if sell at close, and close value is fixed, still the final equity value is strange

[sandeepbhutani304]

Expected Behavior

Equity value should be same as of starting equity value

Actual Behavior

It changes based on number of data points

Steps to Reproduce

1. Hardcode the close value in dataframe
2. run bt.run
3. In strategy, do 1 buy and 1 sell, thats all
4. see the result

`class SmaCross(Strategy): # Define the two MA lags as class variables # for later optimization n1 = 10 n2 = 20

ii = 0

boughtonce=False

def init(self):
    # Precompute the two moving averages
    self.sma1 = self.I(SMA, self.data.Close, self.n1)
    self.sma2 = self.I(SMA, self.data.Close, self.n2)

def next(self):
    # print(self.data.Close)
    global ggg

    self.ii += 1
    # if ggg == False:
    if self.ii == 10:
        self.buy()
        ggg = True
    
    if self.ii == 11:
        self.sell()

    return

`

GOOG["Close"] = 105
GOOG = GOOG[:300]
print(GOOG)
bt = Backtest(GOOG, SmaCross, cash=1000, commission=0)
stats = bt.run()
print(stats, "\n", stats._trades)

Start                     2004-08-19 00:00:00
End                       2005-10-25 00:00:00
Duration                    432 days 00:00:00
Exposure Time [%]                        90.0
Equity Final [$]                      2504.86
Equity Peak [$]                       2504.86
Return [%]                            150.486
Buy & Hold Return [%]                     0.0
Return (Ann.) [%]                  116.260949
Volatility (Ann.) [%]             1256.562577
Sharpe Ratio                         0.092523
Sortino Ratio                        7.012154
Calmar Ratio                         6.437483
Max. Drawdown [%]                      -18.06
Avg. Drawdown [%]                      -18.06
Max. Drawdown Duration      390 days 00:00:00
Avg. Drawdown Duration      390 days 00:00:00
# Trades                                    1
Win Rate [%]                            100.0
Best Trade [%]                     164.357798
Worst Trade [%]                    164.357798
Avg. Trade [%]                     164.357798
Max. Trade Duration         389 days 00:00:00
Avg. Trade Duration         389 days 00:00:00
Profit Factor                             NaN
Expectancy [%]                     164.357798
SQN                                       NaN
_strategy                            SmaCross
_equity_curve                          Equ...
_trades                      Size  EntryBa...
dtype: object
    Size  EntryBar  ExitBar  EntryPrice  ExitPrice      PnL  ReturnPct  EntryTime   ExitTime Duration
0     7        30      299       130.8     345.78  1504.86   1.643578 2004-10-01 2005-10-25 389 days

Additional info

Backtesting version: 0.3.3

• bokeh.__version__:
• OS: windows

[PabloCanovas]

Yeah I noticed the same. It seems the equity and cash attributes are not being updated correctly for each new candle. I think the fix would be as follows. Under the Broker class we have to fix:

1. the equity property should be changed from

@property
def equity(self) -> float:
    return self._cash + sum(trade.pl for trade in self.trades)

to

@property
def equity(self) -> float:
    return self._cash + sum(trade.value for trade in self.trades)

2. on the _close_trade method we should replace self._cash += trade.pl for self._cash += trade.value

3. on the _open_trade method we should add at the end the following line: self._cash = self._cash - trade.size*trade.entry_price