create a CSV of the result of optstrategy

[cortex]

hello,
i'm trying to print the result of optstrategy for this i to use something like this:

import csv
b = open('test.csv', 'a')
a = csv.writer(b,delimiter=',')
list = ['test', 'self.broker.startingcash', 'self.broker.getvalue()']
a.writerows([list])
b.close()

that i try to insert in the def stop section. it doesn't work.
anyone has a clue ?
here the code i run:

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 backtrader.feeds as btfeeds
import numpy as np
import csv

# Import the backtrader platform
import backtrader as bt


# Create a Stratey
class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 15),
        ('printlog', False),
    )

    def log(self, txt, dt=None, doprint=False):
        ''' Logging function fot this strategy'''
        if self.params.printlog or doprint:
            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

        # To keep track of pending orders and buy price/commission
        self.order = None
        self.buyprice = None
        self.buycomm = None

        # Add a MovingAverageSimple indicator
        self.sma = bt.indicators.SimpleMovingAverage(
            self.datas[0], period=self.params.maperiod)

    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

        # Check if an order has been completed
        # Attention: broker could reject order if not enougth cash
        if order.status in [order.Completed, order.Canceled, order.Margin]:
            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:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

            self.bar_executed = len(self)

        # Write down: no pending order
        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):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.2f' % self.dataclose[0])

        # Check if an order is pending ... if yes, we cannot send a 2nd one
        if self.order:
            return

        # Check if we are in the market
        if not self.position:

            # Not yet ... we MIGHT BUY if ...
            if self.dataclose[0] > self.sma[0]:

                # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.2f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy()

        else:

            if self.dataclose[0] < self.sma[0]:
                # SELL, SELL, SELL!!! (with all possible default parameters)
                self.log('SELL CREATE, %.2f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.sell()

    def stop(self):
        self.log('(MA Period %2d) Ending Value %.2f' %
                 (self.params.maperiod, self.broker.getvalue()), doprint=True)
        list = [self.params.maperiod, self.broker.startingcash, self.broker.getvalue()]
        b = open('test.csv', 'a')
        a = csv.writer(b)
        a.writerows([list])
        b.close()


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

    # Add a strategy
    strats = cerebro.optstrategy(
        TestStrategy,
        maperiod=range(10, 31))

    # 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, './GLDGDX/GLD20151130to20170124.csv')

    fromdate = datetime.datetime(2016, 10, 02)  # datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
    todate = datetime.datetime(2016, 11, 20)  # datetime.datetime.strptime(args.todate, '%Y-%m-%d')

    # Create the 2nd data

    data = btfeeds.GenericCSVData(
        dataname=datapath,

        fromdate=fromdate,
        todate=todate,

        nullvalue=0.0,

        dtformat=('%Y-%m-%d %H:%M:%S'),
        datetime=1,
        high=3,
        low=4,
        open=2,
        close=5,
        volume=6,
        openinterest=-1,
    )
    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(10000000.0)

    # Add a FixedSize sizer according to the stake
    cerebro.addsizer(bt.sizers.FixedSize, stake=10)

    # Set the commission
    cerebro.broker.setcommission(commission=0.0)

    # Run over everything
    cerebro.run()

[Brad Lloyd]

try this:
cerebro.addwriter(bt.WriterFile, csv = True, out='your_strategy_results')

[ab_trader]

Maybe you need to try a.writerow([list]).

What error was returned?

[cortex]

@ab_trader
it was working in fact with an s or without and s.
I didn't pay close attention enough.

here the result with the originale code:

14,10000000.0,9999912.600000035

16,10000000.0,9999920.800000025

12,10000000.0,9999908.300000027

10,10000000.0,9999897.00000004

17,10000000.0,9999929.200000012

15,10000000.0,9999921.400000028

13,10000000.0,9999907.600000022

11,10000000.0,9999905.400000053

18,10000000.0,9999936.400000017

20,10000000.0,9999941.199999996

22,10000000.0,9999932.200000025

24,10000000.0,9999937.000000019

21,10000000.0,9999940.200000029

19,10000000.0,9999935.100000003

23,10000000.0,9999937.500000019

25,10000000.0,9999938.100000018

30,10000000.0,9999946.000000006

28,10000000.0,9999943.700000001

26,10000000.0,9999942.499999996

29,10000000.0,9999954.699999997

27,10000000.0,9999943.599999996
.

I have space between lines I don't how to avoid to create them

[cortex]

@Brad-Lloyd
hello Brad , I want to be able to control the format of the exit.
when I used the line you proposed :

Traceback (most recent call last):
  File "C:/Users/mteddy/PycharmProjects/datacollection/Datahackathon/letsoptimise.py", line 168, in <module>
    cerebro.run()
  File "C:\Users\mteddy\Anaconda2\lib\site-packages\backtrader\cerebro.py", line 801, in run
    self.runstrats = list(pool.map(self, iterstrats))
  File "C:\Users\mteddy\Anaconda2\lib\multiprocessing\pool.py", line 251, in map
    return self.map_async(func, iterable, chunksize).get()
  File "C:\Users\mteddy\Anaconda2\lib\multiprocessing\pool.py", line 567, in get
    raise self._value
ValueError: I/O operation on closed file

[ab_trader]

@cortex check this out -
http://stackoverflow.com/questions/3348460/csv-file-written-with-python-has-blank-lines-between-each-row

[backtrader]

This is really an unexpected use case, because the writer works by collecting data in real time and there is single writer instance running in the master process and not an instance per worker. Hence the closed file error notification, because the process forking has invalidated the existing file descriptor in the master.

It should be clear that if one tried to write to the same file from multiple processes, something unexpected would be happening.

The writer (with csv=True will also print all the values the data feeds have produced and that wouldn't help with multiple processes which do actually process the same data feeds)

Cerebro returns (a cut-down version unless optreturn=False) the strategies which have been executed. The best way to print things out is to rely on the values collected by the analyzers attached to the strategies. Of course, collecting value and cash in the stop method is a valid approach too.

Let's assume the case in which a single strategy is being optimized

class MyStrategy(bt.Strategy):
    ...
    def stop(self):
        self.thevalue = self.broker.get_value()
        self.thecash = self.broker.get_cash()

cerebro.optstrategy(MyStrategy, myparam1=range(val1, valn), ...)

strats = cerebro.run()  # list of list

# list comprehensions separated for clarity
# Get the element 0 (there was only 1 strategy in each run) of each optimization
st0 = [s[0] for s in strats]

# Get the period, value and cash in text format comma separated in a list from each strategy
periodcashvalues = [','.join([str(s.p.maperiod), str(s.thecash), str(s.thevalue)]) for s in st0]

# print out the generated list separating with newlines
print('\n'.join(cashvalues))

[Taewoo Kim]

@backtrader said in create a CSV of the result of optstrategy:

The writer (with csv=True will also print all the values the data feeds have produced and that wouldn't help with multiple processes which do actually process the same data feeds)

Cerebro returns (a cut-down version unless optreturn=False) the strategies which have been executed. The best way to print things out is to rely on the values collected by the analyzers attached to the strategies. Of course, collecting value and cash in the stop method is a valid approach too.

How would I get the strategy to also print out the analyzers ? I am using optstrategy as well as all the standard analyzers:

cerebro.addanalyzer(btanalyzers.SharpeRatio, _name='mySharpeRatio', timeframe=bt.TimeFrame.Days, compression=1, riskfreerate=0.0)
cerebro.addanalyzer(btanalyzers.DrawDown, _name='myDrawDown')
cerebro.addanalyzer(btanalyzers.AnnualReturn, _name='myAnnualReturn')
#cerebro.addanalyzer(btanalyzers.GrossLeverage, _name='myGrossLeverage')
cerebro.addanalyzer(btanalyzers.TimeDrawDown, _name='myTimeDrawDown')

I saw your blog post on strategy selection, but i have a different use case - 1 strategy, multiple parameters.

I changed the code from

cerebro.addstrategy(MyStrat,
    timeframe_0_tf = "1Min",
    timeframe_1_tf = "1H",
    timeframe_0_num_bars_in_sr = 3,
    timeframe_1_num_bars_in_sr = 3,
    csv_file="data.csv",
    sr_indicator = False,
    min_spread = 0.0010,
    proximity_to_sr = 0.2
    )

to

cerebro.optstrategy(MyStrat,
    timeframe_0_tf = "1Min",
    timeframe_1_tf = "1H",
    timeframe_0_num_bars_in_sr = 3, 
    timeframe_1_num_bars_in_sr = 3,
    csv_file="data.csv",
    sr_indicator = False,
    min_spread = list(np.arange(0.0010,0.0020,0.0005)), 
    proximity_to_sr = 0.2
    )

I.e. one line min_spread went from float to list

Nothing else changed. I run the code, and i get this error

Traceback (most recent call last):
  File "C:\Python36\lib\threading.py", line 916, in _bootstrap_inner
    self.run()
  File "C:\Python36\lib\threading.py", line 864, in run
    self._target(*self._args, **self._kwargs)
  File "C:\Python36\lib\multiprocessing\pool.py", line 429, in _handle_results
    task = get()
  File "C:\Python36\lib\multiprocessing\connection.py", line 251, in recv
    return _ForkingPickler.loads(buf.getbuffer())
AttributeError: Can't get attribute 'Lines_LineSeries_LineIterator_DataAccessor_ObserverBase_Observer_DataTrades_95681bf7d78147dca4d7f72d5ed03808' on <module 'backtrader.lineseries' from 'C:\\Python36\\lib\\site-packages\\backtrader\\lineseries.py'>

[backtrader]

@Taewoo-Kim said in create a CSV of the result of optstrategy:

How would I get the strategy to also print out the analyzers ?

Either with writer=True to cerebro or adding your own writer as pointed out by @Brad-Lloyd

cerebro.addwriter(bt.WriterFile, csv = True, out='your_strategy_results')

But in a multiprocess scenario this isn't sensible because the output will get interleaved and be most probably unusable.

That's why the blog post mentioned by you uses a standard print after the strategies have run.

Nothing else changed

Compared to the post, there are several changes, including the use of multiple data feeds. This obviously shows that the DataTrades observer has a problem with being pickled

[backtrader]

In any case and to avoid createing the DataTrades observer (which may be considered pointelss, since plotting in an optimization makes no sense) you may run with cerebro.run(stdstats=False)

[backtrader]

And upon inspection of the case it is not easily solvable. The DataTrades observer (which is used when multiple data feeds are in place) generates its lines automatically when the number of data feeds is known (that is: when the execution of each strategy starts).

Because of this, the attempt to place the dynamically generated classes at module level to enable pickling is not successful.

[Taewoo Kim]

is it possible to access the analyzers from within the strategy?

I have in main:

cerebro.addanalyzer(btanalyzers.DrawDown, _name='myDrawDown')

If i do (in strategy)

def stop(self):
    print(self.analyzers.mySharpeRatio.get_analysis())

it would just print a blank dict

However, if I call it after cerebro runs via:

thestrats = cerebro.run()

print(thestrats[0].analyzers.mySharpeRatio.get_analysis())

it seems to work.

Work around?

[backtrader]

@Taewoo-Kim said in create a CSV of the result of optstrategy:

is it possible to access the analyzers from within the strategy?

The SharpeRatio is calculated after the strategy has stopped. It's not meant as a rolling analyzer (which calculates during the development of the strategy) That's the only reason for the difference.

[Gtrade]

Hello @backtrader, I have the same problem with the SQN analyzer. Is there a work around ?
My idea was to create a Strategy subclass that would automatically log the KPIs to a file..
Thanks for your great support !

[backtrader]

You could subclass Cerebro and its run method to achieve the same effect.