3. Adding data to cerebro with buy/sell signal
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Adding data to cerebro with buy/sell signal

  • V

    Dear Community,

    I'm trying to add a merged list to cerebro for each day of the backtesting period that contains the (OHLCV data, stock name) pairs for the particular day.
    Stocks to buy I store in a list (cerebrolistBUY) with their names, stocks to sell, contrarily, have a '-' sign before their names in another list (cerebrolistSELL). The two lists are merged and passed to cerebro:

    cerebrolist=cerebrolistBUY+cerebrolistSELL
for i in range(len(cerebrolist)):
    cerebro = bt.Cerebro()
    cerebro.addstrategy(TestStrategy)
    data = bt.feeds.PandasData(dataname=cerebrolist[i][0])
    cerebro.adddata(data, name=cerebrolist[i][1])

    How could I create the buy and sell signal in the next() method? Indicators are already used for selecting the stocks for the particular day (i.e., creating the 2 lists), so only their names show whether they are to be bought or sold (have a minus sign before their names or not).

    Thank you in advance for any help!

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    B
     1 Reply
  • B
    administrators

    It would really help if you showed a snippet of your lists. Because it is unclear what you are actually adding to the system.

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    V
     1 Reply
  • B
    administrators

    In any case you may want to check this: Blog - Evaluating External Historical Performance

    0

  • The snippet loads all data feeds to cerebro from the list cerebrolist. There are no designation what pair should be bought/sold on what day. So with the snippet above I don't think that it is possible to issue any signals.

    0
    V
     1 Reply
  • V

    @backtrader
    For a given day: cerebrolistSELL=[( Open High Low Close Volume
    Date
    2018-10-31 1.65 1.7 1.62 1.7 507791.0, '-FLT.V'), ( Open High Low Close Volume
    Date
    2018-10-31 0.6 0.62 0.6 0.62 2644244.0, '-SY.V')]

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  • V

    @ab_trader
    The designation is the presence or absence of the minus sign before the stock name (stored in cerebrolist[i][1]).
    Actually I would like to refer to that in the next() method.

    0

  • So in the next() you obtain the current data date, look up this date in your list and buy or sell corresponding tickets.

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  • B
    administrators

    Given the data above

    @vishamar said in Adding data to cerebro with buy/sell signal:

    cerebrolistSELL=[(            Open  High   Low  Close    Volume
Date
2018-10-31  1.65   1.7  1.62    1.7  507791.0, '-FLT.V'), (            Open  High  Low  Close     Volume
Date
2018-10-31   0.6  0.62  0.6   0.62  2644244.0, '-SY.V')]

    and given the code

    @vishamar said in Adding data to cerebro with buy/sell signal:

    cerebrolist=cerebrolistBUY+cerebrolistSELL
for i in range(len(cerebrolist)):
    cerebro = bt.Cerebro()
    cerebro.addstrategy(TestStrategy)
    data = bt.feeds.PandasData(dataname=cerebrolist[i][0])
    cerebro.adddata(data, name=cerebrolist[i][1])

    I don't really think this code is actually doing anything. It would seem you are attempting to pass individual days to PandasData with cerebrolist[i][0], and I say attempting because you seem to be passing the name of the fields and the fields all at once.

    Does the code even work?

    In any case, such a data structure doesn't seem directly compatible as input to a data feed. You need a complete set of OHLCV for the given data and not the data of days in which you buy/sell that data.

    2
    V
     1 Reply
  • V

    @backtrader
    Thank you for the clarification.
    I modified the script to create a list of stocks for a given backtesting period that my indicators show to be worth buying or selling for each day and pass their OHLCV data for the given period to cerebro.
    I have now these kinds of lists:

    cerebrolistBUY=[(datetime.datetime(2018, 10, 11, 0, 0), 'FLT.V'), (datetime.datetime(2018, 10, 31, 0, 0), 'SY.V')]
cerebrolistSELL=[(datetime.datetime(2018, 10, 19, 0, 0), '-FLT.V')]

    Can I use somehow in the next() method the date and the minus sign for buy/sell signal?

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  • B
    administrators

    If you manage to get a meaningful data feed, you can always compare the datetime and if it's a match you sell if the name starts with - and otherwise buy.

    Your best bet is to transform the list to match the format in the blog post linked above (Evaluating External Historical Performance)

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