J
Hi, Backtraders!
I facing an issue retrieving the positions from a backtesting in Backtrader. I'm using Pyfolio analyzer to try to achieve this but it doesn't work properly.
This is what I got in positions for my strategy:
I tried the following function of Pyfolio but it doesn't work either:
The code I am using in backtrader to run the strategy is this one:
cerebro = bt.Cerebro()
# Add pyfolio analyzer
cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio')
# Data feed --------------------------------
for equity in equity_list:
data = get_data(
hp.cd_dospuntos(os.getcwd(), 2) + '/input_gral/backtest_data/' + equity + '.csv',
from_date,
to_date
)
cerebro.adddata(data, name=equity)
# Set our desired cash start
cerebro.broker.setcash(100000.0)
# Comissions
cerebro.broker.setcommission(commission=0.001)
# Configuramos el slipage a 0.5%
cerebro.broker.set_slippage_perc(perc=0.005,
slip_open=True, slip_limit=True,
slip_match=True, slip_out=False)
# When working with large percentages it would be good to disable checksubmit in the broker. The rationale being
# that if the current total portfolio is large, the broker might reject some orders if no cash is left.
# You could order the orders in such a way that this doesn't happen, but disabling checksubmitwould be easier.
cerebro.broker.set_checksubmit(checksubmit=False)
# Strategy
cerebro.addstrategy(
TestStrategy,
buy_and_hold=buy_and_hold,
sellAll_date=sellAll_date,
)
start = time.time()
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
# Execute
results = cerebro.run(runonce=False)
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
end = time.time()
# Obtiene los resultados para el posterior análisis con pyfolio
strat = results[0]
pyfoliozer = strat.analyzers.getbyname('pyfolio')
returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items()
# Grabamos los resultados a un archivo pickle
filepath = 'out/BTesting_results.pkl'
if buy_and_hold:
filepath = 'out/BTesting_results_buy_and_hold.pkl'
file = open(filepath, 'wb')
pikle_dict = {
'returns': returns,
'positions': positions,
'transactions': transactions,
'gross_lev': gross_lev,
}
pickle.dump(pikle_dict, file)
Any help is welcome. Thanks in advance.