Portfolio Simulation vs Raw Profit mode: 100% equity

Author: kelvinyip

Creation Date: 1/3/2013 4:11 PM

Wealth Lab » Wealth-Lab Developer/Pro » Portfolio Simulation vs Raw Profit mode: 100% equity

kelvinyip

1/3/2013 4:11 PM

Hi

I have a simple sample below. If it is monday, we go long else we reverse and go short. If I run this in gross profit mode,
I do see all the trades I expected. for example going long on monday and closing out short and then going long on Monday.

If I run this in simulation mode and put 100% equity or any amount of equity for that matter, I see trades that don't make any sense . Any idea ? Attached is my code.

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I have a simple sample below. If it is monday, we go long else we reverse and go short. If I run this in gross profit mode,
I do see all the trades I expected. for example going long on monday and closing out short and then going long on Monday.

If I run this in simulation mode and put 100% equity or any amount of equity for that matter, I see trades that don't make any sense . Any idea ? Attached is my code.

[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
	{
		StrategyParameter strategyParameter1;
		public MyStrategy()
		{

}
	
		
		protected override void Execute()
		{
			
			
			bool b=false;
			for(int bar =1; bar < Bars.Count; bar++)
			{
				
				b=false;// initialize every day
			
				
				if((int)Date[bar].DayOfWeek==1){
					b=true;
				}
				
				if (Positions.Count==0 && bar==1 )
				
					
				{
					if(b==true){
						BuyAtClose(bar,"buy");
					}
					else
					{
						ShortAtClose(bar,"short");
					}
				}
				
				
				
				else {
					Position p = LastPosition;				
					if ( p.PositionType == PositionType.Long ) 
					{
						if ( b==true ) 
						{
						   //do nothing, keep long
						}
						if ( b==false ) 
						{
							SellAtClose( bar, p,"close long" );
							ShortAtClose( bar,"open short" );
						}
					}
					else // so we have short positions
					{
						
						if ( b==true ) 
						{
							CoverAtClose( bar, p,"close short" );
							BuyAtClose( bar,"open long" );
						}
						if(b==false){
							
							// do nothing
						}
						
					}
					
				}//Positions.Count
				
				
					}
			}
		}
	
	
}[/CODE]

Cone

1/3/2013 5:01 PM

There's definitely a difference between 100% and "any amount" of equity sizing. Nonetheless, cash derived from trades that are not market orders (i.e., stop, limit, or at close) cannot be used for another trade on the same bar. So, if you bump the equity % below 50, you should see "most" of your trades again.

I say "most" because if it's near 50, there will still be a problem having sufficient equity for all trades due to sizing with basis price. See User Guide: Strategy Window > Backtesting Strategies > Inside a Portfolio Simulation > 100% of Equity Sizing