Closed trade list (including MFE/MAE) analyzer
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Hi all
I've used Amibroker for some time and liked their trade list output. So written the analyzer for closed trades which provides similar information:
chng% pnl% mae% pricein ticker pnl/bar size value mfe% priceout pnl cumpnl dateout ref nbars dir datein ------- ------ ------ --------- -------- --------- ------ -------- ------ ---------- -------- -------- ---------- ----- ------- ----- ---------- -6.07 -2.82 -10.12 281.397 SPY -271.68 159 44742.1 0.68 264.31 -2716.78 -2716.78 2018-02-14 1 10 long 2018-01-31 -1.59 -0.71 -2.2 119.128 TLT -68.55 363 43243.6 1.01 117.24 -685.47 -3402.25 2018-02-22 2 10 long 2018-02-07 1.21 -0.54 -4.01 268.163 SPY -51.3 -158 -42369.7 1.44 271.41 -513.04 -3915.29 2018-03-01 3 10 short 2018-02-14 1.89 -0.84 -2.16 117.946 TLT -53.82 -363 -42814.4 0.8 120.17 -807.27 -4722.56 2018-03-15 4 15 short 2018-02-22 -1.98 -1.26 -6 270.915 SPY -49.35 158 42804.6 3.5 265.55 -1184.35 -5906.91 2018-04-05 5 24 long 2018-03-01 -1.57 0.71 -0.41 265.55 SPY 336.49 -161 -42753.6 2.84 261.37 672.98 -5233.93 2018-04-09 7 2 short 2018-04-05 0.93 0.42 -1.09 119.413 TLT 19.87 359 42869.2 2.47 120.52 397.45 -4836.48 2018-04-13 6 20 long 2018-03-15 -0.89 0.4 -1.35 119.962 TLT 77.43 -361 -43306.4 1.28 118.89 387.13 -4449.35 2018-04-20 9 5 short 2018-04-13 2.9 1.76 -2.06 264.486 SPY 71.27 165 43126.1 3.28 272.16 1710.47 -2738.88 2018-05-11 8 24 long 2018-04-09 -0.16 0.07 -0.61 272.585 SPY 6.96 -160 -43613.6 0.94 272.15 69.6 -2669.28 2018-05-25 11 10 short 2018-05-11 0.95 0.32 -2.43 118.985 TLT 10.37 365 43429.6 2.97 120.11 310.98 -2358.3 2018-06-04 10 30 long 2018-04-20 -1.18 0.26 -0.32 120.11 TLT 86.15 -182 -21860 1.41 118.69 258.44 -2099.86 2018-06-07 13 3 short 2018-06-04 0.2 0.09 -0.01 118.69 TLT 29.76 372 44152.7 1.52 118.93 89.28 -2010.58 2018-06-12 14 3 long 2018-06-07 2.36 -1.08 -3 118.93 TLT -74.67 -372 -44242 0.25 121.74 -1045.32 -3055.9 2018-07-02 15 14 short 2018-06-12 -0.78 -0.33 -2.73 275.275 SPY -11.28 159 43768.8 1.53 273.14 -315.8 -3371.7 2018-07-06 12 28 long 2018-05-25 1.88 -0.85 -2.3 273.14 SPY -204.31 -159 -43429.3 0.16 278.28 -817.26 -4188.96 2018-07-12 17 4 short 2018-07-06 -2.24 -1.01 -2.35 122.013 TLT -64.31 353 43070.5 0.74 119.28 -964.63 -5153.59 2018-07-24 16 15 long 2018-07-02 2.55 0.86 -0.24 278.28 SPY 45.82 156 43411.7 2.78 285.39 824.76 -4328.83 2018-08-07 18 18 long 2018-07-12 -0.02 0.01 -1.01 119.053 TLT 0.81 -362 -43097 0.83 119.03 8.15 -4320.68 2018-08-07 19 10 short 2018-07-24Feel free to use/test it, let me know about any bugs found. The script:
# Trade list similar to Amibroker output class trade_list(bt.Analyzer): def get_analysis(self): return self.trades def __init__(self): self.trades = [] self.cumprofit = 0.0 def notify_trade(self, trade): if trade.isclosed: brokervalue = self.strategy.broker.getvalue() dir = 'short' if trade.history[0].event.size > 0: dir = 'long' pricein = trade.history[len(trade.history)-1].status.price priceout = trade.history[len(trade.history)-1].event.price datein = bt.num2date(trade.history[0].status.dt) dateout = bt.num2date(trade.history[len(trade.history)-1].status.dt) if trade.data._timeframe >= bt.TimeFrame.Days: datein = datein.date() dateout = dateout.date() pcntchange = 100 * priceout / pricein - 100 pnl = trade.history[len(trade.history)-1].status.pnlcomm pnlpcnt = 100 * pnl / brokervalue barlen = trade.history[len(trade.history)-1].status.barlen pbar = pnl / barlen self.cumprofit += pnl size = value = 0.0 for record in trade.history: if abs(size) < abs(record.status.size): size = record.status.size value = record.status.value highest_in_trade = max(trade.data.high.get(ago=0, size=barlen+1)) lowest_in_trade = min(trade.data.low.get(ago=0, size=barlen+1)) hp = 100 * (highest_in_trade - pricein) / pricein lp = 100 * (lowest_in_trade - pricein) / pricein if dir == 'long': mfe = hp mae = lp if dir == 'short': mfe = -lp mae = -hp self.trades.append({'ref': trade.ref, 'ticker': trade.data._name, 'dir': dir, 'datein': datein, 'pricein': pricein, 'dateout': dateout, 'priceout': priceout, 'chng%': round(pcntchange, 2), 'pnl': pnl, 'pnl%': round(pnlpcnt, 2), 'size': size, 'value': value, 'cumpnl': self.cumprofit, 'nbars': barlen, 'pnl/bar': round(pbar, 2), 'mfe%': round(mfe, 2), 'mae%': round(mae, 2)})It returns the list of dictionaries. In order to print it as a table above I've used
tabulatemodule:from tabulate import tabulate ... # add analyzers cerebro.addanalyzer(trade_list, _name='trade_list') ... # run backtest strats = cerebro.run(tradehistory=True) ... # get analyzers data trade_list = strats[0].analyzers.trade_list.get_analysis() print (tabulate(trade_list, headers="keys"))Updated on 09/17/2018
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Outputs -
ref-bt's unique trade identifier
ticker- data feed name
datein- date and time of trade opening
pricein- price of trade entry
dir- long or short
dateout- date and time of trade closing
priceout- price of trade exit
chng%- exit price to entry price ratio
pnl- money profit/loss per trade
pnl%- proft/loss in %s to broker's value at the trade closing
cumpnl- cumulative profit/loss
size- max position size during trade
value- max trade value
nbars- trade duration in bars
pnl/bar- profit/loss per bar
mfe%- max favorable excursion
mae%- max adverse excursion -
Awesome!. Thx for sharing!
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@ab_trader said in Closed trade list (including MFE/MAE) analyzer:
strats[0]
Hi, I have a simple question
On your final lines,
# get analyzers data trade_list = strats[0].analyzers.trade_list.get_analysis() print (tabulate(trade_list, headers="keys"))What does this code indicate?
strats[0]I am new here, so this question might be silly :p
Thank you for sharing!
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Good point. I've updated initial post to include the line which run the backtest:
strats = cerebro.run(tradehistory=True)stratswill contain results of the backtest - see Docs - Cerebro - Returning the results -
@ab_trader
I am testing this on a live bot.I ran into the following issue:
[TradeHistory([('status', AutoOrderedDict([('status', 1), ('dt', 736955.651388889), ('barlen', 0), ('size', 46), ('price', 6338.0), ('value', 291548.0), ('pnl', 0.0), ('pnlcomm', 0.0), ('tz', None)])), ('event', AutoOrderedDict([('order', <backtrader.order.BuyOrder object at 0x112DBA70>), ('size', 46), ('price', 6338), ('commission', 0.0)]))]), TradeHistory([('status', AutoOrderedDict([('status', 2), ('dt', 736955.7006944445), ('barlen', 71), ('size', 0), ('price', 6338.0), ('value', 0.0), ('pnl', 506.0), ('pnlcomm', 506.0), ('tz', None)])), ('event', AutoOrderedDict([('order', <backtrader.order.SellOrder object at 0x132FBB30>), ('size', -46), ('price', 6349), ('commission', 0.0)]))])] ref:1 data:<backmex.feed.BitMEXData object at 0x1129C5F0> tradeid:0 size:0 price:6338.0 value:0.0 commission:0.0 pnl:506.0 pnlcomm:506.0 justopened:False isopen:False isclosed:True baropen:101 dtopen:736955.651388889 barclose:172 dtclose:736955.7006944445 barlen:71 historyon:True history:[TradeHistory([('status', AutoOrderedDict([('status', 1), ('dt', 736955.651388889), ('barlen', 0), ('size', 46), ('price', 6338.0), ('value', 291548.0), ('pnl', 0.0), ('pnlcomm', 0.0), ('tz', None)])), ('event', AutoOrderedDict([('order', <backtrader.order.BuyOrder object at 0x112DBA70>), ('size', 46), ('price', 6338), ('commission', 0.0)]))]), TradeHistory([('status', AutoOrderedDict([('status', 2), ('dt', 736955.7006944445), ('barlen', 71), ('size', 0), ('price', 6338.0), ('value', 0.0), ('pnl', 506.0), ('pnlcomm', 506.0), ('tz', None)])), ('event', AutoOrderedDict([('order', <backtrader.order.SellOrder object at 0x132FBB30>), ('size', -46), ('price', 6349), ('commission', 0.0)]))])] status:2 self._runnext(runstrats) File "D:\envs\twenv\lib\site-packages\backtrader\cerebro.py", line 1623, in _runnext self._brokernotify() File "D:\envs\twenv\lib\site-packages\backtrader\cerebro.py", line 1370, in _brokernotify owner._addnotification(order, quicknotify=self.p.quicknotify) File "D:\envs\twenv\lib\site-packages\backtrader\strategy.py", line 553, in _addnotification self._notify(qorders=qorders, qtrades=qtrades) File "D:\envs\twenv\lib\site-packages\backtrader\strategy.py", line 577, in _notify analyzer._notify_trade(trade) File "D:\envs\twenv\lib\site-packages\backtrader\analyzer.py", line 170, in _notify_trade self.notify_trade(trade) File "D:\envs\twenv\tradework\lib\backtrader\helpers.py", line 168, in notify_trade highest_in_trade = max(trade.data.high.get(ago=0, size=barlen+1)) File "D:\envs\twenv\lib\site-packages\backtrader\linebuffer.py", line 182, in get return list(islice(self.array, start, end)) ValueError: Indices for islice() must be None or an integer: 0 <= x <= sys.maxsize.The first two objects are the printout of 'trade' and 'trade.history', if it helps in finding the issue.
EDIT: I am using this with exactbars=True option in cerebro and maybe this is causing the error. I will try the same with this option off and let it be known here.
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@kausality said in Closed trade list (including MFE/MAE) analyzer:
I am testing this on a live bot.
Were you able to run it?
I am not using live trading now, so to set up a test case will take long time. I don't think that I can help you with it now. -
@ab_trader
Yes, the issue was because of exactbars=True being set. I turned that off and it worked. -
I copied the code into my project and ran pip install tabulate and I get this error. Any tips?
File "...Python37\lib\site-packages\backtrader\cerebro.py", line 1217, in runstrategies
strat = stratcls(*sargs, **skwargs)
TypeError: 'module' object is not callable -
@scottz1 resolved by changing...
import TradeList
to
from TradeList import TradeList -
Thanks very much @ab_trader. Have been looking for this for quite some time.
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This is great! I needed something similar. I am glad I found this before I started to do it myself.
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I needed to track MFE and MAE in pre-entry ATR units. So I added the ATR indicator to the trade list class. Can anyone advice a good method to pass the ATR period to this class so that it is in sync with the ATR period used in the strategy class?
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@scottz1 Answering my own question, I found how analyzers can easily access attributes in the strategy. This would allow me to avoid creating a duplicate ATR indicator in the analyzer, but I've run into a problem with this. If I use a buystop order to open a trade, the strategy doesn't know the fill price until notify_order. I therefore use strategy notify_order order.Completede to calculate a stop loss in ATR units and submit a stop loss order. My analyzer needs to know that stop loss measurement, but... Analyzer notify_trade is called before strategy notify_order. What would be a good design for this?
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I am so happy to find this. I want to buy some chocolate for you <3
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Looks amazing! Thx for the effort!
I run into
if trade.history[0].event.size > 0: dr = 'long' IndexError: list index out of rangedid I miss sth?
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@irving-birger said in Closed trade list (including MFE/MAE) analyzer:
Looks amazing! Thx for the effort!
I run into
if trade.history[0].event.size > 0: dr = 'long' IndexError: list index out of rangedid I miss sth?
Got it! Forgot to enable history with this:
cerebro = bt.Cerebro(tradehistory=True)
