Indicators/Strategies/Analyzers

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  Setting a Stop loss and target in a strategy (missing piece in a sample)
  • Usct  

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  @backtrader said in Setting a Stop loss and target in a strategy (missing piece in a sample): Such a sample already exists. It is ATR-Based See: https://www.backtrader.com/blog/posts/2016-07-30-macd-settings/macd-settings.html (Of course, it is included in the sources) Interesting. So if I understand correctly, in the example above, it's basically an ATR trailing stop, but it just uses a self.close() so it's kind of like an invisible stop loss, instead of updating a real stop loss by cancelling the old stop order and submitting a new stop order? Both ways will work? I wonder which is recommended?
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  Rebalancing - Conservative Formula
  • Sabir Jana  

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  There is no issue with the code. Data wasn't clean hence causing the issue. Once I run the code with clean data, it worked. Thanks
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  How can I create an indicator and ignore div by 0 error in data?
  • MX Bao  

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  I find out that I forget to use init method to initialize. Sorry
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  How can I use Pyfolio with backtrader?
  • Michael Scofield  

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  @lvaghi After ten thousand seconds, Finally the excutation finish with Error below: ValueError Traceback (most recent call last) <ipython-input-24-96657bf07fb3> in <module> 10 #gross_lev = gross_lev, 11 live_start_date='2010-05-01', ---> 12 round_trips=True) E:\anaconda\lib\site-packages\pyfolio\tears.py in create_full_tear_sheet(returns, positions, transactions, market_data, benchmark_rets, slippage, live_start_date, sector_mappings, bayesian, round_trips, estimate_intraday, hide_positions, cone_std, bootstrap, unadjusted_returns, style_factor_panel, sectors, caps, shares_held, volumes, percentile, turnover_denom, set_context, factor_returns, factor_loadings, pos_in_dollars, header_rows, factor_partitions) 233 transactions=transactions, 234 sector_mappings=sector_mappings, --> 235 estimate_intraday=False) 236 237 if market_data is not None: E:\anaconda\lib\site-packages\pyfolio\plotting.py in call_w_context(*args, **kwargs) 50 if set_context: 51 with plotting_context(), axes_style(): ---> 52 return func(*args, **kwargs) 53 else: 54 return func(*args, **kwargs) E:\anaconda\lib\site-packages\pyfolio\tears.py in create_round_trip_tear_sheet(returns, positions, transactions, sector_mappings, estimate_intraday, return_fig) 850 return 851 --> 852 round_trips.print_round_trip_stats(trades) 853 854 plotting.show_profit_attribution(trades) E:\anaconda\lib\site-packages\pyfolio\round_trips.py in print_round_trip_stats(round_trips, hide_pos) 397 """ 398 --> 399 stats = gen_round_trip_stats(round_trips) 400 401 print_table(stats['summary'], float_format='{:.2f}'.format, E:\anaconda\lib\site-packages\pyfolio\round_trips.py in gen_round_trip_stats(round_trips) 368 369 stats = {} --> 370 stats['pnl'] = agg_all_long_short(round_trips, 'pnl', PNL_STATS) 371 stats['summary'] = agg_all_long_short(round_trips, 'pnl', 372 SUMMARY_STATS) E:\anaconda\lib\site-packages\pyfolio\round_trips.py in agg_all_long_short(round_trips, col, stats_dict) 81 .T 82 .rename_axis({1.0: 'All trades'}, ---> 83 axis='columns')) 84 stats_long_short = (round_trips 85 .groupby('long')[col] E:\anaconda\lib\site-packages\pandas\util\_decorators.py in wrapper(*args, **kwargs) 219 @wraps(func) 220 def wrapper(*args, **kwargs): --> 221 return func(*args, **kwargs) 222 223 kind = inspect.Parameter.POSITIONAL_OR_KEYWORD E:\anaconda\lib\site-packages\pandas\core\generic.py in rename_axis(self, mapper, **kwargs) 1326 return self._set_axis_name(mapper, axis=axis, inplace=inplace) 1327 else: -> 1328 raise ValueError("Use `.rename` to alter labels " "with a mapper.") 1329 else: 1330 # Use new behavior. Means that index and/or columns ValueError: Use `.rename` to alter labels with a mapper.
• D

  all data always available when backtesting with a pandas dataframe feed
  • dongiulio  

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  Hi dongiulio, I noticed you are using fxcm here. Do you have an fxcm / fxcmpy broker implementation for backtrader that you would be happy to share? I want to use fxcm and hoping to cut down implementation time.
• 

  How to create pyfolio round trip tearsheet?
  • Arun Lama  

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  @Arun-Lama said in How to create pyfolio round trip tearsheet?: profit factor, average winning trade, average losing trade, percent profitable, etc. These items can be found in the trade analyzer. If you want a decent tear sheet you can use QuantStats. Just create an indicator that will give you the value of the portfolio and you can send that into QuantStats to get a tearsheet. I use the following analyzer: class CashMarket(bt.analyzers.Analyzer): """ Analyzer returning cash and market values """ def start(self): super(CashMarket, self).start() def create_analysis(self): self.rets = {} self.vals = 0.0 def notify_cashvalue(self, cash, value): self.vals = (cash, value) self.rets[self.strategy.datetime.datetime()] = self.vals def get_analysis(self): return self.rets
• 

  Multiple assets backtest using bt
  • Sabir Jana  

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  Have a look at this article and see if it helps.
• K

  Can get_analysis() count multiple positions(trades)?
  • kumagai  

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  Thank you for your reply. I could fix my bag. The cause of my bag was tradeid. Thank you. https://community.backtrader.com/topic/622/multiple-order-managment
• K

  There are many trades in the log, but it occuers keyError in the analyzer
  • kumagai  

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  Thank you for your replay. I found the reason is I didn't use tradeid. In my trade, there are buy,buy,sell,sell. After I rewrite multitrade version by using tradeid, the bag fixed. Thank you
• S

  multiple stocks order
  • Sam  

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  @ab_trader Thank you so much!
• S

  bt.analyzers.PyFolio
  • Sam  

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  Pyfolio works with trades, profits etc. You have empty strategy, than what do you want to track with pyfolio?
• 

  Try plotting indicators sample but only candles charting display
  • Quỳnh H Nguyễn  

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  Oh, mainly cerebro missed the adding strategy. So sorry when annoy everyone!
• B

  Sharpe ratio with seconds-resolution data
  • benmercerdev  

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  No one has replied

• 

  Passing historical trades to strategy
  • Noman Akhtar  

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  For adding in an extra line you can find information here. Of course with different time frames, you will need to resample your date, information for which can be found here. If you still have trouble let us know and give us sample data. But give the above a try first.
• 

  Implementing Kokers momentum strategy with improvements; error with inputs to momentum.
  • gjertro  

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  Dear @ab_trader Thanks for your answer. I actually solved this by declaring it as @staticmethod, even if it is outside the class definition. Quite weird, I think, but now it works. I did get some errors when the dataseries for the different stocks started at different times. I solved this by aligning the datetime indexes in the input data (pandas) and returning a very low momentum if there are nans in the array. The idea is that with the low momentum, the stocks will never be sorted at the top, so there will not be any positions in the stock. I do consider this risky though. Any idea as to how to include all data? The momentum function: @staticmethod def momentum_func(the_array): if np.nan in the_array: momentum = -10**10 else: # convert 'Close' to returns, create x-axis and do linear regression on returns returns = np.log(the_array) x = np.arange(len(returns)) slope, _, rvalue, _, _ = linregress(x, returns) # annualize the slope, multiply with R2 for best momentum when best linear-fit annualized = (1 + slope) ** 252 momentum = annualized * (rvalue ** 2) return momentum
• 

  Thank yo for this , I tried it but always seem to get an empty list any suggestions?
  • Dennis Musingila  

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  you may want to share your code and output. otherwise the only suggestion would be - fix your code, methods proposed work correct.
• 

  getting 15 periods worth of data
  • Dennis Musingila  

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  Look here at the bottom of the page under slicing.
• T

  Analyzing / optmimizing one strategy on multiple assets / DataFeeds
  • trdr  

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  Nice, I got it to work! @ab_trader I validated overwriting self.data would not overwrite the first element in self.datas. But just setting self.data to a new DataFeed would not help anyways, so it's cleaner to use an own variable and the custom DataFeed must be passed as first argument to an indicator. @vladisld thanks a lot! stdstats=False solved my problem!
• 

  how to setup a standard deviation in def __init__ (self)?
  • Mike Leighton  

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  @run-out yes indeed, when the stdev is small, which means that the three MAs are very close, which could be a good buy point or breakup point. I am testing my theory. and thanks for the help with the codes, chief. =)
• 

  Multiple Data Feeds (3555 csv files) on a single strategy
  • Mike Leighton  

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  Running multiple data feeds is a bit tricker. You have to cycle through them in next. Here is a good example/article.