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    TradeAnalyzer appears to be incorrect

    Indicators/Strategies/Analyzers
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    • A
      advandenoord last edited by

      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: 980.10
      

      As 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

      1 Reply Last reply Reply Quote 0
      • B
        backtrader administrators last edited by

        This is a very recent error introduced with this commit: https://github.com/backtrader/backtrader/commit/8f537a1c2c271eb5cfc592b373697732597d26d6

        In attempting to fix the bool problem if you only had 1 trade the proper not to identify lost trades was lost.

        This is now fixed in this push to the development branch: https://github.com/backtrader/backtrader/commit/cc2751a5f53166f68c5340eb876579f1a5590bf5

        1 Reply Last reply Reply Quote 4
        • A
          advandenoord last edited by

          Thanks, this fixes the problem :)

          1 Reply Last reply Reply Quote 0
          • B
            BernardLin last edited by

            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 type
            

            Do you guys know why this happens? How should I fix it? Thanks!

            1 Reply Last reply Reply Quote 0
            • B
              backtrader administrators last edited by backtrader

              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.

              B 1 Reply Last reply Reply Quote 0
              • B
                BernardLin @backtrader last edited by

                @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.

                B 1 Reply Last reply Reply Quote 0
                • B
                  backtrader administrators @BernardLin last edited by

                  @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 development branch. There is no reason to manually change/download a single file.

                  1 Reply Last reply Reply Quote 0
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