No trades happened

Giovanni Caridi

I wrote my first Trading system using an example from a book. But no traders happened. Where am I mistaking?

runfile('/Users/giovannicaridi/.spyder-py3/Trading System', wdir='/Users/giovannicaridi/.spyder-py3')
[100%**] 1 of 1 completed
Valore iniziale Portafoglio: 100000.00
Valore del Portafoglio finale: 100000.00

from future import (absolute_import, division, print_function,unicode_literals)
import backtrader as bt
import backtrader.indicators as btind
import backtrader.analyzers as btanalyzers
import datetime # For datetime objects
import os.path # To manage paths
import sys # To find out the script name (in argv[0])

import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
pd.core.common.is_list_like = pd.api.types.is_list_like
from pandas_datareader import data, wb
import yfinance as yf

class Cross_Medie(bt.Strategy):

# Definisco la media veloce e la media lenta (utile per l'ottimizzazione)
params = (('Med_vel',50), ('Med_len', 100))

# Inizializzo le due medie
def __init__(self):
    self.sma_vel = btind.SMA(period = self.p.Med_vel)
    self.sma_len = btind.SMA(period = self.p.Med_len)
    
    # Definisco il segnale di acquisto/vendita
    self.buysig = btind.CrossOver(self.sma_vel, self.sma_len)
    
    # Salvo i dati di closing (self.datas[0] è l'orologio del sistema, 
    # utile per verificare se una candela in chiusura rompre una media/indicatore)
    # Keep a reference to the "close" line in the data[0] dataseries
    self.dataclose = self.datas[0].close
    
   

def next(self):

if  self.position.size:    # verifico se sono in posizione
    
      if self.buysig < 0:  # vuol dire che sono dentro long (incrocio a ribasso)
          self.close()     # chiudo la posizione esistente
          self.sell()      
        
      elif self.buysig > 0: # vuol dire che sono dentro short (incrocio a rialzo)
          self.close()      # chiudo la posizione esistente
          self.buy()
        
else:                     # non sono in posizione
         
    if self.buysig > 0:   # segnale positivo 
        self.buy()        # acquisto
        
    elif self.buysig < 0: # segnale negativo
        self.sell()       # vendo
        
       

def stampa(self, txt, dt=None):

# Funzione di stampa per capire cosa sta succedendo
dt = dt or self.datas[0].datetime.date(0)  
print('%s, %s' % (dt.isoformat(), txt))    


def notify_order(self, order):

if order.status in [order.Submitted, order.Accepted]:
    # ordine acquisto/vendita accettato
    return

# Verifica se ordine completato
if order.status in [order.Completed]:
    if order.isbuy():
        # Stampo dettaglio di quantità, prezzo e commissioni
        self.stampa('ACQ ESEGUITO, QTY: %.2f, PREZZO: %.2f, COSTO: %.2f, COMM: %.2f' 
                    % (order.executed.size,order.executed.price,order.executed.comm))

        self.buyprice = order.executed.price
        self.buycomm = order.executed.comm

    else: # Vendita
        self.stampa('VEND ESEGUITA, QTY: %.2f, PREZZO: %.2f, COSTO: %.2f, COMM: %.2f' 
                    % (order.executed.size,order.executed.price,order.executed.comm))

        self.bar_executed = len(self)
        
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
  self.stampa('Ordine Cancellato')
 
self.order = None    
  
     
      
def notify_trade(salef, trade):
if not trade.isclosed:
    return
self.stampa('PROFITTO OPERAZIONE, LORDO %.2f, NETTO %.2f' % (trade.pnl, trade.pnlcomm))        
        
 
 dataFCA = yf.download("FCA", start="2010-01-01", end="2019-04-30")
 dataFCA.to_csv('/Users/giovannicaridi/.spyder-py3/FCA.csv')

      

  if __name__ == '__main__':        
                           

# Inizializzo istanza Cerebro
cerebro = bt.Cerebro() 

# Aggiungo una strategia
cerebro.addstrategy(Cross_Medie)

# Inizializzo il file (inserisco i dati storici mettendo il percorso completo del file
modpath = os.path.basename(os.path.abspath(sys.argv[0]))  
datapath = os.path.join(modpath, '/Users/giovannicaridi/.spyder-py3/FCA.csv')


# Salvo i dati nella variabile data (Create a Data Feed)
data = bt.feeds.YahooFinanceCSVData(dataname = datapath, fromdate = datetime.datetime(2011,1,1),
                                    todate = datetime.datetime(2018,12,31),reverse = False)   

# Aggiungiamo i dati a Cerebro
cerebro.adddata(data)

# Imposto il portafoglio depositando il capitale iniziale
cerebro.broker.setcash(100000) 

# Imposto il numero di azioni che traderò
cerebro.addsizer(bt.sizers.FixedSize, stake=1000)

# Imposto il valore delle commissioni
cerebro.broker.setcommission(commission=0.0002)

# Stampo le condizioni iniziali
print('Valore iniziale Portafoglio: %.2f' % cerebro.broker.getvalue())

# Avvio l'instanza (il programma)
cerebro.run()    

# Stampo le condizioni finali
print('Valore del Portafoglio finale: %.2f' % cerebro.broker.getvalue())
cerebro.broker.getvalue() 

cerebro.plot()

ab_trader

Your script looks correct and works fine for me for data feed from the csv file.

Typical reason to skip trades is not enough capital to buy the size of shares. Try to buy/sell one share at the beginning. Also print prices in the next() call, maybe data feed is added incorrectly.

Giovanni Caridi

![0_1595496204692_FCA.csv.png](Uploading 0%) @ab_trader said in No trades happened:

Your script looks correct and works fine for me for data feed from the csv file.

Typical reason to skip trades is not enough capital to buy the size of shares. Try to buy/sell one share at the beginning. Also print prices in the next() call, maybe data feed is added incorrectly.

I tried one share but nothing happened. Below one row of CSV coming from Yahoo, maybe there is some issue in the number's format?

Date,Open,High,Low,Close,Adj Close,Volume
2011-04-21,30.889999389648438,30.889999389648438,30.850000381469727,30.850000381469727,23.56662940979004,500

Giovanni Caridi

@Giovanni-Caridi said in No trades happened:

![0_1595496204692_FCA.csv.png](Uploading 0%) @ab_trader said in No trades happened:

Your script looks correct and works fine for me for data feed from the csv file.

Typical reason to skip trades is not enough capital to buy the size of shares. Try to buy/sell one share at the beginning. Also print prices in the next() call, maybe data feed is added incorrectly.

I tried one share but nothing happened. Below one row of CSV coming from Yahoo, maybe there is some issue in the number's format?

Date,Open,High,Low,Close,Adj Close,Volume
2011-04-21,30.889999389648438,30.889999389648438,30.850000381469727,30.850000381469727,23.56662940979004,500

I tried also this code to retrieve online data from Yahoo, but no trades happened:

data = bt.feeds.YahooFinanceData(dataname = 'FB', fromdate =datetime.datetime(2011,1,1),todate = datetime.datetime(2018,12,31),reverse = False)

run-out

I'm not sure why you are not getting an appropriate signal from YahooFinance. Try to print out the OHLCV from next to see what data you are getting.

Giovanni Caridi

@run-out which code I need to insert?

run-out

@Giovanni-Caridi

print(
    "date {}\to {:.2f} \th {:.2f} \tl {:.2f} \tc {:.2f}\tv {:9.0f}".format(
        self.datas[0].datetime.datetime(0),
        self.data.open[0],
        self.data.high[0],
        self.data.low[0],
        self.data.close[0],
        self.data.volume[0],
    )
)

Giovanni Caridi

@run-out No print and trades

runfile('/Users/giovannicaridi/.spyder-py3/Trading System', wdir='/Users/giovannicaridi/.spyder-py3')
Valore iniziale Portafoglio: 100000.00
Valore del Portafoglio finale: 100000.00
<IPython.core.display.Javascript object>
<IPython.core.display.HTML object>

run-out

Did you put that directly under def next(self): ?? You should have had something. Look can you copy all of your code, and put it between triple back space, so we can see all of it properly at once? Then we can help you.

For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/

Giovanni Caridi

@run-out

from __future__ import (absolute_import, division, print_function,unicode_literals)
import backtrader as bt
import backtrader.indicators as btind
import backtrader.analyzers as btanalyzers
import datetime   # For datetime objects
import os.path    # To manage paths
import sys        # To find out the script name (in argv[0])


import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
pd.core.common.is_list_like = pd.api.types.is_list_like
from pandas_datareader import data, wb
import yfinance as yf

 class Cross_Medie(bt.Strategy):

# Definisco la media veloce e la media lenta (utile per l'ottimizzazione)
params = (('Med_vel',50), ('Med_len', 100))

# Inizializzo le due medie
def __init__(self):
    self.sma_vel = btind.SMA(period = self.p.Med_vel)
    self.sma_len = btind.SMA(period = self.p.Med_len)
    
    # Definisco il segnale di acquisto/vendita
    self.buysig = btind.CrossOver(self.sma_vel, self.sma_len)
    
    # Salvo i dati di closing (self.datas[0] è l'orologio del sistema, 
    # utile per verificare se una candela in chiusura rompre una media/indicatore)
    # Keep a reference to the "close" line in the data[0] dataseries
    self.dataclose = self.datas[0].close
    
 

def next(self):

print("date {}\to {:.2f} \th {:.2f} \tl {:.2f} \tc {:.2f}\tv {:9.0f}".format(
    self.datas[0].datetime.datetime(0),
    self.data.open[0],
    self.data.high[0],
    self.data.low[0],
    self.data.close[0],
    self.data.volume[0],
      ))

if  self.position.size:    # verifico se sono in posizione
    
      if  self.buysig < 0:  # vuol dire che sono dentro long (incrocio a ribasso)
          self.close()     # chiudo la posizione esistente
          self.sell()      
        
      elif self.buysig > 0: # vuol dire che sono dentro short (incrocio a rialzo)
           self.close()      # chiudo la posizione esistente
           self.buy()
        
else:                     # non sono in posizione
         
    if self.buysig > 0:   # segnale positivo 
        self.buy()        # acquisto
        
    elif self.buysig < 0: # segnale negativo
        self.sell()       # vendo
        
        


def stampa(self, txt, dt=None):

dt = dt or self.datas[0].datetime.date(0)  
print('%s, %s' % (dt.isoformat(), txt))    



def notify_order(self, order):

if order.status in [order.Submitted, order.Accepted]:
    # ordine acquisto/vendita accettato
    return

# Verifica se ordine completato
if order.status in [order.Completed]:
    if order.isbuy():
        # Stampo dettaglio di quantità, prezzo e commissioni
        self.stampa('ACQ ESEGUITO, QTY: %.2f, PREZZO: %.2f, COSTO: %.2f, COMM: %.2f' 
                    % (order.executed.size,order.executed.price,order.executed.value,order.executed.comm))

        self.buyprice = order.executed.price
        self.buycomm = order.executed.comm

    else: # Vendita
        self.stampa('VEND ESEGUITA, QTY: %.2f, PREZZO: %.2f, COSTO: %.2f, COMM: %.2f' 
                    % (order.executed.size,order.executed.price,order.executed.value,order.executed.comm))

        self.bar_executed = len(self)
        
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
  self.stampa('Ordine Cancellato')
 
self.order = None    
   


def notify_trade(self, trade):
if not trade.isclosed:
    return
self.stampa('PROFITTO OPERAZIONE, LORDO %.2f, NETTO %.2f' % (trade.pnl, 
trade.pnlcomm))        
        
    

dataFCA = yf.download("FCA", start="2010-01-01", end="2019-04-30")
dataFCA.to_csv('/Users/giovannicaridi/.spyder-py3/FCA.csv')

      

if __name__ == '__main__':           
                            

# Inizializzo istanza Cerebro
cerebro = bt.Cerebro() 

# Aggiungo una strategia
cerebro.addstrategy(Cross_Medie)

# Inizializzo il file (inserisco i dati storici mettendo il percorso completo del file
modpath = os.path.basename(os.path.abspath(sys.argv[0]))  
datapath = os.path.join(modpath, '/Users/giovannicaridi/.spyder-py3/FCA.csv')


# Salvo i dati nella variabile data (Create a Data Feed)
data = bt.feeds.YahooFinanceCSVData(dataname = datapath, fromdate = datetime.datetime(2011,1,1),
                                    todate = datetime.datetime(2018,12,31),reverse = False)   

# Aggiungiamo i dati a Cerebro
cerebro.adddata(data)

# Imposto il portafoglio depositando il capitale iniziale
cerebro.broker.setcash(100000) 

# Imposto il numero di azioni che traderò
cerebro.addsizer(bt.sizers.FixedSize, stake=1)

# Imposto il valore delle commissioni
cerebro.broker.setcommission(commission=0.0002)

# Stampo le condizioni iniziali
print('Valore iniziale Portafoglio: %.2f' % cerebro.broker.getvalue())

# Avvio l'instanza (il programma)
cerebro.run()    

# Stampo le condizioni finali
print('Valore del Portafoglio finale: %.2f' % cerebro.broker.getvalue())
cerebro.broker.getvalue() 

cerebro.plot()

run-out

When you put in the printout code for OHLCV I gave you, what output did you get? Did you get pricing data? Is it sorted dates going up? How does this data compare to the data that is on your hard drive that is working?

Giovanni Caridi

@run-out said in No trades happened:

When you put in the printout code for OHLCV I gave you, what output did you get? Did you get pricing data? Is it sorted dates going up? How does this data compare to the data that is on your hard drive that is working?

I don't have output changed with your code. Some output as before:

[100%**] 1 of 1 completed
Valore iniziale Portafoglio: 100000.00
Valore del Portafoglio finale: 100000.00
<IPython.core.display.Javascript object>
<IPython.core.display.HTML object>

run-out

l've copied your code and got it printing out. Three things.

Remove or comment out this:

    # dataFCA = yf.download("FCA", start="2010-01-01", end="2019-04-30")
    # dataFCA.to_csv('/Users/giovannicaridi/.spyder-py3/FCA.csv')

Take CSV out of YahoFinanceData and you'll be able to download directly from the net.

 # Salvo i dati nella variabile data (Create a Data Feed)
    data = bt.feeds.YahooFinanceData(
        dataname="FCA",
        fromdate=datetime.datetime(2011, 1, 1),
        todate=datetime.datetime(2018, 12, 31),
        reverse=False,
    )

I cannot tell if this is just the formatting in this forum, or your code is like this, so forgive me if I'm wrong. Your code is imporperly indented. Underneath your strategy, all your functions and init need to move in 4 spaces.

class Cross_Medie(bt.Strategy):

    # Definisco la media veloce e la media lenta (utile per l'ottimizzazione)
    params = (("Med_vel", 50), ("Med_len", 100))

    # Inizializzo le due medie
    def __init__(self):
        self.sma_vel = btind.SMA(period=self.p.Med_vel)
        self.sma_len = btind.SMA(period=self.p.Med_len)

That is all I changed, and the OHLCV are pringint out.

Valore iniziale Portafoglio: 100000.00
date 2011-09-14 23:59:59.999989	o 16.20 	h 16.20 	l 16.05 	c 16.12	v      2838
date 2011-09-15 23:59:59.999989	o 16.28 	h 16.28 	l 16.27 	c 16.27	v      1290
date 2011-09-16 23:59:59.999989	o 16.27 	h 16.27 	l 16.27 	c 16.27	v         0
date 2011-09-19 23:59:59.999989	o 16.27 	h 16.27 	l 16.27 	c 16.27	v         0
date 2011-09-20 23:59:59.999989	o 16.27 	h 16.27 	l 16.27 	c 16.27	v         0
date 2011-09-21 23:59:59.999989	o 16.27 	h 16.27 	l 16.27 	c 16.27	v         0
date 2011-09-22 23:59:59.999989	o 13.43 	h 13.43 	l 13.43 	c 13.43	v      4515
date 2011-09-23 23:59:59.999989	o 13.43 	h 13.43 	l 13.43 	c 13.43	v         0
date 2011-09-26 23:59:59.999989	o 13.43 	h 13.43 	l 13.43 	c 13.43	v         0
date 2011-09-27 23:59:59.999989	o 13.43 	h 13.43 	l 13.43 	c 13.43	v         0

Full code running on my machine:

from __future__ import absolute_import, division, print_function, unicode_literals
import backtrader as bt
import backtrader.indicators as btind
import backtrader.analyzers as btanalyzers
import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])


import numpy as np
import pandas as pd
import matplotlib.pyplot as plt

pd.core.common.is_list_like = pd.api.types.is_list_like
# from pandas_datareader import data, wb
import yfinance as yf


class Cross_Medie(bt.Strategy):

    # Definisco la media veloce e la media lenta (utile per l'ottimizzazione)
    params = (("Med_vel", 50), ("Med_len", 100))

    # Inizializzo le due medie
    def __init__(self):
        self.sma_vel = btind.SMA(period=self.p.Med_vel)
        self.sma_len = btind.SMA(period=self.p.Med_len)

        # Definisco il segnale di acquisto/vendita
        self.buysig = btind.CrossOver(self.sma_vel, self.sma_len)

        # Salvo i dati di closing (self.datas[0] è l'orologio del sistema,
        # utile per verificare se una candela in chiusura rompre una media/indicatore)
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close

    def next(self):
        print(
            "date {}\to {:.2f} \th {:.2f} \tl {:.2f} \tc {:.2f}\tv {:9.0f}".format(
                self.datas[0].datetime.datetime(0),
                self.data.open[0],
                self.data.high[0],
                self.data.low[0],
                self.data.close[0],
                self.data.volume[0],
            )
        )

        if self.position.size:  # verifico se sono in posizione

            if self.buysig < 0:  # vuol dire che sono dentro long (incrocio a ribasso)
                self.close()  # chiudo la posizione esistente
                self.sell()

            elif self.buysig > 0:  # vuol dire che sono dentro short (incrocio a rialzo)
                self.close()  # chiudo la posizione esistente
                self.buy()

        else:  # non sono in posizione

            if self.buysig > 0:  # segnale positivo
                self.buy()  # acquisto

            elif self.buysig < 0:  # segnale negativo
                self.sell()  # vendo

    def stampa(self, txt, dt=None):

        dt = dt or self.datas[0].datetime.date(0)
        print("%s, %s" % (dt.isoformat(), txt))

    def notify_order(self, order):

        if order.status in [order.Submitted, order.Accepted]:
            # ordine acquisto/vendita accettato
            return

        # Verifica se ordine completato
        if order.status in [order.Completed]:
            if order.isbuy():
                # Stampo dettaglio di quantità, prezzo e commissioni
                self.stampa(
                    "ACQ ESEGUITO, QTY: %.2f, PREZZO: %.2f, COSTO: %.2f, COMM: %.2f"
                    % (
                        order.executed.size,
                        order.executed.price,
                        order.executed.value,
                        order.executed.comm,
                    )
                )

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm

            else:  # Vendita
                self.stampa(
                    "VEND ESEGUITA, QTY: %.2f, PREZZO: %.2f, COSTO: %.2f, COMM: %.2f"
                    % (
                        order.executed.size,
                        order.executed.price,
                        order.executed.value,
                        order.executed.comm,
                    )
                )

                self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.stampa("Ordine Cancellato")

        self.order = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.stampa(
            "PROFITTO OPERAZIONE, LORDO %.2f, NETTO %.2f" % (trade.pnl, trade.pnlcomm)
        )

    #
    # dataFCA = yf.download("FCA", start="2010-01-01", end="2019-04-30")
    # dataFCA.to_csv('/Users/giovannicaridi/.spyder-py3/FCA.csv')


if __name__ == "__main__":

    # Inizializzo istanza Cerebro
    cerebro = bt.Cerebro()

    # Aggiungo una strategia
    cerebro.addstrategy(Cross_Medie)

    # Inizializzo il file (inserisco i dati storici mettendo il percorso completo del file
    modpath = os.path.basename(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, "/Users/giovannicaridi/.spyder-py3/FCA.csv")

    # Salvo i dati nella variabile data (Create a Data Feed)
    data = bt.feeds.YahooFinanceData(
        dataname="FCA",
        fromdate=datetime.datetime(2011, 1, 1),
        todate=datetime.datetime(2018, 12, 31),
        reverse=False,
    )

    # Aggiungiamo i dati a Cerebro
    cerebro.adddata(data)

    # Imposto il portafoglio depositando il capitale iniziale
    cerebro.broker.setcash(100000)

    # Imposto il numero di azioni che traderò
    cerebro.addsizer(bt.sizers.FixedSize, stake=1)

    # Imposto il valore delle commissioni
    cerebro.broker.setcommission(commission=0.0002)

    # Stampo le condizioni iniziali
    print("Valore iniziale Portafoglio: %.2f" % cerebro.broker.getvalue())

    # Avvio l'instanza (il programma)
    cerebro.run()

    # Stampo le condizioni finali
    print("Valore del Portafoglio finale: %.2f" % cerebro.broker.getvalue())
    cerebro.broker.getvalue()

    cerebro.plot()

Giovanni Caridi

@run-out Ok I copy and paste your code and works fine. I tried also to change feed from offline version of Yahoo CSV and it works.
I think that the issue was on formatting, I didn't think bad formatting could lead to coding errors

run-out

@Giovanni-Caridi said in No trades happened:

I didn't think bad formatting could lead to coding errors

Python is highly space/formatting dependent. Try downloading black formatter. It automatically formats your code and will try to help you if you are off.