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Fix MGSH Position Edit/Close for Hedge

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Sean
2025-08-04 22:15:35 -04:00
parent 0b717a5e8e
commit e66352595e
2 changed files with 16 additions and 6 deletions
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4
MarketData/MarketData/Models/MGSH20250331.TXT
View File

@@ -4,9 +4,9 @@ TradeDate=8/5/2025
StartDate=3/31/2025
AnalysisDate=8/4/2025
Cycle=5
CashBalance=6880.57
CashBalance=3933.48
NonTradeableCash=0
HedgeCashBalance=9.75
HedgeCashBalance=2956.84
Verbose=True|KeepSlotPositions=True|BenchmarkMode=False|BenchmarkModeSymbol=SPY|HoldingPeriod=3|MaxPositions=3|NoTradeSymbols=OSB,IBDRY,GBTC,YOKU,PNY,RFMD,ASAZY|NoTradeFinancialSymbols=U.S. Private Equity,U.S. Financials,U.S. Financial Services,U.S. Banking and Investment Services,Trading-Miscellaneous,Trading--Miscellaneous,Trading--Leveraged Equity,Trading--Leveraged Debt,Trading--Leveraged Commodities,Trading--Inverse Equity,Trading--Inverse Commodities,Tactical Allocation,Specialty Finance,Japan Financials,Savings & Cooperative Banks,Option Writing,Insurance Brokers,Insurance - Specialty,Insurance - Reinsurance,Insurance - Property & Casualty,Insurance - Life,Insurance - Diversified,Global Private Equity,Global Financials,Financial Services,Financial Exchanges,Financial,China Financials,Banks - Regional - US,Banks - Regional - Latin America,Banks - Global,Asset Management,Credit Services|Benchmark=SPY|MarketCapLowerLimit=1000000000|UsePEScreen=False|UseEBITDAScreen=True|UseRevenuePerShareScreen=True|UseLowSlopeBetaCheck=True|LowSlopeBetaDays=15|LowSlopeBetaThreshhold=1|UseMACD=True|MACDSetup=(12,26,9)|MACDSignalDays=12|MACDRejectStrongSellSignals=False|MACDRejectWeakSellSignals=True|UseStochastics=True|StochasticsSignalDays=3|StochasticsRejectStrongSells=True|StochasticsRejectWeakSells=True|UseFallbackCandidate=True|FallbackCandidate=SHV|FallbackCandidateBestOf=SHV,NEAR,BIL,GSY,AGG,ACWX,GSY,SCHF,IXUS,DBEF,IEFA,TLT|UseMaxPEScreen=True|MaxPE=40|StrictMaxPE=False|QualityIndicatorType=IDINDICATOR|IncludeTradeMasterForSymbolsHeld=True|UseStopLimits=True|StopLimitRiskPercentDecimal=0.2|StopLimitScalingVolatilityDays=30|MinDaysBetweenInitialStopAdjustment=30|MinDaysBetweenStopAdjustments=30|StopLimitPriceTrendDays=20|StopLimitATRMultiplier=3|UseHedging=True|HedgeBenchmarkSymbol=SPY|HedgeShortSymbol=SH|HedgeRiskPercentDecimal=0.12|HedgeMinDaysBetweenStopAdjustments=1|HedgeInitialCash=3000|HedgeCloseAboveSMANDays=10|HedgeBandBreakCheckDays=3|HedgeATRMultiplier=1|MaxPricingExceptions=3|UseBetaGenerator=True|UseBetaGeneratorMonths=24
TotalActivePositions=7
Slot=0|Symbol=SXT|PurchaseDate=3/31/2025 12:00:00 AM|SellDate=1/1/0001 12:00:00 AM|Shares=14|PurchasePrice=73.98|CurrentPrice=113.4|Volume=362866|Return1D=0|CumReturn252=0|IDIndicator=-7.17131474103586|Score=0.447832358242973|Velocity=0.447678018575852|PE=24.93|Beta=0.640557790575348|InitialStopLimit=59.18|TrailingStopLimit=100.19928508281708|LastStopAdjustment=7/7/2025 12:00:00 AM|PositionRiskPercentDecimal=0.2|R=14.886|Comment=Price changed on 4/1/2025 from $74.43 to $73.98

18
MarketData/MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs
View File

@@ -103,10 +103,12 @@ namespace MarketData.Generator.MGSHMomentum
if(!BackupSession())return false;
MGSHPositions activePositions = ActivePositions.GetPositions();
MGSHPosition position = activePositions.Where(x => x.Symbol.Equals(symbol) && x.PurchaseDate.Equals(purchaseDate)).FirstOrDefault();
bool isHedgePosition=false;
if (null == position) // if it's not in the active positions then look in the hedge positions
{
MGSHPositions hedgePositions = HedgePositions;
position = hedgePositions.Where(x => x.Symbol.Equals(symbol) && x.PurchaseDate.Equals(purchaseDate)).FirstOrDefault();
isHedgePosition=true;
if (null == position)
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Cannot locate position for symbol '{0}' purchased on {1}.", symbol, purchaseDate.ToShortDateString()));
@@ -120,7 +122,8 @@ namespace MarketData.Generator.MGSHMomentum
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Adjusting Cash for Position for symbol '{0}' purchased on {1}. Original Price: {2} New Price: {3} Change in Cash: {4}", symbol, purchaseDate.ToShortDateString(), Utility.FormatCurrency(position.PurchasePrice), Utility.FormatCurrency(purchasePrice), Utility.FormatCurrency((position.PurchasePrice - purchasePrice) * position.Shares)));
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Adjusting R for Position for symbol '{0}' purchased on {1}. Original R: {2} New R: {3} ", symbol, purchaseDate.ToShortDateString(), Utility.FormatNumber(position.R, 2), Utility.FormatNumber(position.PositionRiskPercentDecimal * purchasePrice)));
CashBalance += (position.PurchasePrice - purchasePrice) * position.Shares;
if(isHedgePosition)HedgeCashBalance += (position.PurchasePrice - purchasePrice) * position.Shares;
else CashBalance += (position.PurchasePrice - purchasePrice) * position.Shares;
position.Comment = (String.IsNullOrEmpty(position.Comment) ? "" : position.Comment + ".") + String.Format("Price changed on {0} from {1} to {2}", DateTime.Now.ToShortDateString(), Utility.FormatCurrency(position.PurchasePrice), Utility.FormatCurrency(purchasePrice));
position.PurchasePrice = purchasePrice;
}
@@ -185,9 +188,16 @@ namespace MarketData.Generator.MGSHMomentum
position.SellDate=sellDate;
position.CurrentPrice=price;
position.Comment="Manual close.";
CashBalance+=position.MarketValue;
if(!isHedgePosition)ActivePositions.Remove(position);
else HedgePositions.Remove(position);
if(isHedgePosition)
{
HedgeCashBalance+=position.MarketValue;
HedgePositions.Remove(position);
}
else
{
CashBalance+=position.MarketValue;
ActivePositions.Remove(position);
}
AllPositions.Add(position);
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Position for symbol '{0}' purchased on {1} is now closed.",symbol,purchaseDate.ToShortDateString()));
SaveSession();