AssertionError while using TrailingStrategy

backtesting/lib.py

@@ -441,13 +441,21 @@ def set_trailing_sl(self, n_atr: float = 6):
 
     def next(self):
         super().next()
+        """
+        self.data in init() is different from self.data in next(). self.data in init() has all the data. 
+        while the one in next() gets accumulated data over iterations. i.e. 5 iterations -> 5 data. n iteration -> n data. 
+        so doing self.data.Close[-1] in next() gets you the last record. 
+        but the same is not true for self.__atr, because self.__atr always has fully computed set from init(), 
+        so we need to use absolute index while accessing atr value from self.__atr.
+        """
+        index = len(self.data)-1
         for trade in self.trades:
             if trade.is_long:
                 trade.sl = max(trade.sl or -np.inf,
-                               self.data.Close[-1] - self.__atr[-1] * self.__n_atr)
+                               self.data.Close[index] - self.__atr[index] * self.__n_atr)
             else:
                 trade.sl = min(trade.sl or np.inf,
-                               self.data.Close[-1] + self.__atr[-1] * self.__n_atr)
+                               self.data.Close[index] + self.__atr[index] * self.__n_atr)
 
 
 # Prevent pdoc3 documenting __init__ signature of Strategy subclasses

backtesting/test/__init__.py

@@ -15,7 +15,6 @@ def _read_file(filename):
 EURUSD = _read_file('EURUSD.csv')
 """DataFrame of hourly EUR/USD forex data from April 2017 to February 2018."""
 
-
 def SMA(arr: pd.Series, n: int) -> pd.Series:
     """
     Returns `n`-period simple moving average of array `arr`.

backtesting/test/_test.py

@@ -858,10 +858,8 @@ def next(self):
                 super().next()
                 if not self.position and self.data.Close > self.sma:
                     self.buy()
-
         stats = Backtest(GOOG, S).run()
-        self.assertEqual(stats['# Trades'], 51)
-
+        self.assertEqual(stats['# Trades'], 57)
 
 class TestUtil(TestCase):
     def test_as_str(self):