What is the format of datetime in btcsvData?

franklili

@backtrader I am running btrun. The format of datetime is "%YYYY-%mm-%dd %HH:%MM:%SS" or "%YYYY-%mm-%ddT%HH:%MM:%SS", I used minutes level data, the datetime of first line is "2016-06-01T00:01:00", but the stanstat result display the datetime is "%YYYY-%mm-%dd 23:59:59.999989".

Id,bitfinex_BTCUSD_min_20160601_20160803_2,len,datetime,open,high,low,close,volume,openinterest,TestStrategy,len,datetime,Broker,len,cash,value,BuyS
ell,len,buy,sell,Trades - Net Profit/Loss,len,pnlplus,pnlminus
1,bitfinex_BTCUSD_min_20160601_20160803_2,1,2016-06-01 23:59:59.999989,530.68,530.69,530.68,530.69,5.16764001,7.7e-05,TestStrategy,1,736116.99999999
99,Broker,1,10000.0,10000.0,BuySell,1,,,Trades - Net Profit/Loss,1,,

code_text

backtrader

Your problem is timeframe and compression, not being specified.

franklili

My script is:

 btrun --csvformat btcsv \
       --data bitfinex_BTCUSD_min_20160601_20160803_2.csv \
        --cash 10000 \
        --commission 0.0035 \
        --margin 10000 \
        --cerebro  \
        --strategy ema_mean_reversion_strategy.py:TestStrategy:printlog=True,emaperiod=747,upper=31,lower=-28,trailpercent=12 \
         --fromdate 2016-06-01T00:01:00 \
         --todate 2016-08-03T02:02:00 \
         --analyzer :SharpeRatio \
         --writer csv=True > ~/Python-for-Finance1/automate_backtest_result.csv \
         --timeframe minutes \
         --compression 1

My csv file is:

Datetime,Open,High,Low,Close,Volume,openinterest
2016-06-01T00:01:00,530.68,530.69,530.68,530.69,5.16764001,7.7e-05

the result is the same.
I understanded the reason. the datetime column should be split to date and time columns. the datetime in result is correct.

backtrader

Went back to the drawing board and checked the format for BacktraderCSVData

Date,Time,Open,High,Low,Close,Volume;OpenInterest

Where date has to look like this:

YYYY-MM-DD (the separator can actually be anything)

And time has to look like this:

HH:MM:SS (again, the separator can be anything)

GenericCSVData was not there when btrun was written. Write a short script and use it.

franklili

Thank you very much.