B
@backtrader Thanks man, tried but unfortunately not working. At the end I used one more bar to settle the trade and initiate a new trade one day later. Let me know if you have any clever solution.
*I further change multi-feed back to one feed
def next_open(self):
pos = self.getposition(self.data).size
self.log('{} Close:{}, SMA:{:.2f}/{:.2f}/{:.2f}, Size:{}, V:{}'.format(data._name,
self.data.close[0],self.inds['sma1'][0],self.inds['sma2'][0],self.inds['cross'][0], pos, self.broker.getvalue()))
#no position
if not pos:
if self.inds['cross'][0] == 1 or self.inds['cross'][-1] == 1:
# Keep track of the created order to avoid a 2nd order
self.o = self.order_target_percent(data=self.data,target=1,price=data.open)
self.log('{} Initial Buy - Order No:{} Size:{}'.format(data._name, self.o.ref,self.o.size))
elif self.inds['cross'][0] ==-1 or self.inds['cross'][-1] == -1:
# Keep track of the created order to avoid a 2nd order
self.o = self.order_target_percent(data=self.data,target=-1,price=data.open)
self.log('{} Initial Sell - Order No:{} Size:{}'.format(data._name, self.o.ref,self.o.size))
else:
if self.inds['cross'][0] == 1:
self.o = self.close()
#self.o = self.order_target_percent(data=self.data,target=1,price=data.open)
self.log('{} Reverse Buy - Order No:{} Size:{}'.format(data._name, self.o.ref,self.o.size))
elif self.inds['cross'][0] == -1:
self.o = self.close()
#self.o = self.order_target_percent(data=self.data,target=-1,price=data.open)
self.log('{} Reverse Sell - Order No:{} Size:{}'.format(data._name, self.o.ref,self.o.size))
2017-04-17, GOOGL Close:855.13, SMA:847.50/846.58/0.00, Size:0, V:1000000.0
2017-04-18, GOOGL Close:853.99, SMA:846.64/847.32/-1.00, Size:0, V:1000000.0
2017-04-18, GOOGL Initial Sell - Order No:1 Size:-1172
2017-04-18 Order 1 Status Accepted
2017-04-18 Order 1 Status Completed
2017-04-19, GOOGL Close:856.51, SMA:845.94/847.99/0.00, Size:-1172, V:998300.5999999999
2017-04-20, GOOGL Close:860.08, SMA:846.26/848.69/0.00, Size:-1172, V:995347.1599999999
2017-04-21, GOOGL Close:858.95, SMA:846.77/849.31/0.00, Size:-1172, V:991163.1199999999
2017-04-24, GOOGL Close:878.93, SMA:847.74/849.89/0.00, Size:-1172, V:992487.4799999999
2017-04-25, GOOGL Close:888.84, SMA:849.93/850.87/0.00, Size:-1172, V:969070.9199999999
2017-04-26, GOOGL Close:889.14, SMA:852.44/851.95/1.00, Size:-1172, V:957456.3999999999
2017-04-26, GOOGL Reverse Buy - Order No:2 Size:1172
2017-04-26 Order 2 Status Accepted
2017-04-26 Order 2 Status Completed
2017-04-26, OPERATION PROFIT, GROSS -45532.20, NET -45532.20
2017-04-27, GOOGL Close:891.44, SMA:854.87/852.95/0.00, Size:0, V:954467.7999999998
2017-04-27, GOOGL Initial Buy - Order No:3 Size:1072
2017-04-27 Order 3 Status Accepted
2017-04-27 Order 3 Status Completed
2017-04-28, GOOGL Close:924.52, SMA:856.95/853.98/0.00, Size:1072, V:956011.4799999999
2017-05-01, GOOGL Close:932.82, SMA:860.70/855.72/0.00, Size:1072, V:991473.2399999998
