Adding data to cerebro with buy/sell signal

vishamar

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!

backtrader

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

backtrader

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

ab_trader

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.

vishamar

@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')]

vishamar

@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.

ab_trader

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

backtrader

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.

vishamar

@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?

backtrader

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)