Simple Ma Crossover

Zantox

Hello Guys, I tried this simple cross-over strategy but it isnt working as I expect it to. I want to switch Postions when a crossover happens.
The thing is it Buys at the exact Price it should buy or sell, but I can see in the Postiontext, that the price where it opens the postion, is an completely different price and I dont understand why.

class SmaCross(bt.Strategy):
    # list of parameters which are configurable for the strategy
    params = dict(
        pfast=50,  # period for the fast moving average
        pslow=200   # period for the slow moving average
    )

    def __init__(self):
        sma1 = bt.ind.SMA(period=self.p.pfast)  # fast moving average
        sma2 = bt.ind.SMA(period=self.p.pslow)  # slow moving average
        self.crossover = bt.ind.CrossOver(sma1, sma2)  # crossover signal

    def next(self):
       
        if self.crossover > 0:  # if fast crosses slow to the upside
        
            self.close()
            print(self.position)
            self.buy() # enter long
            print("Buy {} shares".format( self.data.close[0]))
            print(self.position)
                
 
        elif self.crossover < 0:  # in the market & cross to the downside
           
            self.close()# close long position
            print(self.position)
            self.sell()
            print("Sale {} shares".format(self.data.close[0]))
            print(self.position)

Sale 8617.5 shares
--- Position Begin

Size: 0
Price: 0.0
Price orig: 0.0
Closed: 0
Opened: 0
Adjbase: None
--- Position End
--- Position Begin
Size: -1
Price: 8718.5
Price orig: 0.0
Closed: 0
Opened: -1
Adjbase: 8973.0

and Sometimes it doesnt even switch
Buy 9622.5 shares
--- Position Begin

Size: -1
Price: 9174.0
Price orig: 0.0
Closed: 0
Opened: -1
Adjbase: 9622.5
--- Position End
--- Position Begin
Size: 0
Price: 0.0
Price orig: 9174.0
Closed: 1
Opened: 0
Adjbase: 9685.0
--- Position End

Thank you in advance

ab_trader

I've tested your code - works well in my case. I think you might have no cash to buy - probably you started with default initial capital of 10k, and your prices are 8-9k.

ab_trader

also if you want to change positions and be in the market, it will be better to use target orders:

if self.crossover > 0:
    self.order_target_size(size=1)
elif self.crossover < 0:
    self.order_target_size(size-1)

Check out Docs - Target Orders

ab_trader

it will be not size parameter, but target.

Zantox

I increased the Portfolio Value to 1000000, so it should be enough, but it isnt working. I also added the target size which was a good improvment. But still I get this problem as stated above.

class SmaCross(bt.Strategy):
    # list of parameters which are configurable for the strategy
    params = dict(
        pfast=50,  # period for the fast moving average
        pslow=200   # period for the slow moving average
    )

    def __init__(self):
        sma1 = bt.ind.SMA(period=self.p.pfast)  # fast moving average
        sma2 = bt.ind.SMA(period=self.p.pslow)  # slow moving average
        self.crossover = bt.ind.CrossOver(sma1, sma2)  # crossover signal

    def next(self):
       
        if self.crossover > 0:  # if fast crosses slow to the upside
            self.order_target_size(target=1)
            print("Buy {} shares".format( self.data.close[0]))
            print(self.position)
                
 
        elif self.crossover < 0:  # in the market & cross to the downside
            self.order_target_size(target=-1)
            print("Sale {} shares".format(self.data.close[0]))
            print(self.position)

Than the Log has still the same errors. Should I use another csv file? But this cant be the problem in my opinion.

Error Log:Starting Portfolio Value: 1000000.00
Sale 8617.5 shares
--- Position Begin

Size: 0
Price: 0.0
Price orig: 0.0
Closed: 0
Opened: 0
Adjbase: None
--- Position End
Buy 8973.0 shares
--- Position Begin
Size: -1
Price: 8718.5
Price orig: 0.0
Closed: 0
Opened: -1
Adjbase: 8973.0
--- Position End
Sale 9174.0 shares
--- Position Begin
Size: 1
Price: 8897.0
Price orig: 8718.5
Closed: 1
Opened: 1
Adjbase: 9174.0
--- Position End

And thats my code where I start the strategy.

cerebro = backtrader.Cerebro()
cerebro.adddata(data)
cerebro.addstrategy(SmaCross)
cerebro.broker.setcash(1000000.0)
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.run()
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

Zantox

I tried now the example Crossover Code from the Backtrader Home.
https://www.backtrader.com/home/helloalgotrading/

I got everything in the same python File and I didnt change the code and this comes out. Its so weird. I dont know what could be wrong.
https://imgur.com/a/tZgAzPj
It didnt work to include the picture here so I included the link. Hopefully its no Problem

Zantox

okay I found out how to upload it

Zantox

Okay I hopefully dont annoy anybody but I found something else. I think the problem was that it was intraday but I am not sure. The Log still seems weird, because as I understannd it, it buys and than there should be a postion in the postion log. But it comes a bit too late, but the price where it opens the postion now fits the cross after I changed the Timeframe from my csv to daily.
Sale 9264.5 shares
--- Position Begin

Size: 0
Price: 0.0
Price orig: 0.0
Closed: 0
Opened: 0
Adjbase: None
--- Position End
Buy 10195.5 shares
--- Position Begin
Size: -1
Price: 9264.5
Price orig: 0.0
Closed: 0
Opened: -1
Adjbase: 10195.5
--- Position End
Sale 6685.5 shares
--- Position Begin
Size: 1
Price: 10195.5
Price orig: 9264.5
Closed: 1
Opened: 1
Adjbase: 6685.5
--- Position End

Zantox

Okay I found the Error. Sorry for the inconvenience