Strategy not selling when it should

[gaborvecsei]

Expected Behavior

The dummy stratey should sell every long position (only has long positions) at day 12.

Breakdown:

• BUY at 10 will all the money we have
• Don't BUY at 11 because we don't have money
• SELL all the positions at 12
• BUY at 13 will all the money we have
• SELL every position at 14
• Dont't SELL at 15 because there are no positions to sell

(data does not matter as long as it has more days than 15, so the dummy strategy can be tested)

Actual Behavior

There are only 2 trades (BUYs) at step 10 and 11, which are closed at 1 day before the end of the simulation (This is also strange).

Steps to Reproduce

Try out this dummy strategy with any data which has more days than 15.

class ErrorStrategy(Strategy):
    INDICES_buy = [10, 11, 13]
    INDICES_sell = [12, 14, 15]

    def __init__(self, broker, data, params):
        self.sell_size: float = None
        self.buy_size: float = None
        super().__init__(broker, data, params)
        self.elapsed_days: int = None

    def init(self):
        super().init()

    def next(self):
        super().next()
        self.elapsed_days = len(self.data)

        if self.elapsed_days in self.INDICES_buy:
            self.buy(size=self.buy_size)
            print(f"I bought at {self.elapsed_days}")
        elif self.elapsed_days in self.INDICES_sell:
            if self.position.size > 0:
                self.sell(size=self.sell_size)
                print(f"I sold at {self.elapsed_days}")

bt = Backtest(df, ErrorStrategy, cash=10000, commission=0, trade_on_close=True)
model_results = bt.run(buy_size=0.999, sell_size=0.999)
bt.plot(open_browser=True)

Additional info

Backtesting==0.3.1

[kernc]

Thanks for the neat repro example.

The reason the strategy doesn't sell in bar 12 is duplicate of issue #328. We check for enough cash (as if opening a brand new trade) even though we could just reduce one of the current trades.

Strange "closed at 1 day before the end of the simulation" is duplicate of bug #343.

Please subscribe there.

[kernc]

Instead of:

            if self.position.size > 0:
                self.sell(size=self.sell_size)

you could use:

            if self.position.size > 0:
                self.position.close()

This should always work.

[gaborvecsei]

Instead of:

            if self.position.size > 0:
                self.sell(size=self.sell_size)

you could use:

            if self.position.size > 0:
                self.position.close()

This should always work.

Thank you for the quick response!

I was not aware of this function, my bad and indeed it works with this one.