Trying to create synthetic trades as a filter

Author: djmundus

Creation Date: 10/10/2018 1:07 AM

Wealth Lab » Trading Strategies » Trying to create synthetic trades as a filter

djmundus

10/10/2018 1:07 AM

I'm using a modified version of the DipBuyer strategy (basically buy a limit order at 8% below the close).

I would like to create some logic that mirrors the trade being executed and keep track of the cumulative profit for that stock. If the number of synthetic trades is greater than some number and the cumulative profit is less than zero, I want to disable trading until the synthetic cumulative profit is back over zero.

I've been adding the cumulative profit counter value to each trade and what I see doesn't match up with the actual cumulative profit of the real trades.

Not sure what I'm doing wrong:

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I'm using a modified version of the DipBuyer strategy (basically buy a limit order at 8% below the close).

I would like to create some logic that mirrors the trade being executed and keep track of the cumulative profit for that stock.  If the number of synthetic trades is greater than some number and the cumulative profit is less than zero, I want to disable trading until the synthetic cumulative profit is back over zero.

I've been adding the cumulative profit counter value to each trade and what I see doesn't match up with the actual cumulative profit of the real trades.

Not sure what I'm doing wrong:

[code]	class DipBuyer : WealthScript
	{
		//Create parameters
		
		StrategyParameter pctDip;
		StrategyParameter slider1;
		StrategyParameter slider2;

public DipBuyer()
		{
			pctDip = CreateParameter("Dip Percent", 8, 5, 15, 0.5);
			slider1 = CreateParameter("KAMA Period", 200, 100, 200, 10);
			slider2 = CreateParameter("Count", 5, 3, 20, 1);
		}

protected override void Execute()
		{
			DataSeries trigger = Bars.Close * (1 - pctDip.Value/100);

int counter = 0;
			double openprofit = 0;
			double tradeprofit = 0;

for (int bar = 20; bar < Bars.Count; bar++)
			{
                                //Create synthetic trade for a gap down below limit price
				if (Open[bar-1] < trigger[bar-2])
				{
					counter = counter + 1;
					tradeprofit = (Open[bar]-Open[bar-1])/Open[bar-1];
					openprofit = openprofit + tradeprofit;	
				}
				else
                                //Create synthetic trade for hitting limit price
					if (Low[bar-1] < trigger[bar-2])
					{
						counter = counter + 1;
						tradeprofit = (Open[bar]-Low[bar-1])/Low[bar-1];
						openprofit = openprofit + tradeprofit;				
					}
				if (IsLastPositionActive)
					SellAtMarket(bar + 1, LastPosition);

if (counter < slider2.ValueInt)
					if (Close[bar] > 1)
						BuyAtLimit(bar + 1, trigger[bar],openprofit.ToString());
				
				if (counter > slider2.ValueInt)
					if (openprofit > 0)
						if (Close[bar] > 1)
							BuyAtLimit(bar + 1, trigger[bar],openprofit.ToString());
			}[/code]

Eugene

10/10/2018 6:20 AM

Hi Craig,

Cone already suggested back in August that your approach suffers from incorrect position handling. Before anything else please revisit this thread and correct the error:

How to compare entry date to current date in intraday chart, in post #4