SP and MP Codes for Portfolio Simulation

Author: Jim0000076

Creation Date: 2/6/2013 10:06 AM

Wealth Lab » WealthScript (.NET) » SP and MP Codes for Portfolio Simulation

Jim0000076

2/6/2013 10:06 AM

Eugene,

I have been comparing results from two codes, one is written in Single Position (SP) and the other in Multiple Position (MP) format. Both codes have exactly the same entry and exit rules. Niether system pyramids. Both codes are run in simulation mode with the same risk for a portfolio but the results are significantly different with the SP format always producing a lower performance than the MP system. Do you know why this could be? Which code format should I be using for a portfolio simulation without pyramiding?

Thanks in advance.

Jim

Jim0000076

2/6/2013 11:13 AM

Eugene,

I think I may have had a bracket in the wrong place on the MP code. I need to re-check.

Eugene

2/6/2013 12:31 PM

Jim,

More information would definitely not hurt. Right now, I'm in the dark! :)

Jim0000076

2/6/2013 7:17 PM

Sorry Eugene,

I have been through my codes again in detail and I finally worked out what is happening. I am using the second MP code with the Possizer 'Pyramiding' with the Pyramiding setting set to 0 pyramids. But the Possizer is allocated the funds for pyramiding even though no pryamids trades are taken, the end result is that it does not take the initial position because it has allocated the funds to pyramid that it does not take. If I turn off the pyramid buy part of the script and still run the possisizer I get the same result as for the SP system.

Have you come accross this before? Could my pyramiding code be wrong? Is there a bug in the Pyramiding Possisizer?

Thanks in advance.

Jim

Jim0000076

2/6/2013 8:18 PM

Eugene,

Here is an example of my Pyramid buy script, just wondering if you could pass your eyes over it to see what I am doing wrong. It is a slighly cut down version of the one I am testing but it shows the logic. If you turn off the pyramid buy loop and run in pyramid possisizer you will see that it will take more trades than if this loop is turned on and the pyramid possisizer is set to 0 pyramids.

Thanks in advance

Jim

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Eugene,

Here is an example of my Pyramid buy script, just wondering if you could pass your eyes over it to see what I am doing wrong. It is a slighly cut down version of the one I am testing but it shows the logic. If you turn off the pyramid buy loop and run in pyramid possisizer you will see that it will take more trades than if this loop is turned on and the pyramid possisizer is set to 0 pyramids.

Thanks in advance

Jim

[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()
		{
			// Fitting paramters
			int MaxBuyPrice = 2;

//Price EMA definitions
			DataSeries EMA6 = EMAModern.Series(Close, 6);
			DataSeries EMA12 = EMAModern.Series(Close, 12);
		
			//PLOTS

//Price Pane
			PlotSeries(PricePane,EMAModern.Series(Close,6),Color.Green,LineStyle.Solid,2);
			PlotSeries(PricePane,EMAModern.Series(Close,12),Color.Red,LineStyle.Solid,2);		
		
			//OPEN TRADING LOOP
			//Loop starting bar (X)
			for(int bar = GetTradingLoopStartBar(53); bar < Bars.Count; bar++)
			{			
				//OPEN SELL LOOP		
				//SELL LOOP COMPONENTS IN INDIVIDUAL LOOPS
				for(int pos = ActivePositions.Count-1; pos>=0;pos--)
				{
					Position p = ActivePositions[pos];				
					if(ActivePositions.Count > 0)
					if (EMA6[bar] < EMA12[bar])//EMA Main Sell LOOP	
					{	
						SellAtMarket(bar + 1, Position.AllPositions, "6 and 12 Stop");	
					} //EMA Main Sell LOOP
				}
		
				//START OF BUY CONDITIONS LOOP
				//Pyramid Loop	
				if( ActivePositions.Count > 0)							
				{
					if( ActivePositions.Count < 3)	
					{			
						if (Close[bar] >= (LastPosition.EntryPrice))
						{																						
							//	BuyAtMarket(bar + 1, "pyramid");														
						}
					}
				}
			
				//Main buy loop
				if( ActivePositions.Count < 1)	
				{	
					if (EMA6[bar]> EMA12[bar])
					{	
						if (Close[bar] < MaxBuyPrice)																									
						{	
							RiskStopLevel = Close[bar] - ATR.Value(bar, Bars, 6);
							// CONDITION BUY FORMULA															
							{
								BuyAtMarket(bar + 1, "initial");
							}
						}
					}	
				}
				//Main buy loop now closed

// BUY LOOP NOW CLOSED
			}
		}
	}
}// TRADING LOOP NOW CLOSED
[/CODE]