Different backtest results for same algorithm, one ticker vs. two tickers.

Change `self.previous_bar_close`, `self.lowestPrice`, etc to a dictionary as it's being overwritten in the loop

Adam W Thanks so much for the suggestion! Unfortunately though I am encountering a ‘float’ object is not subscriptable, error when converting them to a dict. I assume that I should define these as empty dictionaries in the initialization phase? i.e:: `self.previous_bar_close = dict()`

Hi Christopher Phillips,
In the above algorithm, `self.previous_bar_close`, `self.lowestPrice` and 'self.ticket' are being overwritten. To resolve this, we recommend using a dictionary to store the above variables keyed by the Symbol object. In the attached backtest, we have shifted the above field to SymbolData class. Note that, keeping best practices, we have made the following changes to the above algorithm.
 

1. Shifted the whole indicator logic to the SymbolData class.
2. Updated the method to check whether the data is available to the following-

 if data.ContainsKey(Symbol) and data[Symbol] is not None and self.dataBySymbol[Symbol].IsReady() :

3. Used the symbol object to place different kinds of orders in the algorithm.
Refer to the attached backtest

.Best,
Varad Kabade

Varad kabade  This worked excellently, thank you so much! 

I am also trying to add another indicator to the SymbolData class, but I am receiving errors.

I am pretty sure the issue is how I am adding it to the SymbolData class, but I don't know what the best way to go about this is, do you have any idea what I am doing wrong?

Best,

Christopher

Hi Christopher

public variable using prefix self. can only be retrieved within class object. If you're calling a public variable from another class, you'll need to call the class then its attribute/method: self.window → self.dataBySymbol[Symbol].window. Otherwise, python will only find the variable/attribute/method from same class.

BTW I don't get your 3rd consolidator's usage, so I didn't do anything to it. Can you explain more?

Cheers
Louis

Hi Louis Szeto , the third consolidator is meant to obtain the previous days close using the rolling window. It is based on this method: 

What I was trying to do was integrated this indicator into the SymbolData class, because the backtest was producing erroneous results, i.e not trading multiple tickers, and not trading multiple times per day. It looked like my previous method for calculating previous days closing price was not working, so I was hoping this would remedy the situation.

If you have a better solution for obtaining previous days closing price for each symbol I would love to hear it, or if you think this is the way to proceed, I would also like to know if I am taking the correct approach?

Best,

Christopher

Then your way using it looks good to me

Louis Szeto  Awesome! Thanks. It is working now, except now I have an issue with the timed exit no liquidating trades, which to be honest I don't think it ever worked. I have tried multiple methods of using time to liquidate trades after 15 mins, but none seems to work. Have you used timed exits in trading before?

No worries, I fixed it! Thanks for your help everyone.