Pass Variables to Money Managers

Sometimes it’s helpful to be able to pass variables from a strategy to a money manager for later use in position sizing or other analytics. A VariableDictionary is used throughout the backtester to pass arbitrary data back and forth. VariableDictionary implements IDictionary<string, object> so it acts like a traditional dictionary with a string for the key. Objects can also be accessed by ordinal position in the order in which they were added.

There are two ways to pass variables from a Strategy to a MoneyManager. The first is via StrategyVariables. This property can be accessed from within a strategy to set arbitrary objects at the strategy level for later use in a money manager. The second and more common approach is to attach variables to a position when it is opened in a strategy.

Let’s once again revisit the SimpleSma example strategy to make these modifications. Notice in OnStrategyStart() we add “some very important info for later” to StrategyVariables using “MyMessage” as the key. Then in OnPositionOpening(), we call position.Variables.Add() to add the current 21 day ATR reading to a newly opened position. Note how we use .Last to refer to the most recent value.

class SimpleSma : Strategy
{
    [Optimize(20, 80, 10)]
    public int ShortLength { get; set; } = 50;

    [Optimize(120, 240, 20)]
    public int LongLength { get; set; } = 200;

    [Optimize(3, 5, 0.5, includeNaN: true)]
    public double StopCoefficient { get; set; } = 3;

    protected override void OnStrategyStart()
    {
        Col1 = Sma(Close, ShortLength);
        Col2 = Sma(Close, LongLength);
        Col3 = Atr(21);

        StrategyVariables.Add("MyMessage", "Some very important info for later.");

        Plot(Col1, 0, Color.Blue);
        Plot(Col2, 0, Color.Red);
        Plot(PlotInstruction.PlotStops);
        Plot(Stochastic(10), 1, Color.Purple, paneSize: 33f);
    }

    protected override void OnBarClose()
    {
        if (CrossAbove(Col1, Col2).Last)
        {
            Buy();
        }
        else if (Col1.Last < Col2.Last)
        {
            Sell();
        }

        ExitOnStop();
    }

    protected override void OnPositionOpening(Position position)
    {
        base.OnPositionOpening(position);
        position.Stop = position.Entries.AvgGrossPrice - Col3.Last * StopCoefficient;
        position.Variables.Add("Atr", Col3.Last);
    }
}

Later within a money manager we can recover strategy level variables by calling GetStrategyVariables and specifying the strategy name. Variables attached to an opening position can be accessed via the Variables property of a Trade object in the OnEntry() method. In this example, we (arbitrarily) reject trade entries with an Atr reading greater than 5.

class CustomMoneyManager : MoneyManager
{
    protected override void OnStrategyStart()
    {
        base.OnStrategyStart();

        var sv = GetStrategyVariables("SimpleSma");
        var myMessage = sv.GetValueAsString(0);
        Console.WriteLine(myMessage);
    }

    protected override void OnEntry(Trade trade)
    {
        if (trade.Variables.GetValueAsDouble("Atr") > 5)
        {
            trade.Cancel();
        }
        else
        {
            trade.Quantity = 10;
        }
    }
}