How to build a sizer that can use some measure of volatility, like ATR, and the multiplier for the future to determine position sizing?

t3chap

The following is my attempt to make a custom position sizer based on ATR and the multiplier for the given future. I'm sure this is relatively easy but I seem to have hit a wall.

I seem to have a position size of 0 for every trade.
What am I getting wrong?

Thanks.

class comm_sizer(bt.Sizer):
    def __init__(self, atr):
        #self.atr_parameter= atr_parameter
        atr= self.atr
        risk_per_trade=5000
        atr_risk_per_trade=5
        
        sizing = math.floor((risk_per_trade/(mult*atr_risk_per_trade*atr)))
        
   # position = self.broker.getposition(data)
    
    def _getsizing(self,comminfo,cash,data,isbuy):
        
        return sizing

run-out

You may have already checked this, but in case you haven't.

Getting zero size for every trade could imply there's not enough cash to execute the transaction. Check to see if you are getting margined out. Read "Orders -Order Status Values"

backtrader

@t3chap said in How to build a sizer that can use some measure of volatility, like ATR, and the multiplier for the future to determine position sizing?:

I seem to have a position size of 0 for every trade.

With the following code ...

@t3chap said in How to build a sizer that can use some measure of volatility, like ATR, and the multiplier for the future to determine position sizing?:

class comm_sizer(bt.Sizer):
    def __init__(self, atr):
        #self.atr_parameter= atr_parameter
        atr= self.atr
        risk_per_trade=5000
        atr_risk_per_trade=5
        
        sizing = math.floor((risk_per_trade/(mult*atr_risk_per_trade*atr)))
        
   # position = self.broker.getposition(data)
    
    def _getsizing(self,comminfo,cash,data,isbuy):
        
        return sizing

It would be a miracle if you get something other than an Exception, both in __init__ and in _getsizing.

In any case to use the ATR you probably want to access the strategy attributes (where the ATR will have been instantiated), taking advantage of the fact that the sizers have an attribute member called strategy

https://www.backtrader.com/docu/sizers/sizers/