Shorts Not Covering - Wealth Lab Forum

sdbens20

#1

10/24/2011 9:56 PM

I have a trading system that I want to use to go long and short. The intent is to have only one position in a stock (long or short or out) at a time. The problem is that longs open and close as intended but shorts frequently fail to cover(close) when the rules are met. More than half of the shorts do not cover.

The system's code shown below was created from rules by WLP.

CODE:
Please log in to see this code.

All parameters have unique names. Can you see why many shorts are failing to close?

Thanks,

Sherm

Size:

Color:

I have a trading system that I want to use to go long and short.  The intent is to have only one position in a stock (long or short or out) at a time.  The problem is that longs open and close as intended but shorts frequently fail to cover(close) when the rules are met.  More than half of the shorts do not cover.

The system's code shown below was created from rules by WLP.

[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
	{
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		private StrategyParameter slider4;
		private StrategyParameter slider5;
		private StrategyParameter slider6;
		private StrategyParameter slider7;
		private StrategyParameter slider8;
		private StrategyParameter slider9;
		private StrategyParameter slider10;
		public MyStrategy()
		{
			slider1 = CreateParameter("Buy 1 Smooth Period",20,2,200,20);
			slider2 = CreateParameter("Buy 2 Smooth Period",20,2,200,20);
			slider3 = CreateParameter("Sell Profit Target %",10,1,100,10);
			slider4 = CreateParameter("Sell Percent",10,0,100,10);
			slider5 = CreateParameter("Sell Smooth Period",20,2,200,20);
			slider6 = CreateParameter("Short 1 Smooth Period",20,2,200,20);
			slider7 = CreateParameter("Short 2 Smooth Period",20,2,200,20);
			slider8 = CreateParameter("Cover Profit Target %",10,1,100,10);
			slider9 = CreateParameter("Cover Percent",10,0,100,10);
			slider10 = CreateParameter("Cover Smooth Period",20,2,200,20);
		}

protected override void Execute()
		{
			DataSeries ad = AccumDist.Series(Bars);
			DataSeries smooth = SMA.Series(ad,slider1.ValueInt);
			DataSeries ad_1 = AccumDist.Series(Bars);
			DataSeries smooth_2 = SMA.Series(ad_1,slider2.ValueInt);
			DataSeries ad_3 = AccumDist.Series(Bars);
			DataSeries smooth_4 = SMA.Series(ad_3,slider5.ValueInt);
			DataSeries ad_5 = AccumDist.Series(Bars);
			DataSeries smooth_6 = SMA.Series(ad_5,slider6.ValueInt);
			DataSeries ad_7 = AccumDist.Series(Bars);
			DataSeries smooth_8 = SMA.Series(ad_7,slider7.ValueInt);
			DataSeries ad_11 = AccumDist.Series(Bars);
			DataSeries smooth_12 = SMA.Series(ad_11,slider10.ValueInt);

ChartPane paneAccumDist = CreatePane(75,true,true);
			PlotSeries(paneAccumDist,ad,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth,Color.Red,LineStyle.Solid,1);
			PlotSeries(paneAccumDist,ad_1,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth_2,Color.Red,LineStyle.Solid,1);
			PlotStops();
			PlotSeries(paneAccumDist,ad_3,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth_4,Color.Red,LineStyle.Solid,1);
			PlotSeries(paneAccumDist,ad_5,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth_6,Color.Red,LineStyle.Solid,1);
			PlotSeries(paneAccumDist,ad_7,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth_8,Color.Red,LineStyle.Solid,1);
			PlotSeries(paneAccumDist,ad_11,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth_12,Color.Red,LineStyle.Solid,1);

for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group2|"))
					{
						bool cond5 = false;
						cond5 = true;
						if (cond5)
						{
							double high = p.MFEAsOfBar(bar) / p.Shares + p.EntryPrice;
							double amount = high - high * (slider4.Value / 100.0d);
							SellAtTrailingStop(bar + 1, p, amount, "Group2");
						}
					}
					if (p.EntrySignal.Contains("Group5|"))
					{
						bool cond6 = false;
						cond6 = true;
						if (cond6)
						{
							double low = p.EntryPrice - (p.MFEAsOfBar(bar) / p.Shares);
							double amount_10 = low + low * (slider9.Value / 100.0d);
							CoverAtTrailingStop(bar + 1, p, amount_10, "Group5");
						}
					}
					if (p.EntrySignal.Contains("Group6|"))
					{
						if (CrossOver(bar, ad_11, smooth_12))
						{
							CoverAtMarket(bar + 1, p, "Group6");
						}
					}
					if (p.EntrySignal.Contains("Group3|"))
					{
						if (CrossUnder(bar, ad_3, smooth_4))
						{
							SellAtMarket(bar + 1, p, "Group3");
						}
					}
					if (p.EntrySignal.Contains("Group1|"))
					{
						bool cond7 = false;
						cond7 = true;
						if (cond7)
						{
							double Target = p.EntryPrice * (1 + slider3.Value / 100.0d);
							SellAtLimit(bar + 1, p, Target, "Group1");
						}
					}
					if (p.EntrySignal.Contains("Group4|"))
					{
						bool cond8 = false;
						cond8 = true;
						if (cond8)
						{
							double Target_9 = p.EntryPrice * (1 - slider8.Value / 100.0d);
							CoverAtLimit(bar + 1, p, Target_9, "Group4");
						}
					}

}
				else
				{
					bool cond1 = false;
					if (CrossUnder(bar, ad_5, smooth_6))
					{
						cond1 = true;
					}
					bool cond2 = false;
					if (ad_7[bar] < smooth_8[bar])
					{
						cond2 = true;
					}
					if (cond1 || cond2)
					{
						ShortAtMarket(bar + 1, "Group4|Group5|Group6|");
					}
					bool cond3 = false;
					if (CrossOver(bar, ad, smooth))
					{
						cond3 = true;
					}
					bool cond4 = false;
					if (ad_1[bar] > smooth_2[bar])
					{
						cond4 = true;
					}
					if (cond3 || cond4)
					{
						BuyAtMarket(bar + 1, "Group1|Group2|Group3|");
					}

}
			}
		}
	}
}[/CODE]

All parameters have unique names.  Can you see why many shorts are failing to close?

Thanks,

Sherm

[URL=http://imageshack.us/photo/my-images/689/rulesvz.png/][IMG]http://img689.imageshack.us/img689/4779/rulesvz.th.png[/IMG][/URL]

Eugene

#2

10/25/2011 6:05 AM

Here the code closes all shorts gracefully. Specifying a particular scenario (symbols, bar scale etc.) might clear things up.

sdbens20

#3

10/25/2011 9:33 PM

Eugene,

Scale: Daily
Data Range: 1 Year
Position Size: $100,000 (RP)
Symbol: .DJI

Optimization Parameters:
http://imageshack.us/photo/my-images/832/optimizationparameters.jpg/
Note: Last parameter not included.

Partial Results:
http://imageshack.us/photo/my-images/850/partialresults.png/
Note: Last 7 trades not shown.

I'm using Windows 7 Pro, 64-bit, on an i7 computer. WLP is Version 6.2.34.0, 64-bit Edition.

Please let me know if there more information needed.

Thanks,

Sherm

Eugene

#4

10/26/2011 3:54 AM

I don't have the .DJI but on ^DJI, no single trade since 1990 was left without covering using the default strategy parameters (not sure what do you mean by "Last parameter not included").

Cone

#5

10/26/2011 4:11 AM

I have .DJI, but I can't duplicate it either with the default parameters.

After looking at your results, I'm confident that you have not provided us with the strategy that you're testing. The strategy in your initial post only allows for a single open Position, so it's impossible to have open short positions while trading other active positions.

At some point you must have clicked on "Multiple open positions Allowed" in the Strategy Builder, and that may have the effect that you describe due to your programmed logic.

sdbens20

#6

10/26/2011 9:37 PM

Cone,

If at some point, I clicked on "Multiple open positions Allowed" but then clicked on "Single Open Position" and re-ran the strategy, would the "Multiple open positions Allowed" still be in effect?

I just ran the strategy below in its "Rules" form using default parameters.
http://imageshack.us/photo/my-images/62/rules102511.jpg/

Please note that "Single Open Position" is selected.

I then ran and optimized the parameters per the two screen shots below:

http://imageshack.us/photo/my-images/607/optctrlscreen110251.jpg/
http://imageshack.us/photo/my-images/339/optctrlscreen2102511.png/

Note: the second screen shot shows the last parameter being optimized. It did not appear in the first Optimization Control picture because the Strategy Parameters window is too small.

The next next picture shows a partial list of results, highest Net Profit first.

http://imageshack.us/photo/my-images/7/partialresultsmostprofi.jpg/

This last screen shot shows trades generated by the highest Net Profit result. Please note all the open short trades.

http://imageshack.us/photo/my-images/100/trades1102511.jpg/

There were a total of 85 trades. 2 short trades opened and closed. 26 shorts opened but did not close.

Can you see why I am getting this impossible outcome?

Thanks,

Sherm

Cone

#7

10/27/2011 2:07 AM

No, I can't see why. It's impossible with the code that you posted. Try repeating the procedure with that.

Separately, please create a support ticket and attach the xml Strategy file so I can take a look from that angle.

sdbens20

#8

10/27/2011 6:17 AM

1) The problem of unclosed shorts appears in optimized runs of the both the rules and code versions of the strategy. In making your declarations of "impossibility", have you been basing you review of results of optimization runs? If not, please do so.
2) Please clarify, repeat what procedure?
3) Did you look at the 5 images I sent you?
4) You mentioned "It's impossible with the code that you posted." I can assure you that the code posted on 10/24/2011 at 9:56 PM and the rules I posted 10/26/2011 at 9:37 PM do produce unclosed short trades in optimization runs.
5) What is a xml Strategy file and how is it created?

Eugene

#9

10/27/2011 6:56 AM

An "else" separating the long entry from the short one solves the problem. Furthermore, I think that the previous version of the code wasn't up to your expectations.

CODE:
Please log in to see this code.

Size:

Color:

An "[i]else[/i]" separating the long entry from the short one solves the problem. Furthermore, I think that the previous version of the code wasn't up to your expectations.
[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
	{
		private StrategyParameter slider1;
		private StrategyParameter slider2;
		private StrategyParameter slider3;
		private StrategyParameter slider4;
		private StrategyParameter slider5;
		private StrategyParameter slider6;
		private StrategyParameter slider7;
		private StrategyParameter slider8;
		private StrategyParameter slider9;
		private StrategyParameter slider10;
		public MyStrategy()
		{
			/*slider1 = CreateParameter("Buy 1 Smooth Period",20,2,200,20);
			slider2 = CreateParameter("Buy 2 Smooth Period",20,2,200,20);
			slider3 = CreateParameter("Sell Profit Target %",10,1,100,10);
			slider4 = CreateParameter("Sell Percent",10,0,100,10);
			slider5 = CreateParameter("Sell Smooth Period",20,2,200,20);
			slider6 = CreateParameter("Short 1 Smooth Period",20,2,200,20);
			slider7 = CreateParameter("Short 2 Smooth Period",20,2,200,20);
			slider8 = CreateParameter("Cover Profit Target %",10,1,100,10);
			slider9 = CreateParameter("Cover Percent",10,0,100,10);
			slider10 = CreateParameter("Cover Smooth Period",20,2,200,20);*/
			
			slider1 = CreateParameter("Buy 1 Smooth Period",22,2,200,20);
			slider2 = CreateParameter("Buy 2 Smooth Period",82,2,200,20);
			slider3 = CreateParameter("Sell Profit Target %",1,1,100,10);
			slider4 = CreateParameter("Sell Percent",0,0,100,10);
			slider5 = CreateParameter("Sell Smooth Period",102,2,200,20);
			slider6 = CreateParameter("Short 1 Smooth Period",82,2,200,20);
			slider7 = CreateParameter("Short 2 Smooth Period",2,2,200,20);
			slider8 = CreateParameter("Cover Profit Target %",31,1,100,10);
			slider9 = CreateParameter("Cover Percent",60,0,100,10);
			slider10 = CreateParameter("Cover Smooth Period",82,2,200,20);
		}

protected override void Execute()
		{
			DataSeries ad = AccumDist.Series(Bars);
			DataSeries smooth = SMA.Series(ad,slider1.ValueInt);
			DataSeries ad_1 = AccumDist.Series(Bars);
			DataSeries smooth_2 = SMA.Series(ad_1,slider2.ValueInt);
			DataSeries ad_3 = AccumDist.Series(Bars);
			DataSeries smooth_4 = SMA.Series(ad_3,slider5.ValueInt);
			DataSeries ad_5 = AccumDist.Series(Bars);
			DataSeries smooth_6 = SMA.Series(ad_5,slider6.ValueInt);
			DataSeries ad_7 = AccumDist.Series(Bars);
			DataSeries smooth_8 = SMA.Series(ad_7,slider7.ValueInt);
			DataSeries ad_11 = AccumDist.Series(Bars);
			DataSeries smooth_12 = SMA.Series(ad_11,slider10.ValueInt);

ChartPane paneAccumDist = CreatePane(75,true,true);
			PlotSeries(paneAccumDist,ad,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth,Color.Red,LineStyle.Solid,1);
			PlotSeries(paneAccumDist,ad_1,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth_2,Color.Red,LineStyle.Solid,1);
			PlotStops();
			PlotSeries(paneAccumDist,ad_3,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth_4,Color.Red,LineStyle.Solid,1);
			PlotSeries(paneAccumDist,ad_5,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth_6,Color.Red,LineStyle.Solid,1);
			PlotSeries(paneAccumDist,ad_7,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth_8,Color.Red,LineStyle.Solid,1);
			PlotSeries(paneAccumDist,ad_11,Color.Green,LineStyle.Solid,2);
			PlotSeries(paneAccumDist,smooth_12,Color.Red,LineStyle.Solid,1);

for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( p.PositionType == PositionType.Long )
					{
						double high = p.MFEAsOfBar(bar) / p.Shares + p.EntryPrice;
						double amount = high - high * (slider4.Value / 100.0d);
						double Target = p.EntryPrice * (1 + slider3.Value / 100.0d);

if (CrossUnder(bar, ad_3, smooth_4))
							SellAtMarket(bar + 1, p, "Market");
						else
							if(!SellAtTrailingStop(bar + 1, p, amount, "Stop"))
								SellAtLimit(bar + 1, p, Target, "Limit");
					}
					else
					{
						double low = p.EntryPrice - (p.MFEAsOfBar(bar) / p.Shares);
						double amount_10 = low + low * (slider9.Value / 100.0d);					
						double Target_9 = p.EntryPrice * (1 - slider8.Value / 100.0d);
						
						if (CrossOver(bar, ad_11, smooth_12))
							CoverAtMarket(bar + 1, p, "Market");
						else
							if(!CoverAtTrailingStop(bar + 1, p, amount_10, "Stop"))
								CoverAtLimit(bar + 1, p, Target_9, "Limit");
					}
				}
				else
				{
					bool cond1 = CrossUnder(bar, ad_5, smooth_6);
					bool cond2 = (ad_7[bar] < smooth_8[bar]);
					bool cond3 = (CrossOver(bar, ad, smooth));
					bool cond4 = (ad_1[bar] > smooth_2[bar]);
					
					if (cond1 || cond2)
						ShortAtMarket(bar + 1);
					else
						if (cond3 || cond4)
							BuyAtMarket(bar + 1);
				}
			}
		}
	}
}[/CODE]

Cone

#10

10/27/2011 7:47 AM

Admittedly I was wrong about the impossible - the way the wizard code produces entry signals allows multiple positions to be created on the same bar. When you mix LastPosition logic with multiple positions, it just doesn't work.

The positions on the same-bar issue is actually a wizard deficiency that we've highlighted in the past, but I've got too short a memory - sorry about that.

---
I just want to add that I would have been able to duplicate the problem when I ran the code if all the details were provided, in this case, especially the Data Loading configuration and parameter values.

Eugene

#11

10/27/2011 8:16 AM

Robert, to duplicate the problem see the optimized parameter screenshot -- the line on top (22,82,1,0,102,82,2,31,60,82).

Cone

#12

10/27/2011 9:04 AM

Not required now.

sdbens20

#13

10/27/2011 3:56 PM

Cone,

Seems like my 10/25, 9:35 PM post should have provided enough information to address your "I just want to add that I would have been able to duplicate the problem when I ran the code if all the details were provided, in this case, especially the Data Loading configuration and parameter values." comment. Maybe paying more attention to the information provided would have tempered your "After looking at your results, I'm confident that you have not provided us with the strategy that you're testing. The strategy in your initial post only allows for a single open Position, so it's impossible to have open short positions while trading other active positions." feedback.

An improvement in the tone of your responses would be appropriate and appreciated.

Cone

#14

10/27/2011 4:55 PM

I've been wrong before, and I'll be wrong again. However, the images in that post don't show the parameters used, and the problem doesn't occur with 1 year of data using the default parameters.

Anyway, I'm sorry for my misplaced confidence.

sdbens20

#15

10/27/2011 6:01 PM

Any plans to fix the wizard deficiency?

Thank you for the corrected code.

Cone

#16

10/27/2011 6:41 PM

There are plenty of deficiencies to choose from, but this one didn't get picked up for 6.3. It's actually pretty rare that someone runs into it, and it's pretty easy to fix by a light edit. The Strategy Builder will always have it's limitations, but I'd agree that something that can be done with it should work correctly.