Trading only on Candle Stick Pattern.

Nikhil Morye

def init(self):
self.marubozu=bt.talib.CDLMORNINGSTAR(self.data.open,self.data.high,
self.data.low, self.data.close, penetration=0.3)

def next(self):
if self.marubozu[0] == 100:
self.buy()

elif self.marubozu[0] == -100:
self.sell()

I will be updating the code to add in stop loss and take profit limit, but that is not the issue.
orders are not being logged at close price with this.
Help will be appreciated.

run-out

Can you print out the marubozu values at the beginning of next?

Nikhil Morye

@run-out yes its showing values in form of 0,100,-100

vladisld

I've run your code with minimal changes and it seems that both buy and sell orders are executed:

import os
import backtrader as bt

class TestStrategy(bt.Strategy):
    def __init__(self):
        self.marubozu = bt.talib.CDLMORNINGSTAR(self.data.open, self.data.high,
                                                self.data.low, self.data.close, penetration=0.3)

    def next(self):
        if self.marubozu[0] == 100:
            self.buy()
        elif self.marubozu[0] == -100:
            self.sell()

if __name__ == '__main__':
    cerebro = bt.Cerebro()
    data_path = os.path.join(bt.__file__, '../../datas/yhoo-1996-2014.txt')
    data = bt.feeds.YahooFinanceCSVData(dataname=data_path)
    cerebro.adddata(data)
    cerebro.addstrategy(TestStrategy)
    cerebro.run(runonce=True)
    cerebro.plot()

You may try to take a look at your data and see if it is ok.

vladisld

Sorry, my mistake - only buy orders are executed in the previous run. Will try to understand what has happened with sell orders.

Nikhil Morye

Got it my way around it with bracket order. :)

Nikhil Morye

Got my way around this peculiar problem with bracket order,

putting the code out if anyone needs it,

the code needs to tweaked around its too big for no reason but hopefully it helps who faced a similar issue like mine.

class TestStrategy(bt.Strategy):
  params = dict (buyperiod=1.15,sellperiod=0.95)
  def log(self, txt, dt=None):
    ''' Logging function fot this strategy'''
    dt = dt or self.datas[0].datetime.date(0)
    print('%s, %s' % (dt.isoformat(), txt))
  
  def __init__(self):
    self.dataclose = self.datas[0].close
    self.dataopen = self.datas[0].open
    self.datahigh = self.datas[0].high
    self.datalow = self.datas[0].low
    self.marubozu = bt.talib.CDLMARUBOZU(self.dataopen,self.datahigh,self.datalow,self.dataclose) 
    self.order = None
    self.buyprice = None
    self.buycomm = None
    self.sellprice = None
    self.sellcomm = None
  
  def notify_order(self, order):
    if order.status in [order.Submitted, order.Accepted]:
      return
    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
      elif order.issell():
        #self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %(order.executed.price,order.executed.value,order.executed.comm))
        self.sellprice = order.executed.price
        self.sellcomm = order.executed.comm
      self.bar_executed = len(self)

    elif order.status in [order.Canceled, order.Margin, order.Rejected]:
      self.log('Order Canceled/Margin/Rejected')
      pass
    self.order = None
  
  def notify_trade(self, trade):
    if not trade.isclosed:
      return
    
    self.log('OPERATION PROFIT, 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:
      if self.marubozu[0] == 100:
        self.log('BUY CREATE, limitprice %.2f, price %.2f, stopprice %.2f' %(self.dataopen*1.35,self.dataclose[0],self.datalow[0]))
        self.order = self.buy_bracket(limitprice=self.dataopen*self.p.buyperiod, price=self.dataclose, stopprice=self.datalow)
      elif self.marubozu[0] == -100:
        self.log('Sell CREATE, limitprice %.2f, price %.2f, stopprice %.2f' %(self.datalow*0.65,self.dataclose[0],self.datahigh[0]))
        self.order = self.sell_bracket(limitprice=self.datalow*self.p.sellperiod, price=self.dataclose, stopprice=self.datahigh)

cerebro = bt.Cerebro()
cerebro.addstrategy(TestStrategy)
data = bt.feeds.YahooFinanceData(dataname='SBIN.BO',fromdate=datetime(2015, 1, 1),todate=datetime(2020, 6, 30),reversed=True)
cerebro.adddata(data)
cerebro.broker.setcash(1000.0)
cerebro.broker.setcommission(0.001)
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.run()
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
#cerebro.plot();