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



  • 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())
    


  • 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
    


  • 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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