Noob questions on RSI trading strategies from multiple datafeeds and close orders

BernardLin

Hi I am a noob on Python and I just started learning about backtrader, I would appreciate some help greatly if someone can take a look at my code and give me some advice.

I want to backtest a very simple strategy, that is, if there is no open position, then place buy orders when both RSIm30 and RSIm60 are below 30, place sell orders when they are both above 70; while there are open positions, close the long positions when RSIm30 and RSIm60 are above 70, close the short positions when they are below 30.

I want to realize this simple logic in backtrader so that I can backtest more complicated ones in future, however I am having problems with it now. Below is my code:

# -*- coding: utf-8 -*-
"""
Created on Tue Aug 28 21:06:23 2018

@author: lenovo
"""

import backtrader as bt
import backtrader.feeds as btfeeds
import os
import datetime
import sys  # To find out the script name (in argv[0])

class TestStrategy(bt.Strategy):

    def log(self, txt, dt=None):
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        self.dataclose = self.datas[0].close
        self.order = None
        self.buyprice = None
        self.buycomm = None

        self.rsim30=bt.indicators.RSI(self.data.close, period=14)
        self.rsim60=bt.indicators.RSI(self.data1.close, period=14)

    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

        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:
                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')

        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): # input trade logid in this function
        self.log('Close, %.2f' % self.dataclose[0])

        if self.order:
            return

        if not self.position:

            if self.rsim30<30 and self.rsim60<30:

                self.log('BUY CREATE, %.2f' % self.dataclose[0])
                self.order = self.buy()

            elif self.rsim30>70 and self.rsim60>70:
                self.log('SELL CREATE, %.2f' % self.dataclose[0])
                self.order = self.sell()
        
        if self.position:
            if self.rsim30>70 and self.rsim60>70:
                self.p.exectype == 'Close'
                self.buy(exectype=bt.Order.Close)
                self.log('BUY CREATE, exectype Close, price %.2f' %
                         self.data.close[0])
            if self.rsim30<30 and self.rsim60<30:
                self.p.exectype == 'Close'
                self.sell(exectype=bt.Order.Close)

                self.log('SELL CREATE, exectype Close, price %.2f' %
                         self.data.close[0])



if __name__ == '__main__':
    cerebro = bt.Cerebro()
    cerebro.addstrategy(TestStrategy)
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, 'EURUSD30.csv')
    datapath1 = os.path.join(modpath, 'EURUSD60.csv')
    # Create a Data Feed
    data = btfeeds.GenericCSVData(
        dataname=datapath,
        fromdate=datetime.datetime(2018, 1, 1),
        dtformat=('%Y.%m.%d'),
        tmformat=('%H:%M'),
        datetime=0,
        time=1,
        high=3,
        low=4,
        open=2,
        close=5,
        volume=6,
        timeframe= bt.TimeFrame.Minutes,
        compression= 30
    )
    data1 = btfeeds.GenericCSVData(
        dataname=datapath1,
        fromdate=datetime.datetime(2018, 1, 1),
        dtformat=('%Y.%m.%d'),
        tmformat=('%H:%M'),
        datetime=0,
        time=1,
        high=3,
        low=4,
        open=2,
        close=5,
        volume=6,
        timeframe= bt.TimeFrame.Minutes,
        compression= 30
    )

    cerebro.adddata(data)

    cerebro.broker.setcash(10000.0)

    cerebro.addsizer(bt.sizers.FixedSize, stake=0.05)

    cerebro.broker.setcommission(commission=0.00)

    print('Starting Balance: %.2f' % cerebro.broker.getvalue())

    cerebro.run()

    print('Final Balance: %.2f' % cerebro.broker.getvalue())

    cerebro.plot()

When I run it, needless to say it went terribly wrong, here is the error message I got :

runfile('C:/Users/lenovo/Desktop/python_work/backtest1.py', wdir='C:/Users/lenovo/Desktop/python_work')
Starting Balance: 10000.00
Traceback (most recent call last):

  File "<ipython-input-3-140e68c3c26b>", line 1, in <module>
    runfile('C:/Users/lenovo/Desktop/python_work/backtest1.py', wdir='C:/Users/lenovo/Desktop/python_work')

  File "D:\Anaconda3\lib\site-packages\spyder\utils\site\sitecustomize.py", line 705, in runfile
    execfile(filename, namespace)

  File "D:\Anaconda3\lib\site-packages\spyder\utils\site\sitecustomize.py", line 102, in execfile
    exec(compile(f.read(), filename, 'exec'), namespace)

  File "C:/Users/lenovo/Desktop/python_work/backtest1.py", line 144, in <module>
    cerebro.run()

  File "D:\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)

  File "D:\Anaconda3\lib\site-packages\backtrader\cerebro.py", line 1217, in runstrategies
    strat = stratcls(*sargs, **skwargs)

  File "D:\Anaconda3\lib\site-packages\backtrader\metabase.py", line 88, in __call__
    _obj, args, kwargs = cls.doinit(_obj, *args, **kwargs)

  File "D:\Anaconda3\lib\site-packages\backtrader\metabase.py", line 78, in doinit
    _obj.__init__(*args, **kwargs)

  File "C:/Users/lenovo/Desktop/python_work/backtest1.py", line 27, in __init__
    self.rsim60=bt.indicators.RSI(self.data1.close, period=14)

  File "D:\Anaconda3\lib\site-packages\backtrader\lineseries.py", line 461, in __getattr__
    return getattr(self.lines, name)

AttributeError: 'Lines_LineSeries_LineIterator_DataAccessor_Strateg' object has no attribute 'data1'

Can someone just take a look at it and let me know how I should change it to make the backtest go through? Thanks immensely!

ab_trader

Please format code and outputs. Really hard to read.

BernardLin

Hi, sorry about that, new to this community, still trying to get the hang of it, I just edited my question and I think it looks better now.

ab_trader

You didin't add data1 into the system but try to get it's values. Need to add one more adddata statement.

BernardLin

Thanks a lot! I will try that! Meanwhile, are my RSI definitions and positions-close syntax correct in the code? I am terribly worried that there may be some other mistakes in my code, for instance, I don't think I used this line

    def __init__(self):
        self.dataclose = self.datas[0].close

anywhere in the file (it comes from the template), not even in the RSI definitions, this line seems to have been used in defining the SMA in the original template, I hope I am not making a cock-up here by ignoring it.