public override Trade NewStoploss(Position position, DateTime AsOf)
{
position.Security.SetSwingPointsAndTrends(BarCount, BarSize);
if (position.ExecutedTrades.Count > 1)
{
throw new UnknownErrorException();
}
// First prior swingpoint is first prior that is REALIZED at the time of signal, so we have to look at least BarCount bars back
PriceBar firstPriorSwingPoint = null;
switch (BarSize)
{
case PriceBarSize.Daily:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingDay(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Weekly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingWeekStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Monthly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Quarterly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
default:
break;
}
decimal stopPrice = -1m;
decimal expExecutionPx = position.Security.GetPriceBar(AsOf, BarSize).Close;
switch (position.PositionDirection)
{
case PositionDirection.ShortPosition:
// First prior swingpoint high
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointHigh) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.High + .01m;
break;
case PositionDirection.LongPosition:
// First prior swingpoint low
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointLow) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.Low - .01m;
break;
}
// If the last valid swingpoint is on the wrong side of our trade (above exp trade price for a long, below a short), use an ATR atop
switch (position.PositionDirection)
{
case PositionDirection.LongPosition:
if (stopPrice >= expExecutionPx)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.NewStoploss(position, AsOf));
}
break;
case PositionDirection.ShortPosition:
if (stopPrice <= expExecutionPx)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.NewStoploss(position, AsOf));
}
break;
}
if (stopPrice <= 0)
{
stopPrice = 0.01m;
}
var stop = new Trade(
position.Security,
(TradeActionBuySell)(-position.PositionDirection.ToInt()),
Math.Abs(position.Size(AsOf)),
TradeType.Stop,
0, stopPrice)
{
TradeDate = AsOf
};
return(stop);
}
public override decimal UpdatePositionStoplossPrice(Position position, Trade currentStop, DateTime AsOf)
{
position.Security.SetSwingPointsAndTrends(BarCount, BarSize);
// First prior swingpoint is first prior that is REALIZED at the time of signal, so we have to look at least BarCount bars back
PriceBar firstPriorSwingPoint = null;
switch (BarSize)
{
case PriceBarSize.Daily:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingDay(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Weekly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingWeekStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Monthly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Quarterly:
firstPriorSwingPoint = position.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
default:
break;
}
decimal stopPrice = -1m;
decimal lastPx = position.Security.GetPriceBar(AsOf, PriceBarSize.Daily).Close;
switch (position.PositionDirection)
{
case PositionDirection.ShortPosition:
// First prior swingpoint high
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointHigh) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.High + .01m;
break;
case PositionDirection.LongPosition:
// First prior swingpoint low
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointLow) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.Low - .01m;
break;
}
// If the last valid swingpoint is on the wrong side of our trade (above exp trade price for a long, below a short), use an ATR atop
switch (position.PositionDirection)
{
case PositionDirection.LongPosition:
if (stopPrice >= position.Security.GetPriceBar(AsOf, PriceBarSize.Daily).Close)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.UpdatePositionStoplossPrice(position, currentStop, AsOf));
}
break;
case PositionDirection.ShortPosition:
if (stopPrice >= position.Security.GetPriceBar(AsOf, PriceBarSize.Daily).Close)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.UpdatePositionStoplossPrice(position, currentStop, AsOf));
}
break;
}
if (stopPrice <= 0)
{
stopPrice = 0.01m;
}
// Calculate the adjusted base stop if we are using a creeping stop
decimal adjustedBaseStop = currentStop.StopPrice;
if (Stoploss_Creep_Percent > 0)
{
switch (position.PositionDirection)
{
case PositionDirection.LongPosition:
// Increase base stop
adjustedBaseStop *= (1 + Stoploss_Creep_Percent);
break;
case PositionDirection.ShortPosition:
// Decrease base stop
adjustedBaseStop *= (1 - Stoploss_Creep_Percent);
break;
}
}
switch (position.PositionDirection)
{
case PositionDirection.LongPosition:
return(Math.Max(stopPrice, adjustedBaseStop));
case PositionDirection.ShortPosition:
return(Math.Min(stopPrice, adjustedBaseStop));
default:
throw new UnknownErrorException();
}
}
public override int NewPositionSize(Portfolio portfolio, Signal IndicatedTrade, DateTime AsOf, decimal initialRiskPercent)
{
IndicatedTrade.Security.SetSwingPointsAndTrends(BarCount, BarSize);
decimal riskDollarsTotal = portfolio.EquityWithLoanValue(AsOf, TimeOfDay.MarketEndOfDay) * initialRiskPercent;
// First prior swingpoint is first prior that is REALIZED at the time of signal, so we have to look at least BarCount bars back
PriceBar firstPriorSwingPoint = null;
switch (BarSize)
{
case PriceBarSize.Daily:
firstPriorSwingPoint = IndicatedTrade.Security.GetPriceBar(Calendar.PriorTradingDay(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Weekly:
firstPriorSwingPoint = IndicatedTrade.Security.GetPriceBar(Calendar.PriorTradingWeekStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Monthly:
firstPriorSwingPoint = IndicatedTrade.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
case PriceBarSize.Quarterly:
firstPriorSwingPoint = IndicatedTrade.Security.GetPriceBar(Calendar.PriorTradingMonthStart(AsOf, BarCount), BarSize);
break;
default:
break;
}
decimal stopPrice = -1m;
decimal expExecutionPx = IndicatedTrade.Security.GetPriceBar(AsOf, BarSize).Close;
switch (IndicatedTrade.SignalAction)
{
case SignalAction.Sell:
// First prior swingpoint high
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointHigh) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.High + .01m;
break;
case SignalAction.Buy:
// First prior swingpoint low
while ((firstPriorSwingPoint.GetSwingPointType(BarCount) & SwingPointType.SwingPointLow) == 0)
{
firstPriorSwingPoint = firstPriorSwingPoint.PriorBar;
}
stopPrice = firstPriorSwingPoint.Low - .01m;
break;
}
// If the last valid swingpoint is on the wrong side of our trade (above exp trade price for a long, below a short), use an ATR atop
switch (IndicatedTrade.SignalAction)
{
case SignalAction.Sell:
if (stopPrice >= expExecutionPx)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.NewPositionSize(portfolio, IndicatedTrade, AsOf, initialRiskPercent));
}
break;
case SignalAction.Buy:
if (stopPrice <= expExecutionPx)
{
BackupStoploss.Stoploss_ATR_Multiple = this.Stoploss_ATR_Multiple;
BackupStoploss.Stoploss_ATR_Period = this.Stoploss_ATR_Period;
return(BackupStoploss.NewPositionSize(portfolio, IndicatedTrade, AsOf, initialRiskPercent));
}
break;
}
decimal initialBuffer = expExecutionPx * initialRiskPercent;
decimal riskDollarsPerShare = Math.Abs(IndicatedTrade.Security.GetPriceBar(AsOf, BarSize).Close - stopPrice);
if (riskDollarsPerShare < initialBuffer)
{
riskDollarsPerShare = initialBuffer;
}
int positionSize = Convert.ToInt32(Math.Round((riskDollarsTotal / riskDollarsPerShare), 0));
return(positionSize);
}
