Strange/Incorrect Strategy Results on a Simple Example

[ts-kontakt]

I tried to reproduce the results from the main page example using the unmodified SmaCross(Strategy), but I used the last 5 years of SPY data instead.

import yfinance as yf
ticker = yf.Ticker("SPY")
SPY = ticker.history(period="5y")

bt = Backtest(SPY, SmaCross, commission=.002,
exclusive_orders=True)
`

The result was Return [%]: -36.07, which seems impossible — I’ve checked in other backtesters and got very different results.

After inspecting stats._trades, I noticed that losses are being shown even when ExitPrice > EntryPrice.

Where could the problem be?

backtesting 0.6.4
pandas  2.2.3
numpy 2.1.3
yfinance 0.2.65