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No order execution?
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Code so far:
from __future__ import (absolute_import, division, print_function, unicode_literals) import datetime import os.path import sys import pandas as pd import backtrader as bt class CommInfoFractional(bt.CommissionInfo): def getsize(self, price, cash): """Returns fractional size for cash operation @price""" return self.p.leverage * (cash / price) class MeanReversionSpecial(bt.Strategy): lines = ('kama', 'src', 'top', 'bot', 'top2', 'bot2', 'top3', 'bot3', 'top4') params = ( ('period', 30), ('fast', 2), ('slow', 30), ('perc', 0.17), ('perc2', 0.44), ('perc3', 0.66), ('perc4', 1.1), ('target', 0.35), ('target2', 0.70), ('target3', 1.40), ('target4', 2.80) ) 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.bar_executed = len(self) self.dataclose = self.datas[0].close # To keep track of pending orders and buy price/commission self.order = None self.buyprice = None self.buycomm = None self.ama = bt.indicators.AdaptiveMovingAverage(period=self.p.period, fast=self.p.fast, slow=self.p.slow, plotname='AdaptiveMovingAverage') # Create upper & lower band 1 self.l.top = self.ama * (1 + self.p.perc / 100) top = bt.LinePlotterIndicator(self.l.top, name='top', subplot=False) top.plotinfo.plotname = 'top' self.l.bot = self.ama * (1 - self.p.perc / 100) bot = bt.LinePlotterIndicator(self.l.bot, name='bot', subplot=False) bot.plotinfo.plotname = 'bot' # Create upper & lower band 2 self.l.top2 = self.ama * (1 + self.p.perc2 / 100) top2 = bt.LinePlotterIndicator(self.l.top2, name='top2', color='cyan', subplot=False) top2.plotinfo.plotname = 'top2' self.l.bot2 = self.ama * (1 - self.p.perc2 / 100) bot2 = bt.LinePlotterIndicator(self.l.bot2, name='bot2', color='cyan', subplot=False) bot2.plotinfo.plotname = 'bot2' # Create upper & lower band 3 self.l.top3 = self.ama * (1 + self.p.perc3 / 100) top2 = bt.LinePlotterIndicator(self.l.top3, name='top3', color='red', subplot=False) top2.plotinfo.plotname = 'top3' self.l.bot3 = self.ama * (1 - self.p.perc3 / 100) bot2 = bt.LinePlotterIndicator(self.l.bot3, name='bot3', color='red', subplot=False) bot2.plotinfo.plotname = 'bot3' # Create upper & lower band 4 self.l.top4 = self.ama * (1 + self.p.perc4 / 100) top2 = bt.LinePlotterIndicator(self.l.top4, name='top4', color='orange', subplot=False) top2.plotinfo.plotname = 'top4' self.l.bot4 = self.ama * (1 - self.p.perc4 / 100) bot2 = bt.LinePlotterIndicator(self.l.bot4, name='bot4', color='orange', subplot=False) bot2.plotinfo.plotname = 'bot4' 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 else: # Sell self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' % (order.executed.price, order.executed.value, order.executed.comm)) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected') 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.dataclose[0] <= self.l.bot: self.log('ENTER LONG, %.2f' % self.dataclose[0]) self.order = self.order_target_percent(target=self.l.target) elif self.dataclose[0] >= self.l.top: self.log('EXIT LONG, %.2F' % self.dataclose[0]) self.order = self.order_target_percent(target=-self.l.target) if __name__ == '__main__': cerebro = bt.Cerebro() btc = pd.read_csv('/home/dev/PycharmProjects/Backtesting/csvdata/BTCUSDT-1m-data.csv', index_col='timestamp', parse_dates=True ) feed = bt.feeds.PandasData( dataname=btc, fromdate=datetime.datetime(2020, 5, 1), todate=datetime.datetime(2020, 5, 2), timeframe=bt.TimeFrame.Minutes, ) cerebro.adddata(feed) cerebro.addstrategy(MeanReversionSpecial) cerebro.broker.setcash(100000) cerebro.broker.addcommissioninfo(CommInfoFractional(leverage=50)) cerebro.broker.setcommission(commission=0.0025) # Print out the starting conditions print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) # Run over everything cerebro.run() # Print out the final result print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue()) cerebro.plot()I'm trying to make it go long when closing price reaches indicator x with the value of a(in this case 0.35% of total balance)
And sell the long when price reaches indicator z.
It clearly reaches each indicator several times in the 1day im
testing it but no buys or sells executed in the output.
Could the issue be either leverage, my CommInfo module or what do you guys think?
Output snippet:2020-05-01, Close, 8850.41 2020-05-01, Close, 8851.77 2020-05-01, Close, 8855.00 2020-05-01, Close, 8867.35 2020-05-01, Close, 8865.07 2020-05-01, Close, 8864.96 2020-05-01, Close, 8868.37 2020-05-01, Close, 8870.04 2020-05-01, Close, 8866.29 2020-05-01, Close, 8874.88 2020-05-01, Close, 8878.04 2020-05-01, Close, 8891.51 2020-05-01, Close, 8874.80 2020-05-01, Close, 8875.99 2020-05-01, Close, 8878.05 2020-05-01, Close, 8872.99 2020-05-01, Close, 8879.86 2020-05-01, Close, 8877.24 2020-05-01, Close, 8876.48 2020-05-01, Close, 8880.48 2020-05-01, Close, 8870.15 2020-05-01, Close, 8857.86 2020-05-01, Close, 8875.25 2020-05-01, Close, 8866.09 2020-05-01, Close, 8868.46 2020-05-01, Close, 8867.00 2020-05-01, Close, 8863.84 2020-05-01, Close, 8851.45 2020-05-01, Close, 8864.89 2020-05-01, Close, 8855.84 2020-05-01, Close, 8858.92 2020-05-01, Close, 8846.97 2020-05-01, Close, 8833.40 2020-05-01, Close, 8826.87 2020-05-01, Close, 8837.50 2020-05-01, Close, 8828.72 2020-05-01, Close, 8814.94 2020-05-01, Close, 8807.62 2020-05-01, Close, 8819.56 2020-05-01, Close, 8816.54
