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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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6
MarketData/MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs
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@@ -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.**************"));