Average down strategy - Wealth Lab Forum

Average down strategy

Author: BCWEALTH

Creation Date: 2/9/2013 10:53 PM

Wealth Lab » Trading Strategies » Average down strategy

BCWEALTH

2/9/2013 10:53 PM

How do I get total shares and total profit for all the positions ?

Example,

Symbol: EEM

Buy: 1/1/2003 100 shares

Buy 2/1/2003 100 shares

How do I get 200 shares and total profit ?

Thanks

By design, Wealth-Lab executes Strategy backtests with 1 share in Raw Profit mode and then applies a position sizing overlay. One can't get true "total shares" and "total profit" in a Strategy using standard means only. Only extensions like performance visualizers and PosSizers can access that.

What are you trying to achieve with that? Maybe we could help find a way or a known workaround.

BCWEALTH

2/10/2013 1:02 PM

1) Buy At Market IVV 100 Shares (or $10,000).

2) Buy another IVV 100 shares (or $10,000) if the first position is down 2%.

3) Buy another IVV 100 shares (or $10,000) if the second position is down 2%.

Sell all shares depending on toal profit/loss.

Thanks

Eugene

2/10/2013 1:55 PM

Then you can easily build this strategy using means available:

1. For sizing, either use SetShareSize(100) + choose "WealthScript Override" for sizing, or simply select 100 shares.
2. The 'total profit' is just average entry price + N%.

CODE:
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Size:

Color:

Then you can easily build this strategy using means available:

1. For sizing, either use SetShareSize(100) + choose "WealthScript Override" for sizing, or simply select 100 shares.
2. The 'total profit' is just average entry price + N%.

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

namespace WealthLab.Strategies
{
	public class bcwealth20130210 : WealthScript
	{
		private StrategyParameter paramMaxPos;
		private StrategyParameter paramDecline;
		private StrategyParameter paramTotalPnL;

public bcwealth20130210()
		{
			paramMaxPos = CreateParameter("Max. pos.", 2, 1, 5, 1);
			paramDecline = CreateParameter("Decline %", 2, 1, 10, 1);
			paramTotalPnL = CreateParameter("PnL %", 2, 1, 10, 1);
		}

protected override void Execute()
		{
			for (int bar = 1; bar < Bars.Count; bar++)
			{
				if( Positions.Count == 0 ) 
				{
					SetShareSize(100);
					BuyAtMarket(bar + 1, "Initial");
				}
				else
				{
					double entry = LastPosition.EntryPrice * (1 - paramDecline.Value / 100.0d);
					if( ActivePositions.Count < paramMaxPos.ValueInt )
					{
						SetShareSize(100);
						BuyAtLimit(bar + 1, entry, entry.ToString("N2"));
					}
				}
				
				if( ActivePositions.Count > 0 )
				{
					double AvgEntryPrice = 0;
					
					// Calculate average entry price for open positions
					for(int i = 0; i < ActivePositions.Count; i++)
						AvgEntryPrice += ActivePositions[i].EntryPrice;
					AvgEntryPrice /= ActivePositions.Count;	
					
					double exit = AvgEntryPrice * (1 + paramTotalPnL.Value / 100.0d);
					SellAtLimit( bar+1, Position.AllPositions, exit, exit.ToString("N2") );
				}
			}
		}        
	}
}
[/code]