Having trouble printing daily high, low, and close

bullyellis

I am running through the program, but am struggling with something simple.
I want to print the high, low, and close for a day. But only close is appearing correctly.
Pointing me at some reading explicitly about the data[] or datas[] constructs would also be appreciated.

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])

# Import the backtrader platform
import backtrader as bt


# Create a Stratey
class TestStrategy(bt.Strategy):

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

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close
        self.datahigh = self.datas[0].high
        self.datalow = self.datas[0].low

    def next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close: %.2f High: %.2f Low: %.2f' % (self.dataclose[0],self.datahigh[0],self.datalow[0]))



if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(TestStrategy)

    # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, '../../data/backtrader/datas/orcl-1995-2014.txt')

    # Create a Data Feed
    data = bt.feeds.YahooFinanceCSVData(
        dataname=datapath,
        # Do not pass values before this date
        fromdate=datetime.datetime(2000, 1, 1),
        # Do not pass values before this date
        todate=datetime.datetime(2000, 12, 31),
        # Do not pass values after this date
        reverse=False)

    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(100000.0)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run()

    # Print out the final result
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

backtrader

@bullyellis said in Having trouble printing daily high, low, and close:

I want to print the high, low, and close for a day. But only close is appearing correctly.

May we know what's not actually appearing correctly?

@bullyellis said in Having trouble printing daily high, low, and close:

Pointing me at some reading explicitly about the data[] or datas[] constructs would also be appreciated.

Docs - Platform Concepts

bullyellis

Derp. Sorry. My output is below. When I compare this to the actual values in the orcl-1995-2014.txt file, only the close is correct.
High and low are incorrect and I have no idea where they are coming from.

2000-12-20, Close: 25.35 High: 26.52 Low: 24.46
2000-12-21, Close: 26.24 High: 26.91 Low: 24.29
2000-12-22, Close: 28.35 High: 28.45 Low: 26.68
2000-12-26, Close: 27.52 High: 28.63 Low: 26.68
2000-12-27, Close: 27.30 High: 27.63 Low: 26.13
2000-12-28, Close: 27.63 High: 28.13 Low: 27.02
2000-12-29, Close: 25.85 High: 27.85 Low: 25.52
Final Portfolio Value: 100000.00

Here are the rows from the .txt file
Date,Open,High,Low,Close,Adj Close,Volume
2000-12-20,28.062500,29.812500,27.500000,28.500000,25.350471,54440500
2000-12-21,27.812500,30.250000,27.312500,29.500000,26.239960,46719700
2000-12-22,30.375000,31.984301,30.000000,31.875000,28.352501,35568200
2000-12-26,31.500000,32.187500,30.000000,30.937500,27.518599,20589500
2000-12-27,30.375000,31.062500,29.375000,30.687500,27.296230,26437500
2000-12-28,30.562500,31.625000,30.375000,31.062500,27.629786,25053600
2000-12-29,30.875000,31.312500,28.687500,29.062500,25.850811,31702200

I am using below code to read high low and close:

        self.dataclose = self.datas[0].close
        self.datahigh = self.datas[0].high
        self.datalow = self.datas[0].low

backtrader

You obviously don't know what adjusted close is. Check the data again:

@bullyellis said in Having trouble printing daily high, low, and close:

Date,Open,High,Low,Close,Adj Close,Volume
2000-12-20,28.062500,29.812500,27.500000,28.500000,25.350471,54440500

The close is the 5th value from the left, i.e.: 28.50.
The adjusted close is the 6th value from the left, i.e.: 25.35

With that in mind, I can only suggest you read about what adjusted close is and why it is used (usually what people want) or you want to deactivate that in the data feed, which you can do:

Docs - Data Feed Reference - Search for YahooFinanceCSVData and the adjclose parameter.

Quick note: The adjusted close price takes into account splits (in both directions) and dividends, but please ... read and inform yourself.

bullyellis

I know what adjusted close is - I took Tucker Bulch's Machine Learning for trading at georgia tech.

It is the close adjusted for splits, dividends (I think), etc. I just kind of assumed your program used Adj Close by default since that is more useful.
This isn't helping me though as to why the High and Lows for a given day are different.

Edit: Oh I see - it modifies the high and low in the same fashion as the adjusted close is versus the close.

backtrader

@bullyellis said in Having trouble printing daily high, low, and close:

Edit: Oh I see - it modifies the high and low in the same fashion as the adjusted close is versus the close.

Glad you figured it out.

@bullyellis said in Having trouble printing daily high, low, and close:

Tucker Bulch's Machine Learning for trading at georgia tech.

That may be very american, but it has no meaning for me. The only Tucker I know is this one: https://www.imdb.com/title/tt0096316/.

In any case it would seem the Machine Learning course skips the obvious parts about data input, like how the real world data looks like.

bullyellis

Thanks for your help, I really appreciate it.
The course basically walks you through writing a primitive back tester and explains some basic machine learning and pandas.

Bad news though, I will continue peppering your forum with questions, but I will make a greater effort to read first.