Usage of backtrader with Soybean future
-
Hi guys,
I am a newbie of backtrader and try to run simple backtesting stuff but I dont know how to configure it correctly...
I have copied the code here:
https://www.backtrader.com/blog/posts/2015-07-26-commission-schemes/commission-schemes.html#commission-schemesand adapted to my case
This is the paper I am trying to implement: https://kjtradingsystems.com/Act/davey0410.pdf
The first issue is how to configure the "comminssion" scheme for soybean...
I have taken the information from CME website (https://www.cmegroup.com/trading/agricultural/grain-and-oilseed/soybean_contract_specifications.html) and configure the commission in this way:
cerebro.broker.setcommission(commission=8, margin=2350, mult=5000, name=instrument_name) # soybean
Running the code I get very big profit/loss and I suppose to have mis-configured the commission scheme.
The goal of this project is to get the same results as the author of paper.
Any help is very appreciated,
Alex
-
Hey,
Multiplier for Soybean is 50. Prices are quoted USd/bu (i.e. tick size 0.25, each tick is worth 12.5$).
Just change the multiplier to 50 and you are good to go. Also, Initial margin for speculator is 2585$, and the secondary margin is $2350.
Hope this help!
-
Thanks a lot @emilpuiu .
Do you think should I consider/include the secondary margin during backtest ?
-
No, initial margin alone is fine :)