Issue with PercentSizer 2020-11-11, Order Canceled/Margin/Rejected

Sourav Basu Roy

On running the quick start strategy after changing the Sizer to a PercentSizer, the output I am getting is as follows :

Starting Portfolio Value: 100000.00
2020-11-10, BUY CREATE, 63.75
2020-11-11, Order Canceled/Margin/Rejected
2020-11-11, BUY CREATE, 63.40
2020-11-12, Order Canceled/Margin/Rejected
Final Portfolio Value: 100000.00

What I wish to achieve is utilize all available cash for a buy or sell. In other words, buy as many shares as possible with my cash that is available.

Kindly advise if this is possible and the correct way to do it.

My code is as follows.

import datetime
import backtrader as bt

class TestStrategy(bt.Strategy):
    params = (
        ('exitbars', 5),
    )

    def log(self, txt, dt=None):
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        
        self.dataclose = self.datas[0].close

        self.order = None
        self.buyprice = None
        self.buycomm = None

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            return

        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        self.order = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
                 (trade.pnl, trade.pnlcomm))

    def next(self):
        if self.order:
            return

        if not self.position:

            if self.dataclose[0] < self.dataclose[-1]:

                if self.dataclose[-1] < self.dataclose[-2]:

                    self.log('BUY CREATE, %.2f' % self.dataclose[0])

                    self.order = self.buy()

        else:

            if len(self) >= (self.bar_executed + self.params.exitbars):
                self.log('SELL CREATE, %.2f' % self.dataclose[0])

                self.order = self.sell()


if __name__ == '__main__':
    cerebro = bt.Cerebro()

    cerebro.addstrategy(TestStrategy)

    data = bt.feeds.YahooFinanceData(
        dataname='BOMDYEING.NS',
        fromdate=datetime.datetime(2020, 11, 1),
        todate=datetime.datetime(2020, 12, 31),
        reverse=False)

    cerebro.adddata(data)

    cerebro.broker.setcash(100000.0)

    cerebro.addsizer(bt.sizers.PercentSizer, percents=100)

    cerebro.broker.setcommission(commission=0.001)

    value_start = cerebro.broker.getvalue()

    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    cerebro.run()

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

Sourav Basu Roy

@backtrader can you kindly help me. The following also produces the same output.

cerebro.addsizer(bt.sizers.AllInSizer)

Sourav Basu Roy

@rajanprabu can you kindly take a look at this ?

rajanprabu

Hi @Sourav-Basu-Roy ,

I havent used Percent Sizer. But BT buys at next candle open, sizer is determined by the signal create price. You can either use cheat-on-open to force BT to buy at close or use less percentage.

Sourav Basu Roy

@rajanprabu i just checked percents=99 works but no percents=100

rajanprabu

Yes I have just explained why that happens.. Use cheat-on-close..