Stop loss on the same day the position was opened
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bug
- Dominant language
- Python
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Description
Expected Behavior
Strategy closes the position at 720
Actual Behavior
Strategy closes the position on next candle at open price, 705.58
Steps to Reproduce
Run the following code. You can see the wrong behaviour on 2012-10-18
from backtesting import Backtest, Strategy
from backtesting.test import GOOG
class DummyStrategy(Strategy):
def init(self):
pass
def next(self):
if f"{self.data.index[-1]}" == "2012-10-17 00:00:00":
self.buy(sl=720)
if __name__ == "__main__":
data = GOOG.tail(100)
backtest = Backtest(data, DummyStrategy, cash=10000)
result = backtest.run()
backtest.plot()
Additional info
- Backtesting version: 0.2.0
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start by running the Backtest with the provided DummyStrategy, GOOG data, and Backtest.run() entry point to reproduce the 2012-10-18 result. Trace the Strategy.buy(sl=720) execution and verify that a position opened on 2012-10-17 closes at the stop-loss price on the same day; done means the result no longer waits for the next candle at 705.58.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python
- Domain
- fintech-quant
- Issue type
- Bug
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 42/100