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Profit/Loss Calculation
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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 -
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
