Entry Price is not correct

[rinkesh-ahuja]

I am trying to backtest inside candle pattern on 15 mins timeframe. But, the entry price is not correct as I tried to see the _stats.trades. The exit price seems correct but the entry price is way above than what I have set by placing 'Stop' orders. I tried to cross-check it in trading view charts as well as the data I am passing. The price does not even hover in the range what the entry price I am getting with this backtest. This issue is recurring with almost every code. Not sure if something is wrong with the trade. I am attaching the entire code below.

from backtesting import Strategy, Backtest
from backtesting.lib import resample_apply
import pandas as pd
import numpy as np

class System(Strategy):
    rr = 2
    
    def init(self):
        pass
    
    def next(self):  
        
        if (self.data.Close[-2] > self.data.Open[-2] and    
             self.data.High[-1] < self.data.High[-2] and
             self.data.Low[-1] > self.data.Low[-2]):
                 self.buy(stop=self.data.High[-1], sl=self.data.Low[-1],
                          tp=self.data.High[-1]+(self.rr*(self.data.High[-1] - self.data.Low[-1])))


df = pd.read_csv("Data.csv", index_col="Date_Time", parse_dates=True)
bt = Backtest(data = df, strategy = System, commission = 0.01,
                    cash = 100000, exclusive_orders=False, hedging=True)


bt.run()

I am so grateful to you for this library and prompt response. Kudos 👍

[kernc]

This has to do with commission=0.01. The adjusted entry price should be 1% higher.

backtesting.py/backtesting/backtesting.py

Lines 746 to 751 in 65f54f6

	def _adjusted_price(self, size=None, price=None) -> float:
	"""
	Long/short `price`, adjusted for commisions.
	In long positions, the adjusted price is a fraction higher, and vice versa.
	"""
	return (price or self.last_price) * (1 + copysign(self._commission, size))

[rinkesh-ahuja]

Absolute genius!!!!

Now, after detection of this pattern, I have added one more condition to confirm that trade takes place ONLY when the current candle crosses the high of previous candle.
self.data.High[0] > self.data.High[-1]
But as I can see from the trade book, the entry takes place WHENEVER the price crosses the high of the 'previous candle'. I want to limit it to the next immediate candle only. I hope it makes sense what I am saying. Or indexing with [0]/current candle doesn't work at all!?

Thank you so much!

[kernc]

Or indexing with [0]/current candle doesn't work at all!?

The indexing in backtesting.py is like normal Python lists, in ascending order: self.data.High[-1] is the most recent value, self.data.High[-2] the previous value, etc.

[armwdev]

I have a similar problem with this. Especially with shorting, when I increase the commission value, the "Entry Price" gets even lower than the current candle low and position size stays the same. Should this be even possible? I mean instead of changing the "Entry Price", shouldn't it be logical to decrease the position size instead when the commission gets higher or vice versa? I think the close and open prices are final so I am not sure why those are changed depending on the commission value. Thanks for the help.