Problem with bt.sizers.FixedSize, when stake is an integar larger than 3

weibudda

When I try the order-history.py in the samples distributed with the source code, a problem occurs.

The code is as follows:

import backtrader as bt

ORDER_HISTORY = (
    ('2005-02-01', 1, 2984.63),
    ('2005-03-04', -1, 3079.93),
    ('2005-03-08', 1, 3113.82),
    ('2005-03-22', -1, 3040.55),
)


class St(bt.Strategy):
    params = dict(
    )

    def notify_order(self, order):
        if not order.alive():
            print(','.join(str(x) for x in
                           (self.data.num2date(order.executed.dt).date(),
                            order.executed.size * 1 if order.isbuy() else -1,
                            order.executed.price)))

    def notify_trade(self, trade):
        if trade.isclosed:
            print('profit {}'.format(trade.pnlcomm))

    def __init__(self):
        print('Creating Empty Strategy')
        pass

    def next(self):
        pass


def runstrat():
    cerebro = bt.Cerebro()
    data0 = bt.feeds.BacktraderCSVData(dataname='../../datas/2005-2006-day-001.txt')
    cerebro.adddata(data0)
    cerebro.broker.setcash(5000000000.0)
    # Broker
    cerebro.broker = bt.brokers.BackBroker()
    # Sizer
    cerebro.addsizer(bt.sizers.FixedSize)
    # Strategy
    cerebro.addstrategy(St)
    cerebro.add_order_history(ORDER_HISTORY, notify=True)

    cerebro.addanalyzer(bt.analyzers.TimeReturn, timeframe=bt.TimeFrame.Months)
    cerebro.addanalyzer(bt.analyzers.TimeReturn, timeframe=bt.TimeFrame.Years)
    cerebro.addanalyzer(bt.analyzers.TradeAnalyzer)

    # Execute
    cerebro.run()
    # cerebro.plot()


if __name__ == '__main__':
    runstrat()

the corresponding outputs:

Creating Empty Strategy
2005-02-01,1,2984.63
2005-03-04,-1,3079.93
profit 95.29999999999973
2005-03-08,1,3113.82
2005-03-22,-1,3040.55
profit -73.26999999999998

Everything are OK now. But when I change the ORDER_HISTORY, problems occurs:

ORDER_HISTORY = (
    ('2005-02-01', 2, 2984.63),
    ('2005-03-04', -2, 3079.93),
    ('2005-03-08', 1, 3113.82),
    ('2005-03-22', -1, 3040.55),
)

'The profit of each trade is right, but the size of the close(sell) order is WRONG!'
'The output:'

Creating Empty Strategy
2005-02-01,2,2984.63
2005-03-04,-1,3079.93
profit 190.59999999999945
2005-03-08,1,3113.82
2005-03-22,-1,3040.55
profit -73.26999999999998

When stake is larger than 3, things will be even worse:

ORDER_HISTORY = (
    ('2005-02-01', 4, 2984.63),
    ('2005-03-04', -4, 3079.93),
    ('2005-03-08', 1, 3113.82),
    ('2005-03-22', -1, 3040.55),
)

'The size of the buy will always be 0, and that of the close(sell) orders will always be -1!'
'Profit of each trade is missing!'
'The output:'

Creating Empty Strategy
2005-02-01,0,0.0
2005-03-04,-1,3079.93
2005-03-08,1,3113.82
2005-03-22,-1,3040.55

What's the Problem?

Additionally, to check if the problem relates to the cerebro.add_order_history(ORDER_HISTORY, notify=True) function, the samples with a normal SmaCross strategy is also tested. The results show that, when using the function cerebro.addsizer(bt.sizers.FixedSize, stake=3), when stake is an integar larger than 3, similar problem also occurs.

The code:

import backtrader as bt


class SmaCross(bt.SignalStrategy):
    params = dict(sma1=10, sma2=20)

    def notify_order(self, order):
        if not order.alive():
            print(','.join(str(x) for x in
                           (self.data.num2date(order.executed.dt).date(),
                            order.executed.size * 1 if order.isbuy() else -1,
                            order.executed.price)))

    def notify_trade(self, trade):
        if trade.isclosed:
            print('profit {}'.format(trade.pnlcomm))

    def __init__(self):
        print('Creating Signal Strategy')
        sma1 = bt.ind.SMA(period=self.params.sma1)
        sma2 = bt.ind.SMA(period=self.params.sma2)
        crossover = bt.ind.CrossOver(sma1, sma2)
        self.signal_add(bt.SIGNAL_LONG, crossover)

def runstrat():
    cerebro = bt.Cerebro()
    data0 = bt.feeds.BacktraderCSVData(dataname='../../datas/2005-2006-day-001.txt')
    cerebro.adddata(data0)
    cerebro.broker.setcash(5000000000.0)
    # Broker
    cerebro.broker = bt.brokers.BackBroker()
    # Sizer
    cerebro.addsizer(bt.sizers.FixedSize, stake=3)
    # Strategy
    cerebro.addstrategy(SmaCross)
    cerebro.addanalyzer(bt.analyzers.TimeReturn, timeframe=bt.TimeFrame.Months)
    cerebro.addanalyzer(bt.analyzers.TimeReturn, timeframe=bt.TimeFrame.Years)
    cerebro.addanalyzer(bt.analyzers.TradeAnalyzer)
    # Execute
    cerebro.run()
    # cerebro.plot()


if __name__ == '__main__':
    runstrat()

The output:

Creating Signal Strategy
2005-02-01,3,2984.6299999999997
2005-03-04,-1,3079.93
profit 285.90000000000055
2005-03-08,3,3113.82
2005-03-22,-1,3040.5500000000006
profit -219.80999999999995
...

The profit of each trade is right, but the size of the close(sell) order is WRONG!

when stake=4, the output:

Creating Signal Strategy
2005-02-01,0,0.0
2005-03-08,0,0.0
2005-04-08,0,0.0
2005-05-13,0,0.0

Since using bt.SIGNAL_LONG, the size of the buy will always be 0, no close(sell) orders
when using the bt.SIGNAL_LONGSHORT signal, similar results occurs as the order_history

Creating Signal Strategy
2005-02-01,0,0.0
2005-03-04,-1,3079.93
2005-03-08,0,0.0
2005-03-08,4,3113.82
profit -135.5600000000013
2005-03-22,-1,3040.55
2005-04-08,0,0.0
2005-04-08,4,3092.07

The strange thing occurs, no trade is closed, but the profit reports!

weibudda

Problem has been solved！

in the above code， the cash in the broker has been set before the broker has been declared. So, in the newly defined broker, the cash is limited. When stake is large, the order will be rejected due to not enougth cash.

    cerebro.broker = bt.brokers.BackBroker()
    cerebro.broker.setcash(50000000.0)