Hello,
I run backtesting on a data I downloaded using the IB API.
The data looks like this:

datetime,open,high,low,close,volume
2022-04-11 16:30:00,168.75,169.03,167.72,167.77,25499.41
2022-04-11 16:35:00,167.76,168.52,167.28,167.31,17522.58
2022-04-11 16:40:00,167.3,167.87,167.19,167.76,14410.43
2022-04-11 16:45:00,167.75,168.12,167.55,167.77,11796.48
2022-04-11 16:50:00,167.78,167.94,167.24,167.29,10563.56
2022-04-11 16:55:00,167.3,167.38,166.88,167.0,10632.27
2022-04-11 17:00:00,166.98,167.33,166.8,166.95,11671.17
2022-04-11 17:05:00,166.94,167.27,166.7,166.96,10099.4

From some reason that I don't understand, the entry and exit prices in the backtesting's trades and the data have a big missmatch.

Cerebro configuration:

data = bt.feeds.PandasData( dataname = historicalDataDF,
             fromdate = datetime.datetime(2021, 7, 9),
             todate = datetime.datetime(2022, 7, 8)
                            )

    cerebro = bt.Cerebro()
    cerebro.adddata(data)
    cerebro.addsizer(bt.sizers.PercentSizer, percents = 90) 
    cerebro.addwriter(bt.WriterFile, out = 'outputs/temp.csv', csv = True)              
    cerebro.broker.setcash(10000.0)
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    cerebro.addstrategy(HMAStrategy)
    cerebro.run()
    cerebro.plot(style='candlestick')
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

The commands of buy / sell in the strategy is pretty streight forward:

if enterLongCondition:
            self.buy(size=10, exectype=bt.Order.Limit, price=self.datas[0].close[0])
if enterShortCondition:
            self.sell(size=10, exectype=bt.Order.Limit, price=self.datas[0].close[0])

Some examples to show my problem:

1. First trade in the backtesting is short position @ $167.05 on 2022-04-18 16:55:00.
   The input data of this bar from the csv file:

2022-04-18 16:45:00,165.36,165.59,164.9,165.23,10051.64
2022-04-18 16:50:00,165.24,165.34,164.33,164.39,10852.86
2022-04-18 16:55:00,164.42,164.59,164.15,164.49,10548.83
2022-04-18 17:00:00,164.48,165.08,164.09,164.86,10931.75
2022-04-18 17:05:00,164.88,165.13,164.56,164.59,8418.83

The writter output data:

The OHLC of this bar, the bar before and the bar after has values around 164-165.
Also in the chart, I see the execution position far above the actual price:

Why the execution price is so different?

2. Next 2 trades in the backtest are buy order to close the first short trade @ $161.85 on 2022-04-19 16:30:00 and another short position @ 167.15 on 2022-04-19 16:40:00.
   The input data of this bar from the csv file:

2022-04-18 22:50:00,164.1,164.61,163.98,164.38,11467.36
2022-04-18 22:55:00,164.38,165.12,164.32,165.11,16132.13
2022-04-19 16:30:00,165.0,165.14,164.32,164.47,20037.18
2022-04-19 16:35:00,164.47,164.74,163.91,164.01,15490.55
2022-04-19 16:40:00,164.01,164.68,163.91,164.37,11028.66
2022-04-19 16:45:00,164.37,164.74,164.12,164.58,9502.68

The writter output data:

The OHLC of this bar, the bar before and the bar after has values around 164-165.
Also in the chart, I see the execution position far above and below the actual price:

I hope that I managed to show my issue and gave all the required information. If something is missing, please tell and I will add.
I saw some posts that related to similar issue, but I couldn't find any solution in any of them, so I post my own.

Thanks,
Amit

Hello,

I am facing the next issue.
This is my code:

class ShortSuperTrend(bt.Indicator):
    lines = ('ShortSuperTrendUp',)

    params = (('atr_period', 14), ('Multiplier', 0.6), )

    def __init__(self):
      self.atr = bt.talib.ATR(self.datas[0].high, self.datas[0].low, self.datas[0].close, timeperiod=self.params.atr_period)
      self.up = self.datas[0].low - (self.params.Multiplier * self.atr)
      self.up1 = self.up(-1)
      #self.lines.ShortSuperTrendUp = self.up1
         
    def next(self):
      self.up = bt.If(self.datas[0].close[-1] > self.up, bt.Max(self.up, self.up1), self.up[0])

When using indexing with () in the __init__() I am getting the next error:

TypeError: 'list' object is not callable

The assignment in the next() function produce the next error:

IndexError: array index out of range

My wish is to update self.up with the expression's results for each candle.

Re: Optstrategy

HI,

When trying to use the optstrategy method, it never finish... run forever. No error is observed.
My code:

from datetime import datetime
import backtrader as bt
import matplotlib.pyplot as plt
%matplotlib inline

class SmaCross(bt.Strategy):
    
    params = (('fast', 10),
              ('slow', 30)
             )
    
    def __init__(self):
        self.sma_fast = bt.ind.SMA(period = self.params.fast)
        self.sma_slow = bt.ind.SMA(period = self.params.slow)
        self.crossover = bt.ind.CrossOver(self.sma_fast, self.sma_slow)


    def start(self): #runs after the init in the beginning
        pass
        
    def next(self): #runs in each iteration
        if self.position.size == 0:
            if self.sma_fast > self.sma_slow:
                self.buy()
        elif self.position.size != 0:
            if self.sma_fast < self.sma_slow:
                self.sell()
    
    def stop(self): #runs at the end
        pass

contract_history = pd.read_csv('APPL-hourly.csv')
contract_history['dt'] = pd.to_datetime(contract_history['date'])
contract_history = contract_history.set_index('dt')
data_pd = bt.feeds.PandasData(dataname = contract_history, fromdate = datetime(2020, 11, 11),
                                todate = datetime(2020,12,1))

        
cerebro = bt.Cerebro()
cerebro.adddata(data_pd)
cerebro.addsizer(bt.sizers.PercentSizer, percents = 90)

cerebro.optstrategy(SmaCross, fast = (5, 10), slow = (20, 25))
cerebro.run()

Does someone maybe know how to resolve this issue?

Thanks,
Amit