Close a short position with trailing stop

J T

Hi Good Sirs,
I am at wits end after trying this all day. Code as follows, before I explain:

import backtrader as bt
import math


# Create a Stratey
class MyStrat(bt.Strategy):  # Strategy is a lines object
    params = (('order_percentage', 0.95), ('ticker', 'ORA'), ('fast', 10), ('slow', 20))

    def __init__(self):
        self.order = None  # To keep track of pending orders, init with None
        self.buyprice = None
        self.buycomm = None
        self.bar_executed = None
        self.size = None
        self.broker.set_coc(True)
        self.fast_sma = bt.indicators.SMA(self.data.close, period=self.params.fast, plotname='{}day SMA'.format(self.params.fast))
        self.slow_sma = bt.indicators.SMA(self.data.close, period=self.params.slow, plotname='{}day SMA'.format(self.params.slow))
        self.crossover = bt.indicators.CrossOver(self.fast_sma, self.slow_sma)  # return 1 if fast cross slow upwards, returns -1 if fast cross slow downwards


class AutoStopOrStopTrail(MyStrat):  # inherit MyStrat
    params = dict(stop_loss=0.02,  # price is 2% less than the entry point
                  trail=0.005, trail_for_short=-0.0005)

    parent_order = None  # default value for a potential order

    def notify_order(self, order):  # called when a buy or sell is requested
        print('outstanding order: ', order.status)

        if order.status == order.Cancelled:  # status 5
            print('CANCEL@price: {:.2f} {}'.format(order.executed.price, 'long' if order.isbuy() else 'short'))
            return

        if order.status in [order.Submitted]:  # status 1
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            print('Order Submitted...')
            return

        if order.status in [order.Accepted]:  # status 2
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            print('Order Accepted...')
            return

        if not order.status == order.Completed:
            print('Order is not completed...')
            return  # discard any other notification

        if not self.position:  # we left the market
            print('CLOSE@price: {:.2f}'.format(order.executed.price))
            return

        if order.status in [order.Margin, order.Rejected]:
            print('Order Margin/Rejected')
            return

        # Check if an order has been completed, Attention: broker could reject order if not enough cash
        if order.status in [order.Completed]:  # status 4
            if order.isbuy():
                print('BUY EXECUTED on {}: {:d} shares of {}, Price: {:.2f}, Value: {:.2f}, Comm: {:.2f}'.format(self.datas[0].datetime.date(0), self.size, self.p.ticker, order.executed.price, order.executed.value, order.executed.comm))

            elif order.issell():  # if order.issell()
                print('SEL EXECUTED on {}: {:d} shares of {}, Price: {:.2f}, Value: {:.2f}, Comm: {:.2f}'.format(self.datas[0].datetime.date(0), self.size, self.p.ticker, order.executed.price, order.executed.value, order.executed.comm))

        self.bar_executed = len(self)

    def next(self):
        print('current close px: ', self.datas[0].datetime.date(0), self.datas[0].datetime.time(0), self.data.close[0])

        # Check if we are in the market

        if (not self.position) and self.crossover != 0:

            amount_to_invest = (self.params.order_percentage * self.broker.cash)
            self.size = math.floor(amount_to_invest / self.data.close)
            px_to_exe = self.data.close[0] * 1.01

            if self.parent_order:  # something was pending
                self.cancel(self.parent_order)
                print('parent cancelled...')

            # Not yet ... we MIGHT BUY if ...
            if self.crossover > 0:  # go 'long':
                print('LONG CREATE, CURRENT PX: {:.2f}, LONG AT {}'.format(self.data.close[0], px_to_exe))
                self.parent_order = self.buy(price=px_to_exe, size=self.size, exectype=bt.Order.Stop, transmit=False, valid=None)
                self.sell(exectype=bt.Order.StopTrail, trailpercent=self.p.trail, parent=self.parent_order)

            elif self.crossover < 0:  # short
                print('SHORT CREATE, CURRENT PX: {:.2f}, SHORT AT {}'.format(self.data.close[0], px_to_exe))
                self.parent_order = self.sell(price=px_to_exe, size=self.size, exectype=bt.Order.Stop, transmit=False, valid=None)
                self.buy(exectype=bt.Order.StopTrail, trailpercent=self.p.trail_for_short, parent=self.parent_order)

    def start(self):
        print('Backtesting is about to start...')

I want to go long or short using stop orders. This is so I confirm a trend. So if price is now 1.00,
a. I want to place a long stop order at 1.01. When price rises to 1.01, my order would be executed.
b. Like wise, if I want to go short, I will place the order at 0.99. When price falls to 0.99, my order would be executed.

Now along with this, I want to have a trailing stop loss. I have read the guide on using parent order so 2 orders go at once. This is not really working for me.

I do not know how to close a short position using the child order. I cannot go the below becasue the order will not be executed.

self.close(exectype=bt.Order.StopTrail, trailpercent=self.p.trail_for_short, parent=self.parent_order)

When I go with self.buy(...) as per my code above, it seems to be running a different order and not related to the parent order.
Going long and then selling seem ok but in my print statement, its odd I got
BUY EXECUTED on 2020-03-27: 372 shares of ORA, Price: 2.56, Value: 952.51, Comm: 0.95
and when sold
SEL EXECUTED on 2020-03-27: 372 shares of ORA, Price: 2.56, Value: 2.56, Comm: 0.00
Both these code use the same code essentially but value and commision is odd? Also no more buying or selling there after, only 1 trade.

I am really hoping you can offer me a lifeline! Thanks in advance, stay safe all.

run-out

@J-T You might want to try bracket orders