Indicators/Strategies/Analyzers

• K

  Backtesting multiple symbols with different date ranges - backtest won't start until all data feeds have data
  • kaya  

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  @Paska-Houso I test this way,but it generate a terrible situation.for example: 2005-01-18, today Portfolio Value: 500000.00 2005-01-18, count:11,日期：2005-01-18,数据名称:meta,收盘价:1.0,成交量:1.0 2005-01-18, count:11,日期：2009-09-15,数据名称:RB0909.XSGE,收盘价:3600.0,成交量:720.0 2005-01-18, count:11,日期：2009-10-15,数据名称:RB0910.XSGE,收盘价:3432.0,成交量:720.0 2005-01-18, count:11,日期：2009-11-16,数据名称:RB0911.XSGE,收盘价:3630.0,成交量:240.0 2005-01-18, count:11,日期：2009-12-15,数据名称:RB0912.XSGE,收盘价:3703.0,成交量:1260.0 2005-01-18, count:11,日期：2010-01-15,数据名称:RB1001.XSGE,收盘价:3975.0,成交量:1140.0 2005-01-18, count:11,日期：2010-02-09,数据名称:RB1002.XSGE,收盘价:3820.0,成交量:660.0 2005-01-18, count:11,日期：2010-03-15,数据名称:RB1003.XSGE,收盘价:4010.0,成交量:2100.0 2005-01-18, count:11,日期：2010-04-15,数据名称:RB1004.XSGE,收盘价:4415.0,成交量:1440.0 2005-01-18, count:11,日期：2010-05-17,数据名称:RB1005.XSGE,收盘价:3915.0,成交量:1620.0 2005-01-18, count:11,日期：2010-06-17,数据名称:RB1006.XSGE,收盘价:3978.0,成交量:360.0 2005-01-18, count:11,日期：2010-07-15,数据名称:RB1007.XSGE,收盘价:3787.0,成交量:360.0 2005-01-18, count:11,日期：2010-08-16,数据名称:RB1008.XSGE,收盘价:4094.0,成交量:240.0 2005-01-18, count:11,日期：2010-09-15,数据名称:RB1009.XSGE,收盘价:4440.0,成交量:300.0
• V

  pyfolio for sub-day data
  • vaclavku  

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  B

  PyFolio is deprecated and no longer something which is tracked. Assuming you have all the pieces in place to get it working, my own experiments with sub-daily data failed because the internals of PyFolio seem to work but actually don't.
• 

  Ask on the logic of notify order and next to execute strategy
  • Nguyễn Sơn  

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  @Nguyễn-Sơn said in Ask on the logic of notify order and next to execute strategy: Where is the wrong here? I think it is obvious. Your logic sells several times in a row. @Nguyễn-Sơn said in Ask on the logic of notify order and next to execute strategy: else: if self.ema[0] < self.sma[0]: self.order = self.sell_bracket(stopprice = self.dataopen[0] * (1 + 0.02), limitprice = self.dataopen[0] * (1 - 0.04)) @Nguyễn-Sơn said in Ask on the logic of notify order and next to execute strategy: How to solve this problem? Correct your logic to something which wont sell several times in a row.
• 

  Have the slowStoch indicator contain 1 or 2 output?
  • Nguyễn Sơn  

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  B

  Indicators in backtrader have lines which are the output and are not calculated on the spot as your execution suggests. All ta-lib indicators when integrated in backtrader behave as the regular indicators of backtrader. They won't work isolated (which seems to be how you use them) See the actual auto-generated STOCH indicator here and the lines naming Docs - ta-lib - STOCH - https://www.backtrader.com/docu/talibindautoref/#stoch You have to use it like any other indicator in backtrader by referencing the lines and the actual index [x] you want to address (or by using arithmetic/logic operations on the lines) Docs - Indicator Usage - https://www.backtrader.com/docu/induse/ Docs - Platform Concepts - Lines - https://www.backtrader.com/docu/concepts/#lines You may also have a look at the ta-lib comparison post here Docs - ta-lib integration - https://www.backtrader.com/blog/posts/2016-07-26-talib-integration/talib-integration/ As shown the values are exactly the same (actually backtrader is more accurate or de-facto-compliant in some cases, where ta-lib fails to define an initial seed for exponentially smoothed based indicators)
• L

  optimization with percentrank
  • lampalork  

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  Hi, this is what I have done and indeed it works. Mysteries of pickle! thanks a lot
• 

  BACKTEST with EXIT (STOP & TARGET)
  • Andre Villela  

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  No one has replied

• M

  Possible to pass and return a dataframe to a strategy?
  • mapesd  

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  B

  Executed strategy instances are returned. See https://www.backtrader.com/docu/cerebro/#returning-the-results And each strategy has its parameters available as instance.params.parameter_name
• 

  Some trouble with tutorial algorithmic trading using Sentiment analysis
  • Florian Aversin  

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  I don't know if you are expecting to read the entire code. What did you actually change? What's the difference with the original?
• T

  TradeAnalyzer - Calculating average percent gain/loss
  analyzer tradeanalyzer percentage average • • Tristan Co  

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  @Tristan-Co said in TradeAnalyzer - Calculating average percent gain/loss: Does such an implementation exist or will new code need to be written? It's for sure not in the default set of analyzers.
• 

  World Trading Data Live Feed is not getting resampled into backtrader
  • sullyai  

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  I have resolved the issue but now I getting an error with the backtrader turning every tick I get into completed bar, how would I make it wait for the full bar?
• V

  trouble with feeds for _getsizing
  • vaclavku  

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  Many thanks. I'm enjoying this nice conversation. Always very appreciated. @backtrader : You're always right. I'm not accurate, however I do my best to improve the ability. Also thanks to you. Finally, you're also right: It's a modified piece of the library.
• 

  float division by zero
  • Mario Pellegrini  

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  No, it cannot work for me, because that doesn't read from Yahoo. It tries @Mario-Pellegrini said in float division by zero: It is not a random code since you also say that the ticker works It is random, because you apparently want to read from Yahoo and apply Quandl. The code has also nothing to do with the code from the homepage (3 snippets) that directly reads data from Yahoo. Why don't you start from one of the scripts on the home page, change the ticker to FCA.MI and then slowly modify it? The link again for your reference https://www.backtrader.com/home/helloalgotrading/
• V

  How to write size into self.mystats.write
  • vaclavku  

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  @ab_trader : Many thanks. A new added value for me. Very appreciated.
• D

  Observers/Analyzers per asset in multi-asset strategy?
  • Dimasik007  

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  @Dimasik007 said in Observers/Analyzers per asset in multi-asset strategy?: Is it possible to modify DataTrades Observer to implement something similar to what I've made on the picture below? You can for sure write an Observer which looks at the current position value to determine the PnL.
• 

  line value behaviour
  • kam dorra  

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  @kam-dorra said in line value behaviour: when I add print (BV[0]), i get: IndexError: array index out of range And you expect us to know where you do that ... because we will see it using tea leaves?
• 

  IndexError: array index out of range
  • kam dorra  

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  @ab_trader said in IndexError: array index out of range: In the __init()__ indexing should be done with (), not with [] brackets, ref Docs - Lines: DELAYED indexing: Pointed out some days ago by @ab_trader
• 

  NameError: name 'buy_signal' is not defined
  • kam dorra  

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  https://pythontips.com/2013/08/07/the-self-variable-in-python-explained/
• 

  Cancel order problems
  • da zhang  

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  @backtrader @ab_trader thanks for your reply, I understand it now. From the log information, I see the buy order is submitted, accepted and completed on the next bar, So it cannot be cancelled. The system is designed wisely.
• T

  Bid / Ask in live trading
  • Taewoo Kim  

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  Y

  How to get bid and ask values on Interactive Brokers
• 

  Total commission spend
  • Xerxys 300  

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  You can Track it with the notifications of notify_order or notify_trade - https://www.backtrader.com/docu/strategy/ Use the TradeAnalyzer which already includes this calculation - https://www.backtrader.com/docu/analyzers-reference/#tradeanalyzer Write a custom analyzer which only tracks that value.