The guy in your link didn't include fees & slippage.
Further more it should be noted that every single EMA combination tested (and most SMAs) outperformed the buy and hold annualized return of 6.32%^ during the test period (before allowing for transaction costs and slippage)Further more it should be noted that every single EMA combination tested (and most SMAs) outperformed the buy and hold annualized return of 6.32%^ during the test period (before allowing for transaction costs and slippage)
I've played a bit with boundoff, daily and resampled weekly data trying to get shifted weekly bar, but wasn't able to make it. Maybe it should be same timeframe specified for both original and target bars in order to force it to work.
Bracket orders (the ones you submit with parent) have a different lifecycle:
parent is 1st alive. children are inactive
If the parent is cancelled the children are simply discarded (they weren't active)
If the parent is executed, the children are activated
Both children behave now like OCO orders
I can confirm that backtrader is by far the best option compared to zipline, and quantconnect. The zipline code is a mess, they implemented it, then decided to create a new library to implement basic statistics which they got wrong then created a new library to implement the risk metrics. It is inefficient and Quantopian holds back enough code to just make zipline unusable.
Quantconnect has a better architecture but it also has a lot of old legacy code.
@richard-o-regan Good afternoon. I just joined BackTrader. Long-time futures trader; technical. Years ago with aid of programmers created own linux-based backtesting and then real time trading. Now looking for back testing platform. Found QuantConnect on IB site, but others recommended Backtrader. I will be working with programmer, but based on number of years experience backtesting tens of thousands of iterations, what we did was to rather than merely take output, and rearrange, place all output into a large spd sheet. That included say all 500 iterations for a test, along with all the indiv vars, and columns such as you suggest, % pft tdes, etc. However, with spd sheet, could easily sort on columns, as well as sub-sorts. Regards,
Two (2) indicators are declared in the __init__ method of the Strategy and two (2) indicators show up in the char
BollingerBands which defaults to plotting along the data (because the values from this indicator are meant to be in line with the value)
RSI which defaults to be plotted on a subplot because it has fixed values ranging from 0 to 100