Added EvaluateStopOnUpTrend. The default is FALSE. This worked out well in backtests.

MarketDataLib/Generator/CMTrend/CMTParams.cs

@@ -1,9 +1,6 @@
 using MarketData.Utils;
 using System;
 using System.Collections.Generic;
-using System.Linq;
-using System.Text;
-using System.Threading.Tasks;
 
 namespace MarketData.Generator.CMTrend
 {
@@ -16,14 +13,14 @@ namespace MarketData.Generator.CMTrend
 			UsePriceSlopeIndicatorDays=252;                           // The number of pricing days to use for the slope.
       BetaMonths=6;                                             // The number of months to use for Beta
       AnalysisDate=DateTime.Now.Date;                           // The analysis date of the run
-      MarketCapLowerLimit=500000000;                            // MarketCap lower limit 1,000,000,000
+      MarketCapLowerLimit=500000000;                            // MarketCap lower limit 50,0000,000
       TradeDate=DateTime.Now;                                   // The current trade date
       SidewaysDetection=false;                                  // Detect stock that are going nowhere.  If we've held the stock for SidewaysAfterDays AND we've never adjusted the stop AND we can break even THEN we sell.
       SidewaysAfterDays=30;                                     // Sideways detection days.
-      MaxDailyPositions=3;                                       // This is the maximum number of positions to pick up per analysis date.  The default is 3
+      MaxDailyPositions=3;                                      // This is the maximum number of positions to pick up per analysis date.  The default is 3
-      MaxOpenPositions=6;                                          // This is the maximum number of open positions.  The default is 6. -1=No Max
+      MaxOpenPositions=3;                                       // This is the maximum number of open positions.  I have tested this with 3 and had good results.
       NoTradeSymbols="CLCT,PRSC,CMD,STAY,GBTC,YOKU,PNY,RFMD,ASAZY,USMO,VNR,STB,XIV,SYNT"; // ASAZY came up as candidate during 3/30 run but not available on Robinhood
-      OnlyTradeSymbols="";                                         // This should be a comma separated list of symbols which would serve as the universe of symbols to trade. If null or empty then we trade everything in security master
+      OnlyTradeSymbols="";                                      // This should be a comma separated list of symbols which would serve as the universe of symbols to trade. If null or empty then we trade everything in security master
       InitialCash=10000;                                         // The initial cash 
       TotalRiskPercentDecimal=.05;                                 // Total Risk of Initial Cash.  The default is .02.  I've been testing with .05
       PositionRiskPercentDecimal=.12;                              // Risk per position  - This will determine where the stop is placed.  The default is .12
@@ -52,6 +49,7 @@ namespace MarketData.Generator.CMTrend
       UseStopLimitScaling=true;                                    // When set to true this will scale (tighten) the stop limit as time progresses based upon an anticipated holding period of StopLimitScalingDays.
       StopLimitScalingType="AverageTrueRange";                     // Acceptable types are "AverageTrueRange". 
       StopLimitScalingVolatilityDays=30;                           // StopLimitScalingVolatilityDays=5 The StopLimitScaling takes volatility into account.  This parameter specifies how many days of pricing to use for the volatility calculation.
+      EvaluateStopOnUpTrend=false;                                 // If set to true then the stop limit is only evaluated if prices are trending up.
       SellOnDMABreak=true;                                         // If true then we look lok for breaks of all DMAs listed under DMABreak
       DMABreakValues="200";                                        // The defaut value is 200.  This can be a comma separated list.  For instance 50,100,200
       DMABreakForceBreak=false;                                    // If this flag is set to true then we will sell a security on DMA break even if it means taking a loss on the position.  
@@ -142,6 +140,7 @@ namespace MarketData.Generator.CMTrend
     public string UseProfitMaximizationExpression{get;set;}
 		public bool UseTradeOnlySectors{get;set;}
 		public String UseTradeOnlySectorsSectors{get;set;}
+    public bool EvaluateStopOnUpTrend { get; set; }
 
     public void DisplayHeader()
     {
@@ -213,6 +212,7 @@ namespace MarketData.Generator.CMTrend
       nvpCollection.Add(new NVP("UseProfitMaximizationExpression",UseProfitMaximizationExpression.ToString()));
       nvpCollection.Add(new NVP("UseTradeOnlySectors",UseTradeOnlySectors.ToString()));
       nvpCollection.Add(new NVP("UseTradeOnlySectorsSectors",UseTradeOnlySectorsSectors.ToString()));
+      nvpCollection.Add(new NVP("EvaluateStopOnUpTrend",EvaluateStopOnUpTrend.ToString()));
       return nvpCollection;
     }
     public static CMTParams FromNVPCollection(NVPCollection nvpCollection)
@@ -298,6 +298,10 @@ namespace MarketData.Generator.CMTrend
 			  cmtParams.UseTradeOnlySectors=nvpDictionary["UseTradeOnlySectors"].Get<bool>();
 				cmtParams.UseTradeOnlySectorsSectors=nvpDictionary["UseTradeOnlySectorsSectors"].Get<String>();
 			}
+      if(nvpDictionary.ContainsKey("EvaluateStopOnUpTrend"))
+      {
+        cmtParams.EvaluateStopOnUpTrend=nvpDictionary["EvaluateStopOnUpTrend"].Get<bool>();
+      }
       return cmtParams;
     }
     public void DisplayConfiguration()
@@ -365,6 +369,7 @@ namespace MarketData.Generator.CMTrend
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseProfitMaximizationExpression,{0}",UseProfitMaximizationExpression.ToString()));
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseTradeOnlySectors,{0}",UseTradeOnlySectors.ToString()));
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseTradeOnlySectorsSectors,{0}",UseTradeOnlySectorsSectors.ToString()));
+      MDTrace.WriteLine(LogLevel.DEBUG,String.Format("EvaluateStopOnUpTrend,{0}",EvaluateStopOnUpTrend.ToString()));
     }
   }
 }

MarketDataLib/Generator/CMTrend/CMTTrendModel..cs

@@ -65,6 +65,7 @@ namespace MarketData.Generator.CMTrend
       }
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Done, took {0}(ms)",profiler.End()));
     }
+
     public static ModelPerformanceSeries GetModelPerformance(String paramPathSessionFileName)
     {
       try
@@ -78,6 +79,7 @@ namespace MarketData.Generator.CMTrend
         return null;
       }
     }
+
     // Calcualtes the expectation for the model ( Percent of Winning Trades * Average Gain)/(Percent Losing Trades * Average Loss)
     // The expectation should be above zero
     public static ModelStatistics GetModelStatistics(CMTSessionParams sessionParams)
@@ -111,6 +113,7 @@ namespace MarketData.Generator.CMTrend
         return modelStatistics;
       }
     }
+
     public static ModelPerformanceSeries GetModelPerformance(CMTSessionParams sessionParams)
     {
       Profiler profiler=new Profiler();
@@ -203,6 +206,7 @@ namespace MarketData.Generator.CMTrend
         MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Done, total took {0}(ms)",profiler.End()));
       }
     }
+
     // ******************************************************************************************************************************************************
     //************************************************************** D I S P L A Y  S E S S I O N   *****************************************************
     // ******************************************************************************************************************************************************
@@ -350,6 +354,7 @@ namespace MarketData.Generator.CMTrend
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Average RProfit {0}R per trade (expectancy)",Utility.FormatNumber((totalRWinners+totalRLosers)/totalTrades,2,false)));
       GBPriceCache.GetInstance().Dispose();
     }
+
     // ******************************************************************************************************************************************************
     // ******************************************************************  E N T R Y  T E S T    *****************************************************************
     // ******************************************************************************************************************************************************
@@ -482,6 +487,7 @@ namespace MarketData.Generator.CMTrend
         GBPriceCache.GetInstance().Dispose();
       }
     }
+
     // ******************************************************************************************************************************************************
     // ****************************************************************** C L O S E    **********************************************************************
     // ******************************************************************************************************************************************************
@@ -534,6 +540,7 @@ namespace MarketData.Generator.CMTrend
       SaveSession();
       return true;
     }
+
     // ******************************************************************************************************************************************************
     // *************************************************************************** E D I T ******************************************************************
     // ******************************************************************************************************************************************************
@@ -581,6 +588,7 @@ namespace MarketData.Generator.CMTrend
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Position for symbol '{0}' purchased on {1} has been modified and saved.",symbol,purchaseDate.ToShortDateString()));
       return true;
     }
+
     // ******************************************************************************************************************************************************
     // ****************************************************************** D A I L Y   *****************************************************************
     // ******************************************************************************************************************************************************
@@ -687,6 +695,7 @@ namespace MarketData.Generator.CMTrend
         GBPriceCache.GetInstance().Dispose();
       }
     }
+
     // ******************************************************************************************************************************************************
     // ****************************************************************** B A C K T E S T   *****************************************************************
     // ******************************************************************************************************************************************************
@@ -803,6 +812,7 @@ namespace MarketData.Generator.CMTrend
         GBPriceCache.GetInstance().Dispose();
       }
     }
+
     public void RunTrendTemplate(DateTime? analysisDate=null)
     {
       try
@@ -844,6 +854,7 @@ namespace MarketData.Generator.CMTrend
         GBPriceCache.GetInstance().Dispose();
       }
     }
+
     // ***********************************************************************************************************************************************************************
     // *********************************************************************** M A N A G E   O P E N  P O S I T I O N S  *****************************************************
     // ***********************************************************************************************************************************************************************
@@ -922,6 +933,7 @@ namespace MarketData.Generator.CMTrend
         }
       }
     }
+
     // **********************************************************************************************************************************************************
     // ***************************************************** M O V I N G  A V E R A G E  B R E A K   C H E C K  *************************************************
     // **********************************************************************************************************************************************************
@@ -963,6 +975,7 @@ namespace MarketData.Generator.CMTrend
       }
       return false;
     }
+
     // **********************************************************************************************************************************************************
     // ***************************************************** S T O P  L I M I T   C O L L E C T I O N   M A I N T E N A N C E ***********************************
     // **********************************************************************************************************************************************************
@@ -970,6 +983,7 @@ namespace MarketData.Generator.CMTrend
     {
       StopLimits.Add(stopLimit);
     }
+
     // **********************************************************************************************************************************************************
     // *********************************************** P R I C I N G   E X C E P T I O N  C O L L E C T I O N   M A I N T E N A N C E ***************************
     // **********************************************************************************************************************************************************
@@ -980,18 +994,21 @@ namespace MarketData.Generator.CMTrend
       else pricingException.ExceptionCount++;
       return pricingException.ExceptionCount;
     }
+
     private void RemovePricingException(String symbol)
     {
       CMTPricingException pricingException=PricingExceptions.Where(x => x.Symbol.Equals(symbol)).FirstOrDefault();
       if(null==pricingException) return;
       PricingExceptions.Remove(pricingException);
     }
+
     private bool HasPricingException(String symbol)
     {
       CMTPricingException pricingException=PricingExceptions.Where(x => x.Symbol.Equals(symbol)).FirstOrDefault();
       if(null==pricingException) return false;
       return true;
     }
+
     // ***************************************************************************************************************************************************
     // **************************************************************** S E L L   P O S I T I O N S  *****************************************************
     // ***************************************************************************************************************************************************
@@ -1003,6 +1020,7 @@ namespace MarketData.Generator.CMTrend
         SellPosition(position,sellDate,comment);
       }
     }
+
     private void SellPosition(Position position,DateTime sellDate,String comment)
     {
       position.SellDate=sellDate;
@@ -1025,6 +1043,7 @@ namespace MarketData.Generator.CMTrend
       }
       else position.CurrentPrice=price.Close;
     }
+
     // ***************************************************************************************************************************************************
     // **************************************************************** B U Y   C A N D I D A T E S  *****************************************************
     // ***************************************************************************************************************************************************
@@ -1266,10 +1285,10 @@ namespace MarketData.Generator.CMTrend
         return null;
       }
     }
+
     // ***************************************************************************************************************************************************
     // ***************************************************************** P O S I T I O N   S I Z I N G  **************************************************
     // ***************************************************************************************************************************************************
-
 		private Positions PerformPositionSizing(Positions positions,double availableCash,DateTime tradeDate)
 		{
 		  return PerformPositionSizingTotalRisk(positions, availableCash, tradeDate);
@@ -1304,6 +1323,7 @@ namespace MarketData.Generator.CMTrend
       }
       return acceptedPositions;
     }
+
     // ***************************************************************************************************************************************************
     // ************************************************************** S T O P  L I M I T S   *************************************************************
     // ***************************************************************************************************************************************************
@@ -1311,11 +1331,12 @@ namespace MarketData.Generator.CMTrend
     {
 	    MDTrace.WriteLine(LogLevel.DEBUG,String.Format("EvaluateStopPrice: {0} on {1}",position.Symbol,tradeDate.ToShortDateString()));
       DateGenerator dateGenerator=new DateGenerator();
-      Prices prices=GBPriceCache.GetInstance().GetPrices(position.Symbol,tradeDate,Parameters.PriceTrendDays);                      // only adjust stops if we are trending up
+
-      PriceTrendIndicatorResult priceTrendIndicatorResult=PriceTrendIndicator.IsUptrend(prices,Parameters.PriceTrendDays);
+      Prices prices = GBPriceCache.GetInstance().GetPrices(position.Symbol, tradeDate, Parameters.PriceTrendDays);                      // only adjust stops if we are trending up
-      if(!priceTrendIndicatorResult.IsUpTrend)
+      PriceTrendIndicatorResult priceTrendIndicatorResult = PriceTrendIndicator.IsUptrend(prices, Parameters.PriceTrendDays);
+      if(Parameters.EvaluateStopOnUpTrend && !priceTrendIndicatorResult.IsUpTrend)
       {
-        MDTrace.WriteLine(LogLevel.DEBUG,String.Format("{0} does not have upward price trend (higher highs and higher lows for {1} consecutive days), will not adjust stop price",position.Symbol,Parameters.PriceTrendDays));
+        MDTrace.WriteLine(LogLevel.DEBUG, String.Format("{0} does not have upward price trend (higher highs and higher lows for {1} consecutive days), will not adjust stop price", position.Symbol, Parameters.PriceTrendDays));
         return;
       }
       double trailingStop=position.InitialStopLimit+Math.Floor((currentPrice.Low-position.PurchasePrice)/position.R)*position.R;     // where R = Risk Per Share in $
@@ -1414,6 +1435,7 @@ namespace MarketData.Generator.CMTrend
         }
       }
     }
+
     private double GetStopLimitWithScalingAverageTrueRange(DateTime tradeDate,Price currentPrice,Position position,double stopLimitNonScaled)
     {
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("GetStopLimitWithScalingAverageTrueRange: Symbol:{0} RMultiple={1}",position.Symbol,position.RMultiple));      
@@ -1441,6 +1463,7 @@ namespace MarketData.Generator.CMTrend
       double stopLimit=currentPrice.Low-volatility;  // We base the stop off of the low in order to give a bit more breathing room in the stop in the event that we have a wide spread between the close and the low.  Backtested currentPrice.Close vs currentPrice.Low and basing off the low yields better results.
       return stopLimit;
     }
+
     // ***************************************************************************************************************************************************
     // ************************************************************* M A N A G E  S E T U P S  ***********************************************************
     // ***************************************************************************************************************************************************
@@ -1461,6 +1484,7 @@ namespace MarketData.Generator.CMTrend
         AddCandidate(mmCandidate);
       }
     }
+
     private void ExpireCandidates(DateTime tradeDate)
     {
       List<CMTCandidate> candidatesToRemove=new List<CMTCandidate>();
@@ -1472,18 +1496,21 @@ namespace MarketData.Generator.CMTrend
       }
       foreach(CMTCandidate candidate in candidatesToRemove) Candidates.Remove(candidate);
     }
+
     private void AddCandidate(CMTCandidate candidate)
     {
       if(null==Candidates) Candidates=new CMTCandidates();
       if(Candidates.Any(x => x.Symbol.Equals(candidate.Symbol))) return;
       Candidates.Add(candidate);
     }
+
     private void RemoveCandidate(CMTCandidate candidate)
     {
       if(null==Candidates) Candidates=new CMTCandidates();
       if(!Candidates.Any(x => x.Symbol.Equals(candidate.Symbol))) return;
       Candidates.Remove(Candidates.Where(x => x.Symbol.Equals(candidate.Symbol)).FirstOrDefault());
     }
+
     // ***************************************************************************************************************************************************
     // ************************************************************************ M A R K E T  C O N D I T I O N S   ***************************************
     // ***************************************************************************************************************************************************
@@ -1521,6 +1548,7 @@ namespace MarketData.Generator.CMTrend
       }
       return result;
     }
+
 // Determine volatility based on ^VIX bollinger L band break on the close within 60 days prior
 		private static bool IsTradeableVolatilityEnvironment(DateTime tradeDate,CMTParams cmtParams)
 		{
@@ -1540,6 +1568,7 @@ namespace MarketData.Generator.CMTrend
 			}  
 			return result;
 		}
+
     // ***************************************************************************************************************************************************
     // ************************************************************************ G E T  P R I C E   ******************************************************
     // ***************************************************************************************************************************************************
@@ -1551,6 +1580,7 @@ namespace MarketData.Generator.CMTrend
       if(null==price) price=GBPriceCache.GetInstance().GetPrice(symbol,dateGenerator.FindPrevBusinessDay(priceDate));
       return price;
     }
+
     // *********************************************************************************************************************************************************************
     // *********************************************************************************************************************************************************************
     // *********************************************************************************************************************************************************************
@@ -1587,6 +1617,7 @@ namespace MarketData.Generator.CMTrend
         MDTrace.WriteLine(LogLevel.DEBUG,"***************************************************************************************************************************");
       }
     }
+
     public double GetRealtimeGainLoss(DateTime tradeDate)
     {
       int count=ActivePositions.Count;
@@ -1600,6 +1631,7 @@ namespace MarketData.Generator.CMTrend
       }
       return gainLoss;
     }
+
     private void DisplayBalance()
     {
       MDTrace.WriteLine(LogLevel.DEBUG,"EXPOSURE,AVAILABLE CASH,TOTAL ACCOUNT");
@@ -1618,6 +1650,7 @@ namespace MarketData.Generator.CMTrend
           Utility.AddQuotes(Utility.FormatCurrency(ActivePositions.GetExposure()+CashBalance))));
       }
     }
+
     private void DisplayBalanceFromPositions()
     {
       MDTrace.WriteLine(LogLevel.DEBUG,"EXPOSURE,GAIN/LOSS,GAIN/LOSS(%),AVAILABLE CASH,TOTAL ACCOUNT");
@@ -1628,6 +1661,7 @@ namespace MarketData.Generator.CMTrend
         Utility.AddQuotes(Utility.FormatCurrency(CashBalance)),
         Utility.AddQuotes(Utility.FormatCurrency(ActivePositions.GetMarketValue()+CashBalance))));
     }
+
     private void DisplayBalanceFromAllPositions()
     {
       MDTrace.WriteLine(LogLevel.DEBUG,"EXPOSURE,GAIN/LOSS,GAIN/LOSS(%),AVAILABLE CASH,TOTAL ACCOUNT");
@@ -1691,6 +1725,7 @@ namespace MarketData.Generator.CMTrend
         return null;
       }
     }
+
     public void SaveSession()
     {
       MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Saving session to '{0}'",PathSessionFileName));
@@ -1709,6 +1744,7 @@ namespace MarketData.Generator.CMTrend
       sessionParams.NonTradeableCash=NonTradeableCash;
       CMTSessionManager.SaveSession(sessionParams,PathSessionFileName);
     }
+
     public bool BackupSession()
     {
       String[] parts=PathSessionFileName.Split('.');