Close positions on different bars in a MP Strategy

Author: algotradingwl

Creation Date: 3/31/2016 11:51 AM

Wealth Lab » WealthScript (.NET) » Close positions on different bars in a MP Strategy

algotradingwl

3/31/2016 11:51 AM

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I modified the code from sp to mp strategy. Multiple positions are opened on different bars for the same conditions, as intended. But multiple positions are closed on one bar (exit name only Sell2 and Cover2), should have a different. Can you tell me plz what is wrong? 
[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class envelop : WealthScript
	{
		private StrategyParameter paramPeriod;
				
		public envelop()
		{
			paramPeriod = CreateParameter("Ch Period", 150, 10, 200, 10);
		}
		
		protected override void Execute()
		{
			double RiskPerTrade=0.04;
			//Get values of parameters
			int period = paramPeriod.ValueInt;
						
			//Obtain pch indicators
			DataSeries ChUpper = Highest.Series(High, period);
			DataSeries ChLower = Lowest.Series(Low, period);
			
			PlotSeries(PricePane, ChUpper >> 1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, ChLower >> 1, Color.Red, LineStyle.Solid, 1);			
			
			//trading system rules
			for(int bar = period; bar < Bars.Count; bar++)
			{
				
				for (int p = ActivePositions.Count - 1; p > -1; p-- )
				{
					string signal = LastPosition.EntrySignal;
					Position pos = ActivePositions[p];
		
					//Close all position on the last bar		
					if (bar == Bars.Count-1)
					{
						ExitAtMarket( bar, pos, "Exit at last bar");
					}

if( pos.PositionType == PositionType.Long )
					{
						if ( CrossUnder (bar, Close, ChLower>>1))
						{
							if (signal=="Buy1")
							{
								SellAtMarket(bar+1,pos,"Sell1");
							}
							if (signal=="Buy2")
							{
								SellAtMarket(bar+2,pos,"Sell2");
							}
						}
					}
						
					if( pos.PositionType == PositionType.Short )
					{
						if ( CrossOver (bar, Close, ChUpper>>1))
						{
							if (signal=="Short1")
							{
								CoverAtMarket (bar+1, pos, "Cover1");
							}
							if (signal=="Short2")
							{
								CoverAtMarket (bar+2, pos, "Cover2");
							}	
						}
					}
				}
				
				if (ActivePositions.Count == 0 )
				{
					if ( CrossOver (bar, Close, ChUpper>>1))
					{	
						BuyAtMarket(bar+1,"Buy1");
						LastPosition.Tag=((RiskPerTrade/(Math.Abs(LastPosition.EntryPrice-ChLower[bar])/LastPosition.EntryPrice))*100);
					}
				
					if ( CrossUnder (bar, Close, ChLower>>1))
					{	
						ShortAtMarket(bar+1,"Short1");
						LastPosition.Tag=((RiskPerTrade/(Math.Abs(LastPosition.EntryPrice-ChUpper[bar])/LastPosition.EntryPrice))*100);
					}
				}
				
				if (ActivePositions.Count == 1 )
				{	
					if ( CrossOver (bar, Close, ChUpper>>1))
					{	
						BuyAtMarket(bar+2,"Buy2");
						LastPosition.Tag=((RiskPerTrade/(Math.Abs(LastPosition.EntryPrice-ChLower[bar])/LastPosition.EntryPrice))*100);
					}
				
					if ( CrossUnder (bar, Close, ChLower>>1))
					{	
						ShortAtMarket(bar+2,"Short2");
						LastPosition.Tag=((RiskPerTrade/(Math.Abs(LastPosition.EntryPrice-ChUpper[bar])/LastPosition.EntryPrice))*100);
					}
				}
			}
		}
	}
}
[/code]

Eugene

3/31/2016 12:18 PM

QUOTE:
But multiple positions are closed on one bar (exit name only Sell2 and Cover2), should have a different.

No, they shouldn't. The logic behind your exit conditions is the same to close the first/subsequent trades. That's why they're being exited on the same bar.

Another observation. You query the entry signal for the last created Position irrespective of its PositionType and assign the "signal" variable:

CODE:
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But then you start operating the current active Position like this:

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So if your last Position to be created was e.g. "Short2" and you're processing the first long Position in the loop, you exit it if the exit condition is true. That looks like an inadvertent logic error. Are you sure you didn't intend to code it like below?