No way to disable short-selling ?

[alpozcan]

Expected Behavior

Not every market, broker or security has short-selling enabled, therefore it should be reasonably easy to control short-selling for a backtesting strategy. I haven't found a parameter to control this and have been trying to disable short-selling in my Strategy child-class explicitly.

It should be possible to set the backtesting instance or the strategy to take long positions only.

Actual Behavior

This strategy:

class ModelPrediction(Strategy):
    bullish_threshold =  .275
    bearish_threshold = -.08

    def bullish(self, df, threshold):
        return (df['predicted'] > threshold)

    def bearish(self, df, threshold):
        return (df['predicted'] < threshold)

    def init(self):
        self.predicted_bullish = self.I(self.bullish, self.data, self.bullish_threshold)
        self.predicted_bearish = self.I(self.bearish, self.data, self.bearish_threshold)

    def next(self):
        if not self.position.is_long and self.predicted_bullish:
            self.buy()
        elif self.position.is_long and self.predicted_bearish:
            self.sell()

Takes short positions:

If I add a condition to close short positions:

    def next(self):
        if self.position.is_short:
            self.position.close()
        elif not self.position.is_long and self.predicted_bullish:
            self.buy()
        elif self.position.is_long and self.predicted_bearish:
            self.sell()

This still results in short trades, except the positions are closed on the next bar:

If I try to actively cancel short orders immediately, by inserting an instance variable long_only = True and the below code at the bottom of next():

        for o in self.orders:
            if self.long_only and o.is_short:
                o.cancel()

Then I get the following error upon calling run() on the strategy:

---------------------------------------------------------------------------
AssertionError                            Traceback (most recent call last)
<ipython-input-179-99bc3190ea4b> in <module>
     ...
---> 38 stats = bt.run()
     39 stats

~\AppData\Local\Programs\Python\Python39\lib\site-packages\backtesting\backtesting.py in run(self, **kwargs)
   1163 
   1164                 # Next tick, a moment before bar close
-> 1165                 strategy.next()
   1166             else:
   1167                 # Close any remaining open trades so they produce some stats

<ipython-input-179-99bc3190ea4b> in next(self)
     30         for o in self.orders:
     31             if self.long_only and o.is_short:
---> 32                 o.cancel()
     33 
     34 bt = Backtest(bt_data, ModelPrediction, commission=.004, exclusive_orders=True)

~\AppData\Local\Programs\Python\Python39\lib\site-packages\backtesting\backtesting.py in cancel(self)
    415                 trade._replace(tp_order=None)
    416             else:
--> 417                 assert False
    418 
    419     # Fields getters

AssertionError: 

Additional Context

The backtesting strategy is initialised as follows:

bt = Backtest(bt_data, ModelPrediction, commission=.004, exclusive_orders=True)

Proposed Solution

To have a parameter long_only or similar on Strategy or Backtest, when set, would disable short orders and trades.

• Backtesting version: 0.3.1

[kernc]

Does it work if you just do:

        if not self.position and self.predicted_bullish:
            self.buy()
        elif self.position and self.predicted_bearish:
            self.position.close()

Or, alternatively:

            assert self.position.is_long
            self.sell(size=self.position)

This shouldn't result in any short orders/trades.

[alpozcan]

works great, thank you!