Long/Short signals fire independent of shortonly direction?

[jkittrell]

wrestling a bit controlling long vs short positions; i'm passing both long_entry/exit and short_entry/exit signals but then attempting to limit positions simply with 'direction' argument which doesn't appear to be controlling.

entries=prices['long_entry'].astype(bool),
exits=prices['long_exit'].astype(bool),
short_entries=prices['short_entry'].astype(bool),
short_exits=prices['short_exit'].astype(bool),
direction='shortonly'

When direction=shortonly, i'm getting both long and short positions executed, and vice-versa. I know I'd typically run this with direction=both, but was testing my configuration. Is there something else I should be setting to control bi-directional trade?

[initial-d]

My understanding is that direction is not a global post-filter for all signal arrays. It is mainly relevant when you provide the generic entries / exits signals and want those signals interpreted as long-only, short-only, or both.

Once you pass explicit long and short signal arrays, such as:

entries, exits, short_entries, short_exits

you are already telling vectorbt which signals are long-side and which signals are short-side. In that case I would not expect direction='shortonly' to suppress a non-empty entries array. If entries is True somewhere, you have supplied long-entry signals.

For a short-only run, I would do one of these instead:

pf = vbt.Portfolio.from_signals(
    close,
    entries=False,          # or an all-False array aligned to close
    exits=False,
    short_entries=prices['short_entry'].astype(bool),
    short_exits=prices['short_exit'].astype(bool),
)

or pre-mask the long signals yourself:

long_entries = prices['long_entry'].astype(bool) & allow_longs
long_exits = prices['long_exit'].astype(bool) & allow_longs
short_entries = prices['short_entry'].astype(bool) & allow_shorts
short_exits = prices['short_exit'].astype(bool) & allow_shorts

with allow_longs = False for a short-only experiment.

So the practical rule is: if you want to switch between long-only and short-only experiments, either pass only the relevant side's signals, or mask the unwanted side to all False before calling from_signals. I would not rely on direction to override explicit short_entries / entries arrays after they are already supplied.