Portfolio Trader Strategy Examples

Portfolio Trader Strategy Examples for regular MultiCharts (PowerLanguage) can be downloaded here

Rotation Strategy

This strategy was suggested by kbeary33 on MultiCharts Forum (http://www.multicharts.com/discussion/viewtopic.php?f=19&t=45413).

Strategy Description

Rotation Strategy is a simple strategy that calculates a specific indicator by using every instrument in the portfolio. Positions are opened for those instruments which have the best indicator value(s).

Take for example the % Change indicator. This set of instruments is determined by the user in the Portfolio Trading application. The number of instruments to enter a Long position is configured by the BuyBestX input. Standard stop loss +profit target strategy is used to exit positions.

Strategy Development

Portfolio_Rotation Signal

This signal generates entry orders and calculates indicator values for all instruments in the portfolio.

Indicator formula is entered into the input field and it is calculated on every bar.

inputs:
Formula (PercentChange(close, 14));
variables: formulaValue(0);
formulaValue = Formula;

To further compare and decide to enter the position, the formula is then entered into global variables:

pmm_set_my_named_num ("RotationalValue", formulaValue);

Entries for all instruments are generated:

buy("LE") next bar market;
sellshort("SE") next bar market;

To manage the capital, standard Portfolio settings Margin per Contract and Potential Loss per Contract set by the user will be used:

pmm_set_my_named_num("MoneyCostForInvestPerCtrct", pmms_to_portfolio_currency(MoneyCostForInvestPerCtrct));

var: PotentialEntryPrice(close), MoneyCostForInvestPerCtrct(0);
if (entryprice > 0) then PotentialEntryPrice = entryprice;
MoneyCostForInvestPerCtrct =
pmms_calc_money_cost_for_entry_per_cntrct(PotentialEntryPrice, Portfolio_GetMarginPerContract)
+
pmms_calc_money_cost_for_entry_per_cntrct(PotentialEntryPrice, Portfolio_GetMaxPotentialLossPerContract);

When one lot price value is calculated, this value will be converted into portfolio currency and written into portfolio global variables.

pmm_set_my_named_num("MoneyCostForInvestPerCtrct", pmms_to_portfolio_currency(MoneyCostForInvestPerCtrct));

Standard Stop Loss and Profit Target set in percent from portfolio capital will be used for exit.

inputs: StopLossPcntsOfPortfolio(0.1),
ProfitTargetPcntsOfPortfolio(0.1);
variable: value(0);
setstopposition;
value = StopLossPcntsOfPortfolio * 0.01 * Portfolio_Equity;
setstoploss(convert_currency(datetime[0], portfolio_CurrencyCode, SymbolCurrencyCode, value));
value = ProfitTargetPcntsOfPortfolio * 0.01 * Portfolio_Equity;
setprofittarget(convert_currency(datetime[0], portfolio_CurrencyCode, SymbolCurrencyCode, value));

Portfolio_Rotation_MM Signal

The signal is used as a Money management signal in portfolio. This study verifies the indicator values for all the portfolio instruments and manages positions opening. The number of portfolio instruments for which positions will be opened is set by the user:

inputs:
BuyBestX(10),
SellWorstY(10);

Indicator values will be extracted for all the strategies and a sorted list of values at every calculation will be created. To do so, we will need to use 2-dimensional array of the indicator values and the strategy indexes:

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

Entry orders generation before every calculation is denied:

pmms_strategies_deny_entries_all;

Fill the array with the indicator values and the index for each strategy and then we will sort out the array by values:

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);

Let’s count the number of strategies that are now in position. According to the best indicator indexes BuyBestX instruments should have Long position and SellWorstY instruments should have Short position:

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

In calculation we cycle through those strategies that should have Long position according to the indicator indexes (wherein, if the strategy is already in position, we track it in strategiesLong array):

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 UsePortfolioMoneyPcnt then
pmms_strategy_set_entry_contracts(
cur_idx,
pmms_calc_contracts_for_entry( PortfolioMoneyPcntForEntry, cur_idx )
);
End;

Strategies which are in position, but are not among the best according to the indicator indexes are forced to close:

for idx = 0 to inLong - 1 begin
value1 = strategiesLong[idx];
if value1 >= 0 then begin
pmms_strategy_close_position(value1);
end;
end;

Strategies for Short entry are processed likewise.