3. Problem on cash/portfolio with leverage for FOREX
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Problem on cash/portfolio with leverage for FOREX

  • L

    Hello guys,

    Im backtesting on FOREX EURUSD with daily data, with leverage=100. When I go long, the amount of cash is decreased buy price*quantity/100(my leverage), but when I go short the cash = price*quantity (without dividing by the leverage). All the orders are Market orders. This is making the cash plotting inconsistent, since it grows 100 times more when shorting than when going long.
    Im not sure if its a misconfiguration or it's a bug. Could anyone help me?

    26-EURUSDDaily.png

    The code used to print on the strategy:

    def notify_order(self, order):
        if(order.status in [order.Completed]):
            self.log('order', order.getstatusname(),'positionSize', self.broker.getposition(data).size, 'cash', self.broker.get_cash(), 'portfolio', self.broker.get_value())
            return

        if(order.status in [order.Canceled, order.Margin, order.Rejected]):
            self.log(order)
            self.log(self.broker.getposition(data))
            return
        
        self.log(order.ordtypename(), order.size, order.getstatusname())

    Sizer code that also logs:

    class MySizer(bt.Sizer):
    def log(self, *args):
        self.strategy.log(args)

    def _getsizing(self, comminfo, cash, data, isbuy):
        sizeNecessaryToRevert = abs(self.broker.getposition(data).size)
        tradingSize = self.getSizeOnStandardDeviation(self.strategy.StandardDeviation[0])

        if(isbuy):
            self.log('getting size to buy', tradingSize + sizeNecessaryToRevert)
        else:
            self.log('getting size to sell', (tradingSize + sizeNecessaryToRevert))
            
        return tradingSize + sizeNecessaryToRevert
        
    def getSizeOnStandardDeviation(self, stddev):
        valueToTrade = RISK_TO_TRADE * self.broker.get_value()
        return math.floor(valueToTrade/stddev)

    My commissions configuration (no commission for now, just leverage)

    cerebro.broker.setcash(10000.0)
cerebro.broker.setcommission(commission=0, margin=False, mult=1, leverage=100)

    log

    2016-06-30, ('getting size to buy', 9226)
2016-07-01, Buy, 9226, Submitted
2016-07-01, Buy, 9226, Accepted
2016-07-01, order, Completed, positionSize, 9226, cash, 9897.5784836, portfolio, 10032.014220000001
2016-07-04, ('getting size to sell', 18788)
2016-07-05, Sell, -18788, Submitted
2016-07-05, Sell, -18788, Accepted
2016-07-05, order, Completed, positionSize, -9562, cash, 20711.729000000003, portfolio, 10121.814000000004
2016-07-08, ('getting size to buy', 19477)
2016-07-11, Buy, 19477, Submitted
2016-07-11, Buy, 19477, Accepted
2016-07-11, order, Completed, positionSize, 9915, cash, 10041.182048000004, portfolio, 10162.589240000005
2016-07-12, ('getting size to sell', 19742)
2016-07-13, Sell, -19742, Submitted
2016-07-13, Sell, -19742, Accepted
2016-07-13, order, Completed, positionSize, -9827, cash, 21033.436940000007, portfolio, 10136.964530000007
2016-07-15, ('getting size to buy', 20234)
2016-07-18, Buy, 20234, Submitted
2016-07-18, Buy, 20234, Accepted
2016-07-18, order, Completed, positionSize, 10407, cash, 10059.902522100007, portfolio, 10201.018320000006
2016-07-18, ('getting size to sell', 21876)
2016-07-19, Sell, -21876, Submitted
2016-07-19, Sell, -21876, Accepted

    As u can see, there is a first buy of 9226 units and when completed the cash was 9897.57 and the portfolio value 10032.01. The next order was a sell of 18788 units that left my cash at 20711.72 and portfolio value at 10121.81

    Thanks in advance,
    Lucas Vieira.

    0
  • L

    PS: Sorry, I just realized after posting it that the proper Forum Section would be General Code/Help, I cant seen to find where to change the section now

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