Help with simple strategy position size always 0

Ramacap

Hi! im new with backtrader and im traying to implement a simple strategy were it buys on SMA cross and sell on market close on an APPLE intraday data.

My problem is that there is not seems to be buy execution... self.position is always 0. (im using 10% of my portfoltio on every trader, at least that is the intention)

But on market close it seem to close the position and it gets negative values..

can you help me? i cant find whats missing...

here is the code for the strategy

class smacross(bt.Strategy):
    # list of parameters which are configurable for the strategy
    params = dict(pfast = 20, pslow=200)
    
    def __init__(self):
        sma1 = bt.ind.SMA(period=self.params.pfast) # fast moving average
        sma2 = bt.ind.SMA(period=self.params.pslow) # slow moving average
        self.crossover = bt.ind.CrossOver(sma1, sma2)  # crossover signal
    
    
    def next(self):
        if not self.position: # not in the market
            if self.crossover > 0:  # if fast crosses slow to the upside
                size= int(self.broker.getcash() / self.data)
                self.buy(size=size)  # enter long
                print(self.position)

        elif self.data.datetime.time() >= datetime.time(16,50):
              #self.crossover < 0:  # in the market & cross to the downside
            self.close()  # close long position

and this is the general code

from estrategia import smacross
import estrategia
import pandas as pd

# Create a cerebro entity
cerebro = bt.Cerebro()

# Add a strategy
cerebro.addstrategy(estrategia.smacross)

# Create a Data Feed
data = bt.feeds.GenericCSVData(
        dataname= "intra_AAPL_short.csv",
        datetime=0,
        timeframe=bt.TimeFrame.Minutes,
        dtformat=('%Y-%m-%d %H:%M:%S'),
        open=1,
        high=2,
        low=3,
        close=4,
        volume=5,
        openinterest=-1,)

# Add the Data Feed to Cerebro
cerebro.adddata(data)

# Set our desired cash start
cerebro.broker.setcash(60000)

# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

cerebro.addanalyzer(bt.analyzers.SharpeRatio, _name='mysharpe')

thestrats = cerebro.run()
thestrat = thestrats[0]

print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
print('Sharpe Ratio:', thestrat.analyzers.mysharpe.get_analysis())

cerebro.plot()

The results are the following... i printed position.size an it always is in 0 size, position is closed and it get negative value...

Starting Portfolio Value: 60000.00
--- Position Begin

Size: 0
Price: 0.0
Price orig: 0.0
Closed: 0
Opened: 0
Adjbase: None
--- Position End
--- Position Begin
Size: 0
Price: 0.0
Price orig: 42.1594074358
Closed: -1423
Opened: 0
Adjbase: 41.949416179
--- Position End
--- Position Begin
Size: 0
Price: 0.0
Price orig: 42.1178975362
Closed: -1417
Opened: 0
Adjbase: 42.6428756781

thanks in advanced, any help will be great!!

Jonny8

@Ramacap

Hi Ramacap,

i think this forum would be more fitting for such a question:
https://community.backtrader.com/category/7/general-code-help

Nonetheless, I think you should try to better understand whats going on by printing out each part of that statement

size= int(self.broker.getcash() / self.data)

A better way to get where you want is:

            percent = 0.95
            self.order = self.order_target_percent(target=percent)

vladisld

You are printing the position right after the buy method is called. The position is not updated at this point - it will get it value only after the buy order will be completed.

I've updated your code with:

    def notify_order(self, order):
        print('{}: Order ref: {} / Type {} / Status {}'.format(
            self.data.datetime.date(0),
            order.ref, 'Buy' * order.isbuy() or 'Sell',
            order.getstatusname()))

        if order.status == order.Completed:
            print(self.position)

and the output is now:

Starting Portfolio Value: 60000.00
1999-09-16: Order ref: 1 / Type Buy / Status Submitted
1999-09-16: Order ref: 1 / Type Buy / Status Accepted
1999-09-16: Order ref: 1 / Type Buy / Status Completed
--- Position Begin
- Size: 1478
- Price: 40.53125
- Price orig: 0.0
- Closed: 0
- Opened: 1478
- Adjbase: 40.859375
--- Position End
...

( I was running your code on some yhoo-1996-2015 sample data)