Not all available trades taken

howardhh

Hi there,

I'm a newbie to algo trading and am running into some problems. I've been trying to backtest a trend-following strategy where I enter if the EMA50 > EMA200 and when the CCI20 crosses the -100. Sell when EMA50 and EMA200 cross lower.

The problem is that backtrader is only taking some trades and not others for some reason. Can someone please help explain why this is the case and how I can solve this?

Thanks, Howard

Here is my code for the strategy:

class maCross(bt.Strategy):
'''
For an official backtrader blog on this topic please take a look at:

https://www.backtrader.com/blog/posts/2017-04-09-multi-example/multi-example.html

oneplot = Force all datas to plot on the same master.
'''
params = (
('ema50', 50),
('ema200', 200),
('cci20', 20),
('oneplot', True)
)
def __init__(self):
    '''
    Create an dictionary of indicators so that we can dynamically add the
    indicators to the strategy using a loop. This mean the strategy will
    work with any number of data feeds.
    '''
    self.inds = dict()
    for i, d in enumerate(self.datas):
        self.inds[d] = dict()
        self.inds[d]['ema50'] = bt.indicators.ExponentialMovingAverage(
            d.close, period=self.params.ema50)
        self.inds[d]['ema200'] = bt.indicators.ExponentialMovingAverage(
            d.close, period=self.params.ema200)
        self.inds[d]['cci20'] = bt.indicators.CommodityChannelIndex(
            period=self.params.cci20)
        self.inds[d]['crossUp'] = bt.indicators.CrossOver(self.inds[d]['cci20'], -100)  # crossup = 1
        self.inds[d]['EMAcross'] = bt.indicators.CrossOver(self.inds[d]['ema50'], self.inds[d]['ema200']) #crossdown = -1

        if i > 0:  # Check we are not on the first loop of data feed:
            if self.p.oneplot == True:
                d.plotinfo.plotmaster = self.datas[0]

def prenext(self):
    self.next()

def next(self):
    for i, d in enumerate(self.datas):
        dt, dn = self.datetime.date(), d._name
        pos = self.getposition(d).size
        if not pos:  # no market / no orders
            if self.inds[d]['ema50'] >= self.inds[d]['ema200']:
                if self.inds[d]['crossUp'][0] == 1:
                    self.buy(data=d, size=1000)
                else:
                    pass
            else:
                pass

        else:
            if self.inds[d]['EMAcross'][0] == -1:
                self.close(data=d)

def notify_trade(self, trade):
    dt = self.data.datetime.date()
    if trade.isclosed:
        print('{} {} Closed: PnL Gross {}, Net {}'.format(
            dt,
            trade.data._name,
            round(trade.pnl, 2),
            round(trade.pnlcomm, 2)))

ab_trader

Maybe sometime you don't have enough money to buy 1000 shares? Just a first guess.

howardhh

@ab_trader That was actually it haha. Thanks for that. I'm literally just starting out and it's really tough.

But cheers for the assistance, very much appreciated.