Understanding Jesse and InsufficientMargin

Driagan

I'm trying to get Jesse set up to work on developing and testing my own strategies, but to begin with I'm trying to get an example strategy to work. I've imported Coinbase candles (I kept running into issues with Binance candles when attempting to run backtrace and just decided to move to Coinbase to get things working to begin with).

When I attempt to run "jesse backtest --debug '2021-01-01' '2021-02-01'" I can see the following in the output:

[2021-01-04T12:00:00+00:00]: SUBMITTED order: BTC-USD, MARKET, buy, 0.32, $30774.11 [2021-01-04T12:00:00+00:00]: EXECUTED order: BTC-USD, MARKET, buy, 0.32, $30774.11 [2021-01-04T12:00:00+00:00]: Charged 49.24 as fee. Balance for USD on Coinbase changed from 10000 to 9950.76 [2021-01-04T12:00:00+00:00]: OPENED long position: Coinbase, BTC-USD, 0.32, $30774.11 ==== BTC-USD | 2021-01-04T12:00 | 30774.11 | 31771.01 | 32246.07 | 30500.0 | 8793.18 ==== BTC-USD | 2021-01-04T16:00 | 31771.01 | 31690.76 | 31930.55 | 30607.88 | 7212.94 ==== BTC-USD | 2021-01-04T20:00 | 31690.76 | 32019.99 | 32050.0 | 30864.66 | 5330.11 [2021-01-05T00:00:00+00:00]: SUBMITTED order: BTC-USD, MARKET, sell, -0.32, $32019.99 Uncaught Exception: InsufficientMargin: You cannot submit an order for $10246 when your margin balance is $103

However, if my understanding is correct, it should have purchased 0.32 BTC at the price of $30,774.11 then sold 0.32 BTC at $32,019.99, resulting in a balance of $10,398.68 (minus fees). Next it then looks like it attempts to buy with $10,246 (which should be fine, right? since it just sold and now has at least that much USD?), however it receives the exception stating that the account only has $103 in it.

What is the issue with the strategy/backtesting that is preventing it from using the funds that it just obtained by selling?

Driagan

In addition to the above, if I use the SMACrossover example strategy, with jesse backtest --debug '2021-01-01' '2021-02-01', it runs for a bit, but then will error out with a similar error message:

... ==== BTC-USD | 2021-01-26T12:00 | 31825.45 | 31772.62 | 31998.18 | 30830.0 | 4492.31 ==== BTC-USD | 2021-01-26T16:00 | 31772.62 | 32239.95 | 32444.18 | 31343.15 | 4544.84 ==== BTC-USD | 2021-01-26T20:00 | 32239.95 | 32510.82 | 32960.37 | 31892.46 | 4373.39 [2021-01-27T00:01:00+00:00]: Saved daily portfolio balance: 11030.03 ==== BTC-USD | 2021-01-27T00:00 | 32510.82 | 31839.07 | 32584.62 | 31600.99 | 3449.67 ==== BTC-USD | 2021-01-27T04:00 | 31839.07 | 31811.86 | 32070.57 | 31409.01 | 3024.01 ==== BTC-USD | 2021-01-27T08:00 | 31811.86 | 30677.49 | 31811.86 | 30600.0 | 4589.56 [2021-01-27T12:00:00+00:00]: SUBMITTED order: BTC-USD, MARKET, sell, -0.335, $30677.49 ... Uncaught Exception: InsufficientMargin: You cannot submit an order for $10277 when your margin balance is $116

And if I use the TurtleRules example strategy, I receive a different error of:

[2021-01-01T00:00:00+00:00]: Saved daily portfolio balance: 10000 ==== BTC-USD | 2021-01-01T00:00 | 28990.08 | 29358.3 | 29545.0 | 28751.82 | 5506.93 ... Uncaught Exception: KeyError: 'entry_dc_period'

My routes.py file simply contains the following (adjusting the specific strategy between RSI2, SMACrossover, and TurtleRules):

`from jesse.utils import anchor_timeframe

routes = [
('Coinbase', 'BTC-USD', '4h', 'TurtleRules'),
]

extra_candles = [
('Coinbase', 'BTC-USD', anchor_timeframe('4h')),
]`

Driagan

I've tracked this down a little more, so if I adjust the config.py to have 'type': 'spot' instead of 'type': 'future' and then adjust the should_short() function to return False, I can then run both RSI2 and SMACrossover successfully, though why would the should_short()/go_short() functions cause it to fail with InsufficientMargin or NegativeBalance exceptions?

nerdy

I, and several others have reported the issue on discord. Hopefully the devs are working on a solution.

vH11NRu2HR

The issue in TurtleRules comes from the prepare method, which was changed in a recent version to before.

        ...
        self.last_opened_price = 0
        self.last_was_profitable = False

    def before(self):
        self.vars["unit_risk_percent"] = 1
        self.vars["entry_dc_period"] = 20
        ...

After that, you'll only have the InsufficientMargin error to worry about!