Strategy PnL is 0 when using optimizer

Eduardo Menges Mattje

Hello again,

Now that the data can properly be analised (see https://community.backtrader.com/topic/2484/error-with-mt5-csv-file-read), I tried to run the Optimizer provided by Backtest Rookies, but it yielded no results:

Results: Ordered by Profit:
Period: 14, PnL: 0.0
Period: 15, PnL: 0.0
Period: 16, PnL: 0.0
Period: 17, PnL: 0.0
Period: 18, PnL: 0.0
Period: 19, PnL: 0.0
Period: 20, PnL: 0.0

This is code of the optimizer that I'm trying to run:

import backtrader as bt
from datetime import datetime


class firstStrategy(bt.Strategy):
    params = (
        ('period', 21),
    )

    def __init__(self):
        self.startcash = self.broker.getvalue()
        self.rsi = bt.indicators.RSI_SMA(self.data.close, period=self.params.period)

    def next(self):
        if not self.position:
            if self.rsi < 30:
                self.buy(size=100)
        else:
            if self.rsi > 70:
                self.sell(size=100)


if __name__ == '__main__':
    # Variable for our starting cash
    startcash = 10000

    # Create an instance of cerebro
    cerebro = bt.Cerebro(optreturn=False)

    # Add our strategy
    cerebro.optstrategy(firstStrategy, period=range(14, 21))

    data = bt.feeds.MT4CSVData(
        dataname='ETHUSD.csv',
        fromdate=datetime(2019, 5, 1, 0, 0),
        todate=datetime(2020, 5, 1, 0, 0),
        timeframe=bt.TimeFrame.Minutes,
        compression=120,
    )

    # Add the data to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(startcash)

    # Run over everything
    opt_runs = cerebro.run()

    # Generate results list
    final_results_list = []
    for run in opt_runs:
        for strategy in run:
            value = round(strategy.broker.get_value(), 2)
            PnL = round(value - startcash, 2)
            period = strategy.params.period
            final_results_list.append([period, PnL])

    by_PnL = sorted(final_results_list, key=lambda x: x[1], reverse=True)

    print('Results: Ordered by Profit:')
    for result in by_PnL:
        print('Period: {}, PnL: {}'.format(result[0], result[1]))

It can't be a problem with the data, because if I run the analyzer, it works. I've tried to change the code, but it only broke it even more. Does anyone have any lead?

vladisld

Try to increase your cash.

ab_trader

@Eduardo-Menges-Mattje said in Strategy PnL is 0 when using optimizer:

Backtest Rookies

Are they asking for money to help with their scripts?

Eduardo Menges Mattje

@vladisld Increasing the startcash to 100000 seems to work. Thanks again.

@ab_trader No, the scripts and tutorials that they post are free. I originally used TradingView to test my strategies, but there is no optimizer in it. After some googling (yesterday), I found their site, and now I'm experimenting with Backtrader.

ab_trader

@Eduardo-Menges-Mattje I know that their scripts are free. The weird thing is that you ask question here, but not on their website. Which would be logical using their scripts.

Eduardo Menges Mattje

@ab_trader Since they didn't reply comments from 2018 asking about errors, I figured that I could get better help from here.