Backtrader Community

Gianlu

Ok guys, thanks to some friends of mine, it came out that I was wrongly using bracket orders.
I should have used the following logic:

if buy_condition:
    self.buy(size=self.p.size)
    self.limitOrderSL = self.sell(size=self.p.size, 
     exectype=Order.Stop, price=stop_price)
    self.limitOrderTP = self.sell(size=self.p.size, 
     exectype=Order.Limit, price=profit_price)

if close_condition:
    self.close()
    self.cancel(self.limitOrderSL)
    self.cancel(self.limitOrderTP)

Regards

Gianlu

Hello, trying to backtest a simple RSI strategy.
It sends a buy_bracket if current position==0 and rsi indicator crossup oversold thersold and close the position when the rsi crossdown the opposite threshold.
The opposite for selling; always only if current position==0.

What I cannot understand it is that sometimes multiple unwanted entries happen. I added some "check print" ad notify_order status in order to better understand but I gave up.

Here the logic:

import backtrader as bt
import datetime

class rsi_strategy(bt.Strategy):
    params = (
        ('backtest', False),
        ('printLog', True),
        ('rsi_period', 19),
        ('rsi_overSold', 21),
        ('rsi_overBought', 77),
        ('stopLoss_perc', 7),
        ('takeProfit_perc', 20)
    )

    def __init__(self):
        # self.live_bars = False
        self.rsi_ind = bt.indicators.RSI(self.data.close,
                                         period=self.p.rsi_period,
                                         plot=True,
                                         plotname='RSI',
                                         subplot=True)

        # Buy Signals
        self.CrossedOS = bt.indicators.CrossUp(self.rsi_ind, self.p.rsi_overSold, plotname='x ↑ OS')
        # Sell Signals
        self.CrossedOB = bt.indicators.CrossDown(self.rsi_ind, self.p.rsi_overBought, plotname='x ↓ OB')

    def next(self):

        self.closePrice = self.data.close[0]
        self.Bar_time = self.data.datetime.time()
        self.Bar_date = self.data.datetime.date()
        self.order_size = int((self.broker.cash / self.closePrice / 4))
        self.highside_offset = round(self.closePrice * self.p.takeProfit_perc / 100, 2)
        self.lowside_offset = round(self.closePrice * self.p.stopLoss_perc / 100, 2)
        self.current_position = self.getposition().size

        print(len(self))
        print('BarDataTime >>', self.Bar_date, self.Bar_time, '  /  Equity >>', int(self.broker.getvalue()),
              '  /  Current Size >>', self.current_position)
        print('close >>', self.closePrice, '  /  RSI >>', self.rsi_ind[0].__round__(1))
        print('-------------')
        #
        #     # If flat and rsi Cross-up Over-Sold level then buy_bracket
        if self.current_position == 0:
            if self.broker.getvalue() > 9500 and self.CrossedOS:
                print('Buy Condition met, current position size>>', self.current_position)  # control string
                self.buy_bracket(size=self.order_size, stopprice=self.closePrice - self.lowside_offset,
                                 limitprice=self.closePrice + self.highside_offset,
                                 exectype=bt.Order.Limit)
        elif self.current_position < 0 and self.CrossedOS:
            print('Close-Sell Condition met, current position size>>', self.current_position)  # control string
            self.close()

        # If flat and rsi Cross-Down Over-Bought level then buy_bracket
        if self.current_position == 0:
            if self.broker.getvalue() > 9500 and self.CrossedOB:
                print('Sell Condition met, current position size>>', self.current_position)  # control string
                self.sell_bracket(size=self.order_size, stopprice=self.closePrice + self.lowside_offset,
                                  limitprice=self.closePrice - self.highside_offset,
                                  exectype=bt.Order.Limit)
        elif self.current_position > 0 and self.CrossedOB:
            print('Close-Buy Condition met, current position size>>', self.current_position)  # control string
            self.close()

    def notify_order(self, order):
        if order.status in [order.Submitted]:
            print('Order Submitted')

        if order.status in [order.Accepted]:
            print('Order Accepted')

        if order.status in [order.Completed]:
            print('Order Completed')

the plot:

and some of the terminal prints for "standard behaviour:

close >> 1.334   /  RSI >> 20.5
-------------
62879
BarDataTime >> 2022-06-13 16:24:00   /  Equity >> 10991   /  Current Size >> 0
close >> 1.33425   /  RSI >> 21.3
-------------
Buy Condition met, current position size>> 0
Order Submitted
Order Submitted
Order Submitted
Order Accepted
Order Accepted
Order Accepted
Order Completed
62880
BarDataTime >> 2022-06-13 16:27:00   /  Equity >> 10987   /  Current Size >> 2059
close >> 1.3325   /  RSI >> 19.8
-------------
62881
BarDataTime >> 2022-06-13 16:30:00   /  Equity >> 10992   /  Current Size >> 2059
close >> 1.33475   /  RSI >> 26.9
-------------
62882
BarDataTime >> 2022-06-13 16:33:00   /  Equity >> 10998   /  Current Size >> 2059

and of the strange behaviour:

62921
BarDataTime >> 2022-06-14 10:00:00   /  Equity >> 10986   /  Current Size >> 2059
close >> 1.332   /  RSI >> 41.4
-------------
62922
BarDataTime >> 2022-06-14 10:03:00   /  Equity >> 10979   /  Current Size >> 2059
close >> 1.32875   /  RSI >> 38.2
-------------
Order Completed
62923
BarDataTime >> 2022-06-14 10:06:00   /  Equity >> 10971   /  Current Size >> 3684
close >> 1.3255   /  RSI >> 35.3
-------------
62924
BarDataTime >> 2022-06-14 10:09:00   /  Equity >> 10971   /  Current Size >> 3684
close >> 1.3255   /  RSI >> 35.3
-------------
62925
BarDataTime >> 2022-06-14 10:12:00   /  Equity >> 10966   /  Current Size >> 3684

I really hope someone has already faced the problem and be kind to give explanation.

Thanks in advance
Gianluca

Gianlu

@Gianlu

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