AssertionError while using TrailingStrategy

[zlpatel]

Fixes #316

I have found the culprit. It's self.__atr[-1].

/usr/local/lib/python3.8/site-packages/backtesting/lib.py(433)set_atr_periods()
-> self.__atr = atr
(Pdb) pp atr[-1]
62.03802490234375

/usr/local/lib/python3.8/site-packages/backtesting/lib.py(440)set_trailing_sl()
-> self.__n_atr = n_atr
(Pdb) pp n_atr
1.5

/usr/local/lib/python3.8/site-packages/backtesting/lib.py(446)next()
-> trade.sl = max(trade.sl or -np.inf,
(Pdb) pp self.data.Close[-1]
22.170000076293945

so per the formula: trade.sl = max(trade.sl or -np.inf, self.data.Close[-1] - self.__atr[-1] * self.__n_atr)

22.17 - (62.04*1.5) = -70.89

the code shouldn't be using atr[-1]. It should be using atr[index] where index = len(self.data)-1

Because, when self.data in init() is different from self.data in next(). self.data in init() has all the data. while the one in next() gets accumulated data over iterations. i.e. 5 iterations -> 5 data. n iteration -> n data. so doing self.data.Close[-1] in next() gets you the last record. but the same is not true for self.__atr, because self.__atr always has full computed set from init(), so you need to use absolute index while accessing atr value from self.__atr.

[kernc]

I'm quite opposed to vendoring a new data set in a bug fix like this. I meant if you're able to easily construct a small, contrived unit test / test case, i.e., something that fails on atr[-1], but not with atr[index]. Otherwise, no test is preferred to this. 😬

[zlpatel]

Yea. It's little difficult to test atr[-1] unless I write that piece of code out in the test case to do the computation But then it won't really be considered as a unit test for the TrailingStrategy. Rather it would be a logic test. Is it okay to skip the test for this one then? I can add descriptive comment in that line of code as to why I am using index instead of -1.

[zlpatel]

@kernc It passed all the checks! What are the next steps?

[kernc]

Merging. Many thanks for taking the time to investigate and fix this! 🍰