StopLoss

Gerry

Hi All,
I am trying to code a simple trailing stop loss strategy, but I just cant seem to get the hang of it after reading most of the blog posts on the topic and the docs. Feels like a silly thing to miss but maybe somebody can help. Appreciate the assistance.
'''
class CustomRsi(bt.Indicator):

lines = ('signal', 'buysig', 'sellsig', )

params = (('period', 15),
	('upperband', 80),
	('lowerband', 33),
	)

def __init__(self):

	self.lines.signal = bt.indicators.RSI_SMA(period=self.p.period)
	self.lines.buysig = bt.ind.CrossUp(self.lines.signal, self.p.lowerband)
	self.lines.sellsig = bt.ind.CrossDown(self.signal, self.p.upperband)

class StopTrading(bt.Strategy):

params = (
	('lowerband', 30),
	('upperband', 70),
	)

def print_signal(self):
	self.log("open {:.2f}\tclose {:.2f} \thigh {:.2f} rsi {:.2f} atr {:.2f}"
		.format(self.data.open[0],
			self.data.close[0],
			self.data.high[0],
			self.rsi[0],
			self.atr[0]
			)
		)

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

def __init__(self):
	self.dataclose = self.data.close
	self.atr = bt.ind.ATR()
	self.rsi = bt.ind.RSI_SMA(period=15)
	self.crsi = CustomRsi() # create instance crsi
	self.buy_signal = self.crsi.buysig # access attributes of instance created
	self.sell_signal = self.crsi.sellsig # access attributes of instance created
	self.order=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(f'Buy executed for long position {order.executed.price}')
		elif order.issell():
			self.log(f'Close executed for long position {order.executed.price}')

	self.order = None

def notify_trade(self, trade):
	if trade.isopen:
		return

	else:
		# Trade is closed, log profit / loss, barlen: amount of bars trade was open
		self.log(f'Profit {trade.pnl} Trade Length: {trade.barlen}')
                                                                                                                                                                                             
def next(self):

	self.print_signal()

	if self.order:
		return

	if not self.position:
		if self.buy_signal:
			self.log('Going long@{:.2f}'.format(self.dataclose[0]))
			self.order=self.buy()

	elif self.position:
		self.order=self.sell(exectype=bt.Order.StopTrail, trailamount=300)

'''

Gerry

@gerry ![alt text]( image url)

run-out

@gerry Did you catch this article?

Gerry

@run-out I have, thanks. I am getting confused between this article and these two, and how to properly use them:
https://www.backtrader.com/blog/posts/2017-03-22-stoptrail/stoptrail/

https://www.backtrader.com/docu/order-creation-execution/bracket/bracket/

Is it necessary to use the stoporder in the notify class or is it actually possible to do it under the next method?

run-out

@gerry You can do it both ways. Using notify_order you are setting up the stop trail after being notified of the first order completing. If you use Bracket it does that job for you.

Gerry

@run-out Thank you very much for the reply, appreciate the help. On the bracket order, I tried using the below code, but there seems to be an error, where am I going wrong?
'''
class CustomRsi(bt.Indicator):

lines = ('signal', 'buysig', 'sellsig', )

params = (('period', 15),
	('upperband', 80),
	('lowerband', 33),
	)

def __init__(self):

	self.lines.signal = bt.indicators.RSI_SMA(period=self.p.period)
	self.lines.buysig = bt.ind.CrossUp(self.lines.signal, self.p.lowerband)
	self.lines.sellsig = bt.ind.CrossDown(self.signal, self.p.upperband)

class StopTrading(bt.Strategy):

params = (
	('lowerband', 30),
	('upperband', 70),
	)

def print_signal(self):
	self.log("open {:.2f}\tclose {:.2f} \thigh {:.2f} rsi {:.2f} atr {:.2f}"
		.format(self.data.open[0],
			self.data.close[0],
			self.data.high[0],
			self.rsi[0],
			self.atr[0]
			)
		)

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

def __init__(self):
	self.dataclose = self.data.close
	self.atr = bt.ind.ATR()
	self.rsi = bt.ind.RSI_SMA(period=15)
	self.crsi = CustomRsi() # create instance crsi
	self.buy_signal = self.crsi.buysig # access attributes of instance created
	self.sell_signal = self.crsi.sellsig # access attributes of instance created
	self.order=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(f'Buy executed for long position {order.executed.price}')
		elif order.issell():
			self.log(f'Close executed for long position {order.executed.price}')

	self.order = None

def notify_trade(self, trade):
	if trade.isopen:
		return

	else:
		# Trade is closed, log profit / loss, barlen: amount of bars trade was open
		self.log(f'Profit {trade.pnl} Trade Length: {trade.barlen}')
                                                                                                                                                                                             
def next(self):

	self.print_signal()

	if self.order:
		return

	if not self.position:
		if self.buy_signal:
			
			self.order=self.buy_bracket(exectype=bt.Order.StopTrail, trailamount=300)
			self.log('Going long@{:.2f}, stoptrail {:.2f}'.format(self.dataclose[0], bt.Order.StopTrail))

'''