3. BackTrader plots but does not calculate trades or profits what did I do wrong?
For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/

BackTrader plots but does not calculate trades or profits what did I do wrong?


  • The Data is in Timestamp format from Bitmex using CCXT, I am testing a simple strategy from the docs and have followed a few threads to make changed an example output is :

    Starting Portfolio Value: 10000.00
2 5
2019-08-11, Close, 210.45
2019-08-11, Close, 210.55
2019-08-11, Close, 210.60
2019-08-11, Close, 210.55
2019-08-11, BUY CREATE, 210.55
2019-08-11, Close, 210.60
2019-08-11, Close, 210.65
2019-08-11, Close, 210.65
2019-08-11, Close, 210.50
2019-08-11, Close, 210.05
2019-08-11, Close, 210.05
2019-08-11, Close, 210.20
2019-08-11, Close, 209.95
2019-08-11, Close, 210.15
2019-08-11, Close, 210.05
2019-08-11, Close, 210.05
2019-08-11, Close, 210.15
2019-08-11, Close, 210.20
2019-08-11, Close, 210.20
2019-08-11, Close, 210.20
2019-08-11, Close, 210.10
2019-08-11, Close, 210.05
2019-08-11, Close, 209.90
2019-08-11, Close, 209.95
2019-08-11, Close, 210.05
2019-08-11, Close, 210.20
2019-08-11, Close, 210.20
2019-08-11, Close, 210.15
2019-08-11, Close, 210.20
2019-08-11, Close, 210.15
2019-08-11, Close, 210.15
2019-08-11, Close, 210.20
2019-08-11, Close, 210.25
2019-08-11, Close, 210.20
2019-08-11, Close, 210.15
2019-08-11, Close, 210.10
2019-08-11, Close, 210.10
2019-08-11, Close, 210.15
2019-08-11, Close, 210.15
2019-08-11, Close, 210.15
2019-08-11, Close, 210.10
2019-08-11, Close, 210.10
2019-08-11, Close, 210.15
2019-08-11, Close, 210.10
2019-08-11, Close, 210.15
2019-08-11, Close, 210.15
2019-08-11, Close, 210.15
2019-08-11, Close, 210.10
2019-08-11, Close, 210.10
2019-08-11, Close, 210.15
2019-08-11, Close, 210.10
2019-08-11, Close, 210.15
2019-08-11, Close, 210.15
2019-08-11, Close, 210.15
2019-08-11, Close, 210.20
2019-08-11, Close, 210.15
2019-08-11, Close, 210.10
2019-08-11, Close, 210.10
2019-08-11, Close, 210.15
2019-08-11, Close, 210.15
2019-08-11, Close, 210.15
2019-08-11, Close, 210.15
2019-08-11, Close, 210.30
2019-08-11, Close, 210.70
2019-08-11, Close, 210.85
2019-08-11, Close, 210.90
2019-08-11, Close, 210.90
2019-08-11, Close, 210.90
2019-08-11, Close, 210.90
2019-08-11, Close, 210.95
2019-08-11, Close, 210.90
2019-08-11, Close, 210.90
2019-08-11, Close, 210.95
2019-08-11, Close, 210.90
2019-08-11, Close, 210.95
2019-08-11, Close, 210.95
2019-08-11, Close, 210.95
2019-08-11, Close, 210.90
2019-08-11, Close, 210.90
2019-08-11, Close, 210.90
Final Portfolio Value: 10000.00

    One of the Issues I see both on the Matlib chart and on the responses are that the time is always the same date when the timestamps are not

    here is my code :

    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
import backtrader.feeds as btfeed
import math



class customCSV(btfeed.GenericCSVData):
    params = (
        ('nullvalue', float('NaN')),
        ('dtformat', lambda x: datetime.datetime.utcfromtimestamp(int(x[:-3]))),
        ('tmformat', '%yyy:%MM:%dd %H:%M:%S'),
        ('datetime', 1),
        ('time', -1),
        ('open', 2),
        ('high', 3),
        ('low', 4),
        ('close', 5),
        ('volume', 6),
        ('openinterest', -1),
        ('seperator',',')
    )


class SmaCross(bt.SignalStrategy):
    params = (('pfast', 10), ('pslow', 21),)

    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
        
        
        sma1, sma2 = bt.ind.SMA(period=self.p.pfast), bt.ind.SMA(period=self.p.pslow)
        self.signal_add(bt.SIGNAL_LONG, bt.ind.CrossOver(sma1, sma2))
        self.signal_add(bt.SIGNAL_SHORT, bt.ind.CrossOver(sma2,sma1))
        self.buysig = bt.ind.CrossOver(sma1, sma2)
        self.sellsig = bt.ind.CrossOver(sma2,sma1)
        print(bt.SIGNAL_LONG,bt.SIGNAL_SHORT)
      
    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 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('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:
        
            # buy signal
            if self.buysig > 0:
                # BUY
                self.log('BUY CREATE, %.2f' % self.dataclose[0])
                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy()
            elif self.sellsig > 0:
                #if len(self) >= (self.bar_executed + self.params.exitbars):
                    # Sell
                self.log('SELL CREATE, %.2f' % self.dataclose[0])
                    # Keep track of the created order to avoid a 2nd order
                self.order = self.sell(size=1000)
                #else:
                    #return
            else:
                return
        else:    # in a position        
            if self.buysig < 0:
                # Buy Closed
                self.log('BUY CLOSE, %.2f' % self.dataclose[0])
                self.order = self.close()
                self.order = self.sell(size=1000)
            # elif ignore zero case
            elif self.sellsig < 0:
                # Sell Closed
                self.log('SELL CLOSE, %.2f' % self.dataclose[0])
                self.order = self.close()
                self.order = self.buy()
            else:
                return
            

class maxRiskSizer(bt.Sizer):
    '''
    Returns the number of shares rounded down that can be purchased for the
    max rish tolerance
    '''
    params = (('risk', 0.20),)

    def __init__(self):
        if self.p.risk > 1 or self.p.risk < 0:
            raise ValueError('The risk parameter is a percentage which must be entered as a float. e.g. 0.5')
        
    def _getsizing(self, comminfo, cash, data, isbuy):

        position = self.broker.getposition(data)

        if not position:
            size = math.floor((cash * self.p.risk) /data.close[0])
        else:
            size = position.size

        return size
        
        
startcash = 10000
       
        
        

cerebro = bt.Cerebro()
cerebro.addsizer(maxRiskSizer)
cerebro.broker.setcommission(commission=0.001)
data = customCSV(dataname='bitmex-ETHUSD-1m.csv')
print(data)
cerebro.broker.setcash(startcash)
cerebro.adddata(data)
cerebro.addstrategy(SmaCross)
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.run()
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.plot(style='candle')

    Here is my sample data:

    ,Timestamp,Open,High,Low,Close,Volume
0,1565528940000,210.8,210.8,210.8,210.8,9200.0
1,1565529000000,210.8,210.8,210.8,210.8,18693.0
2,1565529060000,210.8,210.8,210.75,210.75,210.0
3,1565529120000,210.75,210.75,210.75,210.75,14900.0
4,1565529180000,210.75,210.75,210.75,210.75,1000.0
5,1565529240000,210.75,210.8,210.75,210.75,6320.0
6,1565529300000,210.75,210.75,210.65,210.65,16310.0
7,1565529360000,210.65,210.65,210.55,210.55,22421.0
8,1565529420000,210.55,210.5,210.5,210.5,4624.0

    There are 100 records 0 - 99

    0 1 Reply

  • @Feather-BTC Another good note is this is minute OHLCV Data

    0
    B
     1 Reply
  • B
    administrators

    @Feather-BTC said in BackTrader plots but does not calculate trades or profits what did I do wrong?:

    Another good note is this is minute OHLCV Data

    And have you tried telling the platform that detail? See Community - FAQ - Look for timeframe and compression

    0 1 Reply

  • @backtrader This worked, thank you , now I am just trying to get my time format to output the minutes/seconds of the trade so I can track duration lol, something to play with haha.

    0
  • B
    administrators

    https://www.backtrader.com/docu/timemgmt/

    0
Log in to reply
 
});