My strategy's holding periods are brief and don't conform to my exit rules

Author: aretemlehm

Creation Date: 12/13/2017 5:44 PM

Wealth Lab » WealthScript (.NET) » My strategy's holding periods are brief and don't conform to my exit rules

aretemlehm

12/13/2017 5:44 PM

New to the system and testing out to familiarize myself. On exits, I am taking 10% profits (target) or taking 4% losses (stop rule) both long and short. However when I run the strategy and examine the actual trades, the holding periods are brief and I don't see any exit trade activity that conforms to my settings. Sometimes the positions are closed as early as the following session well within the confines of my parameters. I would think the positions would be held until one of the two exit rules is met.

Blaming myself, but looking for guidance. There does not appear to be much in the way of technical support other than the forum.

The entry rules are simple.......buy (short) at market when stock makes a new high (low) on a lookback period of 20 days. I assume the period of 20 matches the data I am importing, which is daily.

Thanks

Eugene

12/13/2017 6:07 PM

QUOTE:
However when I run the strategy and examine the actual trades, the holding periods are brief

Help us help you. Please copy and paste your Strategy to determine where the problem lies in your code. Also, tell us which stock symbol it's applied to and the data range. Thanks.

aretemlehm

12/13/2017 7:00 PM

CODE:
Please log in to see this code.

I am applying the strategy to a proprietary list of 200 large cap US equities. Here is a sampling of some of the trade (image):

Capture.PNG

Size:

Color:

[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()
		{

PlotStops();

for(int bar = GetTradingLoopStartBar(21); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group2|"))
					{
						double high = p.MFEAsOfBar(bar) / p.Shares + p.EntryPrice;
						double amount = high - high * (4 / 100.0d);
						SellAtTrailingStop(bar + 1, p, amount, "Group2");
					}
					if (p.EntrySignal.Contains("Group4|"))
					{
						double low = p.EntryPrice - (p.MFEAsOfBar(bar) / p.Shares);
						double amount_2 = low + low * (4 / 100.0d);
						CoverAtTrailingStop(bar + 1, p, amount_2, "Group4");
					}
					if (p.EntrySignal.Contains("Group1|"))
					{
						double Target = p.EntryPrice * (1 + 10 / 100.0d);
						SellAtLimit(bar + 1, p, Target, "Group1");
					}
					if (p.EntrySignal.Contains("Group3|"))
					{
						double Target_1 = p.EntryPrice * (1 - 10 / 100.0d);
						CoverAtLimit(bar + 1, p, Target_1, "Group3");
					}

}
				else
				{
					      if (ROC.GetSeriesValue(bar,High)>=Highest.Value(bar,High,20))
					{
						BuyAtMarket(bar + 1, "Group1|Group2|");
					}
					if (ROC.GetSeriesValue(bar,Low)<=Lowest.Value(bar,Low,20))
					{
						ShortAtMarket(bar + 1, "Group3|Group4|");
					}

}
			}
		}
	}
}
[/code]
I am applying the strategy to a proprietary list of 200 large cap US equities.  Here is a sampling of some of the trade (image):

Eugene

12/13/2017 7:58 PM

That's a start. The code (exported from Rules) looks correct to me. Now, which symbol(s) and date (precisely) is where you don't see any exit trade activity that conforms to my settings?

aretemlehm

12/13/2017 8:33 PM

I included a picture of some of the actual trades as an attachment to my response. Per the rules, I would be exiting a position with a trigger of either a 10% gain or a 5% loss. At least that was my idea. If once put on the price remained static I assume it would be held for an indefinite period of time (hypothetical). But I see exits at values of between -5% and +5%. I am using price stops and not dollar stops I believe.

Eugene

12/13/2017 9:37 PM

CODE:
Please log in to see this code.

Per the rules, you are exiting at trailing stop - not at stop loss. That's a logic different from your assumption - rather trailing a fixed % below the highest high (and vice versa for shorts) achieved since the position was opened.