TradeAnalyzer: missing some trades, incorrect results

bb2

Hello,

I am added bt.analyzers.TradeAnalyzer for my strategy. In the next of my strategy, I make buy, sell(take profit) and sell(stop loss) orders, though they are not specified like a bracket order. It looks like the following in the strategy:

class StrategyX(Strategy):
    def __init__(self):
        self.order = None

    def next(self):
        if self.order:
            if takeProfitConditionIsMet:
                self.sell(exectype=bt.Order.Market,
                                transmit=False, parent=self.order)
                self.order = None
            elif stopLossConditionIsMet:
                self.sell(exectype=bt.Order.Stop,
                    transmit=True, parent=self.order)

        else:
            if entryConditionIsMet:
                self.order = self.buy(exectype=bt.Order.Market, transmit=False)

What might be the reason that some of the entries are actually missing in the TradeAnalyzer ( as in the amount of trades do not match correctly ) and that some stop losses show in the analyzer results as a won trade?

EDIT: stop loss order type fixed.

backtrader

@eduedix said in TradeAnalyzer: missing some trades, incorrect results:

What might be the reason that some of the entries are actually missing in the TradeAnalyzer ( as in the amount of trades do not match correctly ) and that some stop losses show in the analyzer results as a won trade?

How are you expecting anyone to analyze anything and assume that Trades are missing if no information is provided? ( for example a log of the Trades and the information provided by the Analyzer)

A simple inspection of the plot of the strategy could already clear out many things.

bb2

Should I assume that for the StrategyX above, everything looks OK? I will provide logs asap.

bb2

@backtrader here it is.

I normally expect to make only one buy entry and one stop loss.

-------------------------------------------------- ORDER BEGIN 2018-05-25 15:24:01.451527
Ref: 1
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 10
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
-------------------------------------------------- ORDER END
-------------------------------------------------- ORDER BEGIN 2018-05-25 15:24:01.451645
Ref: 2
OrdType: 1
OrdType: Sell
Status: 1
Status: Submitted
Size: -10
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 3
ExecType: Stop
CommInfo: None
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
-------------------------------------------------- ORDER END
-------------------------------------------------- ORDER BEGIN 2018-05-25 15:24:01.451731
Ref: 1
OrdType: 0
OrdType: Buy
Status: 2
Status: Accepted
Size: 10
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: None
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
-------------------------------------------------- ORDER END
-------------------------------------------------- ORDER BEGIN 2018-05-25 15:24:01.451830
Ref: 2
OrdType: 1
OrdType: Sell
Status: 2
Status: Accepted
Size: -10
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 3
ExecType: Stop
CommInfo: None
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: True
-------------------------------------------------- ORDER END
-------------------------------------------------- ORDER BEGIN 2018-05-25 15:24:01.451932
Ref: 1
OrdType: 0
OrdType: Buy
Status: 4
Status: Completed
Size: 10
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x105e9d198>
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: False
-------------------------------------------------- ORDER END
-------------------------------------------------- TRADE BEGIN 2018-05-25 15:24:01.452040
ref:1
data:<utils.customcsv.HistData object at 0x105e4f198>
tradeid:0
size:10
price:1.01333
value:10.1333
commission:0.0
pnl:0.0
pnlcomm:0.0
justopened:True
isopen:True
isclosed:False
baropen:3936
dtopen:736445.9895833334
barclose:0
dtclose:0.0
barlen:0
historyon:False
history:[]
status:1
-------------------------------------------------- TRADE END
-------------------------------------------------- ORDER BEGIN 2018-05-25 15:24:01.455764
Ref: 2
OrdType: 1
OrdType: Sell
Status: 4
Status: Completed
Size: -10
Price: None
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 3
ExecType: Stop
CommInfo: <backtrader.comminfo.CommInfoBase object at 0x105e9d198>
End of Session: 736445.9999999999
Info: AutoOrderedDict()
Broker: None
Alive: False
-------------------------------------------------- ORDER END
-------------------------------------------------- TRADE BEGIN 2018-05-25 15:24:01.455853
ref:1
data:<utils.customcsv.HistData object at 0x105e4f198>
tradeid:0
size:0
price:1.01333
value:0.0
commission:0.0
pnl:0.0004999999999988347
pnlcomm:0.0004999999999988347
justopened:False
isopen:False
isclosed:True
baropen:3936
dtopen:736445.9895833334
barclose:3937
dtclose:736446.0
barlen:1
historyon:False
history:[]
status:2
-------------------------------------------------- TRADE END
===============================================================================
TradeAnalyzer:
  -----------------------------------------------------------------------------
  - total:
    - total: 1
    - open: 0
    - closed: 1
  -----------------------------------------------------------------------------
  - streak:
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - won:
      - current: 1
      - longest: 1
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - lost:
      - current: 0
      - longest: 0
  -----------------------------------------------------------------------------
  - pnl:
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - gross:
      - total: 0.0004999999999988347
      - average: 0.0004999999999988347
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - net:
      - total: 0.0004999999999988347
      - average: 0.0004999999999988347
  -----------------------------------------------------------------------------
  - won:
    - total: 1
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - pnl:
      - total: 0.0004999999999988347
      - average: 0.0004999999999988347
      - max: 0.0004999999999988347
  -----------------------------------------------------------------------------
  - lost:
    - total: 0
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - pnl:
      - total: 0.0
      - average: 0.0
      - max: 0.0
  -----------------------------------------------------------------------------
  - long:
    - total: 1
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - pnl:
      - total: 0.0004999999999988347
      - average: 0.0004999999999988347
      *************************************************************************
      - won:
        - total: 0.0004999999999988347
        - average: 0.0004999999999988347
        - max: 0.0004999999999988347
      *************************************************************************
      - lost:
        - total: 0.0
        - average: 0.0
        - max: 0.0
    - won: 1
    - lost: 0
  -----------------------------------------------------------------------------
  - short:
    - total: 0
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - pnl:
      - total: 0.0
      - average: 0.0
      *************************************************************************
      - won:
        - total: 0.0
        - average: 0.0
        - max: 0.0
      *************************************************************************
      - lost:
        - total: 0.0
        - average: 0.0
        - max: 0.0
    - won: 0
    - lost: 0
  -----------------------------------------------------------------------------
  - len:
    - total: 1
    - average: 1.0
    - max: 1
    - min: 1
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - won:
      - total: 1
      - average: 1.0
      - max: 1
      - min: 1
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - lost:
      - total: 0
      - average: 0.0
      - max: 0
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - long:
      - total: 1
      - average: 1.0
      - max: 1
      - min: 1
      *************************************************************************
      - won:
        - total: 1
        - average: 1.0
        - max: 1
        - min: 1
      *************************************************************************
      - lost:
        - total: 0
        - average: 0.0
        - max: 0
        - min: 9223372036854775807
    +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
    - short:
      - total: 0
      - average: 0.0
      - max: 0
      - min: 9223372036854775807
      *************************************************************************
      - won:
        - total: 0
        - average: 0.0
        - max: 0
        - min: 9223372036854775807
      *************************************************************************
      - lost:
        - total: 0
        - average: 0.0
        - max: 0
        - min: 9223372036854775807

EDIT: repost after fixing stop loss order type

backtrader

And what's missing? You buy, a trade is opened, you sell, a trade is closed ...

bb2

I was expecting this to be a lost trade since a stop loss has occurred.

I edited both the code and the results, the order type for stop loss order was not bt.Order.Stop, fixed and reposted results.

backtrader

And at what price has the Sell order been executed? And coming back to the original point, what's missing?

bb2

the missing trades will come in a separate post. I thought it would make more sense to figure out first why the analyzer claims a winner trade instead of an expected losing one.

backtrader

Probably because you have a wrong understanding of what a Stop order is. It is not a stop-loss, it is a Stop, it may sell with a profit. When a trigger price is met, a Market order is executed. Unless you check the execution prices, both buy and sell it is pointless to make assumptions about a Trade being wrong.

For the meaning of each order type, see: