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average_entry_price in Strategy is wrong

See original GitHub issue

Hello, while backtesting a long-only strategy I notice there might be something wrong in computing the average_entry_price Here it a sequence of buy order (1st one made in go_long, the others in update_position) and how the average_entry_price gets updated

buying qty: 3.3426391274712346 price: 150.44
average_entry_price: 150.44
buying 3.1774795305245025 150.33
average_entry_price: 150.33
buying 3.024307255417514 150.03
average_entry_price: 150.03
buying 2.8473431610486517 151.37
average_entry_price: 151.37
buying 2.6811195961259826 152.7
average_entry_price: 152.7
buying 2.5541417738143384 152.26
average_entry_price: 152.26
buying 2.4468974718562766 150.97
average_entry_price: 150.97
buying 2.318153649389877 151.37
average_entry_price: 151.37
buying 2.2468293065477463 148.35
average_entry_price: 148.35
buying 2.1494655325637435 147.3
average_entry_price: 147.3
buying 2.0424598613965914 147.25
average_entry_price: 147.25
buying 1.9870837092479907 143.77
average_entry_price: 143.77

It looks like average_entry_price always takes the last buying price. Am I doing something wrong or is it a real bug?

Issue Analytics

State:
Created 3 years ago
Comments:5 (5 by maintainers)

Top GitHub Comments

1reaction

lightyear15commented, Jul 31, 2020

Thanks a lot, self.position.entry_price was the bad boy I was looking for. I agree with you then… if self.position is resuming all info about current position, then self.average_entry_price should report only the average entry price of the last order. I am closing the issue. Thanks again

1reaction

saleh-oldcommented, Jul 20, 2020

Nice catch. I’ll fix it. Thank you