3. Final SELL order not created in Quickstart Examples
For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See: http://commonmark.org/help/

Final SELL order not created in Quickstart Examples

  • Y

    I'm learning Backtrader by following the examples in Quickstart Guide.
    The only modifications I've made to the examples are in the data feed and broker.setcash (increased to cover orders). The problem is that in all the examples up through "Customizing the Strategy: Parameters " everything works as I expect and matches the example outputs (except for values since I'm using a different data set).
    When I test the "Adding an indicator" code it generates a BUY order but no SELL order is generated upon exit leaving me with an open position. I believe the logic is to generate a SELL using the final day's CLOSE value which makes sense and is what I saw in the previous examples. What am I missing???
    Below are the changes to the data feed that I made.

        # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, 'data/Sector ETFs/VTI.csv')

    # Create a Data Feed
    data = bt.feeds.GenericCSVData(
        dataname=datapath,
        # Do not pass values before this date
        fromdate=datetime.datetime(2019, 1, 1),
        # Do not pass values before this date
        todate=datetime.datetime(2020, 8, 31),
        # Do not pass values after this date
        reverse=False,
        #Fix DateTime format
        dtformat= '%Y-%m-%d',
        close = 6)```
code_text

    Thanks for your help in advance.

    0
    A
     1 Reply

  • It is helpful if you include all of the code, the output you are getting, and where you think that output is wrong. Thanks

    0
  • Y

    Sorry, the code is what is reproduced in the Quickstart examples, exactly, except for the code I included.
    Here's the output:

    
.
.
.
2020-06-23, Close, 157.42
2020-06-23, BUY CREATE, 157.42
2020-06-24, BUY EXECUTED, Price: 157.91, Cost: 1579.10, Comm 0.00
2020-06-24, Close, 153.15
2020-06-24, SELL CREATE, 153.15
2020-06-25, SELL EXECUTED, Price: 155.77, Cost: 1579.10, Comm 0.00
2020-06-25, OPERATION PROFIT, GROSS -21.40, NET -21.40
2020-06-25, Close, 155.00
2020-06-26, Close, 151.40
2020-06-29, Close, 153.62
2020-06-30, Close, 155.89
2020-06-30, BUY CREATE, 155.89
2020-07-01, BUY EXECUTED, Price: 158.04, Cost: 1580.40, Comm 0.00
2020-07-01, Close, 156.80
2020-07-02, Close, 157.42
.
.
.

2020-08-25, Close, 173.74
2020-08-26, Close, 175.31
2020-08-27, Close, 175.73
2020-08-28, Close, 176.95
Final Portfolio Value: 100528.34

    Here's the Quickstart example:

    from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])

# Import the backtrader platform
import backtrader as bt


# Create a Stratey
class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 15),
    )

    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):
        # Keep a reference to the "close" line in the data[0] dataseries
        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

        # Add a MovingAverageSimple indicator
        self.sma = bt.indicators.SimpleMovingAverage(
            self.datas[0], period=self.params.maperiod)

        # Indicators for the plotting show
        bt.indicators.ExponentialMovingAverage(self.datas[0], period=25)
        bt.indicators.WeightedMovingAverage(self.datas[0], period=25,
                                            subplot=True)
        bt.indicators.StochasticSlow(self.datas[0])
        bt.indicators.MACDHisto(self.datas[0])
        rsi = bt.indicators.RSI(self.datas[0])
        bt.indicators.SmoothedMovingAverage(rsi, period=10)
        bt.indicators.ATR(self.datas[0], plot=False)

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            return

        # Check if an order has been completed
        # Attention: broker could reject order if not enough cash
        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))

            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        # Write down: no pending order
        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:

            # Not yet ... we MIGHT BUY if ...
            if self.dataclose[0] > self.sma[0]:

                # BUY, BUY, BUY!!! (with all possible default parameters)
                self.log('BUY CREATE, %.2f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.buy()

        else:

            if self.dataclose[0] < self.sma[0]:
                # SELL, SELL, SELL!!! (with all possible default parameters)
                self.log('SELL CREATE, %.2f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.sell()


if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(TestStrategy)

    # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, 'data/Sector ETFs/VTI.csv')

    # Create a Data Feed
    data = bt.feeds.GenericCSVData(
        dataname=datapath,
        # Do not pass values before this date
        fromdate=datetime.datetime(2019, 1, 1),
        # Do not pass values before this date
        todate=datetime.datetime(2020, 8, 31),
        # Do not pass values after this date
        reverse=False,
        #Fix DateTime format
        dtformat= '%Y-%m-%d',
        close = 6)

    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(100000.0)

    # Add a FixedSize sizer according to the stake
    cerebro.addsizer(bt.sizers.FixedSize, stake=10)

    # Set the commission
    cerebro.broker.setcommission(commission=0.0)

    # 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())

    # Plot the result
    cerebro.plot()
    0

  • @Yulem said in Final SELL order not created in Quickstart Examples:

    but no SELL order is generated upon exit leaving me with an open position. I believe the logic is to generate a SELL using the final day's CLOSE value which makes sense and is what I saw in the previous examples.

    There is no problem with your code. Whether you still have a position open or closed at the end of a backtest is inconsequential. If you want to generate a sell specifically using the final day's close value, you can do so in the strategy's stop method

    1
  • A

    @Yulem said in Final SELL order not created in Quickstart Examples:

    I believe the logic is to generate a SELL using the final day's CLOSE value which makes sense and is what I saw in the previous examples. What am I missing???

    In the Quickstart guide examples there is no logic to close the position at the end of the backtest.

    @hghhgghdf-dfdf said in Final SELL order not created in Quickstart Examples:

    If you want to generate a sell specifically using the final day's close value, you can do so in the strategy's stop method

    I didn't try this by myself, but based on the bt workflow I doubt that this will work, since stop is called after all the bars are gone and it should be no price to execute the order.

    2
Log in to reply
 
});