Parabolic stops for Multiple Positions

sedelstein

#1

1/13/2012 6:49 PM

I've written some code that uses parabolic like stops for multiple position strategies.

If a new high is hit, then like the Wilder stop, a new stop is calculated and the acceleration factor is increased

stop(t+1) = stop (t) + acceleration factor (t) * (High(t) - stop(t))

I wanted each active position to have its own set of stops. The only way I could see to do it was to keep track of each position's unique stop and acceleration factor in the .Tag property of the position.

I am new to C# and WLP. I would appreciate anyone looking at it and see if there is a more elegant solution.

Thanks for the comments

Steve

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I've written some code that uses parabolic like stops for multiple position strategies.

If a new high is hit, then like the Wilder stop, a new stop is calculated and the acceleration factor is increased

stop(t+1) = stop (t) + acceleration factor (t) * (High(t) - stop(t))

I wanted each active position to have its own set of stops.  The only way I could see to do it was to keep track of each position's unique stop and acceleration factor in the .Tag property of the position.

I am new to C# and WLP.  I would appreciate anyone looking at it and see if there is a more elegant solution.

Thanks for the comments

Steve

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()

{

int max_number_of_positions = 3;
			double sar;	
			double af = 0.02;
			double af_incr = 0.02;
			double af_max = 0.20;

DataSeries ll =Lowest.Series(Low, 10);						
			DataSeries atr =ATR.Series(Bars , 10);

PlotStops();
			
			for(int bar = 20; bar < Bars.Count; bar++)
			{

for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{

Position p = ActivePositions[pos];

// get current stop and acceleration factor
					string myString = (string) p.Tag; 
					string [] Split = myString.Split(new Char [] {' '});

sar = double.Parse(Split[0]);
					af = double.Parse(Split[1]);

// If new high, increase the acceleration factor
					if(High[bar] == Highest.Series( High, bar-p.EntryBar + 1 )[bar]) af = Math.Min(af+af_incr, af_max);
					sar = sar + af * (High[bar]- sar);
					
					SellAtStop( bar+1, p, sar, "sar stop" );
					
					// Keep track of stop and acceleration factor for this position
					p.Tag = Convert.ToString(sar) + " " + Convert.ToString(af);					
					PrintDebug(bar + " Date: " + String.Format( "{0:d}", Bars.Date[bar]) + "Position " + pos + "  Stop @ " + sar + " af = " + af);
				}

// entry rules here

if (ActivePositions.Count < max_number_of_positions)
				{
					BuyAtClose(bar, "Entry");	
					// Calculate tomorrows's SAR stop and put it and the initial af into the Tag property of the position
					sar = ll[bar]-2*atr[bar];  //Initial extreme point to use
					LastPosition.Tag = Convert.ToString(sar) + " " + Convert.ToString(af_incr);
				}
			}
		}
	}
}[/CODE]

Eugene

#2

1/14/2012 3:34 AM

Nice try. First thing that hits the eye is that you're assigning a Tag to a Position that is being closed:

sedelstein

#3

1/14/2012 6:59 AM

Well, Like I said, I'm new to this but isn't the position only closed if the stop is hit on the next (bar+1) bar?. At this point in the loop, you are at bar. Am I fundamentally not understanding something about how WLP trades?

Eugene

#4

1/14/2012 7:58 AM

Your understanding is correct, I didn't understand the logic behind that assignment at first but now am seeing it (it changes on each bar).

Here's a couple of cosmetic changes thrown in:

1. ATR is an unstable indicator (WealthScript Guide > Indicators), hence:

2. Parsing a string with sar and increment has been replaced with a new SAR class for better readability and ease of use.
3. Assigning a SAR to a newly created Position after verifying that it exists:

Size:

Color:

Your understanding is correct, I didn't understand the logic behind that assignment at first but now am seeing it (it changes on each bar).

Here's a couple of cosmetic changes thrown in:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class SAR
	{
		public double sar;
		public double af_incr;
		
		public SAR( double sar, double af_incr)
		{
			this.sar = sar;
			this.af_incr = af_incr;
		}
	}
	
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			int max_number_of_positions = 3;
			double sar;	
			double af = 0.02;
			double af_incr = 0.02;
			double af_max = 0.20;

DataSeries ll =Lowest.Series(Low, 10);						
			DataSeries atr =ATR.Series(Bars , 10);

PlotStops();
			
			for(int bar = GetTradingLoopStartBar(atr.FirstValidValue*3); bar < Bars.Count; bar++)
			{
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					SAR s = (SAR)p.Tag;
					sar = s.sar;
					af = s.af_incr;

// If new high, increase the acceleration factor
					if(High[bar] == Highest.Series( High, bar-p.EntryBar + 1 )[bar]) 
						af = Math.Min(af+af_incr, af_max);
					sar += af * (High[bar]- sar);

// Keep track of stop and acceleration factor for this position
					p.Tag = new SAR( sar,af );
					SellAtStop( bar+1, p, sar, "sar stop" );
					
					PrintDebug(bar + " Date: " + String.Format( "{0:d}", Bars.Date[bar]) + " \tPosition " + pos + "\tStop @ " + sar + "\taf = " + af);
				}
    
				// entry rules here
				if (ActivePositions.Count < max_number_of_positions)
				{
					if( BuyAtClose(bar, "Entry") != null )
					{
						// Calculate tomorrows's SAR stop and put it and the initial af into the Tag property of the position
						sar = ll[bar]-2*atr[bar];  //Initial extreme point to use
						SAR s = new SAR( sar, af_incr );
						LastPosition.Tag = s;
					}					
				}
			}
		}
	}
}[/CODE]

1. ATR is an unstable indicator (WealthScript Guide > Indicators), hence:
[CODE]GetTradingLoopStartBar(atr.FirstValidValue*3)[/CODE]
2. Parsing a string with sar and increment has been replaced with a new SAR class for better readability and ease of use.
3. Assigning a SAR to a newly created Position after verifying that it exists:
[code]if( BuyAtClose(bar, "Entry") != null )[/code]

sedelstein

#5

1/14/2012 10:37 AM

Thanks Eugene

So a Tag can be assigned to an object. No more need for parsing.

When would

not lead to a position?

Do all entries need to be qualified as in (3) in your last post?

Eugene

#6

1/14/2012 11:40 AM

Lack of funds in the first place.

But in your case, your code is re-assigning a new sar on each bar simply because ActivePositions.Count is less than the max_number_of_positions. It's up to you to decide if it's acceptable or not.

sedelstein

#7

1/14/2012 3:18 PM

Well then I guess I am fundamentally missing something. I want to create parabolic stop for each active position. Not because I have less than the maximum number of positions allowed.

I thought I was doing it correctly because the loop is for the active positions

In that loop, if a new high is hit, the acceleration factor, af, is increased for the next bar's recalculation of the stop

Additional positions are created below that loop

Eugene

#8

1/14/2012 3:30 PM

Right, and unless you've completely loaded with positions (< 3), you're also adjusting that stop on each bar.

sedelstein

#9

1/14/2012 3:39 PM

Then I guess I'm ok because that is what the code is supposed to do

1) Adjust the stop for each position for each and every bar
2) Add positions if you are not at the max

In actual testing, I'll be creating some less naive entry rules

Thanks for the help

sedelstein

#10

1/15/2012 3:34 PM

Being new to C# I was wondering if there is a way to make this into a method so that I wouldn't need to include a lot of this code into each and every strategy I run.

thanks for the hint

Eugene

#11

1/16/2012 12:39 AM

There are classes and methods designed to do their job. Now comes your job to wrap what's required by your own project and pack it into a class, method or custom library which you can reference in any of your strategies.