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    Wrong Final Portfolio Value ($1 deduction on every buy create/execute action )

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    • A
      Ali Zahravi last edited by

      Hi,

      I've did simple $22.27 buy create/execute action with starting portfolio value of $50.00 but the final portfolio value is $49.08. How this come ? shouldn't the final amount be $ 22.73 ?

      I've tested this with various starting portfolio value e.g $10000.00 and etc and its always reduce $1 from my init value.

      Thanks.

      Logged result:

      Starting Portfolio Value: 50.00
      2000-01-03, Close, 26.27
      2000-01-04, Close, 23.95
      2000-01-05, Close, 22.68
      2000-01-05, BUY CREATE, 22.68
      2000-01-06, BUY EXECUTED, 22.27
      2000-01-06, Close, 21.35
      Final Portfolio Value: 49.08
      

      Code :

      from __future__ import (absolute_import, division, print_function,
                              unicode_literals)
      
      import datetime  # For datetime objects
      import os.path  # To manage paths
      import sys  # To find out the script name (in argv[0])
      
      # Import the backtrader platform
      import backtrader as bt
      
      
      # Create a Stratey
      class TestStrategy(bt.Strategy):
      
          def log(self, txt, dt=None):
              ''' Logging function fot this strategy'''
              dt = dt or self.datas[0].datetime.date(0)
              print('%s, %s' % (dt.isoformat(), txt))
      
          def __init__(self):
              # Keep a reference to the "close" line in the data[0] dataseries
              self.dataclose = self.datas[0].close
      
              # To keep track of pending orders
              self.order = None
      
          def notify_order(self, order):
              if order.status in [order.Submitted, order.Accepted]:
                  # Buy/Sell order submitted/accepted to/by broker - Nothing to do
                  return
      
              # Check if an order has been completed
              # Attention: broker could reject order if not enough cash
              if order.status in [order.Completed]:
                  if order.isbuy():
                      self.log('BUY EXECUTED, %.2f' % order.executed.price)
                  elif order.issell():
                      self.log('SELL EXECUTED, %.2f' % order.executed.price)
      
                  self.bar_executed = len(self)
      
              elif order.status in [order.Canceled, order.Margin, order.Rejected]:
                  self.log('Order Canceled/Margin/Rejected')
      
              # Write down: no pending order
              self.order = None
      
          def next(self):
              # Simply log the closing price of the series from the reference
              self.log('Close, %.2f' % self.dataclose[0])
      
              # Check if an order is pending ... if yes, we cannot send a 2nd one
              if self.order:
                  return
      
              # Check if we are in the market
              if not self.position:
      
                  # Not yet ... we MIGHT BUY if ...
                  if self.dataclose[0] < self.dataclose[-1]:
                          # current close less than previous close
      
                          if self.dataclose[-1] < self.dataclose[-2]:
                              # previous close less than the previous close
      
                              # BUY, BUY, BUY!!! (with default parameters)
                              self.log('BUY CREATE, %.2f' % self.dataclose[0])
      
                              # Keep track of the created order to avoid a 2nd order
                              self.order = self.buy()
      
              else:
      
                  # Already in the market ... we might sell
                  if len(self) >= (self.bar_executed + 5):
                      # SELL, SELL, SELL!!! (with all possible default parameters)
                      self.log('SELL CREATE, %.2f' % self.dataclose[0])
      
                      # Keep track of the created order to avoid a 2nd order
                      self.order = self.sell()
      
      
      if __name__ == '__main__':
          # Create a cerebro entity
          cerebro = bt.Cerebro()
      
          # Add a strategy
          cerebro.addstrategy(TestStrategy)
      
          # Datas are in a subfolder of the samples. Need to find where the script is
          # because it could have been called from anywhere
          modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
          datapath = os.path.join(modpath, 'orcl-1995-2014.txt')
      
          # Create a Data Feed
          data = bt.feeds.YahooFinanceCSVData(
              dataname=datapath,
              # Do not pass values before this date
              fromdate=datetime.datetime(2000, 1, 1),
              # Do not pass values before this date
              todate=datetime.datetime(2000, 1, 7),
              # Do not pass values after this date
              reverse=False)
      
          # Add the Data Feed to Cerebro
          cerebro.adddata(data)
      
          # Set our desired cash start
          cerebro.broker.setcash(50.0)
      
          # Print out the starting conditions
          print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
      
          # Run over everything
          cerebro.run()
      
          # Print out the final result
          print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
      
      1 Reply Last reply Reply Quote 0
      • A
        Ali Zahravi last edited by

        FYI:

        I am aware that by setting cerebro.broker.get_cash() the result will get fixed but with cerebro.broker.get_value() not

        print('Final Portfolio Value: %.2f' % cerebro.broker.get_value())

        Starting Portfolio Value: 50.00
        2000-01-03, Close, 26.27
        2000-01-04, Close, 23.95
        2000-01-05, Close, 22.68
        2000-01-05, BUY CREATE, 22.68
        2000-01-06, BUY EXECUTED, 22.27
        2000-01-06, Close, 21.35
        Final Portfolio Value: 49.08
        

        cerebro.broker.get_cash()

        Starting Portfolio Value: 50.00
        2000-01-03, Close, 26.27
        2000-01-04, Close, 23.95
        2000-01-05, Close, 22.68
        2000-01-05, BUY CREATE, 22.68
        2000-01-06, BUY EXECUTED, 22.27
        2000-01-06, Close, 21.35
        Final Portfolio Value: 27.73
        
        1 Reply Last reply Reply Quote 0
        • A
          ab_trader last edited by

          portfolio value = cash + value of open positions. In you case:
          portfolio value = (50 - 22.27) (cash) + 21.35 (open position) = 27.73 + 21.35 = 49.08

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