3. MultiData Strategy excludes older data points from different feeds
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MultiData Strategy excludes older data points from different feeds

  • B

    I am trying to include fundamental data for along with ohlc for single ticker as data feed. I add multiple datafeeds and try to run cerebro for validation. But i can see the data used for backtesting shows data only when all the data feeds are available.
    Is this expected behavior ?

    try:
    del cerebro
except NameError:
    pass

cerebro = bt.Cerebro()

selected_daily_columns       = ['open', 'high', 'low', 'close', 'volume']
selected_fundamental_columns = ["debt","cashneq","equity","de"]

custom_params = [('datetime', "date"), ('openinterest',None)]
custom_params += [(name, name) for name in selected_daily_columns]
custom_params += [(name, name) for name in selected_fundamental_columns]

class PandasCustomData(bt.feeds.PandasData):
    lines = tuple(selected_fundamental_columns)
    params = tuple(custom_params)
    
ticker_data_feed = ['LCTX', 'PTN', 'XXII', 'CSLT']
ticker_data_feedi = {k: v for v, k in enumerate(ticker_data_feed)}

for ticker in ticker_data_feed:
    data_sep_ = data_sep[data_sep.ticker == ticker]
    data_sf1_ = data_sf1[data_sf1.ticker == ticker]
    df_ = data_sep_.merge(data_sf1_.rename({"datekey":"date"}, axis=1),
                    on=["ticker","date"], how="left").sort_values(by="date")
    print(f"{ticker} min_date:{df_.date.min()}")
    pd_data_feed = PandasCustomData(dataname=df_, name=ticker)
    del df_, data_sep_, data_sf1_
    gc.collect()
    
    cerebro.adddata(pd_data_feed)
    
class TestStrategy(bt.Strategy):

    def log(self, txt, dt=None):
        ''' Logging function for this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        pass


    def next(self):
        # Simply log the closing price of the series from the reference
        msg = ""
        for ticker,tickeri in ticker_data_feedi.items():
            msg += f' ;{ticker} Close:{self.datas[tickeri].close[0]:.2f}'
            msg += "" if pd.isna(self.datas[tickeri].equity[0]) else f' Equity:{self.datas[tickeri].equity[0]}'
            msg += "" if pd.isna(self.datas[tickeri].de[0]) else f' DE:{self.datas[tickeri].de[0]}'

        self.log( msg )
        
# Add a strategy
cerebro.addstrategy(TestStrategy)

# Add a FixedSize sizer according to the stake
cerebro.addsizer(bt.sizers.FixedSize, stake=20)

# Set our desired cash start
cerebro.broker.setcash(10000.0)
# Set the commission - 0.1% ... divide by 100 to remove the %
cerebro.broker.setcommission(commission=0.001)

# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
# Run over everything
cerebro.run(oldsync=False)
# Print out the final result
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

    The output shows starts as

    LCTX min_date:1997-12-31 00:00:00
PTN min_date:1997-12-31 00:00:00
XXII min_date:2011-01-26 00:00:00
CSLT min_date:2014-03-14 00:00:00
Starting Portfolio Value: 10000.00
2014-03-14,  ;LCTX Close:3.71 ;PTN Close:1.04 ;XXII Close:4.60 ;CSLT Close:39.80
2014-03-17,  ;LCTX Close:3.57 Equity:14800768.0 DE:1.045 ;PTN Close:1.08 ;XXII Close:4.44 ;CSLT Close:37.25
2014-03-18,  ;LCTX Close:3.45 ;PTN Close:1.09 ;XXII Close:4.35 ;CSLT Close:33.65
2014-03-19,  ;LCTX Close:3.38 ;PTN Close:1.26 ;XXII Close:3.79 ;CSLT Close:31.50
2014-03-20,  ;LCTX Close:3.51 ;PTN Close:1.23 ;XXII Close:3.98 ;CSLT Close:31.99
2014-03-21,  ;LCTX Close:3.52 ;PTN Close:1.44 ;XXII Close:3.53 ;CSLT Close:29.35
2014-03-24,  ;LCTX Close:3.36 ;PTN Close:1.29 ;XXII Close:2.69 ;CSLT Close:27.33
2014-03-25,  ;LCTX Close:3.37 ;PTN Close:1.30 ;XXII Close:3.22 ;CSLT Close:25.90
2014-03-26,  ;LCTX Close:3.26 ;PTN Close:1.20 ;XXII Close:3.16 ;CSLT Close:24.77
2014-03-27,  ;LCTX Close:3.24 ;PTN Close:1.18 ;XXII Close:3.13 ;CSLT Close:23.46
....
    0
  • A

    Yes, this is expected default behavior. To use all history you need to use both prenext() and next() calls. This was discussed on the forum several times, search for it.

    1
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