From 1f7aec239135c424f56bc977082c0dc25b0acd4d Mon Sep 17 00:00:00 2001
From: Sean <skessler1964@gmail.com>
Date: Thu, 20 Feb 2025 10:34:59 -0500
Subject: [PATCH] 50 day moving average must remain above 200 day moving
 average in order for candidate to be selected.

---
 .../Generator/CMTrend/CMTTrendModel..cs       | 36 +++++++++++--------
 1 file changed, 22 insertions(+), 14 deletions(-)

diff --git a/MarketDataLib/Generator/CMTrend/CMTTrendModel..cs b/MarketDataLib/Generator/CMTrend/CMTTrendModel..cs
index a02a1d3..e75196d 100644
--- a/MarketDataLib/Generator/CMTrend/CMTTrendModel..cs
+++ b/MarketDataLib/Generator/CMTrend/CMTTrendModel..cs
@@ -1,7 +1,6 @@
 using System;
 using System.Collections.Generic;
 using System.Text;
-using System.Windows;
 using MarketData.MarketDataModel;
 using MarketData.DataAccess;
 using MarketData.Utils;
@@ -386,7 +385,7 @@ namespace MarketData.Generator.CMTrend
         }
 // DMA50 check : The 50 day moving average must remain above the 200 day moving average
         Prices prices50=GBPriceCache.GetInstance().GetPrices(symbol,analysisDate,MovingAverageGenerator.DayCount50+10);
-        if(null==prices50||prices50.Count<MovingAverageGenerator.DayCount50)
+        if(null==prices50 || prices50.Count < MovingAverageGenerator.DayCount50)
         {
           MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Cannot evaluate DMA50 for candidate {0} due to insufficient pricng data",symbol));
           return;
@@ -399,11 +398,20 @@ namespace MarketData.Generator.CMTrend
         prices50=new Prices(prices50.Take(MovingAverageGenerator.DayCount50).ToList());
         DMAPrices dma50Prices=MovingAverageGenerator.GenerateMovingAverage(prices50,prices50.Count);
         double dma50Close=dma50Prices[0].AVGPrice;
-				if(currentPrice.Close<dma50Close)
+// CHECK THAT THE CURRENT PRICE IS ABOVE THE 50 DAY MOVING AVERAGE
+				if(currentPrice.Close <= dma50Close)
 				{
 					MDTrace.WriteLine(LogLevel.DEBUG,String.Format("DMA50 Violation for candidate {0}.  The closing price is less than the 50 day moving average {1} < {2} on {3}",symbol,Utility.FormatCurrency(currentPrice.Close),Utility.FormatCurrency(dma50Close),analysisDate.ToShortDateString()));
 					return;
 				}
+
+// CHECK THAT THE 50 DAY MOVING AVERAGE IS ABOVE THE 200 DAY MOVING AVERAGE
+				if(dma50Close <= dma200Close)
+				{
+					MDTrace.WriteLine(LogLevel.DEBUG,String.Format("DMA50 Violation for candidate {0}.  The 50 DMA must remain about 200 DMA. {1} < {2} on {3}",symbol,Utility.FormatCurrency(dma50Close),Utility.FormatCurrency(dma200Close),analysisDate.ToShortDateString()));
+					return;
+				}
+
 // Price trend check.  Ensure that prices are trending higher      UsePriceTrendSlope  UsePriceTrendSlopeDayCount
         if(Parameters.UsePriceSlopeIndicator)
 				{
@@ -1104,11 +1112,20 @@ namespace MarketData.Generator.CMTrend
         prices50=new Prices(prices50.Take(MovingAverageGenerator.DayCount50).ToList());
         DMAPrices dma50Prices=MovingAverageGenerator.GenerateMovingAverage(prices50,prices50.Count);
         double dma50Close=dma50Prices[0].AVGPrice;
-				if(currentPrice.Close<dma50Close)
+
+// CHECK THAT THE CURRENT PRICE IS ABOVE THE 50 DAY MOVING AVERAGE
+				if(currentPrice.Close <= dma50Close)
 				{
 					MDTrace.WriteLine(LogLevel.DEBUG,String.Format("DMA50 Violation for candidate {0}.  The closing price is less than the 50 day moving average {1} < {2} on {3}",mmCandidate.Symbol,Utility.FormatCurrency(currentPrice.Close),Utility.FormatCurrency(dma50Close),tradeDate.ToShortDateString()));
 					continue;
 				}
+// CHECK THAT THE 50 DAY MOVING AVERAGE IS ABOVE THE 200 DAY MOVING AVERAGE
+				if(dma50Close <= dma200Close)
+				{
+					MDTrace.WriteLine(LogLevel.DEBUG,String.Format("DMA50 Violation for candidate {0}.  The 50 DMA must remain about 200 DMA. {1} < {2} on {3}",mmCandidate.Symbol,Utility.FormatCurrency(dma50Close),Utility.FormatCurrency(dma200Close),tradeDate.ToShortDateString()));
+					continue;
+				}
+
 // Trend check ensure that prices are trending higher
         if(Parameters.UsePriceSlopeIndicator)
 				{
@@ -1403,28 +1420,19 @@ namespace MarketData.Generator.CMTrend
       double volatility=double.NaN;
       if(Parameters.UseProfitMaximization)
       {
-//        double unadjustedStop=double.NaN;
-//        double adjustedStop=double.NaN;
-
         CodeRunner codeRunner=new CodeRunner();
         SymbolTable symbolTable=codeRunner.SymbolTable;
         symbolTable.AddObjects(new Object[]{position}.ToList());
         codeRunner.Execute(Parameters.UseProfitMaximizationExpression);
         double multiplier=codeRunner.GetValue<double>("MULTIPLIER");
-
-//        volatility=VolatilityGenerator.CalculateVolatility(position.Symbol,tradeDate,Parameters.StopLimitScalingVolatilityDays);
-//        unadjustedStop=currentPrice.Low-volatility;
-
         volatility=VolatilityGenerator.CalculateVolatility(position.Symbol,tradeDate,Parameters.StopLimitScalingVolatilityDays,multiplier);
-//        adjustedStop=currentPrice.Low-volatility;
-
         MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Using profit maximization strategy for {0} which has RMultiple={1}. Multiplier:{2}",position.Symbol,position.RMultiple,Utility.FormatNumber(multiplier,3)));
       }
       else
       {
+        MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Using standard ATR multiplier for {0} which has RMultiple={1}.",position.Symbol,position.RMultiple));
         volatility=VolatilityGenerator.CalculateVolatility(position.Symbol,tradeDate,Parameters.StopLimitScalingVolatilityDays);
       }
-//      double stopLimit=stopLimitNonScaled;
       if(double.IsNaN(volatility))
       {
         MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Unable to calculate StopLimit for AverageTrueRange for {0} on {1}.  Using non-scaled stop limit.",position.Symbol,tradeDate.ToShortDateString()));