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.

MarketData/MarketDataLib/Generator/CMMomentum/CMBacktest.cs

@@ -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
+          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());
+          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 ********************");

MarketData/MarketDataLib/Generator/CMTrend/CMTTrendModel.cs

@@ -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;
     }
 
     // **********************************************************************************************************************************************************

MarketData/MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs

@@ -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.**************"));

MarketData/MarketDataLib/Generator/Momentum/Backtest.cs

@@ -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)

README.md

@@ -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