionData(int AnnualizedSlopeWindow, int movingAverageWindow)
{
AnnualizedSlope = new AnnualizedExponentialSlopeIndicator(AnnualizedSlopeWindow);
MovingAverage = new ExponentialMovingAverage(movingAverageWindow);
AverageTrueRange = new AverageTrueRange(ATRWindowSize, MovingAverageType.Exponential);
}
// updates the indicators, returning true when they're both ready
public bool Update(DateTime time, decimal value)
{
return AnnualizedSlope.Update(time, value) && MovingAverage.Update(time, value);
}
}I need the ATR in the position sizing. As the coarsefunction returns multiple symbols I was thinking about adding the ATR to the coarsfunction, but it needs a Tradebar. How to do that? In case that ATR is there it will be calculated over and over again while it is only required to calculate the position size. Is there a way to call the ATR on the fly on an ondata event and get also data from the past?
Michael Manus
hm i think thats a too complicated approach
check this maybe it will help you,.....instead of ema add atr
Quant Trader
Hi, I looked into that and implemented that. See code above. However, the ATR does not support Update() as it needs a tradebar instead of slice data.
Update(DateTime time, decimal value)
If I can implement this that would be fine. I am only wondering that I only need this parameter for 30 tradeable stock later in my sample and this will calculate 500 potential tradeble SP500 universe items. For that reason I was looking to speed up the algo by only calculation the ATR for the 30 tradables that have been selected on the highest momentum form the SP500.
I can go either both ways, the one you suggest requires a tradebar I do not know how to provide. Maybe you can give me a heads up.
Quant Trader
This is the error message:
Runtime Error: System.NotSupportedException: AverageTrueRange does not support Update(DateTime, decimal) method overload. Use Update(IBaseDataBar) instead.
Quant Trader
I do not find the solution very tidy, I implemented this and I am verifying if this is oke:
/// <summary> /// Raises the data event. /// </summary> /// <param name="data">Data.</param> public void OnData(TradeBars data) { foreach (var bar in data.Values) { //validate that the security is in the universe if (!_momentums.ContainsKey(bar.Symbol)) { Log(string.Format("Symbol: {0} not found.", bar.Symbol)); continue; } _momentums[bar.Symbol].AverageTrueRange.Update(bar); } }Quant Trader
For some reason, my indicators are not initialized. The AnnualizedSlope does, but the other two not in the coarse function. I do not see what is wrong. Takes a year to warmup.
Quant Trader
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