Noob question on extracting position size for backtesting.py

[kiann00]

Hi noob on python and backtesting.py there,

I have a relatively simple customized technical indicator which produces/produced a signal on every time-slice. What I want to do is to have a maximum position size, which I tried to incorporate in the 'Strategy' class as per below :

1. Somehow, the code below doesn't seem to max out the position (Noticed it doesn't seem to be correct though, my portfolio seems to allow position of more than 3 positions.)
2. Worse, for some reason, the backtesting.py (Strategy) doesn't seem to be picking up the buy/sell signals.
   • my logic is to buy when signal is above 1, and short when signal is smaller than -1 (these magnitudes will be changed)
   • but somehow, it is doing only 1 trade across the whole time-periods.

Help!!! @kernc / or any experts on this module here? 🙏🙏🙏

class SignalStrategy(Strategy):
    def init(self):
        pass
    ...
    def next(self):     
        current_signal = self.data.signal[-1]
        # if buy signal and position size is less than max position
        if current_signal >= 1 & (abs(position.size) <= 3):
            if not self.position:
                self.buy()
        # if SELL signal and position size is less than max position
        elif (current_signal <= -1) & (abs(position.size) <= 3) :
            if not self.position:
                self.sell()

Below are my signal and price data fed into the code : bt = Backtest(tmp2_, SignalStrategy, cash=10_000)

tmp2_ dataframe below

Open_5min High_5min Low_5min Close_5min target signal
2022-10-06 09:30:00 375.829987 377.049988 375.720001 376.859985 -0.001672 1
2022-10-06 09:35:00 376.859985 377.619995 376.160004 377.600708 -0.006596 -3
2022-10-06 09:40:00 377.609985 378.720001 377.470001 378.029999 -0.008729 -3
2022-10-06 09:45:00 378.029999 378.179993 376.859985 377.165009 -0.007782 -2
2022-10-06 09:50:00 377.140015 378.168488 376.950012 377.760010 -0.008286 -4
2022-10-06 09:55:00 377.731903 377.760010 376.000000 376.230011 -0.004678 -1
2022-10-06 10:00:00 376.230011 376.260010 374.709991 375.109985 -0.003865 0
2022-10-06 10:05:00 375.109985 375.119995 374.190002 374.730011 -0.003202 1
2022-10-06 10:10:00 374.730011 374.739990 373.779999 374.230011 -0.000053 2
2022-10-06 10:15:00 374.209991 375.230011 374.200012 374.630005 0.000107 2
2022-10-06 10:20:00 374.329987 374.839996 374.109985 374.469910 0.003459 2
2022-10-06 10:25:00 374.459991 374.820007 373.609985 373.660004 0.005807 3
2022-10-06 10:30:00 373.660095 374.309998 373.440002 373.529999 0.007737 4
2022-10-06 10:35:00 373.529999 374.540009 373.410004 374.209991 0.002779 4
2022-10-06 10:40:00 374.204987 374.959991 374.160095 374.670013 0.002375 3
2022-10-06 10:45:00 374.679993 375.809998 374.350098 375.765015 -0.002014 2
2022-10-06 10:50:00 375.750000 375.920013 375.399994 375.829987 0.001330 2
2022-10-06 10:55:00 375.858002 376.489990 375.450012 376.420013 0.000505 1
2022-10-06 11:00:00 376.429993 376.559998 375.089996 375.250000 0.003358 3
2022-10-06 11:05:00 375.250000 376.052002 375.250000 375.559998 0.001091 2

FYI, the data is SPY in which the price is about 385.0

[iimka]

position size =-26
abs(position.size) =26 > 3
cannot trigger any conditions