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  1.9.75.123:

  Adding extra day before dtcmp calc, as otherwise the extradays
  have no effect (#388) Fixing the issue with TWS API Bust events (err code 10225) (#396) Add support for ASK quotes for CASH assets (#395) plus fixes Remove duplicated note (#386) Fixing time.clock for python>=3.8 (#394) Changed file initiation for WriterFile to make it work under
  multi-process optimization (#397) plus fixes Fixed backend loading if a backend is loaded (Google Collab) and
  backend to use on MacOSX Fix: crumb in feeds.YahooFinanceData (#400) Fix color assignments, ticks line widths and some pep-8 improvements Fix timeframe/compression detection when plotting Fix default value for ticks display format on X-axis Sample with ta-lib SAR test Generic support of multiple "text/*" content types for Yahoo
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• General Discussion

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  I encountered a very strange problem.

  I've tried different start to end date, it's Ok for 1 day and up to 9 days of 1 minutes data. then it gave me this error message when I went above 9 days of 1 minutes data.

  I appreciate any help to id the cause of the problem.
  I apologize for the bad formatting of the code. I don't know how to get it done right.

  Here is the message:

  Traceback (most recent call last):
  File "/home/jun/codes/btc_trade.py", line 211, in <module>
  end_val, totalwin, totalloss, pnl_net, sqn=runbacktest(datapath,start,end,period,strategy,limits[0],limits[1],0.002,1000000,1,0.01,-0.01,False)
  File "/home/jun/codes/btc_trade.py", line 181, in runbacktest
  strat = cerebro.run()
  File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/cerebro.py", line 1127, in run
  runstrat = self.runstrategies(iterstrat)
  File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
  self._runonce(runstrats)
  File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/cerebro.py", line 1652, in _runonce
  strat._once()
  File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/lineiterator.py", line 297, in _once
  indicator._once()
  File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/lineiterator.py", line 297, in _once
  indicator._once()
  File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/linebuffer.py", line 631, in _once
  self.once(self._minperiod, self.buflen())
  File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/linebuffer.py", line 755, in once
  self._once_op(start, end)
  File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/linebuffer.py", line 772, in _once_op
  dst[i] = op(srca[i], srcb[i])
  ZeroDivisionError: float division by zero

  The whole code is here:
  from future import (absolute_import, division, print_function,
  unicode_literals)

  import datetime # For datetime objects
  import backtrader as bt # Import the backtrader platfor

  class RSIStrategy(bt.Strategy):

  params = ( ('verbose', False), ('maperiod', None), ('quantity', None), ('upper', 70), # upper threshold ('lower', 30), # lower threshold ('stopLoss', 0.00) # stop loss % ) def __init__(self): self.dataclose = self.datas[0].close self.order = None self.order_stopLoss = None self.buyprice = None self.buycomm = None self.amount = None # Add a MovingAverageSimple indicator self.rsi = bt.indicators.RSI_SMA(self.datas[0], period=self.params.maperiod) def notify_order(self, order): if order.status in [order.Submitted, order.Accepted]: # Buy/Sell order submitted/accepted to/by broker return # Check if an order has been completed # Attention: broker could reject order if not enough cash if order.status in [order.Completed]: if order.isbuy(): self.buyprice = order.executed.price self.buycomm = order.executed.comm if self.params.verbose: print('BOUGHT @price: {:.2f} {}'.format(order.executed.price, bt.num2date(order.executed.dt))) if self.params.stopLoss: if self.params.stopLoss > 0: stop_price = order.executed.price * (1 - self.params.stopLoss) self.order_stopLoss = self.sell(exectype=bt.Order.Stop, price=stop_price) if self.params.verbose: print(' STOP @price: {:.2f}'.format(stop_price)) else: # trailing stop specified % under executed price self.order_stopLoss = self.sell(exectype=bt.Order.StopTrail, trailpercent=0-self.params.stopLoss) self.order_stopLoss.addinfo(ordername="STOPLONG") if self.params.verbose: print(' STOP TRAILING') else: if not self.position: # we left the market self.broker.cancel(self.order_stopLoss) self.order_stopLoss = None if self.params.verbose: print('SOLD @price: {:.2f} cost: {:.2f} comm: {:.2f} {}'.format(order.executed.price, order.executed.value, order.executed.comm, bt.num2date(order.executed.dt))) self.order = None def notify_trade(self, trade): if not trade.isclosed: return if self.params.verbose: print('PROFIT, GROSS %.2f, NET %.2f' % (trade.pnl, trade.pnlcomm)) print('_______________________________________________') def next(self): # Check if an order is pending ... if yes, we cannot send a 2nd one if self.order: return # Check if we are in the market if not self.position: # Not yet ... we MIGHT BUY if ... if self.rsi < self.params.lower: # Keep track of the created order to avoid a 2nd order self.amount = (self.broker.getvalue() * self.params.quantity) / self.dataclose[0] self.order = self.buy() else: # Already in the market ... we might sell if self.rsi > self.params.upper: # Keep track of the created order to avoid a 2nd order self.order = self.sell() ______________________ End Strategy Classes

  def timeFrame(datapath):
  """
  Select the write compression and timeframe.
  """

  sepdatapath = datapath[:-4].split(sep='-') # ignore name file 'data/' and '.csv' tf = sepdatapath[3] if tf == '1m': compression = 1 timeframe = bt.TimeFrame.Minutes else: print('dataframe not recognized') exit() return compression, timeframe

  def getWinLoss(analyzer):
  return analyzer.won.total, analyzer.lost.total, analyzer.pnl.net.total

  def getSQN(analyzer):
  return round(analyzer.sqn,2)

  def runbacktest(datapath, start, end, period, strategy,
  upper=70, lower=30, commission_val=None, portofolio=10000.0, stake_val=1, quantity=0.01, stopLoss=0.0, plt=False):

  # Create a cerebro entity cerebro = bt.Cerebro() # Add a FixedSize sizer according to the stake cerebro.addsizer(bt.sizers.FixedSize, stake=stake_val) # Multiply the stake by X cerebro.broker.setcash(portofolio) if commission_val: cerebro.broker.setcommission(commission=commission_val/100) # Add a strategy if strategy == 'SMA': cerebro.addstrategy(SMAStrategy, maperiod=period, quantity=quantity, stopLoss=stopLoss, upper=upper, lower=lower) elif strategy == 'RSI': cerebro.addstrategy(RSIStrategy, maperiod=period, quantity=quantity, stopLoss=stopLoss, upper=upper, lower=lower) else : print('no strategy') exit() compression, timeframe = timeFrame(datapath) # Create a Data Feed data = bt.feeds.GenericCSVData( dataname = datapath, dtformat = 2, compression = compression, timeframe = timeframe, fromdate = datetime.datetime.strptime(start, '%Y-%m-%d'), todate = datetime.datetime.strptime(end, '%Y-%m-%d'), reverse = False) # Add the Data Feed to Cerebro cerebro.adddata(data) cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name="ta") cerebro.addanalyzer(bt.analyzers.SQN, _name="sqn") if True: strat = cerebro.run() stratexe = strat[0] try: totalwin, totalloss, pnl_net = getWinLoss(stratexe.analyzers.ta.get_analysis()) except KeyError: totalwin, totalloss, pnl_net = 0, 0, 0 sqn = getSQN(stratexe.analyzers.sqn.get_analysis()) if plt: cerebro.plot() return cerebro.broker.getvalue(), totalwin, totalloss, pnl_net, sqn

  if name=='main':
  datapath='BTCUSDT-20210101-20220102-1m.csv'
  start_portfolio = 100000.0
  sep = ' ' # ignore name file 'data/' and '.csv'
  xchange = 'BTCUSDT'
  start = '2021-01-01'
  end = '2021-01-09'
  strategy = 'RSI'
  period = 12
  stopLoss = 0
  limits = [70,30]
  end_val, totalwin, totalloss, pnl_net, sqn=runbacktest(datapath,start,end,period,strategy,limits[0],limits[1],0.002,1000000,1,0.01,-0.01,False)
  print('%s, %s (Pd %d) (SL %.1f%%) (U%d L%d) Net $%.2f (%.2f%%) WL %d/%d SQN %.2f' % (datapath[5:], strategy, period, stopLoss100, limits[0], limits[1],
  end_val - start_portfolio, (end_val - start_portfolio)/start_portfolio100, totalwin, totalloss, sqn))

• Indicators/Strategies/Analyzers
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  S

  Hi

  I am planning to use Twiggs Money Flow indicator in my strategy and I am not sure how to code it. If anyone can help me on this that would be great

  I am pasting an image below that contains the formula

  TMF.PNG

• General Code/Help
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  T

  hallo together,

  in the end it might not be a big issue, but i observe following behavoir with the simple simulation (sma cross strategy) posted below:

  from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse import backtrader as bt import backtrader.feeds as btfeeds import pandas class PandasData(bt.feeds.PandasData): params = ( ('datetime', "time"), ('open','open'), ('high','high'), ('low','low'), ('close','close'), ('volume','volume'), ) class TestSmaCross(bt.Strategy): # list of parameters which are configurable for the strategy params = dict( pfast=50, # period for the fast moving average pslow=200 # period for the slow moving average ) def log(self, txt, dt=None): ''' Logging function fot this strategy''' dt = dt or self.data.datetime[0] if isinstance(dt, float): dt = bt.num2date(dt) print('%s, %s' % (dt.isoformat(), txt)) def __init__(self): sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average self.crossover = bt.ind.CrossOver(sma1, sma2) # crossover signal def next(self): if not self.position: # not in the market if self.crossover > 0: # if fast crosses slow to the upside self.buy(exectype=bt.Order.Market) # enter long self.log('open %d, %.2f, %.2f, %.2f, %.2f, %.2f, %.2f' % (len(self), self.data.open[0], self.data.high[0], self.data.low[0], self.data.close[0], self.data.volume[0], self.broker.getvalue())) elif self.crossover < 0: # in the market & cross to the downside self.close() # close long position self.log('close %d, %.2f, %.2f, %.2f, %.2f, %.2f, %.2f' % (len(self), self.data.open[0], self.data.high[0], self.data.low[0], self.data.close[0], self.data.volume[0], self.broker.getvalue())) def runstrat(): args = parse_args() # Create a cerebro entity cerebro = bt.Cerebro() cerebro.addstrategy(TestSmaCross) cerebro.broker.setcash(10000.0) cerebro.broker.setcommission(0.02) print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) # Get a pandas dataframe datapath = ('./ohlc/BTCUSDT_240.csv') # Simulate the header row isn't there if noheaders requested skiprows = 1 if args.noheaders else 0 header = None if args.noheaders else 0 dataframe = pandas.read_csv(datapath, skiprows=skiprows, header=header, parse_dates=True, index_col=0) dataframe['time'] = pandas.to_datetime(dataframe['time'] * 1000, unit='ms') if not args.noprint: print('--------------------------------------------------') print(dataframe) print('--------------------------------------------------') # Pass it to the backtrader datafeed and add it to the cerebro data = PandasData(dataname=dataframe) cerebro.adddata(data) # Run over everything cerebro.run() print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue()) # Plot the result cerebro.plot( # Format string for the display of ticks on the x axis fmt_x_ticks = '%Y-%b-%d %H:%M', # Format string for the display of data points values fmt_x_data = '%Y-%b-%d %H:%M', style='candlestick', iplot=True ) def parse_args(): parser = argparse.ArgumentParser( description='Pandas test script') parser.add_argument('--noheaders', action='store_true', default=False, required=False, help='Do not use header rows') parser.add_argument('--noprint', action='store_true', default=False, help='Print the dataframe') return parser.parse_args() if __name__ == '__main__': runstrat()

  everything works fine in the first place. positions got opened when crossover > 0, positions get closed again when crossover < 0. see the output below:

  2018-02-20T16:00:00, open 214, 11517.00, 11748.01, 11494.29, 11668.00, 7241.34, 10000.00 2018-04-18T04:00:00, open 553, 7947.74, 8149.89, 7868.00, 8107.23, 5703.82, 10000.00 2018-05-15T16:00:00, close 718, 8513.08, 8588.64, 8427.00, 8554.99, 5920.56, 10279.21 2018-07-10T04:00:00, open 1048, 6632.14, 6655.46, 6544.04, 6601.17, 4874.00, 10108.12 2018-07-16T04:00:00, close 1084, 6357.75, 6389.67, 6343.61, 6370.00, 3449.90, 9744.93 2018-07-18T00:00:00, open 1095, 7317.44, 7550.00, 7309.64, 7457.03, 9867.37, 9618.31 2018-08-08T16:00:00, close 1225, 6473.78, 6490.95, 6123.00, 6335.00, 17490.34, 8345.13 2018-08-31T16:00:00, open 1363, 6959.52, 7089.00, 6951.37, 7047.48, 8537.22, 8216.65 2018-09-11T20:00:00, close 1430, 6269.23, 6323.41, 6242.09, 6294.91, 5090.82, 7324.96 2018-10-05T00:00:00, open 1569, 6591.69, 6632.98, 6543.08, 6579.00, 2300.30, 7197.19 2018-10-13T20:00:00, close 1622, 6326.21, 6338.07, 6314.23, 6332.93, 642.23, 6819.58 2018-10-19T20:00:00, open 1658, 6555.38, 6560.00, 6523.00, 6528.88, 3836.21, 6692.92 2018-10-28T08:00:00, close 1709, 6492.98, 6497.94, 6482.33, 6493.22, 748.54, 6526.68 2018-12-25T08:00:00, open 2056, 3750.57, 3786.95, 3684.00, 3737.31, 9248.18, 6396.81 2019-01-15T20:00:00, close 2185, 3604.14, 3605.00, 3516.62, 3553.06, 8567.48, 6139.30 2019-02-12T20:00:00, open 2353, 3640.18, 3654.94, 3609.00, 3631.46, 4169.11, 6068.24 2019-06-11T16:00:00, close 3063, 7761.92, 7900.98, 7692.23, 7868.87, 5502.25, 10232.97 2019-06-15T20:00:00, open 3088, 8809.28, 8842.48, 8725.17, 8808.70, 3618.34, 10075.41 2019-07-18T12:00:00, close 3284, 9751.31, 10455.00, 9252.00, 10437.93, 31624.51, 11526.36 2019-08-07T04:00:00, open 3402, 11640.01, 11725.27, 11525.96, 11538.61, 6684.94, 11322.61 2019-09-10T16:00:00, open 3608, 10176.26, 10238.26, 9953.00, 10026.31, 7691.44, 11322.61 2019-09-22T00:00:00, close 3676, 9985.15, 10004.33, 9861.55, 9873.17, 3997.09, 10969.66 2019-10-27T16:00:00, open 3890, 9523.98, 9794.98, 9376.00, 9712.73, 19848.68, 10771.81 2019-11-17T12:00:00, close 4015, 8521.26, 8574.37, 8511.26, 8529.99, 4195.95, 9395.56 2019-12-29T00:00:00, open 4264, 7315.36, 7316.14, 7288.00, 7307.27, 2401.81, 9224.50 2020-01-01T04:00:00, close 4283, 7225.00, 7236.27, 7199.11, 7209.83, 2061.30, 8981.13 2020-01-02T00:00:00, open 4288, 7200.77, 7212.50, 7120.37, 7129.61, 3739.35, 8836.93 2020-01-02T20:00:00, close 4293, 6982.63, 6985.00, 6941.27, 6965.71, 3113.89, 8530.80 2020-01-03T08:00:00, open 4296, 7202.28, 7371.92, 7202.28, 7340.46, 15196.89, 8391.27 2020-02-27T08:00:00, close 4625, 8814.21, 8859.42, 8730.00, 8804.36, 9960.10, 9708.37 2020-04-07T04:00:00, open 4864, 7322.08, 7388.00, 7226.07, 7378.08, 14375.84, 9532.19 2020-06-18T12:00:00, close 5298, 9432.67, 9445.00, 9381.00, 9385.99, 7578.09, 11393.37 2020-07-23T20:00:00, open 5510, 9595.67, 9610.00, 9567.24, 9603.27, 3971.70, 11205.65 2020-08-29T08:00:00, close 5729, 11558.28, 11569.72, 11417.04, 11447.38, 6311.20, 12857.70 2020-10-02T08:00:00, open 5933, 10490.88, 10495.00, 10374.00, 10436.63, 10230.65, 12628.75 2021-01-27T08:00:00, close 6635, 31743.33, 31749.28, 30578.94, 30639.05, 16124.25, 32622.44 2021-02-05T16:00:00, open 6691, 37960.76, 38163.34, 37230.00, 37608.92, 12503.52, 32006.41 2021-05-08T16:00:00, open 7243, 57599.86, 59300.00, 57560.63, 59030.56, 13538.22, 32006.41 2021-06-18T04:00:00, open 7486, 37926.78, 38148.11, 37377.00, 37715.03, 10812.08, 32006.41 2021-07-27T16:00:00, open 7723, 38209.58, 38315.81, 37350.00, 37800.49, 13516.23, 32006.41 2021-10-06T08:00:00, open 8147, 51450.00, 51500.00, 50382.41, 51306.56, 14543.36, 32006.41 2022-02-08T16:00:00, open 8899, 43429.32, 43685.20, 42666.00, 42998.65, 9095.17, 32006.41 2022-03-04T16:00:00, open 9043, 40694.32, 40958.66, 39665.72, 39782.13, 10513.62, 32006.41 2022-03-08T08:00:00, open 9065, 38547.79, 39186.58, 38460.28, 38983.05, 8572.44, 32006.41 2022-03-20T08:00:00, open 9137, 41863.99, 41937.99, 41575.00, 41586.86, 4753.40, 32006.41 2022-06-10T00:00:00, open 9627, 30109.93, 30382.80, 29578.96, 30114.38, 15509.84, 32006.41 2022-06-12T08:00:00, close 9641, 27645.88, 27726.15, 27342.82, 27457.39, 8692.74, 28747.14

  at some point, positions won't get closed anymore, starting at 2021-02-05T16:00:00 on the output log above. it seems like following condition is not reached anymore:

  elif self.crossover < 0: # in the market & cross to the downside self.close() # close long position self.log('close %d, %.2f, %.2f, %.2f, %.2f, %.2f, %.2f' % (len(self), self.data.open[0], self.data.high[0], self.data.low[0], self.data.close[0], self.data.volume[0], self.broker.getvalue()))

  the plot on the other hand shows all crossover events correctly:

  Figure_0.png

  until now i didn't figure out, what i'm doing wrong; because it is even working fine in the first place.

  thanks for your help in advance.

  regards, alex

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  Version info :bta_lib-1.0.0
  Python version 3.8