I am getting the error in my trailing stop. I move the stop up depending on the maximum value for the new stop and the previous stop value. I am getting an error when I test whether the price > context.stop[stock]. It says price is referenced before assignment. I just added the rebalance into it, which rebalances based on the volatility weighting, and the rebalance threshold.
if price < context.stop_price[stock]:
I believe you need to indent lines 135-141
if price < context.stop_price[stock]:
order_target(stock, 0)
log.info("sell: %s: price, %f, cb %f, stop %f" % (stock.symbol, price, cost_basis, (price-atr_stop)))
You also may want to initialize the variable 'cash_worth' to zero too. Something like this.
cash_freed = cash_worth = 0.0
The attached backtest has those changes and doesn't generate the error.
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