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Issuing counter orders for long and short strategy via notify order
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Hi, I wanted to know how can I issue a sell order for a long trade and buy order for a short trade both via notify order? Right now, when I try to do this, it does not behave as expected. My code is below and I am also attaching the logs.
class test_strat(bt.Strategy): params = (('fma', 20), ('sma', 50), ('trail', 0.08),) def __init__(self): self.open = self.data.open self.high = self.data.high self.low = self.data.low self.close = self.data.close self.fma = bt.indicators.EMA(self.close, period = self.p.fma) self.sma = bt.indicators.EMA(self.close, period = self.p.sma) self.cross = bt.indicators.CrossOver(self.fma, self.sma) self.orders = None self.orefs = [] def log(self, txt, dt=None): dt = self.datas[0].datetime.date() print(f'Date: {dt}, {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.execprice = order.executed.price self.totalcost = order.executed.value self.sellsize = order.executed.size self.log(f'BUY EXECUTED: {self.execprice}, SIZE: {self.sellsize}, COST: {self.totalcost}') o2 = self.sell(size = self.sellsize, exectype=bt.Order.StopTrail, trailpercent = 0.05) self.orders = [o2] self.orefs = [o2.ref] self.log(f'TRAILING PRICE: {self.execprice * 1.05}, ORDER ID: {self.orefs}, CASH: {cerebro.broker.getcash()}') elif order.issell(): self.sellprice = order.executed.price self.sellcost = order.executed.value self.buysize = order.executed.size self.log(f'SELL EXECUTED: {self.sellprice}, SIZE: {self.buysize}, COST: {self.sellcost}') o4 = self.buy(size = self.buysize, exectype=bt.Order.StopTrail, trailpercent = 0.05) self.orders = [o4] self.orefs = [o4.ref] self.log(f'TRAILING PRICE: {self.sellprice * 1.05}, ORDER ID: {self.orefs}, CASH: {cerebro.broker.getcash()}') elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected') if not order.alive() and order.ref in self.orefs: self.orefs.remove(order.ref) self.log(f'ORDERS ALIVE: {self.orefs}') def notify_trade(self, trade): if trade.isopen: return else: self.log(f'OPERATION PROFIT: GROSS {trade.pnl}, NET {trade.pnlcomm}, Trade PnL: {trade.pnlcomm/self.totalcost}') self.log(f'Updated Account Balance: {cerebro.broker.getcash()}') def next(self): self.log(f'Close: {self.close[0]}') if self.orefs: return if not self.position: if self.cross > 0: p1 = self.open[1] o1 = self.buy() # o2 = self.sell(exectype=bt.Order.StopTrail, price = p1, trailpercent = 0.05) self.orders = [o1] self.orefs = [o1.ref] self.log(f'BUY CREATED: {o1.created.price}, TRAILING STOP AT: {p1 * 0.95}, SIZE: {o1.created.size}, CASH: {cerebro.broker.getcash()}') # self.log(f'BUY CREATED: {o1.created.price}, SIZE: {o1.created.size}, ORDER ID: {self.orefs}, CASH: {cerebro.broker.getcash()}') elif self.cross < 0: p2 = self.open[1] o3 = self.sell() # o4 = self.buy(exectype=bt.Order.StopTrail, price = p2, trailpercent= 0.05) self.log(f'SELL CREATED: {o3.created.price}, TRAILING STOP AT: {p2 * 1.05}, SIZE: {o3.created.size}, CASH: {cerebro.broker.getcash()}') # self.log(f'SELL CREATED: {o3.created.price}, SIZE: {o3.created.size}, ORDER ID: {self.orefs} , CASH: {cerebro.broker.getcash()}') self.orders = [o3] self.orefs = [o3.ref] # self.log(f'SELL CREATED: {o3.created.price}, SIZE: {o3.created.size}, ORDER ID: {self.orefs}') cerebro = bt.Cerebro() cerebro.broker.set_cash(200000) print(f'Starting Portfolio Value: {cerebro.broker.getvalue()}') data = bt.feeds.PandasData(dataname=hdfcbank, datetime=None, open=-1, high=-1, low=-1, close=-1, volume=-1) cerebro.adddata(data, name = 'hdfcbank') cerebro.addstrategy(test_strat) cerebro.addsizer(MySizer) cerebro.addanalyzer(trades_list, _name='tradelist') cerebro.addanalyzer(CashMarket, _name='cash') strat = cerebro.run(tradehistory = True) tradeslist = strat[0].analyzers.tradelist.get_analysis() cash = strat[0].analyzers.cash.get_analysis() trades = pd.DataFrame(tradeslist) print(f'Final Portfolio Value: {cerebro.broker.getvalue()}')LOGS:
Notice that my first trade is a short trade that is bought back on 2008-02-04 and instead of that being the end of the trade, the buy trade is also issuing a trailing price.My expectation is that my short trade should close after being bought back. Or Long trade should do the same. Instead here my covering order is also issuing trailing stops.
Date: 2008-01-11, Close: 176.46 Date: 2008-01-14, Close: 178.32 Date: 2008-01-15, Close: 178.9 Date: 2008-01-16, Close: 167.38 Date: 2008-01-17, Close: 164.36 Date: 2008-01-18, Close: 157.1 Date: 2008-01-21, Close: 150.71 Date: 2008-01-22, Close: 142.64 Date: 2008-01-23, Close: 153.43 Date: 2008-01-24, Close: 151.04 Date: 2008-01-24, SELL CREATED: 151.04, TRAILING STOP AT: 162.12, SIZE: -259, CASH: 200000.0 Date: 2008-01-25, SELL EXECUTED: 154.4, SIZE: -259, COST: -39989.6 Date: 2008-01-25, TRAILING PRICE: 162.12, ORDER ID: [5986], CASH: 239989.6 Date: 2008-01-25, Close: 160.85 Date: 2008-01-28, Close: 159.02 Date: 2008-01-29, Close: 153.74 Date: 2008-01-30, Close: 153.3 Date: 2008-01-31, Close: 156.96 Date: 2008-02-01, Close: 157.1 Date: 2008-02-04, BUY EXECUTED: 162.38, SIZE: 259, COST: -39989.6 Date: 2008-02-04, TRAILING PRICE: 170.499, ORDER ID: [5987], CASH: 197933.18 Date: 2008-02-04, OPERATION PROFIT: GROSS -2066.8199999999974, NET -2066.8199999999974, Trade PnL: 0.05168393782383413 Date: 2008-02-04, Updated Account Balance: 197933.18 Date: 2008-02-04, Close: 154.74 Date: 2008-02-05, Close: 151.23 Date: 2008-02-06, SELL EXECUTED: 147.00300000000001, SIZE: -259, COST: -38073.777 Date: 2008-02-06, TRAILING PRICE: 154.35315000000003, ORDER ID: [5988], CASH: 236006.957 Date: 2008-02-06, Close: 150.01 Date: 2008-02-07, Close: 149.18 Date: 2008-02-08, Close: 144.2 Date: 2008-02-11, Close: 141.08 Date: 2008-02-12, Close: 140.77 Date: 2008-02-13, BUY EXECUTED: 147.8085, SIZE: 259, COST: -38073.777 Date: 2008-02-13, TRAILING PRICE: 155.198925, ORDER ID: [5989], CASH: 197724.5555 Date: 2008-02-13, OPERATION PROFIT: GROSS -208.6244999999987, NET -208.6244999999987, Trade PnL: 0.005479480010611994 Date: 2008-02-13, Updated Account Balance: 197724.5555 Date: 2008-02-13, Close: 146.85 Date: 2008-02-14, Close: 153.65 Date: 2008-02-15, Close: 156.23 Date: 2008-02-18, Close: 155.69 Date: 2008-02-19, Close: 157.19 Date: 2008-02-20, Close: 153.72 Date: 2008-02-21, Close: 154.09 Date: 2008-02-22, SELL EXECUTED: 147.04, SIZE: -259, COST: -38083.36 Date: 2008-02-22, TRAILING PRICE: 154.392, ORDER ID: [5990], CASH: 235807.9155 Date: 2008-02-22, Close: 147.43 Date: 2008-02-25, Close: 142.18 Date: 2008-02-26, Close: 145.49 Date: 2008-02-27, Close: 145.23 Date: 2008-02-28, Close: 147.26 Date: 2008-02-29, Close: 145.68 Date: 2008-03-03, Close: 138.99 Date: 2008-03-04, Close: 135.18 Date: 2008-03-05, Close: 133.28 Date: 2008-03-07, Close: 128.23 Date: 2008-03-10, Close: 131.15 Date: 2008-03-11, BUY EXECUTED: 134.64149999999998, SIZE: 259, COST: -38083.36 Date: 2008-03-11, TRAILING PRICE: 141.373575, ORDER ID: [5991], CASH: 200935.767 Date: 2008-03-11, OPERATION PROFIT: GROSS 3211.211500000003, NET 3211.211500000003, Trade PnL: -0.08432059303590868 Date: 2008-03-11, Updated Account Balance: 200935.767 Date: 2008-03-11, Close: 133.32 Date: 2008-03-12, Close: 137.06 Date: 2008-03-13, SELL EXECUTED: 130.207, SIZE: -259, COST: -33723.613 Date: 2008-03-13, TRAILING PRICE: 136.71735, ORDER ID: [5992], CASH: 234659.38 Date: 2008-03-13, Close: 129.92 Date: 2008-03-14, Close: 131.55 Date: 2008-03-17, Close: 122.6 Date: 2008-03-18, Close: 123.1 Date: 2008-03-19, BUY EXECUTED: 128.73, SIZE: 259, COST: -33723.613 Date: 2008-03-19, TRAILING PRICE: 135.16649999999998, ORDER ID: [5993], CASH: 201318.31 Date: 2008-03-19, OPERATION PROFIT: GROSS 382.54300000000103, NET 382.54300000000103, Trade PnL: -0.011343476157195881 Date: 2008-03-19, Updated Account Balance: 201318.31 Date: 2008-03-19, Close: 127.26 Date: 2008-03-24, Close: 134.19 Date: 2008-03-25, Close: 141.4 Date: 2008-03-26, Close: 143.92 Date: 2008-03-27, Close: 143.32 Date: 2008-03-28, SELL EXECUTED: 136.724, SIZE: -259, COST: -35411.515999999996 Date: 2008-03-28, TRAILING PRICE: 143.5602, ORDER ID: [5994], CASH: 236729.826 Date: 2008-03-28, Close: 140.7 Date: 2008-03-31, Close: 133.13 Date: 2008-04-01, Close: 130.96 Date: 2008-04-02, BUY EXECUTED: 138.0, SIZE: 259, COST: -35411.515999999996 Date: 2008-04-02, TRAILING PRICE: 144.9, ORDER ID: [5995], CASH: 200987.826 Date: 2008-04-02, OPERATION PROFIT: GROSS -330.4840000000027, NET -330.4840000000027, Trade PnL: 0.009332670196893088 Date: 2008-04-02, Updated Account Balance: 200987.826 Date: 2008-04-02, Close: 132.8 Date: 2008-04-03, Close: 133.12 Date: 2008-04-04, Close: 129.39