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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 ********************");