3. Profit/Loss Calculation
For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/

Profit/Loss Calculation


  • Hello,

    I am using backtrader on OHLC data that I resampled using every 100 trades. When I run my strategy with a bracket order, I get a strange profit result. The price and lot size look correct, but the actual cash value in my account doesn't match. I think this might have to do with the timeframe since I am not using a standard timeframe, but I can't find in the documentation where I can correct for the timeframe.

    If I buy 6 shares at $144.88 ($869.28) and sell 6 shares at $147.78 ($886.68) shouldn't the profit be $17.40? But the cash account says there is a profit of $0.06.

    I really appreciate any help you can offer! I am showing two examples of my logs bellow. The second one is even more strange since it shows the profit being negative.

    Starting Portfolio Value: 100000.00
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Accepted
2019-01-04, Status 2: Ref: 1, Size: 6, Price: 144.88
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Accepted
2019-01-04, Status 2: Ref: 2, Size: -6, Price: 147.78
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Accepted
2019-01-04, Status 2: Ref: 3, Size: -6, Price: 144.45
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Completed
2019-01-04, Status 4: Ref: 1, Size: 6, Price: 144.88
Created: 2019-01-04 14:40:10.550929 Price: 144.88 Size: 6
--------------------------------------------------------------------------------
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Completed
2019-01-04, Status 4: Ref: 2, Size: -6, Price: 147.78
Created: 2019-01-04 14:40:10.550929 Price: 147.78 Size: -6
--------------------------------------------------------------------------------
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Canceled
2019-01-04, Status 5: Ref: 3, Size: -6, Price: 144.45
--------------------------------  NOTIFY TRADE  --------------------------------
2019-01-04 14:40:12.187734, Close Price: 144.88, Profit, Gross 0.06, Net 0.06
--------------------------------------------------------------------------------
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Accepted
2019-01-04, Status 2: Ref: 4, Size: 6, Price: 144.9499
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Accepted
2019-01-04, Status 2: Ref: 5, Size: -6, Price: 147.85
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Accepted
2019-01-04, Status 2: Ref: 6, Size: -6, Price: 144.52
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Completed
2019-01-04, Status 4: Ref: 4, Size: 6, Price: 144.9499
Created: 2019-01-04 14:50:04.968234 Price: 144.9499 Size: 6
--------------------------------------------------------------------------------
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Completed
2019-01-04, Status 4: Ref: 5, Size: -6, Price: 147.85
Created: 2019-01-04 14:50:04.968234 Price: 147.85 Size: -6
--------------------------------------------------------------------------------
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Canceled
2019-01-04, Status 5: Ref: 6, Size: -6, Price: 144.52
--------------------------------  NOTIFY TRADE  --------------------------------
2019-01-04 14:50:05.824677, Close Price: 144.9499, Profit, Gross -0.09, Net -0.09
--------------------------------------------------------------------------------
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Accepted
2019-01-04, Status 2: Ref: 7, Size: 6, Price: 145.15
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Accepted
2019-01-04, Status 2: Ref: 8, Size: -6, Price: 148.05
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Accepted
2019-01-04, Status 2: Ref: 9, Size: -6, Price: 144.71
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Completed
2019-01-04, Status 4: Ref: 7, Size: 6, Price: 145.15
Created: 2019-01-04 14:59:01.293961 Price: 145.15 Size: 6
--------------------------------------------------------------------------------
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Completed
2019-01-04, Status 4: Ref: 8, Size: -6, Price: 148.05
Created: 2019-01-04 14:59:01.293961 Price: 148.05 Size: -6
--------------------------------------------------------------------------------
--------------------------------  NOTIFY ORDER  --------------------------------
AutoOrderedDict() Order Canceled
2019-01-04, Status 5: Ref: 9, Size: -6, Price: 144.71
--------------------------------  NOTIFY TRADE  --------------------------------
2019-01-04 14:59:03.591464, Close Price: 145.15, Profit, Gross 0.0, Net 0.0
--------------------------------------------------------------------------------
Cash: 99999.97	Portfolio: 99999.97
    0

  • I found this post which I believe solves my problem:
    https://community.backtrader.com/topic/2231/notify_trade-profit-and-loss-not-working-properly-in-bracket-orders

    0
Log in to reply
 
});