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                                                   OnNewPosition event

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Peter Gum
2010-10-25 09:42:05


I need some guidance: For any single symbol I want just one outstanding position, I want to enter that position for less than
x dollars (compute the number of allowed shares and set them) and verify that that number of shares is no more than 1% of the average volume.

Taking it just one step at a time, I thought I could reject a second trade in OnNewPosition roughly this way:
if (Portfolio.IsInPortfolio(e.symbol,True)) { PortFolio.RejectAllTradesForThisPeriod(2); return;}
But that won't compile and the reject method is broader (I want to reject just buys, not covers) than I want I think.
Can you get me started down the right path ....

-Pete



QuantShare
2010-10-25 10:34:02

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Best Answer
To reject trades if position size is less than x% of the average volume, you can use an option in simulator settings (Settings tab then Capital).

For any single symbol, the simulator will execute only one trade. If the symbol is already in the portfolio then the simulator will reject other trades until the current position is exited.

If you want to enter only one long position at a time, you can type:

if(Portfolio.GetNumberOfPositions("long") > 0)
{
Functions.RejectPosition();
}



Peter Gum
2010-10-26 16:11:47

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My programming inexperience is showing: I am getting the error "type is used as a variable" on the last line. I guess I have not instantiated something, but what?
MMNewPosition a=NewPosition;
MMOnNewPosition e= MMOnNewPosition;
double b=a.Price;
double c=a.NbShares;
double d=2500.0;
if(b*c > d) e.UpdateNumberOfShares((int)(d/b));



QuantShare
2010-10-27 05:48:24

  0

You get this error because "NewPosition" is a type/class not a variable.
To get the price for example you should use "NewPosition.Price".

Type CONTROL + SPACE to see the list of available classes/variables. After you type one of them, type "." and the list of available variables or functions inside this variable or class will appear.

Here is your code:
double b = NewPosition.Price;
double c = NewPosition.NbShares;
double d = 2500.0;
if(b*c > d) Functions.UpdateNumberOfShares((int)(d/b));



Peter Gum
2010-10-27 06:28:19

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Thank you! I knew the capability was buried in there somewhere.
I have gained confidence that QS has the capabiltiy I need; I am slowed by the time it takes to 'discover' the details I need. I encourage you to publish examples, 'snippets' and member/field/method overviews. 'How to' vignettes would certainly push my leaning curve along.

-Pete



QuantShare
2010-10-27 06:49:33

  0

We are creating an Interactive QuantShare Learning Center that will contain "how to" lessons, examples...
Thank you Pete



Peter Gum
2010-10-27 08:10:26

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I like that idea! That just might efficiently expedite the learning curve.

Next question: the code above compiles but is not yielding the expected results; that is, the the size of positions has not been constrained as expected. How can I debug this?

Also, setting the check marks for "Plot Entries and Exits on chart" and for columns "ScaleIn/Out" are not sticky, which is annoying.

Thanks.



QuantShare
2010-10-27 10:40:30

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- I have tried the script and it works as expected.
Sometimes however, an order will be executed a little higher than 2500 because of a gap or increase in price.
Example:
NewPosition.Price = 10$ (close price)
Nb Shares = 250 shares.
Execution Price = 11$ (open price tomorrow)
Order Size = 2750$

You can debug a money management script using Divers.Output function.
The output is displayed in "Details" tab in the simulation report (Log textbox)

- We will make the "Plot Entries and Exits on chart" and "ScaleIn/Out" options stick in the new version.




Peter Gum
2010-10-27 13:24:29

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I was changing the wrong place. I was using Analysis > Adv MM to create/edit the event formula. That does not refresh the copy the simulator uses (it would be nice if automatic refresh could be implemented). Going throught the simulator > update > MM worked (deleting the old one first). In any event, it indeed is now running as expected.

This output statement in the event code worked, but with a question:
Divers.Output( string.Format("Symbol: {0} before={1} after={2}", NewPosition.Symbol, c, NewPosition.NbShares) );
The 'c' value is not the 'before' value (because it is a reference rather than a copy?); how do I fix that? (This is a C# question.)
(Puting Output in a daily log window works conveniently, IMHO.)

Under Report > Trader it might be nice to have columns for running capital and p/l.

Pete



QuantShare
2010-10-27 14:11:31

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The "double" type is not passed by reference and therefore the "before" value is "c" or "NewPosition.NbShares" and the "after" value is "(int)(d/b)".

We will add the running capital and p/l columns in Report/Trades tab.




Peter Gum
2010-10-27 16:58:40

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I wasn't clear. The value of 'c' in the log is always identical to the final (possibly replaced) NewPosition.NbShares, even when it is clear my event code reduced the original number. So the question is how do I capture the original so I can put it in the log?

I think an 'uncommitted cash' column would also be informative. It would represent the portion of one's assets not deployed at any point, an indirect measure of the effectiveness of the strategy.

This is related to position sizing. QS appears to divide available capital at the beginning of a simulation by the maximum allowed positions and makes no subsequent adjustments related to the success of the strategy. I'm pretty sure some flexibility in both number of and size of positions could be interesting but I am sure just what I want yet. That's grist for another thread, but knowing the growth pattern of uncommitted cash would motivate me.

While I am on a roll, adding a 'reenter after' parameter to cover and sell just might be interesting, or some other way to set such a condition in conjunction with these events. This is particularly interesting with my present strategy where I am relying on QS to pick randomly from a collection of eligible possibilities: I would like to exclude recently exited assets from the next few picks.

(QS has enabled me to rather rapidly develop a strategy that is already showing promise, which is why you are getting so many questions about details. I appreciate your taking the time.)

Pete



Peter Gum
2010-10-27 17:16:47

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I figured out the part about orginal value. I'm not getting the *after* because NewShares.NbShares is not (yet) updated. Sorry I bugged you on that one.

-Pete



QuantShare
2010-10-28 06:38:19

  0

- Yes. "NewShares.NbShares" is always equal to the original number of shares.

- Regarding the position sizing, the available cash is automatically adjusted after each position is entered.
When you change the position size of a position you have two choices:
- Adjust the number of shares of the next positions (add or increase shares depending on whether you have used more or less cash to enter the current position)
- Keep the same number of shares for the next positions (calculated before any position is entered)

You can choose an option by setting the following variable: TradingSystemSettings.IsAutoAjustCashNewPositions = true; (or false)

- Here is a code that will allow you to re-enter old position only after a specific number of days: (Add this before the "UpdateNumberOfShares" function)

int pastDays = 10;
MMPosition[] positions = Portfolio.GetClosedPositions(Divers.CurrentDate.AddDays(-pastDays));
for(int i=0;i<positions.Length;i++)
{
if(positions[i].Symbol == NewPosition.Symbol)
{
Functions.RejectPosition();
return;
}
}



Peter Gum
2010-10-28 11:59:14

  0

Thank you very much. This gives me something useful to work with.
(Once again, it is nice to see relevant capability already baked into the cake.)
-Pete



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