Max percent risk and shorting

Author: armand453

Creation Date: 8/3/2011 7:38 PM

Wealth Lab » Trading Strategies » Max percent risk and shorting

armand453

8/3/2011 7:38 PM

Hi, I have some problems to implement a RiskStopLevel with my strategy. In my strategy I use a moving average as stop, if the close price cross the moving averageI close my position, I've tried to add befor my buy rules and sell rules a riskstoplevel to do so i've just entered one before buying (close - movingaverage) and one before shorting (movingaverage-close), but when I launch my backtest it tell me that I have insufficient capital to take some trades; and when I go in detail I've seen that it didn't take any short trade, but didn't have this problem with the long one, is there something special to do for shorting?

Eugene

8/4/2011 2:17 AM

Hi, please post the Strategy code here for analysis.

armand453

8/4/2011 10:51 AM

Here is the code

CODE:
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Thanx for your help.

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Here is the code

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

namespace WealthLabCompile
{
  class MovingAverageCrossover : WealthScript
  {
    //Create parameters
    private StrategyParameter fastPeriod;
    private StrategyParameter mediumPeriod;
    private StrategyParameter longPeriod;

public MovingAverageCrossover()
    {
        fastPeriod = CreateParameter("Fast Period", 10, 1, 45, 5);
        mediumPeriod = CreateParameter("Medium Period", 45, 45, 175, 5);
	longPeriod = CreateParameter("Long Period", 175, 175, 250, 5);
    }

protected override void Execute()
    {
        //Obtain periods from parameters
        int fastPer = fastPeriod.ValueInt;
        int mediumPer = mediumPeriod.ValueInt;
	int longPer = longPeriod.ValueInt;
      
        SMA smaFast = SMA.Series(Close, fastPer);
        SMA smaMedium = SMA.Series(Close, mediumPer);
	SMA smaLong = SMA.Series(Close, longPer);

PlotSeries(PricePane, smaFast, Color.Aqua, LineStyle.Solid, 2);
        PlotSeries(PricePane, smaMedium, Color.Green, LineStyle.Solid, 2);
	PlotSeries(PricePane, smaLong, Color.Red, LineStyle.Solid, 2);

for (int bar = Math.Max(mediumPer, longPer); bar < Bars.Count; bar++)
        {
            if (IsLastPositionActive)
            {          
              if ( (Bars.Close[bar] <  smaLong[bar]) && (LastActivePosition.PositionType == PositionType.Long) )
                SellAtMarket(bar + 1, LastActivePosition);
					
              if ( (Bars.Close[bar] >  smaLong[bar]) && (LastActivePosition.PositionType == PositionType.Short) )
		CoverAtMarket(bar + 1, LastActivePosition);
            }
            else
            {
	      if ( (Bars.Close[bar] > smaLong[bar]) && (smaMedium[bar] > smaLong[bar]) && (smaFast[bar] > smaMedium[bar]))
	      {
		RiskStopLevel = Close[bar] - smaLong[bar];
		BuyAtMarket(bar + 1);
	      }
	      if ( (Bars.Close[bar] < smaLong[bar]) && (smaMedium[bar] < smaLong[bar]) && (smaFast[bar] < smaMedium[bar]))
	      {
		RiskStopLevel = smaLong[bar]- Close[bar];			
		ShortAtMarket(bar + 1);
	      }
            }
        }
    }
  }
}[/CODE]

Thanx for your help.

Cone

8/4/2011 12:24 PM

The RiskStopLevel is the level at which you'll take the stop, i.e., exit the Position.

If the stop level is the moving average, then you should assign the moving average's value to the RiskStopLevel.