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Sell Order not getting executed
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Dear All,
Please help as I am not able to figure out why the Sell orders are not getting executed , only first buy occur and then no trade occur. I am new to community so request senior followers to help me out.
'''
class testStrategy(bt.Strategy):
params = (('portfolio_expo', 0.10), ('trade_risk', 0.02), ('atrdist', 4.0))def __init__(self): self.obv = OnBalanceVolume(self.data) self.sma = bt.indicators.SMA(self.data.close, period=100) self.atr = bt.indicators.ATR(period=10) def log(self, txt, dt=None): ''' Logging function fot this strategy''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def notify_order(self, order): self.bar_executed = len(self) if order.status in [order.Submitted, order.Accepted]: # Buy/Sell order submitted/accepted to/by broker - Nothing to do return # Check if an order has been completed # Attention: broker could reject order if not enough cash if order.status in [order.Completed]: if order.isbuy(): self.log('BUY EXECUTED') #self.buyprice = order.executed.price #self.buycomm = order.executed.comm #self.opsize = order.executed.size else: # Sell self.log('SELL EXECUTED') # 'SELL EXECUTED, Size: %.2f, OpenPrice: %.2f, Closeprice: %.2f, Comm %.2f' % # (order.executed.size, # order.executed.price, # order.executed.value, # order.executed.comm)) # Write down: no pending order #self.order = None def notify_trade(self, trade): if not trade.isclosed: return ##self.log('BUY, RSI %.2f, NET %.2f' % ## (trade.pnl, trade.pnlcomm)) def next(self): print("{}: Close: {}, Close1: {} Close2: {} Close3: {} SMA {}".format( self.data.datetime.date(), self.data.close[0], self.data.close[-1], self.data.close[-2], self.data.close[-3], self.sma[0])) cash = self.broker.get_cash() print(cash) if self.order: return # pending order execution if not self.position: # check if we already have an open position on the stock if self.data.close[0]>self.sma and self.data.close[0]< self.data.close[-1] and self.data.close[-1]< self.data.close[-2] and self.data.close[-2]< self.data.close[-3]: pdist = self.atr[0] * self.p.atrdist self.pstop = self.data.close[0] - pdist qty = math.floor((cash * self.p.trade_risk) / pdist) portfolio_exposure_calc = qty * self.data.close[0] portfolio_exposure_strategy = cash * self.p.portfolio_expo print('QTY '+str(qty)) if portfolio_exposure_calc <= portfolio_exposure_strategy: self.order = self.buy(size=qty) else: qty = math.floor(portfolio_exposure_strategy / self.data.close[0]) self.order = self.buy(size=qty) else: # in the market pclose = self.data.close[0] pstop = self.pstop print("{}: Close: {}, Stop: {}",format(self.data.datetime.date(),pclose,pstop)) # Add detection if we are already short or long if pclose < pstop: self.close() # stop met - get out else: pdist = self.atr[0] * self.p.atrdist # Update only if greater than self.pstop = max(pstop, pclose - pdist) def start(self): self.order = None # sentinel to avoid operations on pending order self.curpos = None def prenext(self): self.next() -
Look here:
if self.order: return # pending order executionThen here:
# Write down: no pending order #self.order = NoneSet some debuggers please and you can resolve this on your own.
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@run-out Thanks I think understood your point and corrected the same, ofcourse will not shy used help from community only now only problem I am getting error at this line, that is divisibility by zero...Please guide
self.profit_factor = self.gross_profits / self.gross_losses'''
class testStrategy(bt.Strategy):
average_period = 15
total_trades = 0
wins = 0
losses = 0
gross_profits = 0
gross_losses = 0
percent_profitable = 0
profit_factor = 0
params = (('portfolio_expo', 0.10), ('trade_risk', 0.02), ('atrdist', 4.0))def __init__(self): self.order = None self.buyprice = None self.buycomm = None # again optional self.obv = OnBalanceVolume(self.data) self.sma = bt.indicators.SMA(self.data.close, period=100) self.atr = bt.indicators.ATR(period=10) def log(self, txt, dt=None): ''' Logging function fot this strategy''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) 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, price: {}, cost: {}, comm: {}".format( order.executed.price, order.executed.value, order.executed.comm, ) ) self.buyprice = order.executed.price self.buycomm = order.executed.comm elif order.issell(): self.log( "SELL, price: {}, cost: {}, comm: {}".format( 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 if trade.pnl > 0: self.wins += 1 self.gross_profits += trade.pnl else: self.losses += 1 self.gross_losses -= trade.pnl self.percent_profitable = self.wins / self.total_trades #self.profit_factor = self.gross_profits / self.gross_losses self.log("PROFIT, gross: {}, net: {}".format(trade.pnl, trade.pnlcomm)) def next(self): print("{}: Close: {}, Close1: {} Close2: {} Close3: {} SMA {}".format( self.data.datetime.date(), self.data.close[0], self.data.close[-1], self.data.close[-2], self.data.close[-3], self.sma[0])) cash = self.broker.get_cash() print(cash) if self.order: return # pending order execution if not self.position: # check if we already have an open position on the stock if self.data.close[0]>self.sma and self.data.close[0]< self.data.close[-1] and self.data.close[-1]< self.data.close[-2] and self.data.close[-2]< self.data.close[-3]: pdist = self.atr[0] * self.p.atrdist self.pstop = self.data.close[0] - pdist qty = math.floor((cash * self.p.trade_risk) / pdist) portfolio_exposure_calc = qty * self.data.close[0] portfolio_exposure_strategy = cash * self.p.portfolio_expo print('QTY '+str(qty)) if portfolio_exposure_calc <= portfolio_exposure_strategy: self.order = self.buy(size=qty) else: qty = math.floor(portfolio_exposure_strategy / self.data.close[0]) self.order = self.buy(size=qty) else: # in the market pclose = self.data.close[0] pstop = self.pstop #print("{}: Close: {} Stop: {}",format(self.data.datetime.date(),pclose)) # Add detection if we are already short or long if pclose < pstop: self.total_trades += 1 self.close() # stop met - get out else: pdist = self.atr[0] * self.p.atrdist # Update only if greater than self.pstop = max(pstop, pclose - pdist) def stop(self): print("Total Trades: {}".format(self.total_trades)) print("Percent Profitable: {}".format(self.percent_profitable)) print("Profit Factor: {}".format(self.profit_factor)) super().stop() -
Well you set
self.gross_losses = 0then divided by it without check to see if it was still zero. -
@run-out yes very foolish thing from my side but issue was some where else, last guidance from you ,quantstats not saving report in defined path either in jupyter or colab notebook. Earlier it was doing same and this piece of code I did not change could you please guide. Title it is changing with ticker name but output it is genreating in root and overriding so in last i have one file with last ticker
'''
for x in tickers:
#print(apple.iloc[x,1],apple.iloc[x,2],apple.iloc[x,3])
#for y in tickers:
cerebro = bt.Cerebro()data = bt.feeds.PandasData(dataname=yf.download(x+'.ns', '2015-01-01', '2022-01-01')) cerebro.adddata(data) strats = cerebro.addstrategy( testStrategy) cerebro.broker.setcash(1000000.0) cerebro.addsizer(bt.sizers.PercentSizer, percents = 10) #cerebro.addanalyzer(btanalyzers.SharpeRatio, _name = "sharpe") #cerebro.addanalyzer(btanalyzers.DrawDown, _name = "drawdown") #cerebro.addanalyzer(btanalyzers.Returns, _name = "returns") cerebro.addanalyzer(bt.analyzers.PyFolio, _name='PyFolio') cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name="ta") cerebro.addanalyzer(bt.analyzers.SQN, _name="sqn") cerebro.addanalyzer(bt.analyzers.DrawDown, _name="dd") print(x) initial_value = cerebro.broker.getvalue() results = cerebro.run() strat = results[0] print(initial_value) final_value = cerebro.broker.getvalue() total=total+(final_value-initial_value) #printTradeAnalysis(strat.analyzers.ta.get_analysis()) #printDrawDownAnalysis(strat.analyzers.dd.get_analysis()) #printSQN(strat.analyzers.sqn.get_analysis()) portfolio_stats = strat.analyzers.getbyname('PyFolio') returns, positions, transactions, gross_lev = portfolio_stats.get_pf_items() returns.index = returns.index.tz_convert(None) quantstats.reports.html(returns, output='/quants/'+x+'.html', title=x+' Sentiment')
