Correlation, loop and timeframeset

[gzquant]

Good morning,

I was trying to make a weighted ranking with ROC and Correlation in monthly timeframe using timeframeset to check the daily drawdown. There is not problem with ROC rank, but the calcule of correlation do not realize the loop and only take a value for month. The code is based on Trendxplorer approach of Tactical asset allocation. Thank you.

if ( ( Status( "stocknum" ) == 0 OR Status("stocknum") == -1 ) )
{
    StaticVarRemove( "Mom*" );
    StaticVarRemove( "Cor*" );
    StaticVarRemove( "MC*" );
    StaticVarRemove( "Rank*" );



	// --- stocks universe --- //

    for ( i = 0; ( symbol = StrExtract( watchlist, i ) )  != "";  i++ )
    {
        SetForeign( symbol );
        
        TimeFrameSet(inMonthly);
        
        Mom_monthly = ROC(C, Mom_lenght); 
        
        TimeFrameRestore();
		
		Mom = TimeFrameExpand(Mom_monthly, inMonthly);
		
		TimeFrameSet(inMonthly);

		Cor_monthly = -Correlation(C, Foreign( "$SPX", "C"), Cor_lenght);
		
		TimeFrameRestore();
		
		Cor = TimeFrameExpand(Cor_monthly, inMonthly);
		
		RestorePriceArrays();
		
		// --- store values ---
        StaticVarSet( "Mom"    + symbol, Mom    );
        StaticVarSet( "Cor" + symbol, Cor );
   
    }
    
    
    // --- generate ranks for stocks ---
		StaticVarGenerateRanks( "Rank", "Mom", 0, 1224 );
		StaticVarGenerateRanks( "Rank", "Cor", 0, 1224 );
		StaticVarGenerateRanks( "Rank", "Vol", 0, 1224 );
      
       for ( i = 0; ( symbol = StrExtract( Watchlist, i ) )  != "";  i++ )
       
    {
    
	
	
	
		RankMom  = StaticVarGet( "RankMom"  +  symbol );
		RankCor  = StaticVarGet( "RankCor"  +  symbol );
		
		// in case of tie, RankMom is decisive through + 0.001       
		MC = RankCor * (Wc +0.01) + RankMom * Wm;
		
		StaticVarSet( "MC" + symbol, -MC); 
		
		
	
    }
    
    // generate master ranking
    StaticVarGenerateRanks( "Rank", "MC", 0, 1224 );
    
    
  }
  
 symbol  =  Name();
 
 Mom     =  StaticVarGet( "Mom"     +  symbol );
 Cor     = 	-StaticVarGet( "Cor"     +  symbol );
 MC      = 	-StaticVarGet( "MC"     +  symbol );
 RankMom =  StaticVarGet( "RankMom" +  symbol );
 RankCor =  StaticVarGet( "RankCor" +  symbol );
 RankMC  = 	StaticVarGet( "RankMC"     +  symbol );
 
// Posicionamos los ETF

PositionSize = -100 / posiciones;

PositionScore = Max(1/RankMC, 0); 

// EXPLORADOR
// ----------------------------------------

// --- exploration filter ---
ExploreFilter = ParamToggle( "ExploreFilter", "LastBarInTest|All", 1 );
if ( ExploreFilter )
	Filter = 1;
else
	Filter = Status( "LastBarInTest" );

// --- sort for exploration only (not on backtest) ---
if ( Status( "actionex" ) == actionExplore ) 
{

	SetSortColumns( 2, 3 );
	

	AddColumn( Cor    , "Cor"  , 1.3                  );
	AddColumn( Mom    , "Mom"  , 1.3                  );
	AddColumn( RankMom, "RankMom"    , 1.0                  );
	AddColumn( RankCor, "RankCor"    , 1.0                  );
	AddColumn( MC    , "MC   "     , 3.3                  );
	
}