Own Indicator to implement : 1 buy signal /0 sell signal. How to implement it ?

Mistigri5

Hello,

I am new on this forum. I am also new in Python :). I would like to know if it’s possible to add its own indicator ?

Actually, I read different posts on that subject. But I don’t suceed to implement it. Tthe code doesn’t take into account buy or sell signals.

Just below you can read my code :

import pandas as pd
import backtrader as bt
from backtrader.feeds import PandasData
import backtrader.indicators as btind
# load dataframe
 dataframe = pd.read_excel("STOXX50 bis.xlsx",names = ["Datetime","Open","High","Low","Close","Volume","action"])
dataframe['Datetime'] = pd.to_datetime(dataframe['Datetime'],format='%d/%m-/y') 
class PandasData_Signal(PandasData):
# Add a 'action' line to the inherited ones from the base class
lines = ('action',)

# add the parameter to the parameters inherited from the base class
params = (('action', 6),)
data = PandasData_Signal(dataname=dataframe,
                 datetime=0,
                 open=1,
                 high=2,
                 low=3,
                 close=4,
                 volume=-1,
                 openinterest=-1,
                 action=6,
                 #openinterest=-1
                 )
class MLSignal(bt.SignalStrategy):
def log(self, txt, dt=None):
    ''' Logging function fot 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.action = self.datas[0].action
    self.order = None
   
def next(self):
    self.log(' Close, %.2f' % self.dataclose[0])
   
    if self.order:
        return
   
    if self.action[0] == 1:
        self.log('BUY CREATE, %.2f' % self.dataclose[0])
        self.order = self.buy()
   
    if self.action[0] == 0:
        self.log('SELL CREATE, %.2f' % self.dataclose[0])
        self.order = self.sell()
cerebro = bt.Cerebro()
# Set our desired cash start
cerebro.broker.setcash(100000000.0)
cerebro.adddata(data)
cerebro.addstrategy(MLSignal)
cerebro.run()
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
print('Final value is %.2f times the initial investment'%(cerebro.broker.getvalue()))
cerebro.plot()

Just below, I post you a screenshot from my dataframe :

Just below a screenshot from the pity result...:( There is no buy or sell signal...

Please do not hesitate to help me to understand where the problem is. I really want to know the result from my strategy :)

I wish you a very pleaseant week end,

Best,

Boris

backtrader

There is no trace of a single indicator in your code, neither custom nor not-custom. It is therefore 100% unclear what your code and text have to do with indicators.
There is a sell signal on the chart, right at the beginning.
You have a dataframe with a column called signal but you seem to want to act upon a column called action which isn't there.

You probably want to take two steps back, reformat your question, dataframe loading (code formatting, because that code won't execute) and let us know.

Mistigri5

Hi,

Thanks very much for your answer. It works now. I should have been a little bit tired Friday. I made corrections on the indicator.

You were right, There was a mistake on the name of the indicator.

import pandas as pd

import backtrader as bt

from backtrader.feeds import PandasData

import backtrader.indicators as btind

# load dataframe

dataframe = pd.read_excel("STOXX50 bis.xlsx",names = ["Datetime","Open","High","Low","Close","Volume","signal"])

dataframe['Datetime'] = pd.to_datetime(dataframe['Datetime'],format='%d/%m-/y') 

 class PandasData_Signal(PandasData):

# Add a 'action' line to the inherited ones from the base class

lines = ('signal',)


# add the parameter to the parameters inherited from the base class

params = (('signal', 6),)

data = PandasData_Signal(dataname=dataframe,

                 datetime=0,

                 open=1,

                 high=2,

                 low=3,

                 close=4,

                 volume=-1,

                 openinterest=-1,

                 signal=6,

                 #openinterest=-1

                 )

class MLSignal(bt.SignalStrategy):

def log(self, txt, dt=None):

    ''' Logging function fot 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.signal = self.datas[0].signal

    self.order = None

   
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 enough cash
    if order.status in [order.Completed]:
        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)

    elif order.status in [order.Canceled, order.Margin, order.Rejected]:
        self.log('Order Canceled/Margin/Rejected')

    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):

    self.log(' Close, %.2f' % self.dataclose[0])

            
    #Check if we are in the market 
    if not self.position :
        
        if self.signal[0] == 1:

            self.log('BUY CREATE, %.2f' % self.dataclose[0])

            #Keep track of the created order to avoid a 2nd order
            self.order = self.buy()
            
    else:
        
        #Already in the market...we might sell
                   
        if self.signal[0] == 0:

            self.log('SELL CREATE, %.2f' % self.dataclose[0])

            self.order = self.sell()

  cerebro = bt.Cerebro()

   # Set our desired cash start

 cerebro.broker.setcash(4000.0)

 cerebro.adddata(data)

 cerebro.addstrategy(MLSignal)

 cerebro.run()

 print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

print('Final value is %.2f times the initial investment'%(cerebro.broker.getvalue()))

cerebro.plot()

I wish you a very nice day,

Best,

Boris