General Code/Help

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  Basic MultiTimeframe order
  • Paul Park  

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  @ab_trader said in Basic MultiTimeframe order: @Paul-Park said in Basic MultiTimeframe order: So nextstart() ensures that the higher time frame completes the bar before letting the program continue? nextstart() has no relation to time frames. Ahh I see where my confusion was now. Thank you very much.
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  Metaquotes MQL 5 - API
  • Nikolai  

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  @André-Tavares Sorry, misread the question.
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  general help to set Datafeed correct (Multitimeframe & Multismymbols)
  • chhrissi2909  

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  I managed it to pass the error message with the symbol: I just declared the symbol like this: w, h = 2, len(sheet.index) symbols = [[0 for x in range(w)] for y in range(h)] The code is running now, but I think it stops anywhere, because if I plot the equity it just plotts it ones and than nothing happens and the code don't stop running. What do you think about the 3 functions? Do you see something what is wrong?
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  How to initialize bt.analyzers.SharpeRatio?
  • soulmachine  

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  @soulmachine Thanks for asking this question. I ran into issues with this a while ago and was to lazy to dig up the answer. @vladisld is correct in how you put in the timeframes. Small caveat to his comment, the compression only works on intraday timeframes. So typically say 1min compression to 30 or 60 minutes. cerebro.addanalyzer(bt.analyzers.SharpeRatio, timeframe=bt.TimeFrame.Minutes, compression=30, _name="mysharpe_1") cerebro.addanalyzer(bt.analyzers.SharpeRatio, timeframe=bt.TimeFrame.Minutes, compression=60, _name="mysharpe_2") # Output mysharpe_1: -2.3099, mysharpe_2: -1.7835 If you try the same thing with say Weekly or Monthly timeframes, there's no impact on results. cerebro.addanalyzer(bt.analyzers.SharpeRatio, timeframe=bt.TimeFrame.Weeks, compression=2, _name="mysharpe_1") cerebro.addanalyzer(bt.analyzers.SharpeRatio, timeframe=bt.TimeFrame.Weeks, compression=4, _name="mysharpe_2") # Output mysharpe_1: -0.3472, mysharpe_2: -0.3472 For more information you can look in the docs or directly at the code.
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  saving settings through updates
  • Wayne Filkins  

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  Newbie error in both RSI and MACD
  • Vandit D Jain  

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  @run-out I mean there is no error message. My algorithm seems to always underperform in MACD.
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  Passing data into data feed one by one
  • Quanliang Xie  

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  @Quanliang-Xie said in Passing data into data feed one by one: I want to test a single strategy using a series of csv files from a folder There are several scenarios: Running the same strategy on each csv file separately ( separate broker, account balance ) and sequentially (one after another): In this case, just put the cerebro creating code inside your for loop. In the code above the same cerebro instance is used to host all the datas and strategies. Since the datas are hosted directly in cerebro instance and not in strategy - all the added datas are just accumulating in the same cerebro instance. Same as above, only now run all the strategies simultaneously Basically very similar - just put the code under for loop inside a separate function which will recieve the csv path as a parameter and try to use the 'multiprocessing' python capabilities to run it. Alternatively, you may try to use the Backtrader optstrategy as @run-out has suggested, however, this is more involved and wasn't designed for your particular use case. Running all the csv files against the same broker account (sharing the account cash) In this case you just need to add all the datas to the same cerebro instance as you are doing currently. However, only a single strategy needs to be added to the cerebro instance. In addition the cerebro instance should be run only once as well - and not under for loop.
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  How to use tick data for stop loss in live trading?
  • kirahvi  

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  I am keen to see responses on this too. For Stop Losses you can place these with your broker at the time of placing the order. The SL will be hit and executed by the broker regardless of Backtrader timeframes. I typically work on 1min bars in the current market however fast price movements sometimes mean I am not getting the best close position timing when the exit condition is hit. The only solution I've been able to think of (but not yet tried) is to set up 'data' and 'data1' on two different timeframes. 'data' would be for say 5 sec bar (for closing positions) and 'data1' would be for the entry conditions on a higher timeframe (i.e. 1min).
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  Datetime.time won't give me the correct time.
  • Quanliang Xie  

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  Thank you so much! That solved my problem. To thoes who has the same problem, remember also to improt timeframe from backtrader!
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  Newb issue with Bokeh plotting when Utilizing Pandas Data Feed
  data feed plotting pandas plot • • John jt  

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  To those that may come across this thread, I cannot explain why the issue is occurring, but if you pass a name to the default data when utilizing 'adddata', the legend will look normal again. Fixed #Don't use this: cerebro.adddata(data) #Use a name with the data: cerebro.adddata(data, name='OHLCV_jt') The name comes across in the heading / legend of the master Bokeh plot as so:
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  Compound value Calculation
  • mudassar031  

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  @run-out https://stackoverflow.com/questions/59003693/understanding-converting-thinkscripts-compoundvalue-function i need to convert this in backtrader and want to calculate ha_open like this
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  Resampling issues + adding multiple timeframes
  • Jens Halsberghe  

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  when using multiple data sources, you will get notified of every change. when resampling, if data advances, on replay if data changes (in that case, data will not necessary advance). So to know if the data source advanced, you need to check the length of data. example: if self._last_len > len(self.datas[1]): self.log(self.datas[1].close[0]) self._last_len = len(self.datas[1]
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  Backtrader website search box not working
  • kirahvi  

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  I know this doesn't answer your question, but I long ago switched to general google search prepending with 'backtrader'
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  How to handle minute based missing candle data
  • Tauseef Kazi  

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  Check out SessionFiller filter in Docs - Filters - Reference. Seems like this is what you are looking for.
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  Would anyone be able to help me on this?
  • Tsz Chun Leung  

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  Cerebro not recognizing code changes
  • kirahvi  

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  PyFolio analyzer multiple data sources not working.
  • CptanPanic  

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  I got the same issue. It should be a quick fix by removing -2? Because the underlying bt.analyzers.PositionsValue doesn't have this issue.
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  How to get the StopTrail order price returned by the broker from time to time?
  • hei jai  

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  @run-out hello! I've tried to use that recommendation and change stop-limit price, but some issues have happened and my strategy shows the same results. My code is: def notify_order(self, order): ... # notification for STOP-LOSS orders elif order.issell() and order.exectype==bt.Order.Stop: print('{}: Order № {} | STOP-LOSS - {} | Size {} | Price {}'. format( self.data.datetime.datetime(0), order.ref, order.getstatusname(), order.size, order.price)) def notify_trade(self, trade): if trade.isclosed: self.log(f'OPERATION RESULT --- Gross: {trade.pnl:.2f}, Net: {trade.pnlcomm:.2f} \n') def next(self): ... self.price_SL_order = self.price_B_order - self.p.bargain_risk * self.data.close[0] ... if self.SL_order: if self.SL_order.alive and (self.SL_order.price < self.price_SL_order): self.SL_orderprice = self.price_SL_order else: self.SL_order = None With changing stop-loss price I have last stop-loss price 5008.725 and OPERATION RESULT --- Gross: -8932.00 2019-08-16 18:00:00: Order № 4 | BUY - Submitted | Size 116 | Price 5055.0 2019-08-16 18:00:00: Order № 5 | STOP-LOSS - Submitted | Size -116 | Price 4979.175 2019-08-16 18:00:00: Order № 6 | TAKE-PROFIT - Submitted | Size -116 | Price 6571.5 2019-08-16 18:00:00: Order № 4 | BUY - Accepted | Size 116 | Price 5055.0 2019-08-16 18:00:00: Order № 5 | STOP-LOSS - Accepted | Size -116 | Price 4979.175 2019-08-16 18:00:00: Order № 6 | TAKE-PROFIT - Accepted | Size -116 | Price 6571.5 2019-08-16 18:00:00: Order № 4 | BUY - Completed | Size 116 | Price 5055.0 2019-08-26 11:00:00: Order № 5 | STOP-LOSS - Completed | Size -116 | Price 5008.725 2019-08-26 11:00:00: Order № 6 | TAKE-PROFIT - Canceled | Size -116 | Price 6571.5 2019-08-26 11:00:00, OPERATION RESULT --- Gross: -8932.00, Net: -8932.00 Without changing stop-loss price I have last stop-loss price 4979.175 and OPERATION RESULT --- Gross: -8932.00 2019-08-16 18:00:00: Order № 4 | BUY - Submitted | Size 116 | Price 5055.0 2019-08-16 18:00:00: Order № 5 | STOP-LOSS - Submitted | Size -116 | Price 4979.175 2019-08-16 18:00:00: Order № 6 | TAKE-PROFIT - Submitted | Size -116 | Price 6571.5 2019-08-16 18:00:00: Order № 4 | BUY - Accepted | Size 116 | Price 5055.0 2019-08-16 18:00:00: Order № 5 | STOP-LOSS - Accepted | Size -116 | Price 4979.175 2019-08-16 18:00:00: Order № 6 | TAKE-PROFIT - Accepted | Size -116 | Price 6571.5 2019-08-16 18:00:00: Order № 4 | BUY - Completed | Size 116 | Price 5055.0 2019-08-26 11:00:00: Order № 5 | STOP-LOSS - Completed | Size -116 | Price 4979.175 2019-08-26 11:00:00: Order № 6 | TAKE-PROFIT - Canceled | Size -116 | Price 6571.5 2019-08-26 11:00:00, OPERATION RESULT --- Gross: -8932.00, Net: -8932.00 Where is a mistake?
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  No order execution?
  • cept0r  

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  Time Based Strategy
  • Nikhil Morye  

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  @Nikhil-Morye Ok solved it. the isue was with the fixer comand of mine. if any admin please close the tread