Creating of my own strategy based on mean reversion

Jana Stará

Hi,

I try to create my own strategy which is based on mean reversion strategy. The code passed in Backtrader but it didn't give me a desired output. Could you please write me, what I am doing wrong?

I am still a beginner, but hope there won't be plenty of mistakes and any suggestion will be greatly appreciated. :-)

  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 Indicators
    self.sma = bt.indicators.SimpleMovingAverage(self.data, period = self.params.period)
    self.std = bt.indicators.StandardDeviation(self.data, period = self.params.period)
    self.zscore = (self.dataclose - self.sma) / self.std (self.data)

Defining new variables state and signal:

    def state(self):
        if np.sign(self.zscore[0]) == np.sign(self.zscore[-1]):
            if self.zscore[0] > 1:
                return 1
            elif self.zscore[0] < -1:
                return -1
            else:
                return self.state[-1]
        else:
            return 0  
        
    def signal(self):
        if self.state[0] == self.state[-1]:
            return 0
        else:
            return self.state[0] - self.state[-1]

then the own strategy:

def notify_order(self, order):
    # Buy/Sell order submitted/accepted by broker (nothing to do)
    if order.status in [order.Submitted, order.Accepted]:
        return
    
    # Check if an order has been completed (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')

    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):
    # 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 in the market, we might buy...
        if self.signal[0] == -1:
            
            # BUY! (with all possible default parameters)
            self.log('BUY CREATED {}'.format(self.dataclose[0]))
            
            # Keep track of the created order to avoid a 2nd order
            self.order = self.buy()
        
        elif self.signal[0] == 1:

            self.log('SELL CREATE, %.2f' % self.dataclose[0])

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

run-out

@Jana-Stará said in Creating of my own strategy based on mean reversion:

if self.signal[0] == -1:

I could be wrong but I think you need to call self.signal and self.state with rounded brackets:

self.signal()
self.state()

rajanprabu

IN addition to that @run-out has pointed out. self.zscore is the line object, but self.state is not. if you need self.state[-1] then either make self.state a line object or make a variable self.prev_state and update for every step.

Jana Stará

@rajanprabu Thank you for your help. I got your point but I don't know exactly how to do it. Could you please write me some hint, how to make a self.state a line object?

rajanprabu

@Jana-Stará

As for as I understand, you only need two values self.signal[0] and self.signal[-1]. So making it as a line object may not be optimal. Just initialise two variables under init say self.prev_state, self.state and and update the values of self.prev_state during next().

run-out

This is a reasonably complicated indicator for a beginner. You should create a custom indicator.

Look here for further help:
https://www.backtrader.com/blog/posts/2015-07-18-developing-an-indicator/developing-an-indicator/

https://medium.com/@danjrod/custom-indicator-development-in-python-with-backtrader-bc775552dc3e