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Add changes to all models to eliminate selling and immediately buying back the same security as this is considered a Wash Trade and is illegal.
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Sean
2026-03-19 19:49:09 -04:00
parent 230e2b931f
commit e48588c13a
5 changed files with 22 additions and 13 deletions
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5
MarketData/MarketDataLib/Generator/CMMomentum/CMBacktest.cs
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@@ -388,6 +388,7 @@ namespace MarketData.Generator.CMMomentum
else
{
Positions slotPositions = ActivePositions[slotIndex];
List<String> slotSymbols = slotPositions.ConvertAll(x=>x.Symbol); // capture sell symbols to exclude from purchases to eliminate wash trades
SellPositions(slotPositions, TradeDate);
DisplaySales(slotPositions, TradeDate);
MDTrace.WriteLine(LogLevel.DEBUG, "********************* S E L L *********************");
@@ -396,8 +397,8 @@ namespace MarketData.Generator.CMMomentum
CashBalance += slotPositions.MarketValue;
ActivePositions[slotIndex].Clear();
DisplayBalance();
double cashAllocation = Math.Min(CashBalance, (ActivePositions.GetExposure() + CashBalance) / HoldingPeriod); // Even out the cash allocation so that no one slot eats up all the cash
Positions positions=BuyPositions(slotIndex,TradeDate,AnalysisDate,cashAllocation,SymbolsHeld());
double cashAllocation = Math.Min(CashBalance, (ActivePositions.GetExposure() + CashBalance) / HoldingPeriod); // Even out the cash allocation so that no one slot eats up all the cash
Positions positions=BuyPositions(slotIndex,TradeDate,AnalysisDate,cashAllocation,new List<String>(SymbolsHeld().Concat(slotSymbols)));
DisplayPurchases(positions, TradeDate);
AddToWatchList(positions);
MDTrace.WriteLine(LogLevel.DEBUG,"********************** B U Y ********************");

15
MarketData/MarketDataLib/Generator/CMTrend/CMTTrendModel.cs
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@@ -622,7 +622,7 @@ namespace MarketData.Generator.CMTrend
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("TradeDate ({0}) must be greater than or equal to the max position date ({1}) in the trade file.",TradeDate.ToShortDateString(),ActivePositions.Select(x => x.PurchaseDate).Max().ToShortDateString()));
return result;
}
ManageOpenPositions(TradeDate);
List<String> closedSymbols = ManageOpenPositions(TradeDate); // get any closed positions so we can avoid selling and buying (wash trades)
ManageCandidates(TradeDate);
// ************************************************************************************************************************************************************************
// **************************************************************************** N E W P O S I T I O N S *****************************************************************
@@ -640,7 +640,7 @@ namespace MarketData.Generator.CMTrend
result.Success=true;
return result;
}
Positions positions=BuyCandidates(TradeDate,CashBalance,ActivePositions.GetSymbols());
Positions positions=BuyCandidates(TradeDate,CashBalance,new List<String>(ActivePositions.GetSymbols().Concat(closedSymbols)));
if(null != positions && 0!=positions.Count)
{
MDTrace.WriteLine(LogLevel.DEBUG,"******************** B U Y ********************");
@@ -735,7 +735,7 @@ namespace MarketData.Generator.CMTrend
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("TradeDate ({0}) must be greater than or equal to the max position date ({1}) in the trade file.",TradeDate.ToShortDateString(),ActivePositions.Select(x => x.PurchaseDate).Max().ToShortDateString()));
return result;
}
ManageOpenPositions(TradeDate);
List<String> closedSymbols = ManageOpenPositions(TradeDate);
ManageCandidates(TradeDate);
if(ActivePositions.PositionsOn(TradeDate)>=Parameters.MaxDailyPositions)
{
@@ -743,7 +743,7 @@ namespace MarketData.Generator.CMTrend
result.Success=true;
continue;
}
Positions positions=BuyCandidates(TradeDate,CashBalance,ActivePositions.GetSymbols());
Positions positions=BuyCandidates(TradeDate,CashBalance,new List<String>(ActivePositions.GetSymbols().Concat(closedSymbols)));
if(null!=positions&&0!=positions.Count)
{
MDTrace.WriteLine(LogLevel.DEBUG,"******************** B U Y ********************");
@@ -885,9 +885,10 @@ namespace MarketData.Generator.CMTrend
// ***********************************************************************************************************************************************************************
// *********************************************************************** M A N A G E O P E N P O S I T I O N S *****************************************************
// ***********************************************************************************************************************************************************************
private void ManageOpenPositions(DateTime tradeDate)
private List<String> ManageOpenPositions(DateTime tradeDate)
{
if(0==ActivePositions.Count) return;
List<String> closedSymbols = new List<String>();
if(0==ActivePositions.Count) return closedSymbols;
Positions closedPositions = new Positions();
foreach(Position position in ActivePositions)
{
@@ -960,6 +961,8 @@ namespace MarketData.Generator.CMTrend
ActivePositions.Remove(closedPosition);
}
}
if(closedPositions.Count>0)closedSymbols = closedPositions.ConvertAll(x => x.Symbol);
return closedSymbols;
}
// **********************************************************************************************************************************************************

6
MarketData/MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs
View File

@@ -219,10 +219,8 @@ namespace MarketData.Generator.MGSHMomentum
double losingTrades=sessionParams.AllPositions.Where(x => x.GainLoss<0.00).Count();
MGSHPositions winningTradeList = new MGSHPositions(sessionParams.AllPositions.Where(x => x.GainLoss>=0.00).ToList());
double averageWinningTrade = winningTradeList.Count>0?winningTradeList.Average(x => x.GainLossPcnt)*100.00:0.00;
// double averageWinningTrade=sessionParams.AllPositions.Where(x => x.GainLoss>=0.00).Average(x => x.GainLossPcnt)*100.00;
MGSHPositions losingTradeList = new MGSHPositions(sessionParams.AllPositions.Where(x => x.GainLoss<0.00).ToList());
double averageLosingTrade = losingTradeList.Count>0?losingTradeList.Average(x => x.GainLossPcnt)*100.00:0.00;
// double averageLosingTrade=sessionParams.AllPositions.Where(x => x.GainLoss<0.00).Average(x => x.GainLossPcnt)*100.00;
double percentWinningTrades=(winningTrades/(double)sessionParams.AllPositions.Count)*100.00;
double percentLosingTrades=(losingTrades/(double)sessionParams.AllPositions.Count)*100.00;
@@ -520,8 +518,10 @@ namespace MarketData.Generator.MGSHMomentum
public void SellAndBuySlotPositions(int slotIndex)
{
MGSHPositions slotPositions=ActivePositions[slotIndex];
List<String> closedSymbols = new List<String>();
if(!Configuration.KeepSlotPositions) // if we are not configured to KeepSlotPositions then don't sell anything just buy to the max positions allowed for the slot
{
closedSymbols = slotPositions.ConvertAll(x => x.Symbol); // capture the closed symbols so we can avoid buying right back (wash trades)
SellPositions(slotPositions,TradeDate);
DisplaySales(slotPositions, TradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,"********************* S E L L *********************");
@@ -535,7 +535,7 @@ namespace MarketData.Generator.MGSHMomentum
int positionsToFill = MaxPositions-slotPositions.Count;
double cashAllocation = (CashBalance / ((HoldingPeriod * MaxPositions) - ActivePositions.GetCount()))*positionsToFill; // split the cash between the total positions we can own less the number of positions we have
MGSHPositions positions = null;
positions=BuyPositions(slotIndex, TradeDate,AnalysisDate,cashAllocation,SymbolsHeld(TradeDate), positionsToFill);
positions=BuyPositions(slotIndex, TradeDate,AnalysisDate,cashAllocation,new List<String>(SymbolsHeld(TradeDate).Concat(closedSymbols)), positionsToFill);
if(CashBalance-positions.Exposure<=0.00)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("********** Insufficient funds to make additional purchases.**************"));

3
MarketData/MarketDataLib/Generator/Momentum/Backtest.cs
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@@ -378,6 +378,7 @@ namespace MarketData.Generator.Momentum
else
{
Positions slotPositions=ActivePositions[slotIndex];
List<String> closedSymbols = slotPositions.ConvertAll(x => x.Symbol); // capture the sell symbols to avoid buying straight back (wash trades)
SellPositions(slotPositions,TradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,"********************* S E L L *********************");
slotPositions.Display();
@@ -390,7 +391,7 @@ namespace MarketData.Generator.Momentum
cashAllocation = Math.Min(CashBalance, (ActivePositions.GetExposure() + CashBalance) / (double)HoldingPeriod);
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("CASH ALLOCATION:{0}",Utility.FormatCurrency(cashAllocation)));
Positions positions = null;
positions=BuyPositions(TradeDate,AnalysisDate,cashAllocation,SymbolsHeld(TradeDate));
positions=BuyPositions(TradeDate,AnalysisDate,cashAllocation,new List<String>(SymbolsHeld(TradeDate).Concat(closedSymbols)));
MDTrace.WriteLine(LogLevel.DEBUG,"********************** B U Y ********************");
positions.Display();
if(CashBalance-positions.Exposure<=0.00)

6
README.md
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@@ -240,5 +240,9 @@ Also note that 1>/dev/null is synonymous to, but more explicit than >/dev/null
Slow builds and C# Dev Kit Errors
ps -u $USER -o pid,cmd | grep -E 'csdevkit|visualstudio-projectsystem-buildhost|vstest.console' | grep dotnet | awk '#{print $1}' | xargs -r kill -9 || true
Kill MSBuild that don't close when exiting vscode
ps aux | grep MSBuild.dll | grep -v grep | awk '{print $2}' | xargs sudo kill -9
This shows where dotnet performance is
dotnet build /clp:PerformanceSummary
dotnet build /clp:PerformanceSummary