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BackTrader plots but does not calculate trades or profits what did I do wrong?
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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: 10000.00One 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 8,1565529420000,210.55,210.5,210.5,210.5,4624.0There are 100 records 0 - 99
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@Feather-BTC Another good note is this is minute OHLCV Data
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@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
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@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.
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