if sell at close, and close value is fixed, still the final equity value is strange

[sandeepbhutani304]

Expected Behavior

Equity value should be same as of starting equity value

Actual Behavior

It changes based on number of data points

Steps to Reproduce

1. Hardcode the close value in dataframe
2. run bt.run
3. In strategy, do 1 buy and 1 sell, thats all
4. see the result

class SmaCross(Strategy):
    # Define the two MA lags as *class variables*
    # for later optimization
    n1 = 10
    n2 = 20

    ii = 0

    boughtonce=False
    
    def init(self):
        # Precompute the two moving averages
        self.sma1 = self.I(SMA, self.data.Close, self.n1)
        self.sma2 = self.I(SMA, self.data.Close, self.n2)
    
    def next(self):
        # print(self.data.Close)
        global ggg

        self.ii += 1
        # if ggg == False:
        if self.ii == 10:
            self.buy()
            ggg = True
        
        if self.ii == 11:
            self.sell()
        return


GOOG["Close"] = 105
GOOG = GOOG[:300]
print(GOOG)
bt = Backtest(GOOG, SmaCross, cash=1000, commission=0)
stats = bt.run()
print(stats, "\n", stats._trades)

Start                     2004-08-19 00:00:00
End                       2005-10-25 00:00:00
Duration                    432 days 00:00:00
Exposure Time [%]                        90.0
Equity Final [$]                      2504.86
Equity Peak [$]                       2504.86
Return [%]                            150.486
Buy & Hold Return [%]                     0.0
Return (Ann.) [%]                  116.260949
Volatility (Ann.) [%]             1256.562577
Sharpe Ratio                         0.092523
Sortino Ratio                        7.012154
Calmar Ratio                         6.437483
Max. Drawdown [%]                      -18.06
Avg. Drawdown [%]                      -18.06
Max. Drawdown Duration      390 days 00:00:00
Avg. Drawdown Duration      390 days 00:00:00
# Trades                                    1
Win Rate [%]                            100.0
Best Trade [%]                     164.357798
Worst Trade [%]                    164.357798
Avg. Trade [%]                     164.357798
Max. Trade Duration         389 days 00:00:00
Avg. Trade Duration         389 days 00:00:00
Profit Factor                             NaN
Expectancy [%]                     164.357798
SQN                                       NaN
_strategy                            SmaCross
_equity_curve                          Equ...
_trades                      Size  EntryBa...
dtype: object
    Size  EntryBar  ExitBar  EntryPrice  ExitPrice      PnL  ReturnPct  EntryTime   ExitTime Duration
0     7        30      299       130.8     345.78  1504.86   1.643578 2004-10-01 2005-10-25 389 days

Additional info

Backtesting version: 0.3.3

• bokeh.__version__:
• OS: windows

[PabloCanovas]

Yeah I noticed the same. It seems the equity and cash attributes are not being updated correctly for each new candle.
I think the fix would be as follows. Under the Broker class we have to fix:

1. the equity property should be changed from

@property
def equity(self) -> float:
    return self._cash + sum(trade.pl for trade in self.trades)

to

@property
def equity(self) -> float:
    return self._cash + sum(trade.value for trade in self.trades)

2. on the _close_trade method we should replace
   self._cash += trade.pl
   for
   self._cash += trade.value

3. on the _open_trade method we should add at the end the following line:
   self._cash = self._cash - trade.size*trade.entry_price

[kernc]

        if self.ii == 10:
            self.buy()
            ggg = True

On bar 10, a trade for 100% equity is entered.

        
        if self.ii == 11:
            self.sell()

On bar 11, a short order for 100% equity is placed, but is cancelled by the broker because the remaining equity doesn't suffice for even a single unit. If you wanted to close the trade, you should have used trade.close() or self.position.close() or self.sell(size=self.position.size).

backtesting.py/backtesting/backtesting.py

Lines 949 to 952 in d4ec0ba

	# Not enough cash/margin even for a single unit
	if not size:
	# XXX: The order is canceled by the broker?
	self.orders.remove(order)

Start                     2004-08-19 00:00:00
...
# Trades                                    1
...
    Size  EntryBar  ExitBar  EntryPrice  ExitPrice      PnL  ReturnPct  EntryTime   ExitTime Duration
0     7        30      299       130.8     345.78  1504.86   1.643578 2004-10-01 2005-10-25 389 days

Finally, the active trade was forced closed upon backtest end and that's the trade we're seeing. (New behavior since #393 makes such trade finalization optional.)

The comment by @PabloCanovas seems irrelevant to the issue.