S
@ab_trader Thanks, I fixed my code, it works now:
class MeanReversionStrategy(bt.Strategy):
"""Mean Reversion Strategy."""
alias = ('MeanReversion',)
params = (
('price_bb_period', 20),
('price_bb_ndev', 2),
)
def __init__(self):
self.price_bb = bt.indicators.BBands(self.data.close, period=self.params.price_bb_period, devfactor=self.params.price_bb_ndev)
def next(self):
if self.data.close > self.price_bb.top:
if self.position.size > 0:
self.close() # close long position
elif self.position.size == 0:
self.sell(price=self.price_bb.top, exectype=bt.Order.Limit)
self.buy(exectype=bt.Order.StopTrail, trailpercent=0.1)
elif self.data.close < self.price_bb.bot:
if self.position.size < 0:
self.close() # close short position
elif self.position.size == 0:
self.buy(price=self.price_bb.top, exectype=bt.Order.Limit)
self.sell(exectype=bt.Order.StopTrail, trailpercent=0.1)
