self.close() does NOT clear position

soulmachine

I'm writing a strategy that it longs Bitcoin if price goes beyond the Bollinger upper band and shorts Bitcoin if price goes below the Bollinger lower band:

class MeanReversionStrategy(bt.Strategy):
    """Mean Reversion Strategy."""
    alias = ('MeanReversion',)

    params = (
        ('price_bb_period', 20),
        ('price_bb_ndev', 2),
    )

    def __init__(self):
        self.price_bb = bt.indicators.BBands(self.data.close, period=self.params.price_bb_period, devfactor=self.params.price_bb_ndev)

    def next(self):
        if self.data.close > self.price_bb.top:
            if self.position.size >= 0:
                if self.position.size > 0:
                    self.close() # close long position
                assert self.position.size == 0 # FAIL!!!

                self.sell(price=self.price_bb.top, exectype=bt.Order.Limit)
                self.buy(exectype=bt.Order.StopTrail, trailpercent=0.1)
        elif self.data.close < self.price_bb.bot:
            if self.position.size <= 0:
                if self.position.size < 0:
                    self.close() # close short position
                assert self.position.size == 0 # FAIL!!!

                self.buy(price=self.price_bb.top, exectype=bt.Order.Limit)
                self.sell(exectype=bt.Order.StopTrail, trailpercent=0.1)

After calling self.close() the value of self.position.size is not zero, why?

ab_trader

bt simulates real life and in real life in order to open or close position, the order is issued by trader, submitted to broker, accepted by broker, and than executed by broker. Last three steps happen before the following next() call, but not during current `next() call.

I would recommend to go thru the Docs - Quickstart Guide and read docs more to understand how bt operates.

soulmachine

@ab_trader Thanks, I fixed my code, it works now:

class MeanReversionStrategy(bt.Strategy):
    """Mean Reversion Strategy."""
    alias = ('MeanReversion',)

    params = (
        ('price_bb_period', 20),
        ('price_bb_ndev', 2),
    )

    def __init__(self):
        self.price_bb = bt.indicators.BBands(self.data.close, period=self.params.price_bb_period, devfactor=self.params.price_bb_ndev)

    def next(self):
        if self.data.close > self.price_bb.top:
            if self.position.size > 0:
                self.close() # close long position
            elif self.position.size == 0:
                self.sell(price=self.price_bb.top, exectype=bt.Order.Limit)
                self.buy(exectype=bt.Order.StopTrail, trailpercent=0.1)
        elif self.data.close < self.price_bb.bot:
            if self.position.size < 0:
                self.close() # close short position
            elif self.position.size == 0:
                self.buy(price=self.price_bb.top, exectype=bt.Order.Limit)
                self.sell(exectype=bt.Order.StopTrail, trailpercent=0.1)