Correlation of asset pairs

Posted By: jbhunter

Correlation of asset pairs - 06/12/20 02:05

Looking for some feedback on this. The script just crashes. Too many series? Is there a better way to do this? Or should this work I am just doing it wrong?

Looking for best correlated pairs.

I would imagine the best answer is use R, matlab, or python. However there must be a way in Zorro.

Code

#define ASSET_NUM 5
function run() 
{
	set(LOGFILE);
	BarPeriod = 1440;
	LookBack = 100;
	StartDate = 2018;
	EndDate = 2019;
	
	assetList("AssetsIB_ETF");
	
	string a1;
	string a2;
	int cnt = 0;
	int i = 0;
	int j = 0;
	for(i = 0; i < ASSET_NUM; i++)
	{
		a1 = Assets[i];
		asset(a1);
		vars p1 = series(priceClose());
		for(j = 0; j < ASSET_NUM; j++)
		{
			a2 = Assets[j];
			cnt++;
			asset(a2);
			vars p2 = series(priceClose());
			var corr = Correlation(p1,p2,30);
			
			string pair = strcat(strcat(a1,"-"),a2);
			plot(pair,corr,LINE,BLACK);
		}
	}
	
}

Posted By: AndrewAMD

Re: Correlation of asset pairs - 06/12/20 02:26

Your strcat calls are very wrong. What are you even trying to do?

Posted By: jbhunter

Re: Correlation of asset pairs - 06/12/20 11:22

Ahh yes. The strcat calls were not correct. I was wanting to get a name for the plot such as, "a1-a2" for the plot. A simple strf("%s-%s",a1,a2) works.

I would like to get a rolling correlation between asset pairs. The script runs now. I have changed the series to returns, vars p1 = series((priceClose()-priceClose(1)/priceClose(1)));

Not plotting correctly at this point, but thanks for the help!

Posted By: jbhunter

Re: Correlation of asset pairs - 06/12/20 22:22

I eventually want to use a rolling correlation like above. Not sure how to actually do it yet.

However I have started with some random pairs currently. I would like to optimize on minimum hurst ratio. I am curious if they way I am defining assets and looping through them, including setting the Algo is messing up the optimization...

How might I ignore the asset for the optimization, and later OptimalF parameters?

When I uncomment either optimization line I get.

Error 011: optimize invalid number/range

Code

// Strategy template ///////////////////////


#define ASSET_NUM 10
void tradeLong(string a1, string a2)
{
	print(TO_LOG,"\ntradeLong, %s-%s",a1,a2);
	asset(a1);
	enterLong();
	asset(a2);
	enterShort();
}
void tradeShort(string a1, string a2)
{
	print(TO_LOG,"\ntradeShort, %s-%s",a1,a2);
	asset(a1);
	enterShort();
	asset(a2);
	enterLong();
}
void closeTrades(string a1, string a2)
{
	string algoName = strf("%s%s",a1,a2);
	Algo = algoName;
	

	print(TO_LOG,"\nCloseTrades",a1,a2);
	asset(a1);
	for (current_trades)
	{
		print(TO_LOG,"\n%i",TradeID);
		exitTrade(ThisTrade);
	}
	
	asset(a2);
	for (current_trades)
	{
		print(TO_LOG,"\n%i",TradeID);
		exitTrade(ThisTrade);
	}
}
void tradePair(string a1, string a2)
{
	string algoName = strf("%s%s",a1,a2);
	Algo = algoName;
	
	MaxLong = MaxShort = 1;
	var thH = 50;//optimize(30,30,60,5);
	var thL = -50;
	
	int hurstPer = 50;
	var minHurst = 0.5;//optimize(0.5,0.5,0.9,0.1);
	
	asset(a1);
	vars p1 = series(priceClose());
	vars ret1 = series(diff(priceClose()));
	var h1 = Hurst(p1, hurstPer);
	//vars s1 = series(StochEhlers(p1,14,0,0)*100);
	Stoch(14,3,MAType_EMA,3,MAType_EMA);
	vars s1 = series(rSlowK);

	asset(a2);
	vars p2 = series(priceClose());
	vars ret2 = series(diff(priceClose()));
	var h2 = Hurst(p2, hurstPer);
	//vars s2 = series(StochEhlers(p2,14,0,0)*100);
	Stoch(14,3,MAType_EMA,3,MAType_EMA);
	vars s2 = series(rSlowK);
	
	vars sd = series(s1[0]-s2[0]);
	
	plot("ret1",ret1[0],NEW+BARS,BLACK);
	plot("ret2",ret2[0],NEW+BARS,BLUE);
	
	plot("s1",s1[0],NEW,BLACK);
	plot("s2",s2[0],0,BLUE);
	plot("sd",sd[0],NEW,BLACK);
	
	plot("thH",thH,LINE,RED);
	plot("thL",thL,LINE,RED);
	plot("zero",0,LINE,RED);
	
	if (crossOver(sd,0) || crossUnder(sd,0))
		closeTrades(a1,a2);
	
	
	var hurstRatio = (h1+h2)/2;
	
	if (hurstRatio > minHurst)
	{
		if (crossUnder(sd,thL))
			tradeLong(a1,a2);
		
		if (crossOver(sd,thH))
			tradeShort(a1,a2);
	}
	
	
}

function run() 
{
	set(LOGFILE);
	setf(PlotMode,PL_ALL);
	BarPeriod = 1440;
	LookBack = 100;
	StartDate = 2015;
	EndDate = 2020;
	
	set(PARAMETERS);
	//set(FACTORS);
	
	//NumWFOCycles = 3;
	
	assetList("AssetsIB_ETF");
	
	Hedge = 5;
	
	int i;
	int j;
	string a1;
	string a2;
	
	for(i = 0; i < ASSET_NUM; i++)
	{
		a1 = Assets[i];
		for(j = i+1; j < ASSET_NUM; j++)
		{
			a2 = Assets[j];			
			tradePair(a1,a2);
		}
	}
	
}

Posted By: danatrader

Re: Correlation of asset pairs - 06/13/20 01:36

I am not sure if you can ignore the asset, since optimization is done basd on the asset returns.
But you can write your own optimize logic, if that is what you mean.

So returns of your strategy are is the optimize target.
You would need to give it an alternate target.

I did try with number of trades, worked fine.

But you can optimize outside the asset loop / algo loop, I think then it is global.

Posted By: jbhunter

Re: Correlation of asset pairs - 06/13/20 21:52

I was able to do global optimization bringing the optimize() call prior to any for loops. However I am still struggling with how to optimize "per pair".

I have now tried this... For instance the PAIRLOOP contains "BBHFAZ","BBHGDX".... Then the string is split into the two asset symbols a1/a2.

Code

	string pair;
	while(pair = loop(PAIRLOOP))
	{
		Algo = pair;
		//string pair = dataStr(10,i,1);
		
		string a1 = strmid(pair,0,3);
		string a2 = strmid(pair,3,3);	
		
		tradePair(a1,a2);
	}

Code

void tradePair(string a1, string a2)
{
	int _stochPer = optimize(8,8,20,2);
	int _stochPer = optimize(8,8,20,2);
	var _th = optimize(50,35,95,5);
	int _hurstPer = 60;//round(optimize(40,20,70,10));
	var _hurstTh = 0.5;//optimize(0.5,0.3,0.8,0.1);
	int _atrPer = 20;//round(optimize(10,5,50,5));
	var _minCorr = 0;//optimize(0,0,0.5,0.1);
	int _corrPer = 100;
	
	SetMargin();
	MaxLong = MaxShort = 1;
	var thH = _th;
	var thL = -thH;
	
	asset(a1);
	vars p1 = series(priceClose());

	asset(a2);
	vars p2 = series(priceClose());
        .........
}

This seems to work but still has problems. I get stuff like this...

BBH:BBHFAZ 12.00 11.95 45.3=> 3.416
BBH:BBHGDX 12.00 16.27 44.2=> 2.132
BBH:BBHGLD 12 10.19 55.0=> 1.526
BBH:BBHSDS 12 13.76 54.3=> 5.327
BBH:BBHTLT 12 10.32 59.9=> 1.957
BBH:BBHTZA 12 10.21 60.2=> 3.145
BBH:BBHVXX 12.00 9.93 45.0=> 1.147
BBH:BBHXLU 12 16.11 65.0=> 6.489
BBH:DIAFAZ 8 8 50=> 0.000
BBH:DIAGDX 12 16.13 44.7=> 0.982
BBH:DIASDS 8 8 50=> 0.000
BBH:DIATZA 8 8 50=> 0.000

I have thought of setting Asset="BBHFAZ"; and listing them on the AssetList as dummies. But I am thinking the individual Asset="a1" calls later defeat the purpose.

Posted By: danatrader

Re: Correlation of asset pairs - 06/14/20 09:54

Not sure I understand you, but what about using a dummy asset?