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Strategy output as input to another strategy

  • Hi,
    I am a novice user with very limited knowledge of coding. Love the way all the examples are put up.
    I further want to understand the process where the output of one strategy can be input to another, in this example:

    from __future__ import (absolute_import, division, print_function,
    import argparse
    import datetime
    import backtrader as bt
    class Screener_SMA(bt.Analyzer):
        params = dict(period=10)
        def start(self):
            self.smas = {data: bt.indicators.SMA(data, period=self.p.period)
                         for data in self.datas}
        def stop(self):
            self.rets['over'] = list()
            self.rets['under'] = list()
            for data, sma in self.smas.items():
                node = data._name, data.close[0], sma[0]
                if data > sma:  # if data.close[0] > sma[0]
    def run(args=None):
        args = parse_args(args)
        todate =
        # Get from date from period +X% for weekeends/bank/holidays: let's double
        fromdate = todate - datetime.timedelta(days=args.period * 2)
        cerebro = bt.Cerebro()
        for ticker in args.tickers.split(','):
            data = bt.feeds.YahooFinanceData(dataname=ticker,
                                             fromdate=fromdate, todate=todate)
        cerebro.addanalyzer(Screener_SMA, period=args.period), stdstats=False, writer=True)
    def parse_args(pargs=None):
        parser = argparse.ArgumentParser(
            description='SMA Stock Screener')
        parser.add_argument('--tickers', required=False, action='store',
                            help='Yahoo Tickers to consider, COMMA separated')
        parser.add_argument('--period', required=False, action='store',
                            type=int, default=10,
                            help=('SMA period'))
        if pargs is not None:
            return parser.parse_args(pargs)
        return parser.parse_args()
    if __name__ == '__main__':

    I am looking for a case where, if ticker data is above SMA then display over/under, feed over tickers to sma cross 20 over 50 strategy and then display over/under, again feed over tickers to RSI/MACD strategy, etc. Final strategy will give the result of tickers that has come over for all strategies. A solution will be to implement strategy for each and feed output to next strategy, that way, at the end I will only the ones that are over for all strategy tests. Is there a way this can be done?

  • administrators

    Yes. Use a common communication channel and let the last strategy be the only one that trades using the messages from the communication channel.

  • @backtrader thanks, can you please help an example? or would be great if you can share the reference, if this is already mentioned in any previous instance.

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