TradeAnalyzer appears to be incorrect
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Hi,
I am having an issue with the TradeAnalyzer. I have added a TradeAnalyzer to one of the examples on the backtrader website (more specifically, to the 'Visual Inspection: Plotting' example from https://www.backtrader.com/docu/quickstart/quickstart.html#our-first-strategy).
To add the TradeAnalyzer, I have insert code snippets from https://backtest-rookies.com/2017/06/11/using-analyzers-backtrader/.
I have also commented some of the log calls, to make the example more clear.
The resulting code is as follows:
from __future__ import (absolute_import, division, print_function, unicode_literals) import datetime # For datetime objects import os.path # To manage paths import sys # To find out the script name (in argv[0]) # Import the backtrader platform import backtrader as bt # Create a Stratey class TestStrategy(bt.Strategy): params = ( ('maperiod', 15), ) def log(self, txt, dt=None): ''' Logging function fot this strategy''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def __init__(self): # Keep a reference to the "close" line in the data[0] dataseries self.dataclose = self.datas[0].close # To keep track of pending orders and buy price/commission self.order = None self.buyprice = None self.buycomm = None # Add a MovingAverageSimple indicator self.sma = bt.indicators.SimpleMovingAverage( self.datas[0], period=self.params.maperiod) # Indicators for the plotting show bt.indicators.ExponentialMovingAverage(self.datas[0], period=25) bt.indicators.WeightedMovingAverage(self.datas[0], period=25, subplot=True) bt.indicators.StochasticSlow(self.datas[0]) bt.indicators.MACDHisto(self.datas[0]) rsi = bt.indicators.RSI(self.datas[0]) bt.indicators.SmoothedMovingAverage(rsi, period=10) bt.indicators.ATR(self.datas[0], plot=False) def notify_order(self, order): if order.status in [order.Submitted, order.Accepted]: # Buy/Sell order submitted/accepted to/by broker - Nothing to do return # Check if an order has been completed # Attention: broker could reject order if not enough cash if order.status in [order.Completed]: if order.isbuy(): #self.log( # 'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' % # (order.executed.price, # order.executed.value, # order.executed.comm)) self.buyprice = order.executed.price self.buycomm = order.executed.comm # else: # Sell #self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' % # (order.executed.price, # order.executed.value, # order.executed.comm)) self.bar_executed = len(self) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected') # Write down: no pending order self.order = None def notify_trade(self, trade): if not trade.isclosed: return self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' % (trade.pnl, trade.pnlcomm)) def next(self): # Simply log the closing price of the series from the reference #self.log('Close, %.2f' % self.dataclose[0]) # Check if an order is pending ... if yes, we cannot send a 2nd one if self.order: return # Check if we are in the market if not self.position: # Not yet ... we MIGHT BUY if ... if self.dataclose[0] > self.sma[0]: # BUY, BUY, BUY!!! (with all possible default parameters) # self.log('BUY CREATE, %.2f' % self.dataclose[0]) # Keep track of the created order to avoid a 2nd order self.order = self.buy() else: if self.dataclose[0] < self.sma[0]: # SELL, SELL, SELL!!! (with all possible default parameters) # self.log('SELL CREATE, %.2f' % self.dataclose[0]) # Keep track of the created order to avoid a 2nd order self.order = self.sell() def printTradeAnalysis(analyzer): ''' Function to print the Technical Analysis results in a nice format. ''' #Get the results we are interested in total_open = analyzer.total.open total_closed = analyzer.total.closed total_won = analyzer.won.total total_lost = analyzer.lost.total win_streak = analyzer.streak.won.longest lose_streak = analyzer.streak.lost.longest pnl_net = round(analyzer.pnl.net.total,2) strike_rate = (total_won / total_closed) * 100 #Designate the rows h1 = ['Total Open', 'Total Closed', 'Total Won', 'Total Lost'] h2 = ['Strike Rate','Win Streak', 'Losing Streak', 'PnL Net'] r1 = [total_open, total_closed, total_won, total_lost] r2 = [strike_rate, win_streak, lose_streak, pnl_net] #Check which set of headers is the longest. if len(h1) > len(h2): header_length = len(h1) else: header_length = len(h2) #Print the rows print_list = [h1,r1,h2,r2] row_format ="{:<15}" * (header_length + 1) print("Trade Analysis Results:") for row in print_list: print(row_format.format('',*row)) if __name__ == '__main__': # Create a cerebro entity cerebro = bt.Cerebro() # Add a strategy cerebro.addstrategy(TestStrategy) # Datas are in a subfolder of the samples. Need to find where the script is # because it could have been called from anywhere modpath = os.path.dirname(os.path.abspath(sys.argv[0])) datapath = os.path.join(modpath, './datas/orcl-1995-2014.txt') # Create a Data Feed data = bt.feeds.YahooFinanceCSVData( dataname=datapath, # Do not pass values before this date fromdate=datetime.datetime(2000, 1, 1), # Do not pass values before this date todate=datetime.datetime(2000, 12, 31), # Do not pass values after this date reverse=False) # Add the Data Feed to Cerebro cerebro.adddata(data) # Set our desired cash start cerebro.broker.setcash(1000.0) # Add a FixedSize sizer according to the stake cerebro.addsizer(bt.sizers.FixedSize, stake=10) # Set the commission cerebro.broker.setcommission(commission=0.0) # Print out the starting conditions print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) # Add the analyzers we are interested in cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name="ta") # Run over everything strategies = cerebro.run() firstStrat = strategies[0] # print the analyzers printTradeAnalysis(firstStrat.analyzers.ta.get_analysis()) # Print out the final result print('Ending Portfolio Value: %.2f' % cerebro.broker.getvalue())This produces the following result:
Starting Portfolio Value: 1000.00 2000-03-31, OPERATION PROFIT, GROSS 100.00, NET 100.00 2000-04-12, OPERATION PROFIT, GROSS -28.70, NET -28.70 2000-04-20, OPERATION PROFIT, GROSS -24.00, NET -24.00 2000-05-05, OPERATION PROFIT, GROSS -22.50, NET -22.50 2000-05-09, OPERATION PROFIT, GROSS -8.20, NET -8.20 2000-05-19, OPERATION PROFIT, GROSS -28.10, NET -28.10 2000-06-23, OPERATION PROFIT, GROSS 37.90, NET 37.90 2000-06-28, OPERATION PROFIT, GROSS -1.60, NET -1.60 2000-06-30, OPERATION PROFIT, GROSS -8.40, NET -8.40 2000-07-05, OPERATION PROFIT, GROSS -21.50, NET -21.50 2000-07-24, OPERATION PROFIT, GROSS -1.60, NET -1.60 2000-07-28, OPERATION PROFIT, GROSS 1.50, NET 1.50 2000-08-02, OPERATION PROFIT, GROSS -10.90, NET -10.90 2000-09-11, OPERATION PROFIT, GROSS 38.70, NET 38.70 2000-10-02, OPERATION PROFIT, GROSS -8.00, NET -8.00 2000-10-31, OPERATION PROFIT, GROSS -35.00, NET -35.00 2000-11-21, OPERATION PROFIT, GROSS 5.00, NET 5.00 2000-12-15, OPERATION PROFIT, GROSS 30.60, NET 30.60 2000-12-21, OPERATION PROFIT, GROSS -21.90, NET -21.90 Trade Analysis Results: Total Open Total Closed Total Won Total Lost 1 19 6 6 Strike Rate Win Streak Losing Streak PnL Net 31.57894736842105 2 2 -6.7 Ending Portfolio Value: 980.10As can be seen in the output, the TradeAnalyzer is correct in the total number of closed trades (19), the total number of winning trades (6), and the winning streak (2). However, the number of lost trades, the losing streak, and the PnL Net appear to be incorrect.
Can anyone explain what I am doing wrong or what is going on?
Many thanks in advance.
Ad
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This is a very recent error introduced with this commit: https://github.com/backtrader/backtrader/commit/8f537a1c2c271eb5cfc592b373697732597d26d6
In attempting to fix the
boolproblem if you only had 1 trade the propernotto identify lost trades was lost.This is now fixed in this push to the
developmentbranch: https://github.com/backtrader/backtrader/commit/cc2751a5f53166f68c5340eb876579f1a5590bf5 -
Thanks, this fixes the problem :)
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Hi @advandenoord @backtrader
I have updated the traderanalyzer.py as in branch: https://github.com/backtrader/backtrader/commit/cc2751a5f53166f68c5340eb876579f1a5590bf5
but now when I run my backtrader, Python returns this:File "D:\Anaconda3\lib\site-packages\backtrader\analyzers\tradeanalyzer.py", line 73, in stop super(TradeAnalyzer, self).stop() TypeError: super(type, obj): obj must be an instance or subtype of typeDo you guys know why this happens? How should I fix it? Thanks!
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Do you care let us know how you use it?. The tests work and it also works for @advandenoord. And the change introduced has nothing to do with the error you report.
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@backtrader Hi, I changed traderanalyzer.py file script as instructed on Github and that is when it went wrong, then I downloaded a traderanalyzer.py directly from Github, reinstalled Backtrader and copied and pasted the traderanalyzer.py into the backtrader module, it is working now. Though I couldn't figure out the reason for that error to occur.
By the way, would you mind taking a look at this question https://community.backtrader.com/topic/1303/how-do-i-set-up-correct-position-close-logic/4 ?
I have been scratching my heads over how to use self.close() order to close only long or short positions when I have both existing long and short positions. It is a very important question for me, and many thanks if you can clarify it for me cos I didn't find a page on the website explaining how it works.Have a good weekend.
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@bernardlin said in TradeAnalyzer appears to be incorrect:
Hi, I changed traderanalyzer.py file script as instructed on Github
I fear you didn't simply use the
developmentbranch. There is no reason to manually change/download a single file.