For some reason my SMA crossover strategy with backtest will not trade during a certain period even though the crossovers happen

[xemadhaquex]

Hi everyone,

With the code below I am trying to learn how to use this library but I am having trouble getting some trades to execute during the period of June 2021 to June 2022 even though there are clearly SMA crossovers taking place. Can anyone help me figure out what I am doing wrong?

In this code I am pulling data from yahoo finance and feeding it into a slightly modified version of a sample code I found somewhere for this library which should execute trades whenever there is an SMA crossover.

import yfinance as yf
import numpy as np
import pandas as pd
from backtesting import Backtest, Strategy #backtesting.py
from backtesting.lib import crossover
from backtesting.test import SMA

import csv

ticker = yf.Ticker("SPY")

# get stock info
ticker.info

# get historical market data, 1993 to now of daily data
hist = ticker.history(period="max")
hist = hist[-1200:] #just the last 5000 bars

#we save opens and closes
opens = hist['Open'][0:]
closes = hist['Close'][0:]

#print(hist)
#print(closes)

riskRewardRatio = 2 # =TakeProfit percentage/ StopLoss Percentage
TakeProfit = .05 # percent at which we want the code to take profit, will directly effect Stop loss because of RiskRewardRatio
StopLoss = TakeProfit/riskRewardRatio

n1 = 2 
n2 = 15

#make backtesting.py strategy
class SmaCross(Strategy):
    

    def init(self):
        close = self.data.Close 
        self.close = self.data.Close 
        self.sma1 = self.I(SMA, close, n1)
        self.sma2 = self.I(SMA, close, n2)
        self.pos = 0
        self.halfClosed = False


    def next(self):

        price = self.close[-1]#Get current price in backtest       

        if crossover(self.sma1, self.sma2): #enter trade if crossover, 

            #self.position.close(1)
            #self.pos = 0
            #self.halfClosed = False

            sz = self.equity//price
            self.buy(tp=(TakeProfit+1)*price,sl=(1-(TakeProfit/riskRewardRatio))*price, limit = price-(price/100),size= sz) #size= sz, #need to start specifying order size and stuff like that when we buy and sell
            self.pos = 1

        elif crossover(self.sma2, self.sma1): # #enter trade if crossover 
            #self.position.close(1)
            #self.pos = 0
            #self.halfClosed = False
            print('below is crossovers')
            print(self.sma1[-2],self.sma2[-2])
            print(self.sma1[-1],self.sma2[-1])
            
            sz = self.equity//price
            self.sell(tp = (1-TakeProfit)*price, sl = price*((TakeProfit/riskRewardRatio)+1),limit= price-(price/100), size=sz) #size= sz,
            self.pos = -1
        #need to have a stop loss thing here to play with


#One-Time backtest:

bt = Backtest(hist, SmaCross,
              cash=50000, commission=.0002,
              exclusive_orders=True)
output = bt.run()
bt.plot(plot_width=2450)
#print(output)

[iimka]

I think the below code making the problem:
self.buy(tp=(TakeProfit+1)*price,sl=(1-(TakeProfit/riskRewardRatio))*price, limit = price-(price/100),size= sz)

Although SMA crossovers, the following price doesn't touch the limit price. If you remove the below code, more trade will be occurred.
limit = price-(price/100)