Position sizing and stop losses mess up trading strategy

[howardhh]

Hi again,

Apologies in advance but I will likely be posting a lot of questions since I am just starting out. Thanks for the help so far.

Instead of simply buying 10 shares at a time I've added to my code a position sizing mechanism (where I risk 100 dollars per trade with a stop loss 5% below entry price). The strategy worked fine before I added this (buy when ema50 > ema200 when cci crosses up -100, sell when cci crosses down 100) but after I added in the position sizer/ stop loss, it turns weird.

Original working code:

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'])
        self.inds[d]['crossDown'] = bt.indicators.CrossOver(self.inds[d]['cci20'], 100)  # 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=10)
                else:
                    pass
            else:
                pass

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

I changed the next function to:

def next(self):

    for i, d in enumerate(self.datas):
        #calculate risk/ stop price
        risk = 100  #risk = 100 dollars
        stop = 0.05 #stop 5% below close
        stop_price = self.datas[i].close[0]*(1-stop)

        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: #if CCI crosses up -100
                    if self.datas[i].close[0] - stop_price > 0: #check if risk is acceptable/ valid
                        qty = round(risk / (self.datas[i].close[0] - stop_price),0) #get no. of shares to trade
                        self.buy_bracket(data=d, limitprice=self.datas[i].close[0], price=self.datas[i].close[0],
                                         stopprice=stop_price, exectype=bt.Order.Limit, size=qty)
                    else:
                        pass
                else:
                    pass
            else:
                pass

        else:
            if self.inds[d]['crossDown'][0] == -1:  #if cci crosses down 100
                self.close(data=d)

I can't tell what I've done wrong but it seems like the trades are now buy when cci20 crosses down -100 and sell when it crosses back up.

Thanks heaps for any input.

[ab_trader]

@howardhh just a thoughts based on your buy_bracket order:

• you send main order as limit on close price
• bt opens it if possible, and
• than bt closes it at bracket's limitprice on the same close

You may want to increase your limitprice to get the profit.

[howardhh]

@ab_trader Ahhh I see. All fixed up. Thanks heaps.