Trailing stop loss not functioning properly in C# - am I using lists wrong?
I am attempting to implement a trailing stop loss functionality in C# similar to what is described here:
https://www.multicharts.com/trading-software/index.php/SetPercentTrailing
Basically, if the profit rises over a certain amount and then drops by a certain percentage of that amount, it closes the order.
Unfortunately, for whatever reason, it doesn't seem to be working. It never exits when there's a profit, but the stop-loss works. I am inexperienced with C# and after spending quite a while on this I'm stumped as to what could be going wrong - my thought is that I may be using lists incorrectly. This is being written with QuantConnect/LEAN. Here is what I've written:
// 0.00025m is the conversion factor for profitPercentage into recognizable integers
var profitPercentage = Portfolio[_symbol].UnrealizedProfitPercent / 0.00025m;
var percentages = new List<decimal>();
var profitThreshold = 10;
decimal maxProfit;
decimal trailingPercent = 10;
decimal stopLoss = -10;
if (profitPercentage > profitThreshold)
{
percentages.Add(profitPercentage);
percentages.Sort();
maxProfit = percentages[percentages.Count - 1];
if (profitPercentage < (maxProfit - (maxProfit * trailingPercent)))
{
SetHoldings(_symbol, 0);
percentages.Clear();
position = "none";
}
}
else if (profitPercentage < stopLoss)
{
Console.WriteLine("Profit:" + profitPercentage);
SetHoldings(_symbol, 0);
percentages.Clear();
position = "none";
}
The stop loss seems to work fine, so profitPercentage appears to be outputting the right values. The issue seems to lie in the logic related to the list. Similarly, if I simplify the first if statement thus:
if (profitPercentage > profitThreshold)
{
SetHoldings(_symbol, 0);
}
This also works fine.
c# quantitative-finance algorithmic-trading
asked Nov 20 '18 at 1:05
PhilPhil
32
|
show 2 more comments
I am attempting to implement a trailing stop loss functionality in C# similar to what is described here:
https://www.multicharts.com/trading-software/index.php/SetPercentTrailing
Basically, if the profit rises over a certain amount and then drops by a certain percentage of that amount, it closes the order.
Unfortunately, for whatever reason, it doesn't seem to be working. It never exits when there's a profit, but the stop-loss works. I am inexperienced with C# and after spending quite a while on this I'm stumped as to what could be going wrong - my thought is that I may be using lists incorrectly. This is being written with QuantConnect/LEAN. Here is what I've written:
// 0.00025m is the conversion factor for profitPercentage into recognizable integers
var profitPercentage = Portfolio[_symbol].UnrealizedProfitPercent / 0.00025m;
var percentages = new List<decimal>();
var profitThreshold = 10;
decimal maxProfit;
decimal trailingPercent = 10;
decimal stopLoss = -10;
if (profitPercentage > profitThreshold)
{
percentages.Add(profitPercentage);
percentages.Sort();
maxProfit = percentages[percentages.Count - 1];
if (profitPercentage < (maxProfit - (maxProfit * trailingPercent)))
{
SetHoldings(_symbol, 0);
percentages.Clear();
position = "none";
}
}
else if (profitPercentage < stopLoss)
{
Console.WriteLine("Profit:" + profitPercentage);
SetHoldings(_symbol, 0);
percentages.Clear();
position = "none";
}
The stop loss seems to work fine, so profitPercentage appears to be outputting the right values. The issue seems to lie in the logic related to the list. Similarly, if I simplify the first if statement thus:
if (profitPercentage > profitThreshold)
{
SetHoldings(_symbol, 0);
}
This also works fine.
c# quantitative-finance algorithmic-trading
asked Nov 20 '18 at 1:05
PhilPhil
32
4
nothing obvious on first sight. "it doesn't seem to be working" is not a useful error description. are the values just off, or do you get a runtime exception? it would be great if you could substitute values for dependencies likePortfolioso we get a minimal, complete example to debug.
– dlatikay
Nov 20 '18 at 1:20
I'm not sure if the values are off, but it never exists in profit, even when it goes past the profit threshold and then back down. The stop loss seems to work fine, however. I'm not sure what values I can substitute forPortfolio, unfortunately. What I can say for sure though is that theConsole.WriteLinein theelse ifstatement outputs values like-40.149284802348.
– Phil
Nov 20 '18 at 1:58
SeeminglyprofitPercentageis returning the expected values, but isn't exiting properly when it goes aboveprofitThreshold. So I'm assuming something must be going wrong with the list or the logic related to it. When I simplify the example and make it simply exit onceprofitPercentage > profitThresholdthen it exits properly. For example:if (profitPercentage > profitThreshold) { SetHoldings(_symbol, 0); }This works fine.
– Phil
Nov 20 '18 at 2:04
you probably want trailingpercent to have a value of 0.1 then
– dlatikay
Nov 20 '18 at 2:13
1
Watch a 10 minute YouTube video on Debugging in Visual Studio, you need to step through the code, line by line and work out whats wrong with the logic.
– Jeremy Thompson
Nov 20 '18 at 3:28
|
show 2 more comments
I am attempting to implement a trailing stop loss functionality in C# similar to what is described here:
https://www.multicharts.com/trading-software/index.php/SetPercentTrailing
Basically, if the profit rises over a certain amount and then drops by a certain percentage of that amount, it closes the order.
Unfortunately, for whatever reason, it doesn't seem to be working. It never exits when there's a profit, but the stop-loss works. I am inexperienced with C# and after spending quite a while on this I'm stumped as to what could be going wrong - my thought is that I may be using lists incorrectly. This is being written with QuantConnect/LEAN. Here is what I've written:
// 0.00025m is the conversion factor for profitPercentage into recognizable integers
var profitPercentage = Portfolio[_symbol].UnrealizedProfitPercent / 0.00025m;
var percentages = new List<decimal>();
var profitThreshold = 10;
decimal maxProfit;
decimal trailingPercent = 10;
decimal stopLoss = -10;
if (profitPercentage > profitThreshold)
{
percentages.Add(profitPercentage);
percentages.Sort();
maxProfit = percentages[percentages.Count - 1];
if (profitPercentage < (maxProfit - (maxProfit * trailingPercent)))
{
SetHoldings(_symbol, 0);
percentages.Clear();
position = "none";
}
}
else if (profitPercentage < stopLoss)
{
Console.WriteLine("Profit:" + profitPercentage);
SetHoldings(_symbol, 0);
percentages.Clear();
position = "none";
}
The stop loss seems to work fine, so profitPercentage appears to be outputting the right values. The issue seems to lie in the logic related to the list. Similarly, if I simplify the first if statement thus:
if (profitPercentage > profitThreshold)
{
SetHoldings(_symbol, 0);
}
This also works fine.
c# quantitative-finance algorithmic-trading
asked Nov 20 '18 at 1:05
PhilPhil
32
I am attempting to implement a trailing stop loss functionality in C# similar to what is described here:
https://www.multicharts.com/trading-software/index.php/SetPercentTrailing
Basically, if the profit rises over a certain amount and then drops by a certain percentage of that amount, it closes the order.
Unfortunately, for whatever reason, it doesn't seem to be working. It never exits when there's a profit, but the stop-loss works. I am inexperienced with C# and after spending quite a while on this I'm stumped as to what could be going wrong - my thought is that I may be using lists incorrectly. This is being written with QuantConnect/LEAN. Here is what I've written:
// 0.00025m is the conversion factor for profitPercentage into recognizable integers
var profitPercentage = Portfolio[_symbol].UnrealizedProfitPercent / 0.00025m;
var percentages = new List<decimal>();
var profitThreshold = 10;
decimal maxProfit;
decimal trailingPercent = 10;
decimal stopLoss = -10;
if (profitPercentage > profitThreshold)
{
percentages.Add(profitPercentage);
percentages.Sort();
maxProfit = percentages[percentages.Count - 1];
if (profitPercentage < (maxProfit - (maxProfit * trailingPercent)))
{
SetHoldings(_symbol, 0);
percentages.Clear();
position = "none";
}
}
else if (profitPercentage < stopLoss)
{
Console.WriteLine("Profit:" + profitPercentage);
SetHoldings(_symbol, 0);
percentages.Clear();
position = "none";
}
The stop loss seems to work fine, so profitPercentage appears to be outputting the right values. The issue seems to lie in the logic related to the list. Similarly, if I simplify the first if statement thus:
if (profitPercentage > profitThreshold)
{
SetHoldings(_symbol, 0);
}
This also works fine.
c# quantitative-finance algorithmic-trading
c# quantitative-finance algorithmic-trading
asked Nov 20 '18 at 1:05
PhilPhil
32
asked Nov 20 '18 at 1:05
PhilPhil
32
edited Nov 20 '18 at 2:09
Phil
asked Nov 20 '18 at 1:05
PhilPhil
32
asked Nov 20 '18 at 1:05
PhilPhil
32
asked Nov 20 '18 at 1:05
PhilPhil
32
32
4
nothing obvious on first sight. "it doesn't seem to be working" is not a useful error description. are the values just off, or do you get a runtime exception? it would be great if you could substitute values for dependencies likePortfolioso we get a minimal, complete example to debug.
– dlatikay
Nov 20 '18 at 1:20
I'm not sure if the values are off, but it never exists in profit, even when it goes past the profit threshold and then back down. The stop loss seems to work fine, however. I'm not sure what values I can substitute forPortfolio, unfortunately. What I can say for sure though is that theConsole.WriteLinein theelse ifstatement outputs values like-40.149284802348.
– Phil
Nov 20 '18 at 1:58
SeeminglyprofitPercentageis returning the expected values, but isn't exiting properly when it goes aboveprofitThreshold. So I'm assuming something must be going wrong with the list or the logic related to it. When I simplify the example and make it simply exit onceprofitPercentage > profitThresholdthen it exits properly. For example:if (profitPercentage > profitThreshold) { SetHoldings(_symbol, 0); }This works fine.
– Phil
Nov 20 '18 at 2:04
you probably want trailingpercent to have a value of 0.1 then
– dlatikay
Nov 20 '18 at 2:13
1
Watch a 10 minute YouTube video on Debugging in Visual Studio, you need to step through the code, line by line and work out whats wrong with the logic.
– Jeremy Thompson
Nov 20 '18 at 3:28
|
show 2 more comments
4
nothing obvious on first sight. "it doesn't seem to be working" is not a useful error description. are the values just off, or do you get a runtime exception? it would be great if you could substitute values for dependencies likePortfolioso we get a minimal, complete example to debug.
– dlatikay
Nov 20 '18 at 1:20
I'm not sure if the values are off, but it never exists in profit, even when it goes past the profit threshold and then back down. The stop loss seems to work fine, however. I'm not sure what values I can substitute forPortfolio, unfortunately. What I can say for sure though is that theConsole.WriteLinein theelse ifstatement outputs values like-40.149284802348.
– Phil
Nov 20 '18 at 1:58
SeeminglyprofitPercentageis returning the expected values, but isn't exiting properly when it goes aboveprofitThreshold. So I'm assuming something must be going wrong with the list or the logic related to it. When I simplify the example and make it simply exit onceprofitPercentage > profitThresholdthen it exits properly. For example:if (profitPercentage > profitThreshold) { SetHoldings(_symbol, 0); }This works fine.
– Phil
Nov 20 '18 at 2:04
you probably want trailingpercent to have a value of 0.1 then
– dlatikay
Nov 20 '18 at 2:13
1
Watch a 10 minute YouTube video on Debugging in Visual Studio, you need to step through the code, line by line and work out whats wrong with the logic.
– Jeremy Thompson
Nov 20 '18 at 3:28
4
4
nothing obvious on first sight. "it doesn't seem to be working" is not a useful error description. are the values just off, or do you get a runtime exception? it would be great if you could substitute values for dependencies like
Portfolio so we get a minimal, complete example to debug.– dlatikay
Nov 20 '18 at 1:20
nothing obvious on first sight. "it doesn't seem to be working" is not a useful error description. are the values just off, or do you get a runtime exception? it would be great if you could substitute values for dependencies like
Portfolio so we get a minimal, complete example to debug.– dlatikay
Nov 20 '18 at 1:20
I'm not sure if the values are off, but it never exists in profit, even when it goes past the profit threshold and then back down. The stop loss seems to work fine, however. I'm not sure what values I can substitute for
Portfolio, unfortunately. What I can say for sure though is that the Console.WriteLine in the else if statement outputs values like -40.149284802348.– Phil
Nov 20 '18 at 1:58
I'm not sure if the values are off, but it never exists in profit, even when it goes past the profit threshold and then back down. The stop loss seems to work fine, however. I'm not sure what values I can substitute for
Portfolio, unfortunately. What I can say for sure though is that the Console.WriteLine in the else if statement outputs values like -40.149284802348.– Phil
Nov 20 '18 at 1:58
Seemingly
profitPercentage is returning the expected values, but isn't exiting properly when it goes above profitThreshold. So I'm assuming something must be going wrong with the list or the logic related to it. When I simplify the example and make it simply exit once profitPercentage > profitThreshold then it exits properly. For example: if (profitPercentage > profitThreshold) { SetHoldings(_symbol, 0); } This works fine.– Phil
Nov 20 '18 at 2:04
Seemingly
profitPercentage is returning the expected values, but isn't exiting properly when it goes above profitThreshold. So I'm assuming something must be going wrong with the list or the logic related to it. When I simplify the example and make it simply exit once profitPercentage > profitThreshold then it exits properly. For example: if (profitPercentage > profitThreshold) { SetHoldings(_symbol, 0); } This works fine.– Phil
Nov 20 '18 at 2:04
you probably want trailingpercent to have a value of 0.1 then
– dlatikay
Nov 20 '18 at 2:13
you probably want trailingpercent to have a value of 0.1 then
– dlatikay
Nov 20 '18 at 2:13
1
1
Watch a 10 minute YouTube video on Debugging in Visual Studio, you need to step through the code, line by line and work out whats wrong with the logic.
– Jeremy Thompson
Nov 20 '18 at 3:28
Watch a 10 minute YouTube video on Debugging in Visual Studio, you need to step through the code, line by line and work out whats wrong with the logic.
– Jeremy Thompson
Nov 20 '18 at 3:28
|
show 2 more comments
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4
nothing obvious on first sight. "it doesn't seem to be working" is not a useful error description. are the values just off, or do you get a runtime exception? it would be great if you could substitute values for dependencies like
Portfolioso we get a minimal, complete example to debug.– dlatikay
Nov 20 '18 at 1:20
I'm not sure if the values are off, but it never exists in profit, even when it goes past the profit threshold and then back down. The stop loss seems to work fine, however. I'm not sure what values I can substitute for
Portfolio, unfortunately. What I can say for sure though is that theConsole.WriteLinein theelse ifstatement outputs values like-40.149284802348.– Phil
Nov 20 '18 at 1:58
Seemingly
profitPercentageis returning the expected values, but isn't exiting properly when it goes aboveprofitThreshold. So I'm assuming something must be going wrong with the list or the logic related to it. When I simplify the example and make it simply exit onceprofitPercentage > profitThresholdthen it exits properly. For example:if (profitPercentage > profitThreshold) { SetHoldings(_symbol, 0); }This works fine.– Phil
Nov 20 '18 at 2:04
you probably want trailingpercent to have a value of 0.1 then
– dlatikay
Nov 20 '18 at 2:13
1
Watch a 10 minute YouTube video on Debugging in Visual Studio, you need to step through the code, line by line and work out whats wrong with the logic.
– Jeremy Thompson
Nov 20 '18 at 3:28