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I'm sorry this is the exact code. 1indicator and 2 indicator was generic
import backtrader as bt
import backtrader.feeds as btfeeds
from datetime import datetime
from datetime import date
import backtrader.plot
import matplotlib
matplotlib.use('TKAgg')
from matplotlib import pyplot as plt
from backtrader_plotting import Bokeh
from backtrader_plotting.schemes import Tradimo
class GenericCSV_PE(btfeeds.GenericCSVData):
params = (
('dtformat', '%Y%m%d'),
('datetime', 0),
('open', 1),
('high', 2),
('low', 3),
('close', 4),
('adjusted',5),
('volume', 6),
('dyn_corr',8),
# ('trump_trend',9),
)
################################################### strategy n. ###################################################
class trump_lev(bt.Strategy):
def __init__(self):
self.dyn_corr = data.dyn_corr
self.trump_trend = data.trump_trend
def next(self):
if not self.position:
if self.trump_trend[-1]>35:
if self.dyn_corr[-1] < -0.5:
self.sell(size=1)
if self.dyn_corr[-1]>0.3:
self.buy(size=1)
else:
if self.trump_trend[-1]>35:
if self.position.size >0:
if self.dyn_corr[-1] < -0.2:
self.close(size=1)
elif self.position.size<0:
if self.dyn_corr[-1]>0.2 :
self.close(size=1)
portvalue = cerebro.broker.getvalue()
print('Portfolio Value: ${}'.format(portvalue))
print(self.position.size)
#Variable for our starting cash
startcash = 3000
#Create an instance of cerebro
cerebro = bt.Cerebro()
#Add our strategy
cerebro.addstrategy(trump_lev)
#Get S&P500 from CSV
data = GenericCSV_PE(
dataname= r'C:\Users\MARCOFIORAVANTIPC\Google Drive\MSC FINANCE AND BANKING\thesis_2\apollo 1\dataset\dataset.csv',
fromdate=datetime(2019, 1, 1),
todate=datetime.datetime(2019, 12, 31),
nullvalue=0.0,
dtformat=('%Y-%m-%d'),
datetime = 1,
open = 2,
high = 3,
low = 4,
close = 5,
adjusted = 6,
volume = 7,
dyn_corr = 12,
trump_trend = 13,
)
#Add the data to Cerebro
cerebro.adddata(data)
Set our desired cash start
cerebro.broker.setcash(startcash)
Run over everything
cerebro.run()
#Get final portfolio Value
portvalue = cerebro.broker.getvalue()
pnl = portvalue - startcash
#Print out the final result
print('Final Portfolio Value: ${}'.format(portvalue))
print('Initial Portfolio Value: ${}'.format(startcash))
print('P/L: ${}'.format(pnl))
#Finally plot the end results
cerebro.plot(iplot=False)
cerebro.plot()
