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The Position class represents a long or short position generated by the WealthLab backtester. A long Position results from a buy transaction, while a short Position results from a short transaction. A Position contains information about its entry and exit, quantity, profit and loss, commissions, excursions, position metrics, currency conversion, and other details associated with the simulated or live position.
public BacktestSettings BacktestSettingsContains the BacktestSettings instance associated with this Position. This allows a Position to retain the settings under which it was generated, including Futures Mode and Multi-Currency settings.
public BarHistory BarsReturns the BarHistory instance on which this Position is based. Strategies that trade multiple symbols can use this property to determine the symbol and historical data associated with a particular Position.
public object BrokerTagAllows Broker Adapters to associate broker-specific information with the Position.
public int IndexReturns the index occupied by this Position in the Backtester Positions collection. This property is primarily useful to Performance Visualizers and other components that work directly with the Backtester Positions collection.
public bool IsLiveBrokerPositionIndicates whether this Position represents a live broker Position. WL9 can use this property to render live broker Positions differently from backtest Positions.
public bool IsOpenReturns true if the Position is currently open. A Position is considered open when ExitBar is -1.
public bool IsOpenAsOf(DateTime dt)Returns true if the Position was open as of the specified DateTime dt. The method returns false if the Position had not yet been entered at dt, and also returns false if it had already exited by that time.
public bool NSFIndicates whether the Position was rejected because there was not sufficient simulated capital available to take the trade. NSF stands for "Not Sufficient Funds."
public int PositionTagGets or sets an integer tag used by the backtester to track specific Positions.
public PositionType PositionTypeSpecifies whether the Position is long or short. Possible values are:
public double QuantityReturns the number of shares or contracts that comprise the Position.
public string QuantityDisplayReturns the Position's Quantity formatted for display. If Bars is available, the quantity is formatted using the number of quantity decimal places specified by Bars.QuantityDecimals. Otherwise, it is formatted with no decimal places.
public DateTime SignalDateGets or sets the DateTime associated with the signal that resulted in this Position.
public string SymbolReturns the symbol associated with the Position's Bars property. Returns null if Bars is null.
public object TagAllows a C# Coded Strategy to associate arbitrary Strategy-specific information with a Position. If the Transaction that created the Position has a Tag, that value can be passed along to the resulting Position.
public object VisualizerTagAllows Performance Visualizers and similar components to associate arbitrary information with a Position.
public double CommissionReturns the Position's total commission in the base currency. This is the sum of EntryCommission and ExitCommission.
public double CommissionNonBaseReturns the Position's total commission in the trade's currency. This is the sum of EntryCommissionNonBase and ExitCommissionNonBase.
public double CostBasisReturns the Position's cost basis in the base currency. For ordinary securities this is EntryPrice multiplied by Quantity and the exchange rate at entry. In Futures Mode, futures use the contract margin multiplied by Quantity and the exchange rate. Options and futures options use 100 times EntryPrice multiplied by Quantity and the exchange rate.
public double CostBasisNonBaseReturns the Position's cost basis in the trade's currency. For ordinary securities this is EntryPrice multiplied by Quantity. In Futures Mode, futures use the contract margin multiplied by Quantity. Options and futures options use 100 times EntryPrice multiplied by Quantity.
public double CurrencyAdjustmentContains the accumulated gain or loss attributable to currency conversion when Multi-Currency processing is enabled.
public Position(int entryBar)Creates a new Position whose entry occurs at the specified entryBar. The constructor initializes ExitBar to -1, indicating an open Position, and PositionTag to -1. Positions are normally created and managed by the WealthLab backtester rather than instantiated directly by Strategies.
public double BasisPriceContains the price that was used to determine the Position's quantity. For Market and MarketClose orders, the basis price is normally based on the price selected in Backtest Settings. For Limit and Stop orders, it is generally the specified limit or stop price. The actual EntryPrice can differ from BasisPrice because of gaps, slippage, and other execution effects.
public int EntryBarReturns the bar index in the Position's Bars where the Position entry occurred.
public double EntryCommissionReturns the commission charged when the Position was entered. In a Multi-Currency backtest, EntryCommission is expressed in the base currency. See also EntryCommissionNonBase.
public double EntryCommissionNonBaseReturns the entry commission expressed in the trade's currency. This is particularly useful in Multi-Currency backtests.
public DateTime EntryDateReturns the DateTime corresponding to EntryBar. If EntryBar is beyond the available BarHistory, returns DateTime.MinValue.
public string EntryDateStringReturns the Position's entry date formatted for display according to the scale of its BarHistory. If GranularEntryTime is available, that time is appended to the formatted date.
public OrderType EntryOrderTypeReturns the OrderType used to establish the Position.
public double EntryPriceReturns the price at which the Position was entered.
public string EntryPriceStringReturns EntryPrice formatted using the number of price decimal places specified by the Position's BarHistory. If Bars is null, two decimal places are used.
public string EntrySignalNameContains the signal name associated with the Transaction that opened this Position. The signal name is also displayed in the Positions visualizer.
public TransactionType EntryTransactionTypeReturns the TransactionType that represents an entry for this Position. For a long Position this returns TransactionType.Buy. For a short Position it returns TransactionType.Short.
public double ExchangeRateAtEntryGets or sets the exchange rate used when the Position was entered. This value is used for Multi-Currency calculations. Assigning Double.NaN causes the property to use 1.0 instead.
public TimeSpan? GranularEntryTimeContains the Position's more precise entry time when granular processing information is available. The property is null when no granular entry time is available.
public double EffectiveExitPriceReturns the effective current exit price of the Position. For an open Position, this is the latest closing price. For a closed Position, it is ExitPrice.
public double ExchangeRateLastGets or sets the most recent exchange rate associated with the Position. For a closed Position this is used as the exit exchange rate. Assigning Double.NaN causes the property to use 1.0 instead.
public int ExitBarReturns the bar index where the Position exited. Returns -1 while the Position remains open.
public double ExitCommissionReturns the commission charged when the Position was exited. In a Multi-Currency backtest, ExitCommission is expressed in the base currency.
public double ExitCommissionNonBaseReturns the exit commission expressed in the trade's currency.
public DateTime ExitDateReturns the DateTime corresponding to ExitBar. If the Position is still open, returns DateTime.MaxValue.
public string ExitDateStringReturns the Position's exit date formatted for display. If the Position is open, returns "Open". If GranularExitTime is available, that time is included in the formatted value.
public bool ExitedAtMarketOpenIndicates whether the Position exited at the market open. This property is used when calculating BarsHeld.
public OrderType ExitOrderTypeReturns the OrderType used to close the Position.
public double ExitPriceReturns the price at which the Position was exited. For an open Position, this value is normally zero.
public string ExitPriceStringReturns ExitPrice formatted for display. Returns "Open" if the Position is still open.
public string ExitSignalNameContains the signal name associated with the Transaction that closed the Position. For an open Position, the value is normally an empty string.
public TransactionType ExitTransactionTypeReturns the TransactionType that represents an exit for this Position. For a long Position this returns TransactionType.Sell. For a short Position it returns TransactionType.Cover.
public bool FilledAtOpenLimitOrStopIndicates whether the Position's order was a Limit or Stop order that filled at the market open.
public TimeSpan? GranularExitTimeContains the Position's more precise exit time when granular processing information is available. The property is null when no granular exit time is available.
public int LastBarReturns the last applicable bar index for the Position. For an open Position, this is the last bar in Bars. For a closed Position, it is ExitBar.
public double LastPriceReturns the latest applicable price for the Position. For an open Position, this is the latest closing price in Bars. For a closed Position, it is ExitPrice.
public bool FuturesModeReturns true if the Position is operating under Futures Mode. The Position's BacktestSettings must have Futures Mode enabled, the security type must support Futures Mode, and the associated SymbolInfo must have valid Margin and PointValue values.
public double MAEReturns the Maximum Adverse Excursion generated by the Position, including commissions. In a Multi-Currency backtest, MAE is expressed in the base currency. MAE is normally negative or zero.
public double MAEAsOf(int bar)Returns the Maximum Adverse Excursion in the base currency as of the specified bar, including commissions. Use this method when evaluating an active Position during Strategy execution.
public double MAENonBaseReturns the Position's Maximum Adverse Excursion in the trade's currency, including commissions.
public double MAENonBaseAsOf(int bar)Returns the Position's Maximum Adverse Excursion in the trade's currency as of the specified bar, including commissions.
public double MAEPctAsOf(int bar)Returns the Position's Maximum Adverse Excursion percentage in the base currency as of the specified bar.
public double MAEPctNonBaseAsOf(int bar)Returns the Position's Maximum Adverse Excursion percentage in the trade's currency as of the specified bar.
public double MAEPercentReturns the Position's Maximum Adverse Excursion as a percentage. For Multi-Currency backtests this value is calculated with respect to the base currency.
public double MAEPercentNonBaseReturns the Position's Maximum Adverse Excursion percentage in the trade's currency.
public double MFEReturns the Maximum Favorable Excursion generated by the Position, including commissions. In a Multi-Currency backtest, MFE is expressed in the base currency.
public double MFEAsOf(int bar)Returns the Maximum Favorable Excursion in the base currency as of the specified bar, including commissions. Use this method when evaluating an active Position during Strategy execution.
public double MFENonBaseReturns the Position's Maximum Favorable Excursion in the trade's currency, including commissions.
public double MFENonBaseAsOf(int bar)Returns the Position's Maximum Favorable Excursion in the trade's currency as of the specified bar, including commissions.
public double MFEPctAsOf(int bar)Returns the Position's Maximum Favorable Excursion percentage in the base currency as of the specified bar.
public double MFEPctNonBaseAsOf(int bar)Returns the Position's Maximum Favorable Excursion percentage in the trade's currency as of the specified bar.
public double MFEPercentReturns the Position's Maximum Favorable Excursion as a percentage. For Multi-Currency backtests this value is calculated with respect to the base currency.
public double MFEPercentNonBaseReturns the Position's Maximum Favorable Excursion percentage in the trade's currency.
public MetaStrategyComponent MetaStrategyComponentGets or sets the MetaStrategyComponent associated with this Position. Returns null when the Position is not associated with a MetaStrategy component.
public string MetaStrategyNameReturns a descriptive name for the Position's MetaStrategy component. The value consists of the component Strategy's qualified name followed by its scale. Returns an empty string if MetaStrategyComponent is null.
public override string ToString()Returns a string describing the Position. The string contains the PositionType, Quantity, and symbol when a BarHistory is available.
public double ValueAsOf( int idx, bool useOpenPrice)Returns the value of the Position in the base currency as of the specified bar idx. Set useOpenPrice to true to value the Position using the bar's opening price. Set it to false to use the closing price. For Futures Mode, the value includes the Position's futures margin plus its gain or loss as of the specified bar.
public double GetMetric(string metric)Returns the value of the Position Metric named metric. Returns Double.NaN if the Position has no metric with the specified name.
public Dictionary<string, double> PositionMetricsGets or sets the Dictionary containing the Position's custom metrics. The Dictionary keys are metric names and the values are the corresponding metric values.
public void SetMetric( string metric, double value)Assigns value to the custom Position Metric named metric. If the Position's PositionMetrics Dictionary has not yet been created, the method creates it automatically.
public double HighestHighReturns the highest price reached during the lifetime of the Position. For an open Position, the calculation extends through the final available bar. For a closed Position, it extends through the exit.
public double HighestHighAsOf(int idx)Returns the highest price reached by the Position as of bar idx. The calculation accounts for entry and exit order types so that price movement that occurred before the Position was entered or after it exited on a particular bar is not incorrectly included.
public double LowestLowReturns the lowest price reached during the lifetime of the Position.
public double LowestLowAsOf(int idx)Returns the lowest price reached by the Position as of bar idx. The calculation accounts for entry and exit order types.
public double PointProfitReturns the Position's profit or loss expressed as price points. For a long Position this is the latest price minus EntryPrice. For a short Position the sign is reversed.
public double PPPBReturns the Position's percentage profit per bar. The value is ProfitPercent divided by BarsHeld. Returns zero when BarsHeld is zero.
public double ProfitReturns the Position's profit or loss in the base currency, including commissions.
public double ProfitAsOf(int idx)Returns the Position's profit or loss in the base currency as of the specified bar idx. Use this method during Strategy execution when you need the Position's profit at a particular point in the backtest.
using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.Indicators;
namespace WealthScript
{
public class ProfitAsOfExample : UserStrategyBase
{
private SMA _sma;
public override void Initialize(BarHistory bars)
{
StartIndex = 20;
_sma = SMA.Series(bars.Close, 20);
PlotIndicator(_sma);
}
public override void Execute(BarHistory bars, int idx)
{
if (!HasOpenPosition(bars, PositionType.Long))
{
if (bars.Close.CrossesOver(_sma, idx))
PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
}
else
{
Position pos = LastPosition;
if (pos.ProfitAsOf(idx) >= 500.0)
ClosePosition(
pos,
OrderType.Market,
exitSignalName: "$500 Profit");
}
}
}
}
public double ProfitAsPctOfCurrentEquityReturns the Position's profit expressed as a percentage of current portfolio equity. This value is calculated and assigned by the backtester.
public TimeSeries ProfitCurveReturns a TimeSeries representing the Position's profit in the base currency over its lifetime. The TimeSeries begins at EntryBar and continues through the Position's exit or the end of its BarHistory.
public double ProfitNonBaseReturns the Position's profit or loss in the trade's currency, including commissions. For an open Position, this property should only be accessed during the Cleanup or BacktestComplete phases. During normal Strategy execution use ProfitAsOf or ProfitPctAsOf instead.
public double ProfitPctAsOf(int idx)Returns the Position's percentage profit in the base currency as of the specified bar idx. This method is appropriate for use during Strategy execution.
using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.Indicators;
namespace WealthScript
{
public class ProfitPctAsOfExample : UserStrategyBase
{
private SMA _sma;
public override void Initialize(BarHistory bars)
{
StartIndex = 20;
_sma = SMA.Series(bars.Close, 20);
}
public override void Execute(BarHistory bars, int idx)
{
if (!HasOpenPosition(bars, PositionType.Long))
{
if (bars.Close.CrossesOver(_sma, idx))
PlaceTrade(bars, TransactionType.Buy, OrderType.Market);
}
else
{
Position pos = LastPosition;
if (pos.ProfitPctAsOf(idx) >= 6.0)
ClosePosition(
pos,
OrderType.Market,
exitSignalName: "6% Profit");
}
}
}
}
public double ProfitPerBarReturns the Position's profit in the base currency divided by BarsHeld. Returns zero when BarsHeld is zero.
public double ProfitPercentReturns the Position's percentage profit in the base currency. For Futures Mode, the calculation can be either margin-based or raw price percentage-based according to Backtest Settings. For calculations during Strategy execution, use ProfitPctAsOf.
public double ProfitPercentNonBaseReturns the Position's percentage profit in the trade's currency.
public bool UseRawProfitFuturesReturns true when the Position is operating in Futures Mode and Backtest Settings specify that futures percentage profit should be based on raw price movement rather than futures margin.
public void EstablishTrailingStopValue( int idx, TrailingStopType tst, double amount, int atrPeriod = 22)Calculates and updates TrailingStopPrice for the Position as of bar idx using the specified TrailingStopType and amount. Depending on tst, the trailing stop can be based on closing prices, high/low prices, percentages, or ATR. For TrailingStopType.ATR, amount represents the ATR multiple and atrPeriod specifies the ATR period. For a long Position, TrailingStopPrice can only move higher. For a short Position, it can only move lower. The method does nothing if the Position is already closed.
public double RiskStopLevelContains the stop-loss level established for the Position when Max Risk Percent position sizing is used. This value can be used to issue a stop-loss order designed to keep the Position's maximum loss within the desired risk amount.
public double TrailingStopPriceContains the most recently established trailing stop price for the Position. The default value is Double.NaN.
public int BarsHeldReturns the number of bars the Position was held. For an open Position, BarsHeld is calculated through the final bar of its BarHistory. For a closed Position, the calculation also considers whether the Position exited at the market open and the CountMarketExitAsFullBar setting.
public bool CountMarketExitAsFullBarReturns the Backtest Settings value that determines whether a Position that exits at the market open counts its exit bar as a full bar when calculating BarsHeld.
public int DaysInPosition( int idx, bool countByLastBarOfDay)Returns the number of trading days that have passed since the Position was established when using intraday data. Returns -1 for non-intraday BarHistory scales. When countByLastBarOfDay is false, the count advances as new trading days begin. When true, the current trading day is counted when idx represents its final bar.
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