trouble with feeds for _getsizing

vaclavku

Hello guys,
I try to build a simple algo with percent based sizers.
In method "def runstrat():", I simply call the sizer: "cerebro.addsizer(RiskSizer, rs=0.5)"

The instance of the sizers is quite simple:

class RiskSizer(bt.Sizer):
    params = (('rs', 0.03),)

    def _getsizing(self, comminfo, cash, data, isbuy):
        if isbuy == True:
            size = (cash*self.params.rs)/data[0]
        else:
            size = (cash*self.params.rs)/data[0] * -1

        return size

It raises this error: KeyError

For being sure, this - fixed version - works well (as expected):

class RiskSizer(bt.Sizer):
    params = (('rs', 0.03),)

    def _getsizing(self, comminfo, cash, data, isbuy):
        if isbuy == True:
            size = self.params.rs*10
        else:
            size = self.params.rs*10 * -1

        return size

In another version, the risk based sizers works good as well.
As I try to find the cause of this misbehaviour, I've found the issues is related to the (prob.) missing parameters of the method: _getsizing (self, comminfo, cash, data, isbuy). It seems to me that the parameters are not fed.

Any hints where to search for?
v

Note:
The strategy is quite simple and straightforward:

        if self.position and self.buysell == -1:
            """self.log('SELL CREATE, %.4f' % self.data.close[0])"""
            self.sell()

        elif not self.position and self.buysell == 1:
            self.buy()

vaclavku

Hello everyone,
I don't full grasp why, however when I try the sizer from library:

class RiskSizer(bt.Sizer):
    params = (
        ('rs', 0.2),
        ('retint', False),  # return an int size or rather the float value
    )

    def __init__(self):
        pass

    def _getsizing(self, comminfo, cash, data, isbuy):
        position = self.broker.getposition(data)
        if not position:
            size = math.floor((cash  * self.params.rs) / data.close[0])
        else:
            size = position.size

        if self.p.retint:
            size = int(size)

        return size

It works fine. :-)

ab_trader

@vaclavku try to call data.close[0] instead of data[0] in your implementation, may also work. Just a guess.

backtrader

@vaclavku said in trouble with feeds for _getsizing:

It raises this error: KeyError

And don't you believe that showing the actual error and not what you think is important ... could actually help?

@vaclavku said in trouble with feeds for _getsizing:

As I try to find the cause of this misbehaviour, I've found the issues is related to the (prob.) missing parameters of the method: _getsizing (self, comminfo, cash, data, isbuy). It seems to me that the parameters are not fed.

And why does it seem that to you? Or is it just a bogus claim?

@vaclavku said in trouble with feeds for _getsizing:

however when I try the sizer from library:
class RiskSizer(bt.Sizer):
params = (
('rs', 0.2),
('retint', False), # return an int size or rather the float value
)
def __init__(self):
    pass

def _getsizing(self, comminfo, cash, data, isbuy):
    position = self.broker.getposition(data)
    if not position:
        size = math.floor((cash  * self.params.rs) / data.close[0])
    else:
        size = position.size

    if self.p.retint:
        size = int(size)

    return size
It works fine. :-)

That's NOT and Sizer from the library. It's something you have modified.

vaclavku

Many thanks. I'm enjoying this nice conversation.
Always very appreciated.
@backtrader : You're always right. I'm not accurate, however I do my best to improve the ability. Also thanks to you.
Finally, you're also right: It's a modified piece of the library.