Opening position when criteria doesn't match

[j209177]

My strategy is to buy when the close is below the lower bband for the last four periods, when the 50SMA is over the 199SMA.

Obviously is not doing that, what I am I doing wrong?

  class SmaCross(Strategy):
  
	  def init(self):
		  self.upperband = self.I(BBupper, self.data.Close, 20, 2, color='red')
		  self.lowerband = self.I(BBlower, self.data.Close, 20, 2, color='red')
		  self.EMA9 = self.I(EMA, self.data.Close, 9, color='black')
		  self.SMA19 = self.I(SMA, self.data.Close, 19, color='green')
		  self.SMA50 = self.I(SMA, self.data.Close, 50, color='blue')
		  self.SMA199 = self.I(SMA, self.data.Close, 199, color='black')
		  #self.vwap = self.data.df.ta.vwap() # not sure if works
		  self.k = self.I(SCT, self.data.Close, 14, 4, 5, color='red')
		  
	  def next(self):
		  if (self.SMA50 > self.SMA199 and 
			  self.data.Close < self.lowerband and 
			  self.data.Close[-1] < self.lowerband[-1] and 
			  self.data.Close[-2] < self.lowerband[-2] and 
			  self.data.Close[-3] < self.lowerband[-3] and 
			  self.data.Close[-4] < self.lowerband[-4]):
			  self.buy()
		  elif crossover(self.upperband, self.SMA19) or self.SMA50 < self.SMA199:
			  self.sell()

[kernc]

I'd say you're running it on a minute or lower timeframe and have set commission= to some reasonable value. You're seeing the effect of bid-ask spread, as we model it. Code like this is used to open your trades:

backtesting.py/backtesting/backtesting.py

Lines 743 to 748 in e3cccdf

	def _adjusted_price(self, size=None, price=None) -> float:
	"""
	Long/short `price`, adjusted for commisions.
	In long positions, the adjusted price is a fraction higher, and vice versa.
	"""
	return (price or self.last_price) * (1 + copysign(self._commission, size))

[j209177]

You are correct, I a using one minute data. Removing the commissions parameter did change the output but as seen in the picture it is buying when the 199SMA is over the 50SMA.

bt = Backtest(btData, SmaCross,
			  cash=10000,
			  exclusive_orders=True)

[j209177]

I solved my issue. I only wanted long trades so changing self.sell() to self.position.close() is what i needed as metioned in issue #72.

class SmaCross(Strategy):

	def init(self):
		self.upperband = self.I(BBupper, self.data.Close, 20, 2, color='red')
		self.lowerband = self.I(BBlower, self.data.Close, 20, 2, color='red')
		self.EMA9 = self.I(EMA, self.data.Close, 9, color='black')
		self.SMA19 = self.I(SMA, self.data.Close, 19, color='green')
		self.SMA50 = self.I(SMA, self.data.Close, 50, color='blue')
		self.SMA199 = self.I(SMA, self.data.Close, 199, color='black')
		#self.vwap = self.data.df.ta.vwap() # not sure if works
		self.k = self.I(SCT, self.data.Close, 14, 4, 5, color='red')
		
	def next(self):
		if (self.SMA50 > self.SMA199 and 
			self.data.Close < self.lowerband and 
			self.data.Close[-1] < self.lowerband[-1] and 
			self.data.Close[-2] < self.lowerband[-2] and 
			self.data.Close[-3] < self.lowerband[-3] and 
			self.data.Close[-4] < self.lowerband[-4]):
			self.buy()
		elif crossover(self.upperband, self.SMA19) or self.SMA50 < self.SMA199:
			self.position.close()