Why PosSizer Equity/Cash are coming not from my Fidelity Account?

Author: Frank1972

Creation Date: 1/11/2017 5:01 PM

Wealth Lab » Extensions » Why PosSizer Equity/Cash are coming not from my Fidelity Account?

Frank1972

1/11/2017 5:01 PM

I've been searching and reading the Forum for a couple of hours and can't seem to find this information. So I thought I would ask:

When my position sizing algorithm runs and hits my break point in SizePosition I'm seeing the equity and cash set to $100,000. This seems to be a paper account and not my Fidelity account. Am I doing something wrong with my configuration of Wealth-Lab or do I just not understand how the PosSizer works?

Sorry in advance if this has already been answered somewhere already.

Thanks,

-Frank

Eugene

1/11/2017 5:47 PM

Hi Frank,

Let's summarize. Some unknown algorithm runs in a Wealth-Lab tool (could be Strategy window or it could be Strategy Monitor) and some property (we aren't sure which exactly) at some unknown bar is returning the $100K value under VS debugger. It happens unexpectedly and probably repeatably.

Well the beginning is intriguing and I have a feeling that the story should unfold as there's quite a bit of unknowns. ;) If this happens just with one or few particular strategies, it (or they) could be assigned to the Paper Account. If it's global, the $64K question is how can we reproduce it? The more details the better the chances to track the problem down.

Frank1972

1/11/2017 6:40 PM

Eugene,

Sorry for being vague. I'm running a strategy that is running in a Streaming Strategy Window on the symbol SPY on a 1 minute chart. The code for the strategy is:

CODE:
Please log in to see this code.

The code for the PosSizer is as follows:

CODE:
Please log in to see this code.

I have configured WealthLab in the Preferences->Trading->DefaultAccount to be my Fidelity Account. I have placed a conditional break point on the

CODE:
Please log in to see this code.

The condition is:

CODE:
Please log in to see this code.

When I do this I see a screen similar to the one attached. Please note in the Locals window in the bottom left corner of the screen that

CODE:
Please log in to see this code.

I have circled them with a red line.

So with that:
When my position sizing algorithm runs and hits my break point in SizePosition I'm seeing the equity set to $100,000. This seems to be a paper account and not my Fidelity account. Am I doing something wrong with my configuration of Wealth-Lab or do I just not understand how the PosSizer works?

Please let me know if you need more information in bringing this issue/question to a resolution.

Thanks,

Frank

WLP Capture.PNG

Size:

Color:

Eugene,

Sorry for being vague. I'm running a strategy that is running in a Streaming Strategy Window on the symbol SPY on a 1 minute chart. The code for the strategy is:
[code]
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//code your exit rules here
					SellAtMarket(bar + 1, LastPosition);
				}
				else
				{
					//code your entry rules here
					BuyAtMarket(bar + 1);
				}
			}
		}
	}
}
[/code]

The code for the PosSizer is as follows:
[code]
using System;
using System.Collections.Generic;
using System.IO;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using WealthLab;

namespace MyPosSizer
{
    public class MyPosSizer : PosSizer {
        public override string FriendlyName {
            get {
                return "MyPosSizer";
            }
        }

public override double SizePosition(Position currentPos, Bars bars, int bar, double basisPrice, PositionType pt, double riskStopLevel, double equity, double cash) {
            return 100;
        }
    }
}
[/code]

I have configured WealthLab in the Preferences->Trading->DefaultAccount to be my Fidelity Account. I have placed a conditional break point on the
[code]
return 100;
[/code]
The condition is:
[code]
(bar == (bars.Count - 1)) && ((bars.Count - 1) % 2 == 0)
[/code]

When I do this I see a screen similar to the one attached. Please note in the Locals window in the bottom left corner of the screen that 
[code]
equity = 100000
cash = 0
[/code]

I have circled them with a red line.

So with that:
When my position sizing algorithm runs and hits my break point in SizePosition I'm seeing the equity set to $100,000. This seems to be a paper account and not my Fidelity account. Am I doing something wrong with my configuration of Wealth-Lab or do I just not understand how the PosSizer works?

Please let me know if you need more information in bringing this issue/question to a resolution.

Thanks,

Frank

Eugene

1/11/2017 7:32 PM

Frank, thank you for providing the detailed walkthrough. The $100,000 figure is your strategy's Starting Capital as set in the Position Size dropdown box. It's by design. The Accounts window doesn't have to do with sizing positions in backtester.