Order.StopTrail turns positive shares into short position

Adham Suliman

Hello,

I am trying to implement a trailing stop order, and I'm using self.close with bt.Order.StopTrail. The first sell is expected, but I don't understand as to why self.close() would short the position thereafter?

        if self.position.size == 0:
            if self.myind.ema_s[0] > self.myind.ema_l[0] and self.myind.ema_s[-1] < self.myind.ema_l[-1] and  self.myind.ema_s[-2] < self.myind.ema_l[-2]:                    # amount to invest
                    amount_to_invest = self.params.order_percentage * self.broker.cash
                    self.size = math.floor(amount_to_invest/self.dataclose)
                    # previous close less than the previous close
                    # BUY, BUY, BUY!!! (with all possible default parameters)
                    self.log('BUY CREATE, %.2f' % self.dataclose[0])
                    self.order = self.buy(exectype = bt.Order.Limit,
                    price = self.dataclose[0], 
                    valid = datetime.now() + timedelta(hours = 1),
                    size = self.size)       

       elif self.position.size > 0:          
                   self.close(exectype=bt.Order.StopTrail, trailamount = 8)

My log is the following:

2020-08-11T02:05:30, BUY CREATE, 1586.35
2020-08-11T06:00:35, Buy Executed at 1586.35
2020-08-11, position size:5
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T13:55:13, Sell Executed at 1592.1
2020-08-11, position size:-35
2020-08-11T14:08:01, Sell Executed at 1591.6
2020-08-11, position size:-45
2020-08-11T14:08:01, Sell Executed at 1591.6
2020-08-11, position size:-45
2020-08-11T14:16:13, Sell Executed at 1590.35
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1590.35
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1590.35
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1589.75
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1589.75
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1589.75
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1589.75
2020-08-11, position size:-85
2020-08-11T14:16:13, Sell Executed at 1589.75
2020-08-11, position size:-85

hghhgghdf dfdf

@Adham-Suliman said in Order.StopTrail turns positive shares into short position:

   elif self.position.size > 0:          
               self.close(exectype=bt.Order.StopTrail, trailamount = 8)

You're creating a stop order for every next call where your position is open. Assign this order to a variable and only create a new one if it doesn't exist.

Adham Suliman

Thank You!