How to Exit Current Position and Enter Opposite Position at Same Time

vensaiten

Hi Backtrader Community,

I am trying to modify "Quickstart" strategy as a common Renko strategy.

Strategy:

Buy: If two consecutive candles are bullish
Sell: If two consecutive candles are bearish
Exit: If two consecutive candles move to the opposite direction

As a start, I changed the logic as follows:

class TestStrategy(bt.Strategy):

    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 __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close
        # Keep a reference to the "open" line in the data[0] dataseries
        self.dataopen = self.datas[0].open

        # To keep track of pending orders
        self.order = None

    def notify_order(self, order):
        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, %.2f' % order.executed.price)
            elif order.issell():
                self.log('SELL EXECUTED, %.2f' % order.executed.price)

            self.bar_executed = len(self)

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

        # Write down: no pending order
        self.order = None

    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Open, %.2f' % self.dataopen[0])
        self.log('Close, %.2f' % self.dataclose[0])

        # Check if an order is pending ... if yes, we cannot send a 2nd one
        if self.order:
            return

        # Check if we are in the market
        if not self.position:

            if self.dataclose[0] > self.dataopen[0]:
                # current bar is bullish

                if self.dataclose[-1] > self.dataopen[-1]:
                    # previous bar is bullish

                    # BUY with all possible default parameters
                    self.log('BUY CREATE, %.2f' % self.dataclose[0])
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.buy()

            if self.dataclose[0] < self.dataopen[0]:
                # current bar is bearish

                if self.dataclose[-1] < self.dataopen[-1]:
                    # previous bar is bearish


                # SELL with all possible default parameters
                    self.log('SELL CREATE, %.2f' % self.dataclose[0])

                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.sell()

        else:

            # Already in the market ... we might exit
            if self.dataclose[0] > self.dataopen[0]:
                # current bar is bullish

                if self.dataclose[-1] > self.dataopen[-1]:
                    # previous bar is bullish

                    # Exit
                    self.log('Exit: BUY CREATE, %.2f' % self.dataclose[0])
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.buy()

            # Already in the market ... we might exit
            if self.dataclose[0] < self.dataopen[0]:
                # current bar is bearish

                if self.dataclose[-1] < self.dataopen[-1]:
                    # previous bar is bearish

                # Exit
                    self.log('Exit: SELL CREATE, %.2f' % self.dataclose[0])

                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.sell()

This, of course, is unsuccessful because it fails to avoid a 2nd order and it fails to exit the current position and entering the opposite position at same time.

How could I code this strategy? Thanks for your insights!

ab_trader

I think you can use order_target_xxx for backtests. Lets operate with 100 stocks. If you have buy signal, you do

self.order_target_size(size=100)

bt buys 100 stocks. If then you have sell signal, you do

self.order_target_size(size=-100)

And bt will reverse position selling 200 stocks.

Docs - Target Orders

backtrader

The approach by @ab_trader is probably the cleanest.

See also how you can reverse position with a sizer and buy, sell commands (where the size is not specified and left to the Sizer to calculate)

Docs - Sizers - Smart Staking

vensaiten

Somehow I am having hard time understanding how order_target_xxx works and I ended up using buy and sell commands with size.

# Check if we are in the market
    if not self.position: #Enter Signal
        # Two Bullish Candles
        if self.dataclose[0] > self.dataopen[0] and self.dataclose[-1] > self.dataopen[-1]:
            # BUY 
            self.order = self.buy(size=100)
        
        # Two Bearish Candles
        elif self.dataclose[0] < self.dataopen[0] and self.dataclose[-1] < self.dataopen[-1]:
            # SELL 
            self.order = self.sell(size=100)

        else:
            pass

    else: #Exit Signal
            # Already in the market & Two Bullish Candles
        if self.position.size < 0 and self.dataclose[0] > self.dataopen[0] and self.dataclose[-1] > self.dataopen[-1]:
            self.order = self.buy(size=100)

            # Already in the market & Two Bearish Candles
        if self.position.size > 0 and self.dataclose[0] < self.dataopen[0] and self.dataclose[-1] < self.dataopen[-1]:
            self.order = self.sell(size=100)

This does avoid 2nd order but I would like to know how order_target_xxx is different (or better) and how it will change the above code.

Also, this made me question how size works. Feel stupid to ask but I do not get why buy size=100 and then sell size=100 end up selling 200. If I continue to reverse the position, size will continue to increase as well? I guess I'm not understanding the concept intuitively. I am grateful if you could help me understand.

backtrader

Instead of doing a buy / sell and later sell / buy, you replace each pair of calls with a single order_target_size.

杨志超

@vensaiten

Hi, I am running into the same problem with you, do you figure out to solve this problem finally?