Max-Exposure-per-bar-in-Code

Eugene8

2023-04-06T04:43:56Z - 2023-04-06T04:43:56Z ago

#1

No, there isn't. Do you need this metric as the resulting value or on a bar by bar basis?

0

Springroll8

2023-04-06T05:58:51Z - 2023-04-06T05:58:51Z ago

#2

QUOTE:
Do you need this metric as the resulting value or on a bar by bar basis?

Bar by bar, as shown in the bottom left of the equity curve.

I could of course calculate it by myself since I need equity - cash, but I don't know how to get the cash value via code?

0

Cone8

( 24.56% )

2023-04-06T06:27:35Z - 2023-04-06T06:27:35Z ago

#3

See: QuickRef > Class: Backtester > CurrentCash

Very quick example -

CODE:
        public override void Execute(BarHistory bars, int idx)
        {   
            if (!HasOpenPosition(bars, PositionType.Long))
            {
                if (Backtester.CurrentCash > 5000)
               PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
            }
            else
            {
                //code your sell conditions here
            }
        }

2

DrKoch8

2023-04-06T07:03:10Z - 2023-04-06T07:03:10Z ago

#4

It is not possible/meaningfull to access equity/cash in a WL Strategies code because the sequence of events is different from what you think.

A single symbol is executed completely before the code is run for the next symbol. So you dont get correct equity/cash for all but the last symbol.

Whatever you want to do you should do it in a PositionSizer.
Probably send some info from the strategy to the PosSizer in the position tag.

0

Cone8

( 24.56% )

2023-04-06T07:30:47Z - 2023-04-06T07:30:47Z ago

#5

QUOTE:
It is not possible/meaningfull to access equity/cash in a WL Strategies code because the sequence of events is different from what you think.

With respect to WealthLab versions prior to Version 7, that's correct.
Beginning with Version 7 that statement is incorrect.

Strategies have access to the portfolio's end-of-bar Cash and Equity for the current bar/index. You can access these values from the Backtester properties CurrentCash and CurrentEquity.

3

Springroll8

2023-04-06T10:12:21Z - 2023-04-06T10:12:21Z ago

#6

Thank you for your assistance. In this case, I'll code the max. exposure by myself.

0

Springroll8

2023-04-06T11:10:56Z - 2023-04-06T11:10:56Z ago

#7

In return for the quick help, a sample system with the Max Exposure as indicator.

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript22 
{
    public class MyStrategy : UserStrategyBase
    {
      private IndicatorBase consDown;
      private IndicatorBase consUp;

      private TimeSeries stops;
      private Transaction _transaction;

      private TimeSeries cashCurve;
      private TimeSeries equityCurve;
      private TimeSeries exposureCurve;
      
      public MyStrategy() : base()
        {
         AddParameter("Entry Consecutive Down", ParameterType.Double, 9, 1, 15, 1);
         AddParameter("Exit Consecutive Up", ParameterType.Double, 3, 1, 15, 1);
         AddParameter("Exit After N Days", ParameterType.Int32, 17, 1, 20, 1);
         AddParameter("% Stop Loss", ParameterType.Int32, 10, 1, 20, 1); // 10 9 7
      }

        public override void Initialize(BarHistory bars)
        {
         consDown = new ConsecDown(bars.Close,4);
         consUp = new ConsecUp(bars.Close, 1);
         PlotIndicator(consDown,new WLColor(0,0,0));
         PlotIndicator(consUp,new WLColor(0,0,255));

         cashCurve = new TimeSeries(bars.DateTimes);
         equityCurve = new TimeSeries(bars.DateTimes);
         exposureCurve = new TimeSeries(bars.DateTimes);

         PlotTimeSeries(cashCurve, "Equity-Cash-Curve USD", "Equity-Cash", WLColor.Red, PlotStyle.Line);
         PlotTimeSeries(equityCurve, "Equity-Cash-Curve USD", "Equity-Cash", WLColor.DarkGray, PlotStyle.Histogram);
         PlotTimeSeries(exposureCurve, "Max Exposure %", "Exposure", WLColor.CornflowerBlue, PlotStyle.Line);

         PlotStopsAndLimits(3);
         StartIndex = 20;
        }

        public override void Execute(BarHistory bars, int idx)
        {
         cashCurve[idx] = Backtester.CurrentCash;
         equityCurve[idx] = Backtester.CurrentEquity;
         exposureCurve[idx] = (((equityCurve[idx] - cashCurve[idx]) / equityCurve[idx]) * 100);
         
         int index = idx;
         Position posLong = FindOpenPosition(0);

         if (posLong == null)
         {
            if (consDown[index] >= Parameters[0].AsDouble)
               _transaction = PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, 0, "Enter Long");
         }
         else
         {
            if (consUp[index] >= Parameters[1].AsDouble)
               if (index - 1 >= 0 && bars.Open[index] > bars.Open[index - 1])
                  ClosePosition(posLong, OrderType.Market, 0, "Sell when condition is true");

            if (idx - posLong.EntryBar + 1 >= Parameters[2].AsInt)
               ClosePosition(posLong, OrderType.Market, 0, "Sell after 10 bars");

            ClosePosition(posLong, OrderType.Stop, posLong.EntryPrice * (1.0 - (Parameters[3].AsInt / 100.0)), "Sell at stop loss");

         }

        }

      
   }
}

1

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