No trades executed. Only 1 buy.

[bt88]

Hi all.

I am trying to backtest my strategy using a simple machine learning model on the E-Mini S&P500 futures. I got my prediction in a pandas dataframe (column: datetime, OHLCV, prediction) and exported to a .csv file, which i then fed into backtrader as datafeed. I am using a 1 minute intraday interval.

import backtrader as bt

futures_like = True
if futures_like:
    commission, margin, mult = 0.52, 2000.0, 1.0
else:
    commission, margin, mult = 0.005, None, 1
    
class TestStrategyRF(bt.Strategy):

    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.data_close = self.datas[0].close
        self.data_prediction = self.datas[0].prediction

        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, Size: %d, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.size,
                     order.executed.price,
                     order.executed.value,
                     order.executed.comm))

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else: 
                self.log('SELL EXECUTED, Size: %d, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.size,
                          order.executed.price,
                          order.executed.value,
                          order.executed.comm))
                          
                gross_pnl = (order.executed.price - self.buyprice) * order.executed.size
                if margin:
                    gross_pnl *= mult

                net_pnl = gross_pnl - self.buycomm - order.executed.comm

                self.log('OPERATION PROFIT, GROSS_TEST %.2f, NET_TEST %.2f' %
                        (gross_pnl, net_pnl)) 

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

    def next(self):
        self.log('Close, %.2f' % self.data_close[0])

        if self.order:
            return

        if not self.position:
            if self.data_prediction[0] > 0:
                self.log('BUY CREATE, %.2f' % self.data_close[0])
                self.order = self.buy()

        else:
            if self.data_prediction[0] < 0:
                self.log('SELL CREATE, %.2f' % self.data_close[0])
                self.order = self.sell()

Everything ran smoothly but it only executed the first BUY and then nothing.

If i commented the following lines, however, it will generate the trades. (but somehow i think they're not quite right)

        # if self.order:
        #     return

I can't seem to figure out what's wrong. Perhaps my logic is incorrect. Can somebody advise? Also, this is my first time trying to implement and backtest a ML model using backtrader, is my approach correct?

Thank you in advance.

[vladisld]

@bt88 It seems the self.order is not set to None anywhere - probably need to reset it to None in notify_order once the order is completed.

[bt88]

Thanks @vladisld ! That solves it.