Mixed-up-AutoStopLossPrices-for-Multiple-Trades-on-the-Same-Bar

Mar 17, 2025, 04:34 PM - 15 days ago

Mixed up AutoStopLossPrices for Multiple Trades on the Same Bar

AssignAutoStopTargetPrices will not exit a position based on the Tag value if there is more than one open position on the bar:

CODE:
   
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript1 
{
    public class MyStrategy : UserStrategyBase
    {
        //create indicators and other objects here, this is executed prior to the main trading loop
        public override void Initialize(BarHistory bars)
        {
        }

        //execute the strategy rules here, this is executed once for each bar in the backtest history
        public override void Execute(BarHistory bars, int idx)
        {
         if (idx == bars.Count - 8)
            PlaceTrade(bars, TransactionType.Buy, OrderType.Market).Tag = "1";
         if (idx == bars.Count - 9)
            PlaceTrade(bars, TransactionType.Buy, OrderType.Market).Tag = "1";
         if (idx == bars.Count - 10)
            PlaceTrade(bars, TransactionType.Buy, OrderType.Market).Tag = "1";
        }

      public override void AssignAutoStopTargetPrices(Transaction t, double basisPrice, double executionPrice)
      {

         if (t.Tag.ToString().Contains("Stop10"))
         {
            t.AutoStopLossPrice = t.ExecutionPrice * 1.10;
            WriteToDebugLog("Stop10");
         }
         else
         {
            if (t.Tag != "NoStop")
            {
               t.AutoStopLossPrice = executionPrice * 1.15;
               WriteToDebugLog("Stop15");
            }
         }
      }

        //declare private variables below

    }
}

In the example above, WL8 triggers a stop of 10% on a position without ""Stop10" Tag.
Wrong behavior?

118

Solved

11 Replies

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Glitch8

( 6.11% )

Mar 17, 2025, 04:44 PM - 15 days ago

Sorry, I'm unable to reproduce this. With the complete example, the AutoStop gets hit with Stop15, not Stop10.

And sorry, I accidentally edited the code in your original post.

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript1 
{
    public class MyStrategy : UserStrategyBase
    {
        //create indicators and other objects here, this is executed prior to the main trading loop
        public override void Initialize(BarHistory bars)
        {
        }

        //execute the strategy rules here, this is executed once for each bar in the backtest history
        public override void Execute(BarHistory bars, int idx)
        {
         if (idx == bars.Count - 8)
            PlaceTrade(bars, TransactionType.Buy, OrderType.Market).Tag = "1";
         if (idx == bars.Count - 9)
            PlaceTrade(bars, TransactionType.Buy, OrderType.Market).Tag = "1";
         if (idx == bars.Count - 10)
            PlaceTrade(bars, TransactionType.Buy, OrderType.Market).Tag = "1";
        }

      public override void AssignAutoStopTargetPrices(Transaction t, double basisPrice, double executionPrice)
      {

         if (t.Tag.ToString().Contains("Stop10"))
         {
            t.AutoStopLossPrice = t.ExecutionPrice * 1.10;
            WriteToDebugLog("Stop10");
         }
         else
         {
            if (t.Tag != "NoStop")
            {
               t.AutoStopLossPrice = executionPrice * 1.15;
               WriteToDebugLog("Stop15");
            }
         }
      }

        //declare private variables below

    }
}

wl64bit8

Mar 17, 2025, 05:17 PM - 15 days ago

The code below shows the bug:

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript1
{
   public class MyStrategy : UserStrategyBase
   {
      //create indicators and other objects here, this is executed prior to the main trading loop
      public override void Initialize(BarHistory bars)
      {
      }

      //execute the strategy rules here, this is executed once for each bar in the backtest history
      public override void Execute(BarHistory bars, int idx)
      {
         if (idx == bars.Count - 7)         
         {
            Transaction T_1 = PlaceTrade(bars, TransactionType.Short, OrderType.Limit, bars.Close[idx] * 0.99, "T_1");
            T_1.Quantity = 100;
            T_1.Tag = "Stop1";


            Transaction T_2 = PlaceTrade(bars, TransactionType.Short, OrderType.Limit, bars.Close[idx] * 0.99, "T_2");
            T_2.Quantity = 200;
            T_2.Tag = "Stop2";            
         }         
      }

      public override void AssignAutoStopTargetPrices(Transaction t, double basisPrice, double executionPrice)
      {
         if (t.Tag.ToString().Contains("Stop1"))
         {
            t.AutoStopLossPrice = t.ExecutionPrice * 1.01;
            WriteToDebugLog("Stop1");
         }
         else
         {
            if (t.Tag != "NoStop")
            {
               t.AutoStopLossPrice = executionPrice * 1.02;
               WriteToDebugLog("Stop2");
            }
         }
      }

      //declare private variables below

   }
}

You can run it on a CHKP as an example.
T_1 should exit with Stop 1% and T_2 should exit with Stop of 2%, but WL8 does it the other way around.

Cone8

( 2.67% )

Mar 17, 2025, 05:20 PM - 15 days ago

QUOTE:
AssignAutoStopTargetPrices will not exit a position based on the Tag value if there is more than one open position on the bar:

Probably the confusion is that t.AutoStopLossPrice is only for a same-bar exit. To exit Positions on subsequent bars, you need some exit logic that applies your stop and/or limit targets.

wl64bit8

Mar 17, 2025, 05:23 PM - 15 days ago

I am referring to the same bar exit only (AssignAutoStopTargetPrices). It has nothing to do with other exits on other days. The bug is in the AssignAutoStopTargetPrices.

Cone8

( 2.67% )

Mar 17, 2025, 05:24 PM - 15 days ago

Okay, that last script has trades on the same bar, but here's my result.
What are you seeing?

wl64bit8

Mar 17, 2025, 05:26 PM - 15 days ago

You need to go to the trades tab and show the Trades themselves with shares and Entry Signals.
Can you post a picture of your trades here?

Cone8

( 2.67% )

Mar 17, 2025, 05:43 PM - 15 days ago

I see. The shares for T_1 should have exited at 65.953 and for T_2 at 66.606.

wl64bit8

Mar 17, 2025, 05:52 PM - 15 days ago

Do you know when these bugs will be fixed including the bug with the "profit target not working correctly on the same bar if the opening Transaction order was a limit"?

I can not move to WL8 before these bugs are fixed.

Glitch8

( 6.11% )

Mar 17, 2025, 06:05 PM - 15 days ago

The other issue is already fixed for next build.

Glitch8

( 6.11% )

Mar 17, 2025, 06:12 PM - 15 days ago

#10

AssignAutoStops works by issuing a PlaceTrade behind the scenes. In order for the WL backtester to know which trade to associate with which signal you need to use a PositionTag, not a string Tag property. If you assign a different PositionTag to each entry then it will work as expected.

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript1
{
   public class MyStrategy : UserStrategyBase
   {
      //create indicators and other objects here, this is executed prior to the main trading loop
      public override void Initialize(BarHistory bars)
      {
      }

      //execute the strategy rules here, this is executed once for each bar in the backtest history
      public override void Execute(BarHistory bars, int idx)
      {
         if (idx == bars.Count - 7)
         {
            Transaction T_1 = PlaceTrade(bars, TransactionType.Short, OrderType.Limit, bars.Close[idx] * 0.99, "T_1");
            T_1.Quantity = 100;
            T_1.Tag = "Stop1";
            T_1.PositionTag = 1;


            Transaction T_2 = PlaceTrade(bars, TransactionType.Short, OrderType.Limit, bars.Close[idx] * 0.99, "T_2");
            T_2.Quantity = 200;
            T_2.Tag = "Stop2";
            T_2.PositionTag = 2;
         }
      }

      public override void AssignAutoStopTargetPrices(Transaction t, double basisPrice, double executionPrice)
      {
         if (t.Tag.ToString().Contains("Stop1"))
         {
            t.AutoStopLossPrice = t.ExecutionPrice * 1.01;
            WriteToDebugLog("Stop1");
         }
         else
         {
            if (t.Tag != "NoStop")
            {
               t.AutoStopLossPrice = executionPrice * 1.02;
               WriteToDebugLog("Stop2");
            }
         }
      }

      //declare private variables below

   }
}

Best Answer

wl64bit8

Mar 17, 2025, 08:00 PM - 15 days ago

#11

.PositionTag makes it work as expected.
Thank you!

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