S
Hi All
Please ignore the previous code and please look at this code block. Sorry for the mistake
from future import (absolute_import, division, print_function,
unicode_literals)
import argparse
import backtrader as bt
import backtrader.feeds as btfeeds
import datetime as dt
import pandas as p
class TestStrategy(bt.Strategy):
params = (
('smaPeriod', 10),
)
def __init__(self):
#Retrieves Close price data from the object
#self.dataclose = self.data.close
#To keep track of pending orders and buy price / commission.
self.order = None
self.buyprice = None
self.commission = None
def notify_order(self, order):
#Check whether an order is Submitted or Accepted by the Broker
if order.status in [order.Submitted, order.Accepted]:
return
#Check if an order is completed
if order.status in [order.Completed]:
if order.isbuy():
print('Buy Executed Price: %.2f, Cost : %.2f, Commission : %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm
))
self.buyprice = order.executed.price
self.commission = order.executed.comm
elif order.issell():
print('Sell Executed Price: %.2f, Cost : %.2f, Commission : %.2f' %
(order.executed.price,
order.executed.value, #for sell this is not working as expected
order.executed.comm
))
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
print('Order Canceled/Margin/Rejected')
self.order = None
def notify_trade(self, trade):
if not trade.isclosed:
return
print('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
(trade.pnl, trade.pnlcomm))
def next(self):
for datafeed in self.getdatanames():
print('Date, %s, Close, %.2f' % (self.getdatabyname(datafeed).datetime.date(0), self.getdatabyname(datafeed).close[0]))
#Check if an order is in Pending state, if yes, we cannot send a 2nd one
if self.order:
print('An order already in Pending state')
return
#Check whether we have an open position already, if no, then we can enter a new position by entering a BUY trade
if not self.position:
if self.getdatabyname(datafeed).close[0] < self.getdatabyname(datafeed).close[-1]:
if self.getdatabyname(datafeed).close[-1] < self.getdatabyname(datafeed).close[-2]:
print('BUY Signal:, %.2f' % self.getdatabyname(datafeed).close[0])
self.order = self.buy()
elif self.position:
if len(self) >= (self.bar_executed + 4):
print('Sell Signal:, %.2f' % self.getdatabyname(datafeed).close[0])
self.order = self.sell()
if name == 'main':
cerebro = bt.Cerebro()
cerebro.addstrategy(TestStrategy) #Adds the strategy
orcl = p.read_csv('D:\Algoticks\Excercises\Data\orcl_price-history-05-21-2018.csv')
orcl['datetime'] = orcl['datetime'].astype('datetime64[ns]')
orcl_stg = bt.feeds.PandasData(dataname = orcl)
hcl = p.read_csv('D:\Algoticks\Excercises\Data\hcl_price-history-05-21-2018.csv')
hcl['datetime'] = hcl['datetime'].astype('datetime64[ns]')
hcl_stg = bt.feeds.PandasData(dataname = hcl)
cerebro.adddata(orcl_stg) #Adds the data for the strategy
cerebro.adddata(hcl_stg)
#set the cash
cerebro.broker.setcash(100000.0)
#set broker commission
cerebro.broker.setcommission(commission = 0.001) #.1 percentage
#set the quantity
cerebro.addsizer(bt.sizers.FixedSize, stake = 10)
#cerebro.addwriter(bt.WriterFile, csv=True)
print('Starting Portfolio Value : %.2f' % cerebro.broker.getvalue())
cerebro.run()
#data.head()
print('Final Portfolio Value : %.2f' % cerebro.broker.getvalue())