Interacting Dynamically with Portfolio Level Equity

The request

• "Is there a way just to retrieve the current Equity or Drawdown within a strategy?"
• "How one can code a Strategy that modifies entry/exit points based on portfolio equity?"
  

TL;DR

• Trading the Equity Curve from MS123 PosSizer Library:
  

The approach

Run a Strategy on-the-fly and display the portfolio equity curve

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	/* Show portfolio equity */
	public class OnTheFly : WealthScript
	{
		protected override void Execute()
		{
			Utility u = new Utility(this);
			string firstRun = ""; string results = "";
			SetGlobal( firstRun, Bars.Symbol );

			if( (string)GetGlobal( firstRun ) == DataSetSymbols[0] ) 
			{
				RemoveGlobal( results + "_PerformanceResults" );
				
				/* Option 1: run a strategy on-the-fly (see the "Donor" class below) */
				SystemPerformance sp = u.runDonor( new Donor() );
				
				SetGlobal( results + "_PerformanceResults", sp.Results );
			}			
			
			/* Retrieve and plot the portfolio equity from Wealth-Lab's global memory */
			
			SystemResults sr = (SystemResults)GetGlobal( results + "_PerformanceResults" );
			DataSeries globalEquity = sr.EquityCurve; globalEquity.Description = "Donor system Portfolio Equity";
			globalEquity = Synchronize( globalEquity );
			ChartPane gEqPane = CreatePane( 40, false, true );
			PlotSeries( gEqPane, globalEquity, Color.DarkGreen, LineStyle.Histogram, 2 );
			HideVolume();			
		}
	}
    
	// Your optional "donor" strategy 
	public class Donor : WealthScript
	{
		protected override void Execute()
		{
			for(int bar = 21; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if ( Close[bar] < Close[bar-20] )
						SellAtMarket( bar+1, LastPosition );
				}
				else
				{
					if ( Close[bar] > Close[bar-20] )
						if( BuyAtMarket( bar+1 ) != null )
							LastPosition.Priority = Close[bar];
				}
			}
		}
	}
}

// Invoke an instance of the helper class from Community.Components, passing it a WealthScript object as "this"
Utility u = new Utility(this);

// Use this trick to execute some code only once; see this Knowledge Base
if( (string)GetGlobal( firstRun ) == DataSetSymbols[0] ) 

// Make Wealth-Lab run your strategy on-the-fly
SystemPerformance sp = u.runDonor( new Donor() );
				
// Store in global memory
SetGlobal( results + "_PerformanceResults", sp.Results );

// Retrieve and plot the portfolio equity from Wealth-Lab's global memory
SystemResults sr = (SystemResults)GetGlobal( results + "_PerformanceResults" );
DataSeries globalEquity = sr.EquityCurve;

Run an existing Strategy from disk and display its portfolio equity curve

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	/* Show portfolio equity */
	public class FromDiskFile : WealthScript
	{
		protected override void Execute()
		{
			/* Specify a Strategy: */
			string myStrategyName = "Neo Master";
			
			Utility u = new Utility(this);
			string firstRun = ""; string results = "";
			SetGlobal( firstRun, Bars.Symbol );

			if( (string)GetGlobal( firstRun ) == DataSetSymbols[0] ) 
			{
				RemoveGlobal( results + "_PerformanceResults" );
				
				/* Option 2: Load an existing Strategy from its XML file on your disk */
				WealthScript myStrategy = u.LoadStrategyFromDisk( myStrategyName );
				SystemPerformance sp = u.runDonor( myStrategy );
				SetGlobal( results + "_PerformanceResults", sp.Results );
			}			
			
			/* Retrieve and plot the portfolio equity from Wealth-Lab's global memory */
			
			SystemResults sr = (SystemResults)GetGlobal( results + "_PerformanceResults" );
			DataSeries globalEquity = sr.EquityCurve; globalEquity.Description = myStrategyName + " Portfolio Equity";
			globalEquity = Synchronize( globalEquity );
			ChartPane gEqPane = CreatePane( 40, false, true );
			PlotSeries( gEqPane, globalEquity, Color.DarkGreen, LineStyle.Histogram, 2 );
			
			/* Build drawdown series */
			
			double drawdownPct = 0, newHigh = 0;
			var DrawdownSeriesPct = new DataSeries(Bars,"Drawdown %");
			for(int bar = 0; bar < Bars.Count; bar++)
			{
				if (globalEquity[bar] > newHigh)
					newHigh = globalEquity[bar];
				
				if (globalEquity[bar] < newHigh)
					drawdownPct = (100 * (globalEquity[bar] / newHigh - 1));

				DrawdownSeriesPct[bar] = drawdownPct;
			}

			ChartPane gDDPane = CreatePane( 40, false, true );
			PlotSeries( gDDPane, DrawdownSeriesPct, Color.Red, LineStyle.Histogram, 2 );

			HideVolume();			
		}
	}
}

• In Wealth-Lab's Preferences dialog, "Backtest Settings", check Use Worst Trades in Portfolio Simulation.
• Modify the Strategy code: assign a priority to each created Position in the original Strategy code and save it.
  

"Trading the equity curve"

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	/* Interacting with portfolio level equity */
	public class InteractingWithPortfolioEquity : WealthScript
	{
		protected override void Execute()
		{
			// Create an instance of the Utility class from Community.Components, pass WealthScript as "this"
			Utility u = new Utility(this);

			// Save current symbol in Wealth-Lab's global memory
			string firstRun = ""; string results = "";
			SetGlobal( firstRun, Bars.Symbol );

			#region User-configurable: specify Strategy name
			
			string myStrategyName = "Neo Master";
			//string myStrategyName = "Bandwagon Trade";
			
			#endregion User-configurable: specify Strategy name			

			
			/* Here we kick in: first symbol detected */
			
			if( (string)GetGlobal( firstRun ) == DataSetSymbols[0] ) 
			{
				RemoveGlobal( results + "_PerformanceResults" );
				
				#region User-configurable: Load Donor strategy
				
				// Loading an existing strategy from disk:
				WealthScript myStrategy = u.LoadStrategyFromDisk( myStrategyName );
				SystemPerformance sp = u.runDonor( myStrategy );

				// As an alternative, you can load a strategy on-the-fly (see the "Donor" class below):
				//SystemPerformance sp = u.runDonor( new Donor() );
				
				#endregion User-configurable: Load Donor strategy
				
				SetGlobal( results + "_PerformanceResults", sp.Results );
			}			
			
			/* Simulation already performed, now run using Wealth-Lab's global memory */
			
			// Retrieve system results from the GOP and plot portfolio equity 
			SystemResults sr = (SystemResults)GetGlobal( results + "_PerformanceResults" );
			DataSeries globalEquity = sr.EquityCurve; globalEquity.Description = "Portfolio Equity";
			globalEquity = Synchronize( globalEquity );
			ChartPane gEqPane = CreatePane( 40, false, true );
			PlotSeries( gEqPane, globalEquity, Color.DarkGreen, LineStyle.Histogram, 2 );
			HideVolume();			
		
			/* Make sure to start your trading loop on a bar after 
			which the portfolio equity curve produces valid values! */
			
			for(int bar = Bars.FirstActualBar; bar < Bars.Count; bar++)
			{
				foreach (Position p in sr.Positions )
				{	
					if(( p.EntryDate == Bars.Date[bar] ) & ( p.Bars.Symbol == Bars.Symbol ))
					{
						#region User-configurable: Interacting with Portfolio Equity

						/* Your equity interaction rule goes here: */
						if( globalEquity[bar] > globalEquity[bar-100] )						
						{
							Position pos = u.entry( p, bar, p.EntrySignal, p.BasisPrice );
							if( pos != null ) 
							{
								pos.Priority = p.Priority;
								pos.EntrySignal = p.EntrySignal; //pos.Equals(p);
							}
						}
						
						#endregion User-configurable: Interacting with Portfolio Equity
						
						/* Alternative:
						
						u.entry( p, bar, p.EntrySignal, p.EntryPrice );
						
						if( LastPosition != null ) 
							LastPosition.Priority = p.Priority;*/
					}
						
					if( ActivePositions.Count > 0 )
					{
						for( int pos = ActivePositions.Count - 1; pos > -1 ; pos-- )
						{
							Position ap = ActivePositions[pos];
							if(( p.ExitBar == bar ) & ( p.Bars.Symbol == Bars.Symbol ))
								//if( p.EntryBar == ap.EntryBar )
								//if( p.EntryPrice == ap.EntryPrice )
								if( p.Priority == ap.Priority )
									u.exit( p, ap, bar, p.ExitSignal, p.ExitPrice ); 
						}
					}
				}
			}
		}
	}
    
	#region User-configurable: your "Donor" strategy
	// This strategy is optional
	public class Donor : WealthScript
	{
		protected override void Execute()
		{
			for(int bar = 101; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if ( Close[bar] < Close[bar-20] )
						SellAtMarket( bar+1, LastPosition );
				}
				else
				{
					if ( Close[bar] > Close[bar-20] )
						if( BuyAtMarket( bar+1 ) != null )
							LastPosition.Priority = Close[bar];
				}
			}
		}
	}
	#endregion User-configurable: your "Donor" strategy
}

Notes and Limitations

1. Alerts are not available. (By design - Wealth-Lab presents all positions created by the "donor" system, including those open on the Trades list, as closed.)
2. SetContext is not supported in donor scripts; GetExternalSymbol doesn't work too but is replaceable with GetAllDataForSymbol.
3. Update your DataSet before proceeding.
4. Currently, if a Commission plan is active in Wealth-Lab's Preferences, "interacting with equity curve" will use its default settings. Customized Commission settings are not supported, so to get correct results when comparing, please run your original Strategy with the selected Commission plan's settings reset to default.
5. The code that has "equity-trading" rules will run somewhat slower than the original Strategy. This is by design, as the Strategy has to execute another portfolio backtest.
6. Does not work with Combination Strategies
   

Credits