This is the strategy I'm using

class AMAStrat(bt.Strategy):
    def __init__(self):
        fast_ama = bt.indicators.AdaptiveMovingAverage(fast=2, slow=5)
        slow_ama = bt.indicators.AdaptiveMovingAverage(fast=4, slow=10)
        self.co = bt.indicators.CrossOver(fast_ama, slow_ama)

    def next(self):
        dayend = self.data.datetime.time(0) > time(15, 15)
        if dayend and self.position:
            self.close()

        if self.co > 0:
            self.close()
            self.order = self.buy()

        elif self.co < 0:
            self.close()
            self.order = self.sell()

It is a position reversal strategy, so it's supposed to always stay in the market, and close all positions at the end of the day.

And this is the result upon running the strategy on the data

As you can see from the cash // value graph at the top, it was not in the market all the time, it exited after some time. Specifically, at the buy signal, it only closed the previous position, but did not buy any more and create a new position.

Any clue why this might be happening?

Thanks for the help @Robin-Dhillon @ab_trader !!!

You're right, it was as simple as declaring

self.indicator3 = indicator1 > indicator2

I was getting confused because it wasn't showing up in the plot, and because of that I was thinking that I was doing something wrong. I had to do this for the plot to show up.

How can I create an indicator in the __init__ of my strategy which just outputs the sign (positive or negative, +1 or -1) of another indicator?

@backtrader I'm only buying stocks, not selling anything. As I'm only buying, it would seem obvious that my portfolio balance should go down, not up. Am I missing something here?

This is the code I'm using. Nothing fancy, just followed the tutorial ---

import os.path
import sys

import backtrader as bt
import backtrader.feeds as btfeeds


class GoogleDriveData(btfeeds.GenericCSVData):
    params = (
        ('dtformat', ('%Y%m%d')),
        ('tmformat', ('%H:%M')),
        ('datetime', 1),
        ('time', 2),
        ('high', 3),
        ('low', 4),
        ('open', 5),
        ('close', 6),
        ('volume', 7),
        ('openinterest', -1),
        ('timeframe', bt.TimeFrame.Minutes)
    )


class TestStrategy(bt.Strategy):
    def log(self, txt, dt=None):
        dt = dt or self.datas[0].datetime.datetime(0)
        print(f'{dt}, {txt}')

    def __init__(self):
        self.dataclose = self.datas[0].close

    def next(self):
        self.log(f'Close, {self.dataclose[0]}')

        if self.dataclose[0] < self.dataclose[-1] < self.dataclose[-2]:
            self.log(f'BUY CREATE, {self.dataclose[0]}')
            self.buy()


if __name__ == '__main__':
    cerebro = bt.Cerebro()
    cerebro.addstrategy(TestStrategy)

    cerebro.broker.setcash(1000000.0)

    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, 'TATAMOTORS.txt')
    data = GoogleDriveData(dataname=datapath)
    cerebro.adddata(data)

    print(f'Starting Portfolio Value: {cerebro.broker.getvalue()}')
    cerebro.run()
    print(f'Final Portfolio Value: {cerebro.broker.getvalue()}')

And the final portfolio value is ---

Final Portfolio Value: 1004834.0999999973