I am trying to define a process to backtest Data pulled from the Binance API. I originally tried to pull the data into the MACD settings article found at https://www.backtrader.com/blog/posts/2016-07-30-macd-settings/macd-settings/ and decided to go to a simpler file.
Everytime I try to change the way that Backtrader can pull the data I simply run into a new bug. Can anyone please guide me on how to use Backtrader to test Binance data. I am providing the simple code below.
import backtrader as bt
import backtrader.feeds as btfeeds
import os
import sys
import datetime
class TestStrategy(bt.Strategy):
def log(self, txt, dt=None):
dt = dt or self.datas[0].datetime.date(0)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
self.dataclose = self.datas[0].close
self.order = None
self.buyprice = None
self.buycomm = None
bt.indicators.ExponentialMovingAverage(self.datas[0], period=25)
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
return
if order.status in [order.Completed]:
if order.isbuy():
self.log(
'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.buyprice = order.executed.price
self.buycomm = order.executed.comm
else:
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
self.order = None
def notify_trade(self, trade):
if not trade.isclosed:
return
self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
(trade.pnl, trade.pnlcomm))
def next(self):
self.log('Close, %.2f' % self.dataclose[0])
if self.order:
return
if not self.position:
if self.dataclose[0] - self.dataclose[-1] > 500:
self.log('BUY CREATE, %.2f' % self.dataclose[0])
self.order = self.buy()
else:
if self.dataclose[0] - self.dataclose[-1] < -500:
self.log('SELL CREATE, %.2f' % self.dataclose[0])
self.order = self.sell()
modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
datapath = os.path.join(modpath, 'C:/Users/Jeff2/BTCUSDT_MinuteBars.csv')
data = btfeeds.GenericCSVData(
datapath = os.path.join(modpath, 'C:/Users/Jeff2/BTCUSDT_MinuteBars.csv')
fromdate=datetime.datetime(2020, 4, 6),
todate=datetime.datetime(2020, 4, 7),
nullvalue=0.0,
dtformat=('%Y-%m-%d'),
tmformat=('%H:%M:%S'),
Timestamp=0,
Open=1,
High=2,
Low=3,
Close=4,
Volume=5,
Close_time=6,
Quote_AV=7,
Trades=8,
TB_Base_AV=9,
TB_Quote_AV=10,
Ignore=-1,
timeframe=bt.TimeFrame.Minutes,)
cerebro.adddata(data)
cerebro.broker.setcash(1000.0)
cerebro.addsizer(bt.sizers.FixedSize, stake=0.05)
cerebro.broker.setcommission(commission=0.005)
print('Starting Balance: %.2f' % cerebro.broker.getvalue())
cerebro.run()
print('Final Balance: %.2f' % cerebro.broker.getvalue())
cerebro.plot()
Data
