Using Donchian Channel to execute buy order

Edward Owen

hi,

I am new to backtrader and even python. I know I shouldn't be rushing but I just wanna get this to work. I have only watched a few tutorials on backtrading but not much.

So I am planning to use the provided
https://www.backtrader.com/recipes/indicators/donchian/donchian/
and use it to execute a buy order on DC 5 day.

Here is the code
import backtrader as bt
import datetime

cerebro = bt.Cerebro()
cerebro.broker.set_cash(1000000)
data = bt.feeds.YahooFinanceCSVData(
dataname="oracle.csv",
fromdate=datetime.datetime(2000,1,1),
todate=datetime.datetime(2000,12,31),
reverse=False)

cerebro.adddata(data) #Insert Data.

class DonchianChannels(bt.Strategy):
#DONCHIAN CHANNELS PLOTTING
alias = ('DCH', 'DonchianChannel',)
lines = ( 'dch', 'dcl',) # dc middle, dc high, dc low
params = dict(
period=5,
lookback=-1, #look at Params Note.
)
plotinfo = dict(subplot=False) # plot along with data
plotlines = dict(
dch=dict(_samecolor=True), # use same color as prev line (dcm)
dcl=dict(_samecolor=True), # use same color as prev line (dch)
)

def __init__(self):
    self.dataclose = self.datas[0].close
    self.order = None
    #DC
    hi, lo = self.data.high, self.data.low
    if self.p.lookback:  # move backwards as needed
        hi, lo = hi(self.p.lookback), lo(self.p.lookback)
    self.l.dch = bt.ind.Highest(hi, period=self.p.period)
    self.l.dcl = bt.ind.Lowest(lo, period=self.p.period)
    self.l.dcm = (self.l.dch + self.l.dcl) / 2.0  # avg of the above
    
def next(self):
    # Simply log the closing price of the series from the reference
    self.log('Close, %.2f' % self.dataclose[0])

    if self.order:
        return

    if not self.position:
        if self.dataclose[-1] < self.l.dch:
            # previous close less than the previous previous close

            # BUY, BUY, BUY!!! (with all possible default parameters)
            self.log('BUY CREATE, %.2f' % self.dataclose[0])
            self.order = self.buy()
    else:
        if len(self) >= (self.bar_executed + 5):
            self.log("SELL CREATED {}".format(self.dataclose[0]))
            self.order = self.sell()

cerebro.addstrategy(DonchianChannels)

cerebro.addsizer(bt.sizers.FixedSize, stake=1000)
print("Starting Portfolio :%.2f" % cerebro.broker.getvalue())
cerebro.run()
print("Final Portfolio Value:%.2f" % cerebro.broker.getvalue())
cerebro.plot(style="candlestick",barup='green', bardown='red')

ab_trader

Do you have an issue with the code provided? If yes, describe an issue and provide some outputs showing it.

Edward Owen

ah, i shouldve put the results, sorry. I already found the fix :D