backtrader.linebuffer.LineBuffer object at

[abyaby]

Hi,
Could anyone help me?
I dont know which Buy and Sell price I am getting. Wheather on actuel closing bar or next closing price.
Please take a quick look on my code.

I have backtested since months with following logic.

    if not self.position:
        # Not yet ... we MIGHT BUY if ...
        if self.bcross == 1.0:
            # BUY, BUY, BUY!!! (with default parameters)
            price = self.data.close
            self.log("BUY CREATE, {}".format(price))
            # Keep track of the created order to avoid a 2nd order
            self.order = self.buy(
                exectype=bt.Order.Limit,
                price=price)
    else:
        # Already in the market ... we might sell
        if self.scross == -1.0:
            # SELL, SELL, SELL!!! (with all possible default parameters)
            price = self.data.close
            self.log("SELL CREATE, {}".format(price))
            # Keep track of the created order to avoid a 2nd order
            self.order = self.sell(
                exectype=bt.Order.Limit,
                price=price)

As you can see I used price = self.data.close instead self.data.close[0]

My log function is this and unfortunatly it was off.

def log(self, txt, dt=None):
    dt = dt or self.data.datetime[0]
    if debug:
        print("{}, {}".format(bt.num2date(dt), txt))

I got good and bad end results and they all were reproduceable! plotting, sharpratio, vwr, sqn, Analyzer everything was working well.

my datafeed is

symbol = 'BTC/USDT'
# 2018-10-24T14:10:00Z - 2018-10-24T17:50:00Z
# 2018-10-24T23:00:00Z - 2018-10-25T01:45:00Z
hist_start_date = datetime.utcnow() - timedelta(days=500)
hist_stop_date = datetime.utcnow() - timedelta(hours=1)
data = bt.feeds.CCXT(exchange='binance',
                    symbol=symbol,
                    timeframe=bt.TimeFrame.Minutes,
                    fromdate=hist_start_date,
                    todate=hist_stop_date,
                    compression=60)

Today I debug and came to know that something is going wrong and got these results

@backtrader How could I go live, if I tested my strategies with self.data.close ? Is buy price, "buy at closing price of next bar" ?
Sell = "selling at closing price of next bar"?
Or did I backtested something unrealistic and I have to make new strategies with self.data.close[0] ?

Thanks for helping.

[backtrader]

@abyaby said in backtrader.linebuffer.LineBuffer object at:

I dont know which Buy and Sell price I am getting

Neither do we.

@abyaby said in backtrader.linebuffer.LineBuffer object at:

As you can see I used price = self.data.close instead self.data.close[0]

I guess you already realized that's wrong.

@abyaby said in backtrader.linebuffer.LineBuffer object at:

How could I go live, if I tested my strategies with self.data.close ?

If could means you already did ... I hope you had luck.

If could means you plan to ... I would do proper backtesting.

@abyaby said in backtrader.linebuffer.LineBuffer object at:

Is buy price, "buy at closing price of next bar" ?
Sell = "selling at closing price of next bar"?

Your orders are Limit and your data is unknown ... my guess is as good as any other as to what you got.

[abyaby]

@backtrader Thanks a lot of your fast and brief answer.

[abyaby]

@backtrader Thanks that you mentioned the Limit Order. I thought, it doesnt matter, if I add

cerebro.broker.setcommission(commission=0.002)

Regarding unkown data
I have backtest self.data.close and self.data.close[0] again.

PnL with Limit order are different

PnL with Market order are the same. What could it mean? I was especting data.close with market order a random number but surprisingly its the same.

data.close[0] vs. data.close
order.market -478.3 order.market -478.3
order.limit -634.26 order.limit 2370.7

And if some one know why data.close and data.close[0] have defferent limit order PnL ?