Fixed Holding Period: Selling After 10 Bars

cschi

Here are some brief points about my problem:

l am trying to exit all positions after holding them for a period of 10 bars (not days).

I have looked through the package site and the forums. But, most of the materials I find seem to cover date-time based exits, not bar-based exits. The only pipeline I found for a bar-based exit didn't work for my multiple feed problem:

I managed to "panel" bit the code from the bar-based exit. It executes smoothly. It buys the correct stocks. However, the problem is: it mixes up the exit signals for the stocks.

Here is the complete code I am using:

# Trading Strategy
    class FixedExitStrategy(bt.Strategy):

        def __init__(self):       
            pass 
        
        def start(self):
            self.size = None

        def next(self): 

            for i, d in enumerate(self.getdatanames()):
                pos = self.getposition(data=self.getdatabyname(d))
                
                if not pos.size:
                    if self.getdatabyname(d).signal[0] != self.getdatabyname(d).signal[-1]:
                        if self.getdatabyname(d).signal[0] == 1:
                            self.size = self.getdatabyname(d).position_size[0]
                            self.buy(data=self.getdatabyname(d), size=self.size)
                            self.bought_bar = len(self)

                if pos.size:
                    self.bars_since_purchase = len(self) - self.bought_bar
                    if self.bars_since_purchase == 10:   
                        self.close(data=self.getdatabyname(d), size=self.size)

vladisld

it seems that you are using the same bought_bar and bars_since_purchase variables for all data feeds instead of keeping those attributes per data feed.

Something like:

class FixedExitStrategy(bt.Strategy):

    def __init__(self):
        pass

    def start(self):
        self.bought_bars={d:0 for d in self.getdatanames()}
        self.bought_sizes={d:0 for d in self.getdatanames()}

    def next(self):

        for i, d in enumerate(self.getdatanames()):
            data = self.getdatabyname(d)
            pos = self.getposition(data=data)

            if not pos.size:
                if data.signal[0] != data.signal[-1]:
                    if data.signal[0] == 1:
                        self.bought_sizes[d] = data.position_size[0]
                        self.buy(data=data, size=self.bought_sizes[d])
                        self.bought_bars[d] = len(self)

            if pos.size:
                if (len(self) - self.bought_bars[d]) == 10:
                    self.close(data=data, size=self.bought_sizes[d])

And I'm not sure where the self.getdatabyname(d).position_size is coming from - sorry.

cschi

Thank you for the help. It works properly now.