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• Announcements
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  119
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  B

  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
• Blog

  Blog posts

  99
  Topics
  236
  Posts

  

  It seems the link in the original topic is no longer valid. Here is the updated link: https://www.backtrader.com/blog/2019-05-20-momentum-strategy/momentum-strategy/

• General Discussion

  Feedback, comments and anything in general

  815
  Topics
  4118
  Posts

  

  @the-world AFAIK position is maintained by a broker per data and there is just a single broker per Cerebro engine. So in order for multiple strategies to have an independent positions, either they need to work on different datas or they need to be run using different engine instances.

• Indicators/Strategies/Analyzers
  671
  Topics
  3091
  Posts

  

  import backtrader as bt
  import datetime # For datetime objects

  class SmaCross(bt.SignalStrategy):
  def init(self):
  sma1, sma2 = bt.ind.SMA(period=10), bt.ind.SMA(period=30)
  crossover = bt.ind.CrossOver(sma1, sma2)
  self.signal_add(bt.SIGNAL_LONG, crossover)

  class AtrBasedPositionSize(bt.Sizer):
  def init(self, atr_parameter, one_bar_risk, atrs):
  self.atr_parameter = atr_parameter
  self.atrs = atrs

  def _getsizing(self, comminfo, cash, data, isbuy): if(len(data)<=self.atr_parameter):return 0 ticker = data._name position_size = int((self.broker.getvalue()) / self.atrs[ticker][0]) return position_size

  cerebro = bt.Cerebro()
  cerebro.addstrategy(SmaCross)

  datapath ='^IXIC.csv'

  Create a Data Feed

  data0 = bt.feeds.GenericCSVData(
  dataname=datapath,
  fromdate=datetime.datetime(2019,1, 1),
  todate=datetime.datetime(2021, 9, 23),
  nullvalue=0.0,
  dtformat=('%Y/%m/%d'),
  datetime=0,
  high=2,
  low=3,
  open=1,
  close=4,
  volume=5,
  openinterest=-1)

  cerebro.adddata(data0)
  cerebro.addsizer(AtrBasedPositionSize)
  cerebro.run()

  cerebro.plot()

  run error error is TypeError: init() missing 3 required positional arguments: 'atr_parameter', 'one_bar_risk', and 'atrs'

  how to fix ? thank you

• General Code/Help
  2257
  Topics
  10067
  Posts

  Z

  @vladisld
  thanks for the answer.

  My program is printing Position, DataClose SBER, Have Position, Position GAZP. Why is data0 printed three times? Each strategy has a filter for input data. That is, if data0, data1, data 2 enters the Trend_Pull_Back_SBER strategy, only data with data0 should be printed, the same with the Trend_Hilbert_GAZP and Trend_Hilbert_GOLD strategies.
  I understand it should be like this, the Trend_Pull_Back_SBER strategy is called three times with data data0, data1, data 2, but the data should be printed once.

  You could show an example of the optimal implementation of the strategy you are talking about.

• bta-lib
  10
  Topics
  46
  Posts

  S

  Found the culprit.

  When examing the ATR dataframe returned from the bta-lib ATR function it contains NaN.
  After removing the NaN values from the dataframe I got the same results.

  RSI(atr_df.dropna(), period=7)