Suspicious short trade in a pure long trades

[none2003]

Hi @edtechre,

I'm reviewing examples in "10. Rotational Trading.ipynb", I modified nothing but adding a line of trailing stop setting code to function "rotate" like this:

def rotate(ctx: ExecContext):
    if ctx.long_pos():
        if ctx.symbol not in pyb.param('top_symbols'):
            ctx.sell_all_shares()
    else:
        target_size = pyb.param('target_size')
        ctx.buy_shares = ctx.calc_target_shares(target_size)
        ctx.score = ctx.indicator('roc_20')[-1]
        ctx.stop_trailing_pct = 5 # <------- adding trailing stop setting here

The backtesting result is interesting. There are some weird short trades in this purely long scenario. Is this normal?

[Ed West]

This is likely due to using both a trailing stop and selling all shares in the same strategy. You should only use either sell_all_shares or a stop if your intention is to exit a position, not both at the same time.

However, I will look into this more to see if it makes sense to add logic for the long stop to trigger only if there is a long position.

[none2003]

I was intended to try if it's possible to sell all share either not in "top symbols" list or a daily drop greater than trailing stop threshold.

Yes, please investigate further. Much appreciate.

[Ed West]

Added a check for an existing long/short position before triggering a long/short stop. Fix is in dev and will be merged into v1.1.30.

[none2003]

Hi @edtechre,

I saw 1.1.30 added "Checks for existing long/short positions before triggering long/short stops". So I upgraded pybroker to 1.1.30 and re-run "10. Rotational Trading.ipynb" with ctx.stop_trailing_pct = 5, the result seems no difference with using 1.1.29.

If the trailing stop sold all long position at trade id#4, and in function "rotate" using "if ctx.long_pos()" prevents over sell, how these short trades happened?

[Ed West]

You need to cancel all stops after calling sell_all_shares:

def rotate(ctx: ExecContext):
    if ctx.long_pos():
        if ctx.symbol not in pyb.param('top_symbols'):
            ctx.sell_all_shares()
            ctx.cancel_stops(ctx.symbol)
    else:
        target_size = pyb.param('target_size')
        ctx.buy_shares = ctx.calc_target_shares(target_size)
        ctx.score = ctx.indicator('roc_20')[-1]
        ctx.stop_trailing_pct = 5

[none2003]

You need to cancel all stops after calling sell_all_shares:

def rotate(ctx: ExecContext):
    if ctx.long_pos():
        if ctx.symbol not in pyb.param('top_symbols'):
            ctx.sell_all_shares()
            ctx.cancel_stops(ctx.symbol)
    else:
        target_size = pyb.param('target_size')
        ctx.buy_shares = ctx.calc_target_shares(target_size)
        ctx.score = ctx.indicator('roc_20')[-1]
        ctx.stop_trailing_pct = 5

Thank, this helps a lot! 👍

[none2003]

Hi @edtechre,

I noticed the change log of release 1.1.34:

Removes all stops when ctx.sell_all_shares is called.

Does this mean there is no need to manually call "ctx.cancel_stops(ctx.symbol)" after "ctx.sell_all_shares()"?

[Ed West]

Hi @none2003,

It is equivalent. The only difference is that ctx.cancel_stops(symbol) also cancels stops for any short positions for symbol.

[none2003]

Hi @none2003,

It is equivalent. The only difference is that ctx.cancel_stops(symbol) also cancels stops for any short positions for symbol.

Can I understand that while sell_all_shares closes all long positions, it also cancels stops for any long positions? So does it also mean cover_all_shares close all short positions and also cancel stops for any short positions?

[Ed West]

Thanks for catching, I have also made the change to cover_all_shares.