Optimize Stop-Trail order values

j45p41

Hi,

after posting "Create orders from CSV file" and getting quick and helpful feedabck. I have started using backtrader again and thanks to the great documentation I have now gotten to the stage where I can push in my own orders. I am now trying to:

Optimize against stop order entry price and trailing stop distance.

I have :

declared parameters to be optimized
referenced them under self.params.x
added the “Strategy” hook stop method
called the cerebro.optstategy function

However I keep getting the same value back from the broker for all variances of the optimization parameters.

Here is my code:

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
import backtrader.feeds as btfeed
import pandas as pd

class PlotScheme(object):
    def __init__(self):

        # Default plotstyle for the OHLC bars which (line -> line on close)
        # Other options: 'bar' and 'candle'
        self.style = 'line'


class dataFeed(btfeed.GenericCSVData):
    params = (
        ('dtformat', '%Y-%m-%d %H:%M:%S'),
        ('datetime', 0),
        ('open', 1),
        ('high', 2),
        ('low', 3),
        ('close', 4),
        ('volume', 5),
        ('openinterest', -1)
    )

# Create a Stratey
class TestStrategy(bt.Strategy):
    params = (
        ('trail', 10),
        ('distance', 3),)

    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.dataopen = self.datas[0].open
        self.datahigh = self.datas[0].high
        self.datalow = self.datas[0].low
        self.dataclose = self.datas[0].close
        self.datavolume = self.datas[0].volume

        # To keep track of pending orders and buy price/commission
        self.order = None
        self.buyprice = None
        self.buycomm = None

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            # print('Submitted/Accepted: ', str(self.data.datetime.time(0)))

            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))
                print(str(self.data.datetime.time(0)))

                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))
                print(str(self.data.datetime.time(0)))

            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        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):
        global i,dt

        # Get datetime
        dt = self.datas[0].datetime.datetime()

        # Check if we are in the market
        try:
            # if not self.position:
            if orders['DATE'][i] == dt.strftime('%Y-%m-%d %H:%M:%S'):
                if orders['DIRECTION'][i] == 'BUY':
                    self.log('OPEN BUY ORDER, %.2f' % self.dataclose[0])
                    self.order = self.buy(exectype=bt.Order.StopTrail, price=float(self.dataclose[0] + self.params.distance), trailamount=self.params.trail, valid=bt.Order.DAY)
                elif orders['DIRECTION'][i] == 'SELL':
                    self.log('OPEN SELL ORDER, %.2f' % self.dataclose[0])
                    self.order = self.sell(exectype=bt.Order.StopTrail, price=float(self.dataclose[0] - self.params.distance), trailamount=self.params.trail, valid=bt.Order.DAY)
                i = i + 1

            if dt.strftime('%H:%M') == '21:00': self.close()

        except:
            pass

    def stop(self):
        self.log('(Start distance %2d, Trail distance %2d) Ending Value %.2f' %
                 (self.params.distance, self.params.trail, self.broker.getvalue()))


if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()
    i = 0
    state = False

    # Add a strategy
    # cerebro.addstrategy(TestStrategy)

    strats = cerebro.optstrategy(TestStrategy,distance=range(3,8), trail=range(3,8))

    datapath = os.path.join('backtrader/deepanalysis/US500/US50015m_bid_chart_data_with_vol.csv')

    # Create a Data Feed
    data = dataFeed(dataname=datapath, timeframe=bt.TimeFrame.Minutes, compression=15)

    # Read Orders

    orders = pd.read_csv('backtrader/deepanalysis/US500/US500_orders_20180601_to_20180815_Norm_priority.csv')

    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(5000.0)

    # Add a FixedSize sizer according to the stake
    cerebro.addsizer(bt.sizers.FixedSize, stake=1)

    # Set the commission
    cerebro.broker.setcommission(commission=0.0)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run()

    # Print out the final result
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

Here is the output that i get:

C:\Users\jaspa\AppData\Local\conda\conda\envs\backtrader\python.exe C:/Users/jaspa/PycharmProjects/backtrader/US500_backtest_1.py
Starting Portfolio Value: 5000.00
2018-08-15, (Start distance  3, Trail distance  6) Ending Value 5000.00
2018-08-15, (Start distance  3, Trail distance  7) Ending Value 5000.00
2018-08-15, (Start distance  6, Trail distance  7) Ending Value 5000.00
2018-08-15, (Start distance  4, Trail distance  6) Ending Value 5000.00
2018-08-15, (Start distance  3, Trail distance  3) Ending Value 5000.00
2018-08-15, (Start distance  3, Trail distance  4) Ending Value 5000.00
2018-08-15, (Start distance  4, Trail distance  3) Ending Value 5000.00
2018-08-15, (Start distance  5, Trail distance  5) Ending Value 5000.00
2018-08-15, (Start distance  4, Trail distance  5) Ending Value 5000.00
2018-08-15, (Start distance  5, Trail distance  6) Ending Value 5000.00
2018-08-15, (Start distance  4, Trail distance  4) Ending Value 5000.00
2018-08-15, (Start distance  3, Trail distance  5) Ending Value 5000.00
2018-08-15, (Start distance  6, Trail distance  4) Ending Value 5000.00
2018-08-15, (Start distance  7, Trail distance  4) Ending Value 5000.00
2018-08-15, (Start distance  5, Trail distance  4) Ending Value 5000.00
2018-08-15, (Start distance  5, Trail distance  3) Ending Value 5000.00
2018-08-15, (Start distance  7, Trail distance  6) Ending Value 5000.00
2018-08-15, (Start distance  6, Trail distance  6) Ending Value 5000.00
2018-08-15, (Start distance  4, Trail distance  7) Ending Value 5000.00
2018-08-15, (Start distance  5, Trail distance  7) Ending Value 5000.00
2018-08-15, (Start distance  6, Trail distance  3) Ending Value 5000.00
2018-08-15, (Start distance  7, Trail distance  5) Ending Value 5000.00
2018-08-15, (Start distance  7, Trail distance  7) Ending Value 5000.00
2018-08-15, (Start distance  6, Trail distance  5) Ending Value 5000.00
2018-08-15, (Start distance  7, Trail distance  3) Ending Value 5000.00
Final Portfolio Value: 5000.00

Process finished with exit code 0

Here is the output I get when I run the strategy with the default parameter values:

C:\Users\jaspa\AppData\Local\conda\conda\envs\backtrader\python.exe C:/Users/jaspa/PycharmProjects/backtrader/US500_backtest_1.py
Starting Portfolio Value: 5000.00
2018-06-05, OPEN BUY ORDER, 2748.13
2018-06-05, BUY EXECUTED, Price: 2749.75, Cost: 2749.75, Comm 0.00
19:45:00
2018-06-05, SELL EXECUTED, Price: 2751.51, Cost: 2749.75, Comm 0.00
21:15:00
2018-06-05, OPERATION PROFIT, GROSS 1.76, NET 1.76
2018-06-06, OPEN SELL ORDER, 2755.69
2018-06-07, OPEN BUY ORDER, 2775.99
2018-06-07, BUY EXECUTED, Price: 2771.76, Cost: 2771.76, Comm 0.00
20:30:00
2018-06-07, SELL EXECUTED, Price: 2771.60, Cost: 2771.76, Comm 0.00
21:15:00
2018-06-07, OPERATION PROFIT, GROSS -0.16, NET -0.16
2018-06-08, OPEN SELL ORDER, 2765.90
2018-06-12, OPEN SELL ORDER, 2784.50
2018-06-13, OPEN SELL ORDER, 2788.59
2018-06-13, SELL EXECUTED, Price: 2780.88, Cost: -2780.88, Comm 0.00
19:00:00
2018-06-13, BUY EXECUTED, Price: 2773.30, Cost: -2780.88, Comm 0.00
21:15:00
2018-06-13, OPERATION PROFIT, GROSS 7.58, NET 7.58
2018-06-14, OPEN BUY ORDER, 2783.62
2018-06-15, OPEN BUY ORDER, 2769.40
2018-06-15, BUY EXECUTED, Price: 2776.40, Cost: 2776.40, Comm 0.00
19:15:00
2018-06-15, SELL EXECUTED, Price: 2779.87, Cost: 2776.40, Comm 0.00
21:15:00
2018-06-15, OPERATION PROFIT, GROSS 3.47, NET 3.47
2018-06-18, OPEN SELL ORDER, 2761.90
2018-06-19, OPEN SELL ORDER, 2752.10
2018-06-20, OPEN BUY ORDER, 2770.13
2018-06-21, OPEN BUY ORDER, 2762.47
2018-06-21, BUY EXECUTED, Price: 2760.22, Cost: 2760.22, Comm 0.00
16:45:00
2018-06-21, SELL EXECUTED, Price: 2749.00, Cost: 2760.22, Comm 0.00
21:15:00
2018-06-21, OPERATION PROFIT, GROSS -11.22, NET -11.22
2018-06-25, OPEN SELL ORDER, 2733.98
2018-06-25, SELL EXECUTED, Price: 2720.98, Cost: -2720.98, Comm 0.00
15:00:00
2018-06-25, BUY EXECUTED, Price: 2719.10, Cost: -2720.98, Comm 0.00
21:15:00
2018-06-25, OPERATION PROFIT, GROSS 1.88, NET 1.88
2018-06-26, OPEN BUY ORDER, 2724.19
2018-06-26, BUY EXECUTED, Price: 2730.26, Cost: 2730.26, Comm 0.00
18:00:00
2018-06-26, SELL EXECUTED, Price: 2725.91, Cost: 2730.26, Comm 0.00
21:15:00
2018-06-26, OPERATION PROFIT, GROSS -4.35, NET -4.35
2018-06-27, OPEN SELL ORDER, 2730.00
2018-06-27, SELL EXECUTED, Price: 2734.02, Cost: -2734.02, Comm 0.00
16:00:00
2018-06-27, BUY EXECUTED, Price: 2702.05, Cost: -2734.02, Comm 0.00
21:15:00
2018-06-27, OPERATION PROFIT, GROSS 31.97, NET 31.97
2018-06-28, OPEN BUY ORDER, 2699.73
2018-06-28, BUY EXECUTED, Price: 2707.06, Cost: 2707.06, Comm 0.00
16:00:00
2018-06-28, SELL EXECUTED, Price: 2717.05, Cost: 2707.06, Comm 0.00
21:15:00
2018-06-28, OPERATION PROFIT, GROSS 9.99, NET 9.99
2018-06-29, OPEN BUY ORDER, 2735.20
2018-06-29, BUY EXECUTED, Price: 2743.16, Cost: 2743.16, Comm 0.00
16:00:00
2018-06-29, SELL EXECUTED, Price: 2720.23, Cost: 2743.16, Comm 0.00
21:15:00
2018-06-29, OPERATION PROFIT, GROSS -22.93, NET -22.93
2018-07-30, OPEN BUY ORDER, 2812.63
2018-07-31, OPEN BUY ORDER, 2813.06
2018-07-31, BUY EXECUTED, Price: 2819.25, Cost: 2819.25, Comm 0.00
16:45:00
2018-07-31, SELL EXECUTED, Price: 2822.88, Cost: 2819.25, Comm 0.00
21:15:00
2018-07-31, OPERATION PROFIT, GROSS 3.63, NET 3.63
2018-08-01, OPEN SELL ORDER, 2819.48
2018-08-01, SELL EXECUTED, Price: 2814.76, Cost: -2814.76, Comm 0.00
16:45:00
2018-08-01, BUY EXECUTED, Price: 2809.82, Cost: -2814.76, Comm 0.00
21:15:00
2018-08-01, OPERATION PROFIT, GROSS 4.94, NET 4.94
2018-08-02, OPEN SELL ORDER, 2799.40
2018-08-03, OPEN BUY ORDER, 2830.09
2018-08-03, BUY EXECUTED, Price: 2838.84, Cost: 2838.84, Comm 0.00
20:00:00
2018-08-03, SELL EXECUTED, Price: 2838.85, Cost: 2838.84, Comm 0.00
21:15:00
2018-08-03, OPERATION PROFIT, GROSS 0.01, NET 0.01
2018-08-06, OPEN SELL ORDER, 2837.96
2018-08-07, OPEN SELL ORDER, 2858.17
2018-08-08, OPEN BUY ORDER, 2855.45
2018-08-09, OPEN SELL ORDER, 2856.91
2018-08-09, SELL EXECUTED, Price: 2851.92, Cost: -2851.92, Comm 0.00
20:45:00
2018-08-09, BUY EXECUTED, Price: 2851.81, Cost: -2851.92, Comm 0.00
21:15:00
2018-08-09, OPERATION PROFIT, GROSS 0.11, NET 0.11
2018-08-10, OPEN SELL ORDER, 2838.98
2018-08-10, SELL EXECUTED, Price: 2829.47, Cost: -2829.47, Comm 0.00
18:45:00
2018-08-10, BUY EXECUTED, Price: 2835.86, Cost: -2829.47, Comm 0.00
21:15:00
2018-08-10, OPERATION PROFIT, GROSS -6.39, NET -6.39
2018-08-13, OPEN BUY ORDER, 2837.68
2018-08-13, BUY EXECUTED, Price: 2831.50, Cost: 2831.50, Comm 0.00
19:15:00
2018-08-13, SELL EXECUTED, Price: 2824.10, Cost: 2831.50, Comm 0.00
21:15:00
2018-08-13, OPERATION PROFIT, GROSS -7.40, NET -7.40
2018-08-14, OPEN BUY ORDER, 2831.96
2018-08-14, BUY EXECUTED, Price: 2840.96, Cost: 2840.96, Comm 0.00
15:45:00
2018-08-14, SELL EXECUTED, Price: 2839.56, Cost: 2840.96, Comm 0.00
21:15:00
2018-08-14, OPERATION PROFIT, GROSS -1.40, NET -1.40
2018-08-15, OPEN SELL ORDER, 2822.43
2018-08-15, SELL EXECUTED, Price: 2809.43, Cost: -2809.43, Comm 0.00
15:00:00
2018-08-15, (Start distance  3, Trail distance 10) Ending Value 5010.83
Final Portfolio Value: 5010.83

Process finished with exit code 0

I'm sure it is probably something obvious but we all have to start somewhere :) All help greatly appreciated!

backtrader

You have a try ... except that catches all exceptions (you won't even know an error happened) and plays with global variables: doomed to fail.

j45p41

@backtrader So obvious (when you know how) got it. Removed the globals and try except and got it to work! Thank you sir!