Simple Sample code to Backtest an OCO model

J Amin

Hi All,

Beginner here. This is probably a straightforward task For most of you here.

I have a pandas data frame which is a time series for currency prices with an extra column indicating when the OCO order should be placed. The extra column is binary e.g 1 means execute OCO order and 0 means do nothing.

Would anyone be willing to just write some sample code showing how I could create a strategy in backtrader where the OCO order is executed or not based on the column value (1 or 0) in my pandas data frame?

And then how to plot this??

Again any help would be much appreciated!!!

Thanks

J Amin

@J-Amin

Could someone please kindly respond?

ab_trader

Everything is written already, you just need to put it together -

Docs - Pandas data feed
Docs - Extending data feed
Docs - Orders - OCO
Docs - Plotting

An the best part for beginner Docs - Quickstart Guide

J Amin

@ab_trader

Hi, followed the docs and this is the code I’ve got so far:

from future import (absolute_import, division, print_function,unicode_literals)

import pandas as pd

import tkinter

import matplotlib

from datetime import date

from datetime import datetime

from datetime import timedelta

import matplotlib.pyplot as plt

from matplotlib.dates import DateFormatter

import matplotlib.dates as mdates

from matplotlib.backends.backend_pdf import PdfPages

import os

import sys

import platform

import time

import datetime as dt

import math

import numpy as np

import backtrader as bt

import argparse

import backtrader.feeds as btfeeds

class PandasData(btfeeds.DataBase):

params = (('datetime',None), ('Open',-1), ('High',-1), ('Low',-1), ('Close',-1), ('Signal',-1) )

I believe above I’ve correctly fed the pandas dataframe into backtrader but correct me if wrong

class OCOStrategy(bt.OCOStrategy):

def notify_order(self, order):

    print('{}: Order ref: {} / Type {} / Status {}'.format(self.data.datetime.date(0),order.ref, 'Buy' * order.isbuy() or 'Sell',order.getstatusname()))

   

    if order.status == order.Completed:

        self.holdstart = len(self)



    if not order.alive() and order.ref in self.orefs:

        self.orefs.remove(order.ref)



def __init__(self):

   self.data.close=df_cur['Signal']



def next(self):

    if self.data.signal=1

        return  # pending orders do nothing

What exactly is wrong with the syntax underneath “def next(self)??”

At this point I’ve figured out how to run strategies in general, plot etc only thing remaining is to derive this OCO strategy.

Could you please advise??

Thanks again!!!

J Amin

@J-Amin

Under “def init(self):”

I meant to put self.data.signal=df_cur[‘Signal’]

J Amin

@J-Amin

Any response please??

J Amin

@J-Amin

Any administrators who could respond please??

ab_trader

There is no 24/7 service debugging scripts, answering questions and/or writing scripts. You have two options - patiently wait or develop things by yourself.

J Amin

How useless are you?