@PatrikMuniak every next() you call notify_order() and set your self.bar_executed to length of the data. So your self.duration vaule is equal to 1 on every next() call. No surprise you have no sells.

Find %.2f in your script and replace it with %.6f.

__init__() is called once at the very beginning of the run. I doubt that you will be able to return something from the following run to the __init()__.

If you want to exit after N bars, than:

• in notify_order() get order execution bar

self.bar_executed = len(self)

• in the next() calculate position duration based on current strategy length

self.duration = len(self) - self.bar_executed + 1

• if it is 2, then issue the order to close position

if self.duration == 2:
    self.close()

@kam-dorra bt.If works with lines, and you are using float as one of the arguments. I would try the following to create a dummy line which then to be used in bt.If:

    def __init__(self):

        infline = bt.LineNum(float('Inf'))
        x = bt.If(d(-3) > e(-2) > f(-1), d(-1), infline)
        y = bt.If(d(-3) > e(-2) > f(-1), e(-1), infline)
        z = bt.If(y < infline, y(-1), infline)

You also may want to remove x since it is the same as y and you don;t use it further.

I am not an author and it might be a bug, but it seems right: order should be submitted and accepted by broker, only after it can be cancelled. Notifications about order changes happen after the current bar close. So therefore bt can not see the order on the bar when it was issued. Also Market order can'not be cancelled after it is submitted, broker accepts and executes it momentarily if there are enough funds.

In the __init()__ indexing should be done with (), not with [] brackets, ref Docs - Lines: DELAYED indexing:

    def __init__(self):

        x = bt.If(d(-3) > e(-2) > f(-1), d(-1), float('Inf'))
        y = bt.If(d(-3) > e(-2) > f(-1), e(-1), float('Inf'))
        z = bt.If(y < float('Inf'), y(-1), float('Inf'))  # error message line

Also bt.If operates with arrays, but float('Inf') is not an array. Might be an error due to this reason also.

I confused you. I think this need to be changed so your original script:

import backtrader.indicators as btind

Actually it is true, there is no attribute MovAv in bt.indicator. You may want to use

movav = btind.SimpleMovingAverage

With all my respect, you may want to be less aggressive in your claims that something doesn't work in bt. Just think this way - bt was used by a lot of people for quite a long time, and for sure such simple mechanics as order placing should work well now, otherwise it would be discovered and fixed long time ago.

Now returning to your question:

self.position returns position for the first data feed ONLY, in order to get position in any data feed getposition(data) or getpositionbyname(dataname) have to be used, see Docs - Strategy.

Last time I was working on such task, I've developed an indicator which read all trades (execution prices, trade sizes, trade directions) data, and was issuing orders with the appropriate sizes and execution prices using this indicator as a signal generator. Went this more complex way since I wanted to test how additional stops affect the strategy.

If you want just test the set of trades, than I think easier to use signal strategy Docs - Strategy with Signals